Annals of Finance最新文献_第3页

An interval-valued extension of the internal rate of return 内部收益率的区间值扩展

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Annals of Finance Pub Date : 2025-11-03 DOI: 10.1007/s10436-025-00470-z

Mikhail V. Sokolov, Ekaterina V. Polyakova

引用次数: 0

On the relationship between financial constraints and firm owners’ gender: does Sub-Saharan Africa mirror other regions? 金融约束与企业所有者性别之间的关系：撒哈拉以南非洲是否反映了其他地区？

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Annals of Finance Pub Date : 2025-10-13 DOI: 10.1007/s10436-025-00468-7

Elizabeth Asiedu, Divine Mawusi Fiave, Alexander Opoku

{"title":"On the relationship between financial constraints and firm owners’ gender: does Sub-Saharan Africa mirror other regions?","authors":"Elizabeth Asiedu, Divine Mawusi Fiave, Alexander Opoku","doi":"10.1007/s10436-025-00468-7","DOIUrl":"10.1007/s10436-025-00468-7","url":null,"abstract":"<div><p>This paper examines regional differences in gender parity regarding firms’ access to finance in developing countries. The study employs data from 133,525 firms across 113 developing countries and six regions from 2006 to 2023 to analyze whether female-owned businesses experience greater financial constraints than their male counterparts, with particular attention to regional heterogeneity. The gender gap among firms in Europe and Central Asia, East Asia and the Pacific, the Middle East and North Africa, Latin America and the Caribbean, and South Asia can be explained by observable firm characteristics. In contrast, there is a robust gender gap for businesses in Sub-Saharan Africa: all else equal, are approximately 3–4 percentage points more likely to experience a binding financial constraint. This gender gap persists even after controlling for a country’s level of development, the enforceability of contracts, and government involvement in credit markets. Furthermore, the gap remains consistent across various types of firms, including sole proprietorships, small firms, medium firms, manufacturing firms, and businesses in the service sector. We also investigate whether the gender gap narrows or disappears in countries with greater gender equality. We find that institutional gender equality does not close the financial access gap, indicating the presence of structural barriers to finance for female-owned businesses in SSA.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"21 4","pages":"459 - 494"},"PeriodicalIF":0.7,"publicationDate":"2025-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-025-00468-7.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145675652","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

A new conceptual framework for SME financing and green performance and support in EU27 欧盟27国中小企业融资、绿色绩效和支持的新概念框架

IF 0.7

Annals of Finance Pub Date : 2025-10-10 DOI: 10.1007/s10436-025-00471-y

Marco Marozzi

{"title":"A new conceptual framework for SME financing and green performance and support in EU27","authors":"Marco Marozzi","doi":"10.1007/s10436-025-00471-y","DOIUrl":"10.1007/s10436-025-00471-y","url":null,"abstract":"<div><p>Small and medium enterprises (SMEs) play a central role in driving economic development and innovation. Access to finance is central for their growth and sustainability, particularly as they navigate the multifaceted challenges posed by climate change. Small and medium enterprise access to finance is challenging to quantify accurately. Utilizing composite indicators offers a potential solution, albeit one requiring meticulous design and implementation. Through this paper, we show how to improve the robustness to methodological assumptions of the European Investment Fund Small and Medium Enterprise Access to Finance Index, enhancing its reliability and depth of analysis. A robust index is central for conveying a clear message and standing up to scrutiny, because its results remain stable regardless of the specific formula used to compute it. The second aim of the paper is to design a robust index for SME green performance and support. The index aims at measuring both the performance of SMEs in adopting sustainable and green practices and the support they receive from public policies to facilitate these efforts. The third aim of the paper is to propose a new conceptual framework linking SME access to finance and green performance and support. We aim at offering a holistic approach to understand the interplay between financial access and green business practices and enhance SME competitiveness, sustainability, and economic resilience in EU27.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"21 4","pages":"495 - 527"},"PeriodicalIF":0.7,"publicationDate":"2025-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145675314","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

