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Creditor protection and credit ratings in the US RMBS market 美国人民币抵押贷款市场的债权人保护和信用评级
Financial Markets, Institutions and Instruments Pub Date : 2024-02-23 DOI: 10.1111/fmii.12194
Vivian M. van Breemen, Frank J. Fabozzi, Mike Nawas, Dennis Vink
{"title":"Creditor protection and credit ratings in the US RMBS market","authors":"Vivian M. van Breemen,&nbsp;Frank J. Fabozzi,&nbsp;Mike Nawas,&nbsp;Dennis Vink","doi":"10.1111/fmii.12194","DOIUrl":"10.1111/fmii.12194","url":null,"abstract":"<p>More than a dozen years after the Dodd-Frank Act was introduced, we investigate whether credit ratings for the US residential mortgage-backed securities (RMBS) market differ given the different levels of creditor protection across the US states. Our paper provides three results. First, for the period 2017–2020, we provide evidence that there is inconsistency between credit rating agencies (CRAs): only for Dominion Bond Rating Service Morningstar (DBRS) and Moody's, we observe that the credit ratings for securitization tranches differ given different creditor protection levels across states. Second, in states with higher creditor protection, the relatively new CRAs, DBRS and Kroll Bond Rating Agency (KBRA), are more likely to provide more optimistic ratings than CRAs historically present in the rating market (Moody's, S&amp;P, and Fitch). Third, issuers appear to issue larger deals in US states that are more creditor friendly.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 3","pages":"267-292"},"PeriodicalIF":0.0,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140436000","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Being stranded with fossil fuel reserves? Climate policy risk and the pricing of bank loans 化石燃料储备搁浅？气候政策风险与银行贷款定价
Financial Markets, Institutions and Instruments Pub Date : 2024-02-01 DOI: 10.1111/fmii.12189
Manthos D. Delis, Kathrin de Greiff, Maria Iosifidi, Steven Ongena
{"title":"Being stranded with fossil fuel reserves? Climate policy risk and the pricing of bank loans","authors":"Manthos D. Delis,&nbsp;Kathrin de Greiff,&nbsp;Maria Iosifidi,&nbsp;Steven Ongena","doi":"10.1111/fmii.12189","DOIUrl":"https://doi.org/10.1111/fmii.12189","url":null,"abstract":"<p>Do banks price the risk of stranded fossil fuel reserves? To address this question, we hand collect global data on corporate fossil fuel reserves from 2002 to 2016, match it with syndicated loans, and subsequently compare the loan rate charged to fossil fuel firms — along their climate policy exposure — to other firms. We find that banks price climate policy exposure, especially after 2015. We also uncover that our main effect further increases for loans with longer maturity, that loan size to fossil fuel firms increases, and that ‛Green’ banks also charge higher loan rates to fossil fuel firms.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 3","pages":"239-265"},"PeriodicalIF":0.0,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12189","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141556577","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate social responsibility, carbon footprints and stock market valuation 企业社会责任、碳足迹和股票市场估值
Financial Markets, Institutions and Instruments Pub Date : 2024-01-30 DOI: 10.1111/fmii.12193
Ramzi Benkraiem, Maria Qureshi, Asif Saeed, Constantin Zopounidis
{"title":"Corporate social responsibility, carbon footprints and stock market valuation","authors":"Ramzi Benkraiem,&nbsp;Maria Qureshi,&nbsp;Asif Saeed,&nbsp;Constantin Zopounidis","doi":"10.1111/fmii.12193","DOIUrl":"10.1111/fmii.12193","url":null,"abstract":"<p>The emission of greenhouse gases (GHG), particularly carbon dioxide (CO<sub>2</sub>), within the atmosphere poses serious threats to society and the environment. In this paper, we examine the effect of carbon dioxide (CO<sub>2</sub>) emissions on the association between corporate social responsibility (CSR) and stock valuation. Using a sample of listed non-financial US firms from 2002 through 2018, we find that CO<sub>2</sub> emission plays a moderating role in reshaping the CSR-stock valuation nexus. Further analysis showed that our results are robust for using alternate proxies of CSR, CO<sub>2,</sub> additional control and methods to alleviate endogeneity concerns. Additionally, we explored how increasing carbon footprints reshape this association only for firms with strong governance structures. Overall, our results indicate that the positive impact of CSR on stock valuation is overlaid by corporate CO<sub>2</sub> emission. The practical and theoretical insights of this study were explored.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 3","pages":"213-237"},"PeriodicalIF":0.0,"publicationDate":"2024-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140482716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Air temperature and sovereign bond returns 气温与主权债券收益
Financial Markets, Institutions and Instruments Pub Date : 2024-01-23 DOI: 10.1111/fmii.12192
Renatas Kizys, Wael Rouatbi, Zaghum Umar, Adam Zaremba
