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Foreign institutional ownership and corporate labor investment 外国机构所有权与企业劳动力投资
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2024-04-29 DOI: 10.1111/irfi.12453
Trung K. Do, Anh‐Tuan Le
{"title":"Foreign institutional ownership and corporate labor investment","authors":"Trung K. Do, Anh‐Tuan Le","doi":"10.1111/irfi.12453","DOIUrl":"https://doi.org/10.1111/irfi.12453","url":null,"abstract":"We examine the impact of foreign institutional ownership on firms' labor investment efficiency. Using a comprehensive global sample of firms across 37 non‐U.S. countries, we find that greater ownership by foreign institutional investors is significantly associated with lower deviations of labor investment from the level justified by economic fundamentals, that is, higher labor investment efficiency. Independent, U.S.‐based and common‐law foreign institutional investors increase labor investment efficiency to a greater extent than their gray, non‐U.S.‐based and civil‐law peers. We further find evidence supporting the value creation of foreign institutions through the improvement in labor investment efficiency. Overall, our results suggest that foreign institutional investors promote good corporate governance practices around the world.","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"89 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140832806","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
Which dimensions of culture matter for central bank independence? International evidence 中央银行的独立性取决于文化的哪些方面？国际证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2024-04-22 DOI: 10.1111/irfi.12451
Tong Fang
{"title":"Which dimensions of culture matter for central bank independence? International evidence","authors":"Tong Fang","doi":"10.1111/irfi.12451","DOIUrl":"10.1111/irfi.12451","url":null,"abstract":"<p>In this paper, we examine the relationship between Hofstede national cultures and <i>de jure</i> central bank independence. We propose theoretical hypotheses to explain how cultural dimensions determine central bank independence and test these hypotheses using an international dataset. We find that two cultural dimensions, namely, individualism and uncertainty avoidance, are significantly related to central bank independence. Central bank independence is higher in collectivistic and uncertainty avoidance countries. We further reveal that these cultural dimensions affect central bank independence in different ways. Individualism and uncertainty avoidance are related to independence in policy formulation and limitations on lending to governments. Although power distance and masculinity are insignificantly related to total central bank independence, they affect independence in objectives, policy formulation and limitation on lending to governments. Our results are robust through a series of checks.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 2","pages":"291-333"},"PeriodicalIF":1.7,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140673760","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
International evidence on global economic uncertainty and cross-sectional stock returns 全球经济不确定性与横截面股票回报率的国际证据
IF 1.8 4区 经济学
International Review of Finance Pub Date : 2024-03-29 DOI: 10.1111/irfi.12450
Xiaoyue Chen, Bin Li, Andrew C. Worthington, Tarlok Singh
{"title":"International evidence on global economic uncertainty and cross-sectional stock returns","authors":"Xiaoyue Chen,&nbsp;Bin Li,&nbsp;Andrew C. Worthington,&nbsp;Tarlok Singh","doi":"10.1111/irfi.12450","DOIUrl":"10.1111/irfi.12450","url":null,"abstract":"<p>We investigate the predictive role of global economic uncertainty exposure at the firm level in the top-five developed stock markets outside the US. Applying portfolio-level sorting strategies, we find that exposure to global idiosyncratic uncertainty exhibits stronger predictive power than either total or common uncertainty. Further, the idiosyncratic uncertainty betas are negatively related to future stock returns over multiple trading horizons in the UK, Europe, and Canada, and this relationship cannot be explained by common risk factors, including market, size, value, investment, profitability, and momentum. Our findings are robust to the use of firm-level Fama–MacBeth regressions and additional trading horizons.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 3","pages":"493-534"},"PeriodicalIF":1.8,"publicationDate":"2024-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140368101","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
The mean–variance (in)efficiency of duration-based immunization 以时间为基础的免疫接种的平均方差（不）效率
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2024-03-21 DOI: 10.1111/irfi.12447
Pascal François, Franck Moraux