Bank risk in flux: policy interplay under uncertainty 变动中的银行风险：不确定性下的政策相互作用

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Annals of Finance Pub Date : 2025-10-09 DOI: 10.1007/s10436-025-00472-x

Marcella Lucchetta

引用次数: 0

Bank competition, financial stability and welfare: does the objective function of competitors matter? 银行竞争、金融稳定与福利：竞争者的目标函数重要吗？

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Annals of Finance Pub Date : 2025-09-23 DOI: 10.1007/s10436-025-00465-w

Oscar Gutiérrez, Mónica López-Puertas

引用次数: 0

The market price of greenness: a factor pricing approach for green and conventional bonds 绿色的市场价格：绿色债券和传统债券的因素定价方法

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Annals of Finance Pub Date : 2025-09-11 DOI: 10.1007/s10436-025-00469-6

Beatrice Bertelli, Gianna Boero, Costanza Torricelli

{"title":"The market price of greenness: a factor pricing approach for green and conventional bonds","authors":"Beatrice Bertelli, Gianna Boero, Costanza Torricelli","doi":"10.1007/s10436-025-00469-6","DOIUrl":"10.1007/s10436-025-00469-6","url":null,"abstract":"<div><p>This paper distinguishes itself from previous studies and contributes to the literature by estimating a green premium using a factor model framework. Specifically, we propose a two-factor model, where bond returns are explained not only by a systemic market risk factor but also by a systemic green risk factor. Using the Fama and MacBeth regression approach on a sample of Euro-denominated green and conventional bonds over the period 06.11.2014–30.06.2021, we estimate the green premium disentangling its two components: the sensitivity to systemic greenness (i.e. magnitude of risk) and the price of green risk. Three main results emerge from our research. First, we find that the price of green risk is significant and positive albeit small. Second, the sign of the green premium is substantially driven by the issuer macro sector rather than by the green label, being on average negative for Financial bonds and positive for Government and Non-Financial ones, whereby this difference can be explained by a more direct exposure to green systemic risk in the latter two cases. Third, looking at the dynamics of the green risk price we find it decreases to almost zero as the bond market reaches a new normal, but it becomes negative during Covid-19 pandemic, suggesting greenness is considered a benefit in periods of financial distress caused by negative economic shocks.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"21 3","pages":"317 - 350"},"PeriodicalIF":0.7,"publicationDate":"2025-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-025-00469-6.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145555554","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

Risk-asymmetry indices in Europe 欧洲的风险不对称指数

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Annals of Finance Pub Date : 2025-08-13 DOI: 10.1007/s10436-025-00467-8

Elyas Elyasiani, Luca Gambarelli, Silvia Muzzioli

{"title":"Risk-asymmetry indices in Europe","authors":"Elyas Elyasiani, Luca Gambarelli, Silvia Muzzioli","doi":"10.1007/s10436-025-00467-8","DOIUrl":"10.1007/s10436-025-00467-8","url":null,"abstract":"<div>\u0000 \u0000 <p>The objectives of this study are fourfold. First, to outline, for the first time, a skewness index for each of the 12 European countries considered. The use of a country-specific measure is a way to deal with the limited availability of option-based data, which is the main obstacle for the construction of such indices in Europe. Second, to compute an alternative risk-asymmetry measure (RAX) based on corridor implied volatilities in order to determine whether it outperforms the standard skewness index in measuring tail risk. Third, to investigate the properties of our proposed index by casting light on the information content of skewness about future returns, which is the subject of intense debate in the literature. Finally, to propose two aggregate indices of asymmetry to monitor the risk of the European financial markets. We obtain several results potentially of interest to both investors and policy-makers. First, risk-neutral distribution is generally left-skewed for the markets under investigation. Second, the risk-neutral distribution for the 60-day maturity is, in general, more skewed to the left than the 30-day risk-neutral distribution, indicating that investors fear tail risk in the medium term to a greater extent than in the short term. Third, for most countries, very low values of the asymmetry indices are associated with positive future returns on the underlying market. Finally, the aggregate asymmetry index based on the RAX methodology is the only one able to forecast future negative returns for all the EU countries in our dataset when it reaches very high levels.</p>\u0000 </div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"21 3","pages":"283 - 316"},"PeriodicalIF":0.7,"publicationDate":"2025-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-025-00467-8.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145555552","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

