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Bank risk-taking in a mixed duopoly: The role of the state-owned bank 混合双头垄断中的银行风险承担：国有银行的作用
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-09-08 DOI: 10.1111/irfi.12366
Ping-Lun Tseng, Wen-Chung Guo
{"title":"Bank risk-taking in a mixed duopoly: The role of the state-owned bank","authors":"Ping-Lun Tseng,&nbsp;Wen-Chung Guo","doi":"10.1111/irfi.12366","DOIUrl":"10.1111/irfi.12366","url":null,"abstract":"<p>We analyze the role of a state-owned bank, whose objective is to maximize social welfare, in a credit market with a mixed duopoly. The equilibrium reveals that the state-owned bank is exposed to lower credit risk than the private bank. Furthermore, when the deposit rate is raised by the monetary authority, both banks exert socially beneficial higher monitoring efforts. In modified models, we explore the effects of the cost-inefficiency and the political view of the state-owned bank. Extensions on partial nationalization, mixed oligopoly with multiple private banks, and the case of loan differentiation with price competition are also discussed.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 4","pages":"688-724"},"PeriodicalIF":1.7,"publicationDate":"2021-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12366","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43093970","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
The COVID-19 risk in the Chinese option market 中国期权市场的新冠肺炎风险
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-09-07 DOI: 10.1111/irfi.12365
Jianhui Li, Xinfeng Ruan, Sebastian A. Gehricke, Jin E. Zhang
{"title":"The COVID-19 risk in the Chinese option market","authors":"Jianhui Li,&nbsp;Xinfeng Ruan,&nbsp;Sebastian A. Gehricke,&nbsp;Jin E. Zhang","doi":"10.1111/irfi.12365","DOIUrl":"10.1111/irfi.12365","url":null,"abstract":"<p>The COVID-19 pandemic has increased fear of a financial market crash in China. We use an implied volatility slope measure, which proxies the cost of option protection against and therefore trader's fear of crash risk, using the Shanghai Shenzhen CSI 300 Index options. We show that this measure is positively related to new cases and deaths of the pandemic during the COVID-19 outbreak in China. Option traders are willing to pay more for hedging downside tail risk as the pandemic worsens, and are no longer as concerned by news of cases and deaths after the lift of the lockdown.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 2","pages":"346-355"},"PeriodicalIF":1.7,"publicationDate":"2021-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12365","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41718717","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
Equity analysts' recommendation revisions and corporate bond price reactions 股票分析师的建议修正和公司债价格反应
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-08-18 DOI: 10.1111/irfi.12364
Xiaoting Wei, Viet Do
{"title":"Equity analysts' recommendation revisions and corporate bond price reactions","authors":"Xiaoting Wei,&nbsp;Viet Do","doi":"10.1111/irfi.12364","DOIUrl":"10.1111/irfi.12364","url":null,"abstract":"<p>This paper analyzes bond price reactions to examine the information spillover from equity analysts' recommendation revisions into the bond market. We document a positive relation between bond price reactions and recommendation revisions. On average, bond prices react positively to recommendation upgrades and negatively to recommendation downgrades. The strongest reactions are observed among speculative-grade bonds. While, on average, bond price movements are in the same direction as analysts' recommendation revisions, these revisions can also lead to bond price reactions in the opposite direction to share price reactions. We find evidence of negative bond return reactions relative to share price reactions among firms that are closer to distress, especially when they have high levels of institutional ownership or discretionary accruals. The negative relative price reaction between shares and bonds indicates that equity analyst recommendations sometimes carry security-specific information.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 4","pages":"669-687"},"PeriodicalIF":1.7,"publicationDate":"2021-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12364","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47518088","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
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":"22 4","pages":"637-661"},"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
Economic policy responses to the COVID-19 pandemic and growth of nonperforming loans 应对新冠疫情和不良贷款增长的经济政策
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-08-10 DOI: 10.1111/irfi.12362
Hassan F. Gholipour, Amir Arjomandi
{"title":"Economic policy responses to the COVID-19 pandemic and growth of nonperforming loans","authors":"Hassan F. Gholipour,&nbsp;Amir Arjomandi","doi":"10.1111/irfi.12362","DOIUrl":"10.1111/irfi.12362","url":null,"abstract":"<p>In this paper, we investigate the relationship between various economic policy responses to the COVID-19 pandemic (liquidity support, prudential policies, borrower support, asset purchase, and policy rate decisions) and the growth of nonperforming loans (NPLs) in 2020 across 47 economies. Controlling for other relevant determinants of NPLs, our regression analyses show that economies in which policymakers have used prudential and borrower support measures reported significantly slower growth of aggregate NPLs. The prudential measures also confirmed a more robust relationship with NPL reductions compared with borrower support measures. Added to this, non-mortgage consumer loans are found to be more sensitive than mortgage loans to economic policy responses.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 3","pages":"551-566"},"PeriodicalIF":1.7,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12362","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43420592","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: 5
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":"22 4","pages":"662-668"},"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":"22 2","pages":"335-345"},"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":"22 4","pages":"751-758"},"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":"22 3","pages":"540-550"},"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":"22 3","pages":"453-471"},"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
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