{"title":"Air temperature and sovereign bond returns","authors":"Renatas Kizys,&nbsp;Wael Rouatbi,&nbsp;Zaghum Umar,&nbsp;Adam Zaremba","doi":"10.1111/fmii.12192","DOIUrl":"https://doi.org/10.1111/fmii.12192","url":null,"abstract":"<p>The relationship between air temperature and sovereign bond returns is founded on competing paradigms: macroeconomic, behavioral and energy demand-based. Which of these theoretical mechanisms receives support from data? To answer this, we examined four decades of bond data from 31 countries. Overall, daily temperature positively affects government bond returns. A 10°F rise leads to an increase in sovereign bond returns between 0.22 and 0.85 basis points. We also document evidence of asymmetric and nonlinear price responses to both temperature levels and shocks. Our results survive a battery of robustness checks and lend support to the macroeconomic and behavioral paradigms, albeit not the energy demand-based view.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 2","pages":"179-209"},"PeriodicalIF":0.0,"publicationDate":"2024-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12192","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140348853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate pollution and reputational exposure 企业污染和声誉风险
Financial Markets, Institutions and Instruments Pub Date : 2024-01-17 DOI: 10.1111/fmii.12190
Georgios Chortareas, Fangyuan Kou, Alexia Ventouri
{"title":"Corporate pollution and reputational exposure","authors":"Georgios Chortareas,&nbsp;Fangyuan Kou,&nbsp;Alexia Ventouri","doi":"10.1111/fmii.12190","DOIUrl":"https://doi.org/10.1111/fmii.12190","url":null,"abstract":"<p>We study the empirical association between corporate pollution and reputational exposure using a sample of 745 U.S. firms from 2007 to 2019 and an ordered probit model. Our results reveal an inverse relationship between chemical emissions and reputational exposure rating, after controlling for various firm attributes. We examine the roles of corporate governance structure and the demographic background of the top management team in the transmission process from polluting chemical emissions to reputation. Further, the negative impact of corporate pollution on reputational exposure rating is much stronger in areas where residents are convinced that climate change is happening. We perform several tests and analyses designed to mitigate endogeneity issues and correct sample bias to ensure the robustness of our findings. Finally, our results suggest that the negative effect is stronger for companies with higher information asymmetry, which indicates the importance of information transparency for firms' credibility.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 2","pages":"149-178"},"PeriodicalIF":0.0,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12190","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140348533","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Climate-related performance and stock price crash risk 与气候相关的业绩和股价暴跌风险
Financial Markets, Institutions and Instruments Pub Date : 2024-01-17 DOI: 10.1111/fmii.12188
Kyriaki Kosmidou, Dimitrios Kousenidis, Anestis Ladas, Christos Negkakis
{"title":"Climate-related performance and stock price crash risk","authors":"Kyriaki Kosmidou,&nbsp;Dimitrios Kousenidis,&nbsp;Anestis Ladas,&nbsp;Christos Negkakis","doi":"10.1111/fmii.12188","DOIUrl":"https://doi.org/10.1111/fmii.12188","url":null,"abstract":"<p>We examine how environmental performance affects future stock price crash risk. Previous literature shows that legitimacy threats, stemming from environmental risk, lead firms to be particularly sensitive about environmental disclosure and performance. However, we hypothesise and find that under specific conditions, relating to lower operating performance, firms that have higher environmental performance also have higher future stock price crash risk. Further analysis shows that such firms may also have lower readability and more confident tone in their 10-K annual reports. We attribute these findings to impression management utilising environmental performance along with disclosure misdirection practices, where managers of firms with negative news, attempt in some cases to draw the attention of the users of financial reports by obfuscating annual reports for bad news hoarding purposes. Even though in the current year such practices may have a negative effect for stock price crash risk, future stock price crash risk increases due to the dissemination of the negative news in the market. Overall, our results show that environmental disclosure may be used, under certain conditions, as a tool for impression management, which along with financial reporting distraction practices, leads to higher future stock price crash risk.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 2","pages":"113-148"},"PeriodicalIF":0.0,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140348838","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Editorial—FMII special issue: “Climate risk: Policy responses, financial market impacts and corporate risk management” 社论-FMII 特刊："气候风险：政策应对、金融市场影响和企业风险管理"
Financial Markets, Institutions and Instruments Pub Date : 2024-01-12 DOI: 10.1111/fmii.12191
Iftekhar Hasan, Philip Molyneux, Panagiota Papadimitri, Fotios Pasiouras