{"title":"The mean–variance (in)efficiency of duration-based immunization","authors":"Pascal François,&nbsp;Franck Moraux","doi":"10.1111/irfi.12447","DOIUrl":"10.1111/irfi.12447","url":null,"abstract":"<p>Empirical studies report inconclusive assessment of duration-based immunization, notably showing that more sophisticated strategies do not outperform immunization relying on Macaulay duration. This article provides a mean–variance framework to explain this puzzle. We characterize the efficient portfolio allocations for a stylized barbell strategy trading off reinvestment risk with discounting risk. We show, in a model-free setting, that barbell allocations form a convex set in the mean–variance space, and the endpoints of the efficient frontier can switch as time passes, reversing the set of efficient allocations. Consequently, duration-based immunization, which is not minimum variance, can exhibit <i>temporary</i> inefficiency. This result is numerically illustrated in a one-factor Gaussian and a two-factor non-Gaussian model. Using yield curve scenarios resampled from U.S. data over the 1977–2020 period, we further corroborate our conclusions non-parametrically, and find that duration-based immunization is sometimes inefficient.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 2","pages":"253-290"},"PeriodicalIF":1.7,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140201822","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
Bank diversification and performance: Empirical evidence from Japan 银行多样化与业绩：日本的经验证据
IF 1.8 4区 经济学
International Review of Finance Pub Date : 2024-03-21 DOI: 10.1111/irfi.12449
Yichang Wu
{"title":"Bank diversification and performance: Empirical evidence from Japan","authors":"Yichang Wu","doi":"10.1111/irfi.12449","DOIUrl":"10.1111/irfi.12449","url":null,"abstract":"<p>This article examines the relationship between bank diversification and performance in the Japanese banking sector. We use panel data from 141 banks over the period 2000–2022 to investigate whether banks can improve profitability and reduce risk through diversification strategies. Our evidence shows that diversification can improve bank profitability at the cost of a decline in net interest margins, suggesting banks are using the interest business as a loss leader to promote other business lines. We find that asset diversification has a risk-reducing effect, which supports the portfolio hypothesis. Some evidence also implies that there is a more complex nonlinear relationship. This can be partly attributed to bank type, as the diversification effects vary across different types of banks. Furthermore, the decomposition of non-interest income reveals that fees and commissions negatively influence return on assets while simultaneously reducing bank risk.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 3","pages":"449-492"},"PeriodicalIF":1.8,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140201872","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
Reversal evidence from investor sentiment in international stock markets 国际股票市场投资者情绪的逆转证据
IF 1.8 4区 经济学
International Review of Finance Pub Date : 2024-03-07 DOI: 10.1111/irfi.12448
Keunbae Ahn, Gerhard Hambusch
{"title":"Reversal evidence from investor sentiment in international stock markets","authors":"Keunbae Ahn,&nbsp;Gerhard Hambusch","doi":"10.1111/irfi.12448","DOIUrl":"10.1111/irfi.12448","url":null,"abstract":"<p>This research investigates the effect of sentiment on the time-series and cross-section of mean, variance and correlation of asset returns to examine how investor sentiment creates predictable variations in financial markets. Based on the method proposed by Baker and Wurgler (2007, Investor sentiment in the stock market, <i>Journal of Economic Perspectives</i> 21, 129-152), we build composite sentiment indexes with a focus on international markets. Our time-series results show that optimistic (pessimistic) sentiment leads to overpricing (underpricing) and that variance and correlation of asset returns increase when investors are pessimistic. Our cross- section results suggest that these effects tend to become more pronounced for stocks with more exposure to sentiment or the market.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 3","pages":"415-448"},"PeriodicalIF":1.8,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140076407","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
Political protection: The case of large-scale oil spills and the stock prices of energy firms 政治保护：大规模漏油事件与能源公司的股票价格
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2024-02-17 DOI: 10.1111/irfi.12446
Ahmed S. Baig, Benjamin M. Blau, Todd G. Griffith, Ryan J. Whitby
{"title":"Political protection: The case of large-scale oil spills and the stock prices of energy firms","authors":"Ahmed S. Baig, Benjamin M. Blau, Todd G. Griffith, Ryan J. Whitby","doi":"10.1111/irfi.12446","DOIUrl":"https://doi.org/10.1111/irfi.12446","url":null,"abstract":"In this study, we utilize a sample of publicly traded US energy firms to investigate the stock market responses to 40 large-scale oil spills. Our findings reveal that the stock prices of extraction and refining firms experience significant declines during the periods surrounding these oil spill incidents, and energy pipeline firms exhibit a relatively smaller decrease. These results underscore the risk exposure shared by all energy firms, irrespective of their direct involvement in the oil spill incident. Furthermore, our study uncovers an intriguing dynamic—the influence of political connections established through lobbying activities. We observe that these political ties serve to significantly mitigate the negative market reactions to oil spills. Our results suggest that, from the market's perspective, firms with political connections are less vulnerable to the impending costs associated with oil spills when compared to their non-politically connected counterparts.","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"43 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139945761","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
