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Financial investments and commodity prices 金融投资和商品价格
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-08-10 DOI: 10.1111/irfi.12361
Peng Liu, Zhigang Qiu, David Xiaoyu Xu
{"title":"Financial investments and commodity prices","authors":"Peng Liu,&nbsp;Zhigang Qiu,&nbsp;David Xiaoyu Xu","doi":"10.1111/irfi.12361","DOIUrl":"10.1111/irfi.12361","url":null,"abstract":"<p>In this paper, we show that financial investments dilute the relationship between convenience yields (a proxy for fundamentals) and commodity prices. On average, the explanatory power of convenience yields on the movements of commodity prices decreased from 63% to 33% after 2004, when institutional investors rapidly started building their positions in commodity futures. We develop a model of the commodity market with financial investments and test the model predictions using futures prices of 21 US-traded commodities and index traders' positions on 12 agricultural commodities. Because of correlated financial demands for different commodity futures, we identify comovements in spot prices for fundamentally independent commodities.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12361","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42762007","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Examining the effects of the quality of financial reports on SME trade credit: An innovative approach 检验财务报告质量对中小企业贸易信贷的影响:一种创新方法
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-08-09 DOI: 10.1111/irfi.12363
María J. Palacín-Sánchez, Francisco J. Canto-Cuevas, Filippo di Pietro
{"title":"Examining the effects of the quality of financial reports on SME trade credit: An innovative approach","authors":"María J. Palacín-Sánchez,&nbsp;Francisco J. Canto-Cuevas,&nbsp;Filippo di Pietro","doi":"10.1111/irfi.12363","DOIUrl":"10.1111/irfi.12363","url":null,"abstract":"<p>Following an innovative approach, the effects of financial report quality on the use of trade credit in small and medium-sized enterprises (SMEs) are examined. This effect is considered in a direct and indirect way. Firstly, we analyze whether SMEs with low-quality information are more likely to use trade credit as a financial resource. Secondly, we investigate whether the relationship between trade credit and bank credit in SMEs is moderated by the quality of financial reports. For the empirical analysis, we use a sample of Spanish SMEs over the period 2004 to 2011, and apply a panel data model with fixed effects. The findings suggest that firms with low-quality financial reporting use more trade credit. Furthermore, the influence of bank credit on trade credit is found to be partially moderated by audit opinion.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12363","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44333433","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Chasing dividends during the COVID-19 pandemic 在新冠肺炎疫情期间追逐红利
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-07-16 DOI: 10.1111/irfi.12360
Nicolas Eugster, Romain Ducret, Dušan Isakov, Jean-Philippe Weisskopf
{"title":"Chasing dividends during the COVID-19 pandemic","authors":"Nicolas Eugster,&nbsp;Romain Ducret,&nbsp;Dušan Isakov,&nbsp;Jean-Philippe Weisskopf","doi":"10.1111/irfi.12360","DOIUrl":"10.1111/irfi.12360","url":null,"abstract":"<p>This paper investigates the impact of the coronavirus disease 2019 pandemic on investors' trading behaviors around ex-dividend dates in Europe. The sudden decrease in the number of companies paying dividends reduced the opportunities to capture dividends. Thus, the firms that maintained dividend payments during the pandemic attracted more interest than before. This led to a doubling in the magnitude of stock return patterns usually observed around ex-dividend days. Our evidence indicates that dividend-seeking investors are likely to be the main driver of the price patterns observed around ex-dividend dates.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12360","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49041871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Levels versus changes: Information contents of textual information 层次与变化:文本信息的信息内容
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-07-07 DOI: 10.1111/irfi.12359
Kotaro Miwa
{"title":"Levels versus changes: Information contents of textual information","authors":"Kotaro Miwa","doi":"10.1111/irfi.12359","DOIUrl":"https://doi.org/10.1111/irfi.12359","url":null,"abstract":"<p>We clarify the information value of changes in the textual information of analyst reports. The analyses reveal that stock prices react considerably to changes in the linguistic tone of reports. In addition, prices react asymmetrically to the levels and changes of report tone, overreact to the levels, and underreact to changes. Our evidence suggests that a change in the textual tone provides incremental information that investors overlook, supporting the informational value of changes in textual information.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12359","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134803417","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note 传染病引起的不确定性与美国房地产投资信托实现方差的可预测性
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-07-07 DOI: 10.1111/irfi.12357
Matteo Bonato, Oğuzhan Çepni, Rangan Gupta, Christian Pierdzioch
{"title":"Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note","authors":"Matteo Bonato,&nbsp;Oğuzhan Çepni,&nbsp;Rangan Gupta,&nbsp;Christian Pierdzioch","doi":"10.1111/irfi.12357","DOIUrl":"10.1111/irfi.12357","url":null,"abstract":"<p>We examine the forecasting power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR-RV) model. Our results show that the EMVID index improves the forecast accuracy of realized variance of REITs at short-, medium-, and long-run horizons in a statistically significant manner, with the result being robust to the inclusion of additional controls (leverage, realized jumps, skewness, and kurtosis) capturing extreme market movements, and also carries over to 10 sub-sectors of the US REITs market. Our results have important portfolio implications for investors during the current period of unprecedented levels of uncertainty resulting from the outbreak of COVID-19.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12357","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44297295","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Overreaction-based momentum in the real estate investment trust market 房地产投资信托市场的过度反应势头
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-07-05 DOI: 10.1111/irfi.12358
Tsung-Yu Chen, Guan-Ying Huang, Zhen-Xing Wu