{"title":"Editorial—FMII special issue: “Climate risk: Policy responses, financial market impacts and corporate risk management”","authors":"Iftekhar Hasan,&nbsp;Philip Molyneux,&nbsp;Panagiota Papadimitri,&nbsp;Fotios Pasiouras","doi":"10.1111/fmii.12191","DOIUrl":"https://doi.org/10.1111/fmii.12191","url":null,"abstract":"","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 2","pages":"63-64"},"PeriodicalIF":0.0,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140348645","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Can financial uncertainty forecast aggregate stock market returns? 金融不确定性能否预测股市总回报？
Financial Markets, Institutions and Instruments Pub Date : 2024-01-12 DOI: 10.1111/fmii.12187
Ólan Henry, Semih Kerestecioglu, Sam Pybis
{"title":"Can financial uncertainty forecast aggregate stock market returns?","authors":"Ólan Henry,&nbsp;Semih Kerestecioglu,&nbsp;Sam Pybis","doi":"10.1111/fmii.12187","DOIUrl":"https://doi.org/10.1111/fmii.12187","url":null,"abstract":"<p>We investigate the role of financial uncertainty in forecasting aggregate stock market returns. Our results suggest that financial uncertainty, along with its change, are more powerful predictors of excess US monthly stock market returns than 14 macroeconomic predictors commonly used in the literature. Financial uncertainty is shown to outperform short interest, which has been suggested to be the strongest known predictor of the equity risk premium. These results persist using robust econometric methods in-sample, and when forecasting out-of-sample.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 2","pages":"91-111"},"PeriodicalIF":0.0,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12187","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140348646","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Shareholder litigation rights and firm productivity 股东诉讼权与公司生产力
Financial Markets, Institutions and Instruments Pub Date : 2023-11-23 DOI: 10.1111/fmii.12186
Alona Bilokha, Sudip Gupta
{"title":"Shareholder litigation rights and firm productivity","authors":"Alona Bilokha,&nbsp;Sudip Gupta","doi":"10.1111/fmii.12186","DOIUrl":"https://doi.org/10.1111/fmii.12186","url":null,"abstract":"<p>This paper analyzes the impacts of decreased shareholder litigation risk on firm productivity. Shareholder litigation provides shareholders a mechanism to enforce rights and mitigate agency conflicts. We use a staggered state-level adoption of universal demand (UD) laws as an exogenous shock that suppressed the number of shareholder derivative lawsuits. We show that the resulting deterioration in corporate governance, coupled with increased managerial attention, had mixed effects on productivity. Adverse effects resulting from lower litigation risk are primarily observed in firms facing low takeover threats. Conversely, firms with incentivised management achieved a higher productivity growth.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 2","pages":"65-90"},"PeriodicalIF":0.0,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140348846","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leverage ratio, risk-based capital requirements, and risk-taking in the United Kingdom 英国的杠杆比率、风险资本要求和风险承担
Financial Markets, Institutions and Instruments Pub Date : 2023-11-10 DOI: 10.1111/fmii.12185
Mahmoud Fatouh, Simone Giansante, Steven Ongena
{"title":"Leverage ratio, risk-based capital requirements, and risk-taking in the United Kingdom","authors":"Mahmoud Fatouh,&nbsp;Simone Giansante,&nbsp;Steven Ongena","doi":"10.1111/fmii.12185","DOIUrl":"10.1111/fmii.12185","url":null,"abstract":"<p>We assess the impact of the leverage ratio capital requirements on the risk-taking behaviour of banks both theoretically and empirically. Conceptually, introducing binding leverage ratio requirements into a regulatory framework with risk-based capital requirements induces banks to re-optimise, shifting from safer to riskier assets (higher asset risk). Yet, this shift would not be one-for-one due to risk weight differences, meaning the shift would be associated with a lower level of leverage (lower insolvency risk). The interaction of these two changes determines the impact on the aggregate level of risk. Empirically, we use a difference-in-differences setup to compare the behaviour of UK banks subject to the leverage ratio requirements (LR banks) to otherwise similar banks (non-LR banks). Our results show that LR banks did not increase asset risk, and slightly reduced leverage levels, compared to the control group after the introduction of leverage ratio in the UK. As expected, these two changes led to a lower aggregate level of risk. Emperical results indicate that credit default swap spreads on the 5-year subordinated debt of LR banks decreased relative to non-LR banks post leverage ratio introduction, suggesting the market viewed LR banks as less risky, especially during the COVID 19 stress.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 1","pages":"31-60"},"PeriodicalIF":0.0,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12185","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135141622","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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