Economic policy uncertainty, ownership structure, and R&D investment: Evidence from Japan 经济政策的不确定性、所有权结构和研发投资：日本的证据
IF 1.8 4区 经济学
International Review of Finance Pub Date : 2024-02-11 DOI: 10.1111/irfi.12445
Po-Lin Chen
{"title":"Economic policy uncertainty, ownership structure, and R&D investment: Evidence from Japan","authors":"Po-Lin Chen","doi":"10.1111/irfi.12445","DOIUrl":"10.1111/irfi.12445","url":null,"abstract":"<p>Using listed Japanese firms, we examine changes in R&amp;D investment decisions during periods of high economic policy uncertainty and politics uncertainty (EPU). We find that under high EPU, firms are more persistent in their previous R&amp;D investment and reduce their responsiveness to sales growth, while the mechanism of EPU occurs mainly through fiscal policy. We also identify heterogeneities in ownership structure and find that high director ownership encourages R&amp;D in firms with greater growth opportunities despite higher EPU. Moreover, Japanese directors suffer from the “quiet life problem,” which further reduces their incentive to change R&amp;D investment during periods of EPU.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 3","pages":"393-414"},"PeriodicalIF":1.8,"publicationDate":"2024-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139770923","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
Seasonal variation in risk and return trade-off 风险与收益权衡的季节性变化
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2024-01-30 DOI: 10.1111/irfi.12444
Deok-Hyeon Lee, Byoung-Kyu Min
{"title":"Seasonal variation in risk and return trade-off","authors":"Deok-Hyeon Lee,&nbsp;Byoung-Kyu Min","doi":"10.1111/irfi.12444","DOIUrl":"10.1111/irfi.12444","url":null,"abstract":"<p>Existing studies show that firms with large macroeconomic risk do not earn higher returns, incompatible with the theoretical predictions of standard economic models. Using a broad set of macro-related factors, we find the January seasonality of the macroeconomic risk–return relation. Firms with high macro risk deliver higher returns than firms with low risk in January, that is, the positive risk–return trade-off holds. Conversely, the negative risk–return relation is observed in non-January months. The seasonal variation in the macro risk–return relation cannot be explained by existing January effects, including the tax-loss selling, window dressing, and pronounced gambling preference around New Year.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 2","pages":"344-353"},"PeriodicalIF":1.7,"publicationDate":"2024-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139679382","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
Information intensity and pricing of systematic earnings announcement risk 信息强度与系统性盈利公告风险的定价
IF 1.8 4区 经济学
International Review of Finance Pub Date : 2023-12-26 DOI: 10.1111/irfi.12443
Jingjing Chen, Linda H. Chen, George J. Jiang
{"title":"Information intensity and pricing of systematic earnings announcement risk","authors":"Jingjing Chen,&nbsp;Linda H. Chen,&nbsp;George J. Jiang","doi":"10.1111/irfi.12443","DOIUrl":"10.1111/irfi.12443","url":null,"abstract":"<p>Earnings announcement (EA) poses a non-diversifiable risk to investors. This study examines whether investors demand higher returns for stocks with high systematic EA risk. We find evidence that systematic EA risk is priced, however, the premium is realized only during periods with intensified cash-flow news. Specifically, we construct an <i>ex-ante</i> measure of expected information intensity (EII) and find that in the subsample of high-EII firms, those with high systematic EA risk earn significantly higher future returns. Controlling for known risk factors, stocks with high systematic EA risk outperform those with low systematic EA risk by 0.43% in monthly Fama–French five-factor alpha. We also confirm the well-documented announcement premium, i.e., high-EII firms outperform low-EII firms and show that the EA risk premium is distinct from the announcement premium. To exploit both premiums, a feasible strategy of long stocks with both high-EII and high systematic EA risk and short stocks with low-EII yields monthly 0.81% five-factor alpha.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 3","pages":"358-392"},"PeriodicalIF":1.8,"publicationDate":"2023-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139053914","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
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