{"title":"Overreaction-based momentum in the real estate investment trust market","authors":"Tsung-Yu Chen,&nbsp;Guan-Ying Huang,&nbsp;Zhen-Xing Wu","doi":"10.1111/irfi.12358","DOIUrl":"10.1111/irfi.12358","url":null,"abstract":"<p>This paper examines cross-sectional return predictability in a real estate investment trust (REIT) market by using a continuing overreaction measure constructed based on the weighted average of signed volumes. We show that (a) trading strategies that involve buying REITs with an upward continuing overreaction and selling REITs with a downward continuing overreaction generate intermediate-term momentum and long-term return reversals; (b) the continuing overreaction measure provides superior predictive power in future REIT returns compared with the traditional predictor measured by past returns; and (c) overreaction-based momentum is more pronounced when the market state continues in the same direction. Evidence from the REIT market provides direct support for the return prediction of the model based on investor overconfidence and biased self-attribution rather than the model based on dividend growth theory.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12358","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46985678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Does monetary policy uncertainty command a risk premium in the Chinese stock market? 货币政策的不确定性是否会导致中国股市出现风险溢价？
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-07-01 DOI: 10.1111/irfi.12356
Lei Lin, Jing Tan, Wenzhen Liu
{"title":"Does monetary policy uncertainty command a risk premium in the Chinese stock market?","authors":"Lei Lin,&nbsp;Jing Tan,&nbsp;Wenzhen Liu","doi":"10.1111/irfi.12356","DOIUrl":"10.1111/irfi.12356","url":null,"abstract":"<p>We examine the pricing implications of monetary policy uncertainty (MPU) in the cross-section of stock returns in the Chinese stock market. Our results show that the long-short portfolio that is long stocks with the lowest exposures to innovations in MPU and short stocks with the highest exposures to innovations in MPU earns about 6% annualized alpha. The coskewness, idiosyncratic volatility, size, and book-to-market effects cannot account for the low (high) average returns earned by stocks with high (low) exposures to innovations in MPU. Furthermore, the exposure to innovations in MPU commands a significantly negative risk premium in the Fama-MacBeth regressions. These results indicate that investors have preferences for the early resolution of MPU.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12356","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49090686","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Environmental uncertainty and corporate cash holdings: The moderating role of CEO ability 环境不确定性与企业现金持有量:CEO能力的调节作用
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-06-24 DOI: 10.1111/irfi.12355
Efstathios Magerakis, Ahsan Habib
{"title":"Environmental uncertainty and corporate cash holdings: The moderating role of CEO ability","authors":"Efstathios Magerakis,&nbsp;Ahsan Habib","doi":"10.1111/irfi.12355","DOIUrl":"10.1111/irfi.12355","url":null,"abstract":"<p>This article empirically tests the association between environmental uncertainty and corporate cash holdings and whether CEO ability moderates this association. Based on the precautionary motive for holding cash, we predict that firms will hold more cash when operating in an environment of high uncertainty. To test this prediction, we utilize a panel of non-financial U.S. firms throughout 1980–2016. Using the coefficient of variation in sales as a proxy for environmental uncertainty, we find that environmental uncertainty increases firm cash holding. We then explore the moderating role of CEO ability and find that more-able CEOs weaken the positive association between environmental uncertainty and cash holding. Further, the results demonstrate that small-sized, financially sound, and low leveraged firms are likely to hoard more cash during periods of heightened uncertainty. Our study provides new insights for investors, shareholders, and policymakers into companies' decision-making concerning liquid assets.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12355","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47018865","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
The determinants of Asian banking crises—Application of the panel threshold logit model 亚洲银行危机的决定因素——面板阈值logit模型的应用
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-06-08 DOI: 10.1111/irfi.12354
Chung-Hua Shen, Hsing-Hua Hsu
{"title":"The determinants of Asian banking crises—Application of the panel threshold logit model","authors":"Chung-Hua Shen,&nbsp;Hsing-Hua Hsu","doi":"10.1111/irfi.12354","DOIUrl":"10.1111/irfi.12354","url":null,"abstract":"<p>Considering binary dependent variable, this study extends the panel threshold model into “panel threshold logit model (PTLM).” Our PTLM is applied on investigating the effect of early warning indicators on banking crises in 10 Asian economies. The ratio of short-term debt to foreign reserves serves as the threshold variable. Results confirm the existence of the threshold effect in the determinants of banking crises, and most of the early warning indicators perform differently in the two debt regimes. Our empirical results suggest that important information may be missed in analyzing crises when conventional logit model is used.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12354","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49143981","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does corporate social responsibility affect shareholder value? Evidence from the COVID-19 crisis 企业社会责任影响股东价值吗?来自COVID - 19危机的证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-05-26 DOI: 10.1111/irfi.12353
Somya Arora, Jagan Kumar Sur, Yogesh Chauhan
{"title":"Does corporate social responsibility affect shareholder value? Evidence from the COVID-19 crisis","authors":"Somya Arora,&nbsp;Jagan Kumar Sur,&nbsp;Yogesh Chauhan","doi":"10.1111/irfi.12353","DOIUrl":"10.1111/irfi.12353","url":null,"abstract":"<p>The COVID-19 outbreak and the subsequent lockdown were an unanticipated shock to the global stock market. Managers also had minimal time to counterbalance its effect through corporate policies. Therefore, this health crisis offers a unique opportunity to examine the effect of corporate social responsibility (CSR) on shareholder value. We observe that firms engaged in more CSR activities outperform other firms. This suggests that CSR plays a positive role in determining shareholder value, particularly for an emerging market where minority shareholder rights are weak. Collaborating with our main finding, we further find that governance metrics play a significant role.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2021-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12353","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43906295","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 23
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