Out-of-sample equity premium prediction: A voting approach to forecast combination 样本外股票溢价预测：一种预测组合的投票方法

IF 0.7

Annals of Finance Pub Date : 2025-07-28 DOI: 10.1007/s10436-025-00466-9

Hyder Ali, Salma Naz

{"title":"Out-of-sample equity premium prediction: A voting approach to forecast combination","authors":"Hyder Ali, Salma Naz","doi":"10.1007/s10436-025-00466-9","DOIUrl":"10.1007/s10436-025-00466-9","url":null,"abstract":"<div><p>This paper introduces a novel voting-based approach to forecasting the equity premium, emphasizing directional consistency and robustness to structural change. Using a comprehensive dataset of 155 macroeconomic, financial, and technical predictors spanning January 1960 to December 2022, we develop a two-step framework that combines statistical screening with voting-based model weighting. Empirical results show that our method consistently outperforms traditional forecast combination techniques as well as several sophisticated alternatives-including LASSO, Elastic Net, and dynamic factor models. It nearly doubles out-of-sample forecast accuracy relative to standard benchmarks and delivers substantial economic gains for mean-variance investors, as measured by improvements in Certainty Equivalent Returns. Notably, the method excels during recessionary periods by adaptively emphasizing predictors-such as interest rates, volatility, and labor market indicators-whose importance rises in turbulent conditions. These results underscore the method’s advantages in high-noise, high-uncertainty environments, making it a valuable tool for asset allocation, risk management, and policy analysis.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"21 3","pages":"243 - 281"},"PeriodicalIF":0.7,"publicationDate":"2025-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145555553","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

Sanctions Induced Terms of Trade Shocks and the Role of Lean Against the Wind Policy 制裁引发的贸易条件冲击与逆风政策的作用

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Annals of Finance Pub Date : 2025-05-23 DOI: 10.1007/s10436-025-00463-y

Aleksandr Shirobokov

{"title":"Sanctions Induced Terms of Trade Shocks and the Role of Lean Against the Wind Policy","authors":"Aleksandr Shirobokov","doi":"10.1007/s10436-025-00463-y","DOIUrl":"10.1007/s10436-025-00463-y","url":null,"abstract":"<div><p>Economic sanctions have recently become a prominent tool in international policymaking. However, the mechanisms through which sanctions are transmitted and their impact on the domestic financial sector remain unclear. This paper employs a calibrated New Keynesian small open economy model to analyze the transmission channels of sanctions-induced terms of trade shocks and their impact on the economy. The rise in the domestic prices of imports is a crucial channel through which trade restrictions affect the economy due to the production sector’s reliance on imported investment goods. The findings indicate that both export and import sanctions lead to similar outcomes: a fall in investment caused by a 10% reduction in the price of exported goods or a 10% increase in the price of imported goods results in over a 2% contraction in domestic production, accompanied by a rise in non-performing loan rates among firms and households. Countercyclical lean against the wind (LAW) monetary policy facilitates a quicker recovery in production by encouraging the substitution of imported investment goods with domestically produced alternatives and improves financial stability in the consumer debt market.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"21 2","pages":"211 - 242"},"PeriodicalIF":0.7,"publicationDate":"2025-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144880769","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}

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ESG asset demand with information costs ESG资产需求与信息成本

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Annals of Finance Pub Date : 2025-05-19 DOI: 10.1007/s10436-025-00462-z

Elisa Luciano, Antonella Tolomeo

引用次数: 0