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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
Individualistic culture and firm default risk: Cross-country evidence 个人主义文化与公司违约风险：跨国证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-12-20 DOI: 10.1111/irfi.12442
Sivathaasan Nadarajah, Benjamin Liu, Muhammad Atif, Grant Richardson
{"title":"Individualistic culture and firm default risk: Cross-country evidence","authors":"Sivathaasan Nadarajah,&nbsp;Benjamin Liu,&nbsp;Muhammad Atif,&nbsp;Grant Richardson","doi":"10.1111/irfi.12442","DOIUrl":"10.1111/irfi.12442","url":null,"abstract":"<p>This study examines the association between individualistic culture and firm default risk across countries. Using a sample of 15,225 firms across 32 countries over the 2005–2018 period (115,464 firm-year observations), we find that firms based in countries with high levels of individualism are associated with greater default risk. Our results are robust to a battery of endogeneity and other robustness checks. In additional analyses, we show that risk-taking behavior is a channel through which individualism impacts firm default risk. We also find that the effect of individualistic culture on firm default risk is weak in countries with stringent bankruptcy laws. Overall, the findings of this study can improve our understanding of the impact of major informal institutions, such as individualistic culture, on manager behavior, which has significant implications for firms operating in global financial markets.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 2","pages":"166-194"},"PeriodicalIF":1.7,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12442","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139029023","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: 0
Shedding light on the dynamics of the secured overnight financing rate (SOFR) 揭示有担保隔夜融资利率（SOFR）的动态变化
IF 1.8 4区 经济学
International Review of Finance Pub Date : 2023-12-12 DOI: 10.1111/irfi.12439
Lior David-Pur, Koresh Galil, Mosi Rosenboim, Offer Moshe Shapir
{"title":"Shedding light on the dynamics of the secured overnight financing rate (SOFR)","authors":"Lior David-Pur,&nbsp;Koresh Galil,&nbsp;Mosi Rosenboim,&nbsp;Offer Moshe Shapir","doi":"10.1111/irfi.12439","DOIUrl":"10.1111/irfi.12439","url":null,"abstract":"<p>Investigating the transition from the London interbank offered rate (LIBOR) to the secured overnight financing rate (SOFR) and considering the documented volatility of SOFR, this study examines the dynamic nature and potential drivers of the SOFR by analyzing both the SOFR–EFFR (effective Federal Funds rate) and SOFR–IOER (interest on excess reserves) spreads. The results reveal noteworthy correlations between the SOFR and end-of-month anomalies and Federal Reserve market interventions in the repo market. These effects persist even after controlling for other variables, such as the amount of outstanding Treasury securities, Treasury General Account balance, and net repo transactions by primary dealers. Investors in SOFR-linked instruments should be mindful of the possible impact of these factors.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 3","pages":"557-567"},"PeriodicalIF":1.8,"publicationDate":"2023-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138691536","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
Unpacking the black box of investor sentiment: Structured sentiment and unstructured sentiment 打开投资者情绪的黑箱:结构化情绪和非结构化情绪
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-12-02 DOI: 10.1111/irfi.12440
Lan Xiang, Yong Ma, Zhiyu Liu
{"title":"Unpacking the black box of investor sentiment: Structured sentiment and unstructured sentiment","authors":"Lan Xiang,&nbsp;Yong Ma,&nbsp;Zhiyu Liu","doi":"10.1111/irfi.12440","DOIUrl":"10.1111/irfi.12440","url":null,"abstract":"<p>This paper dissects investor sentiment into two distinct components: structured sentiment and unstructured sentiment, based on their underlying driving factors. Employing an extension of the classic noise trader model, our analysis reveals a negative relationship between market returns and both types of sentiment—structured and unstructured. Additionally, we find a positive association between market volatility and fluctuations in these sentiment components. Furthermore, the impact of fluctuations in unstructured sentiment on market volatility becomes more pronounced as the proportion of noise traders increases. Importantly, our theoretical assertions are robustly supported by empirical data.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 2","pages":"334-343"},"PeriodicalIF":1.7,"publicationDate":"2023-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138530301","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
Analyzing time-varying tail dependence between leveraged loan and debt markets in the U.S. economy 分析美国经济杠杆贷款与债务市场的时变尾部依赖性
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-11-30 DOI: 10.1111/irfi.12441
Aviral Kumar Tiwari, Nader Trabelsi, Emmanuel Joel Aikins Abakah, Chi-Chuan Lee
{"title":"Analyzing time-varying tail dependence between leveraged loan and debt markets in the U.S. economy","authors":"Aviral Kumar Tiwari,&nbsp;Nader Trabelsi,&nbsp;Emmanuel Joel Aikins Abakah,&nbsp;Chi-Chuan Lee","doi":"10.1111/irfi.12441","DOIUrl":"10.1111/irfi.12441","url":null,"abstract":"<p>This study analyzes the time-varying dependence between U.S. leveraged loan and debt markets within a highly linked financial system using a quantile-based time-varying connectedness framework to determine the hedging benefits of leveraged loans for financial investors at various quantiles. Based on daily closing price data from November 28, 2008 to October 3, 2023, the evidence demonstrates considerable (moderate) spillovers across the leveraged loan and debt markets for severe (normal) occurrences, with additional results indicating symmetric interaction. In terms of risk spillover, we also affirm the dominance of short-term fixed-income instruments over leveraged loans and long-term bonds. These findings indicate that no hedging or diversification occurred among the investigated markets.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 2","pages":"236-252"},"PeriodicalIF":1.7,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138530276","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
Estimation and test of a simple model of robust capital asset pricing: An info-metrics approach 稳健资本资产定价简单模型的估计与测试：信息计量方法
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-11-14 DOI: 10.1111/irfi.12438
Luis García-Feijóo, Ariel M. Viale
{"title":"Estimation and test of a simple model of robust capital asset pricing: An info-metrics approach","authors":"Luis García-Feijóo,&nbsp;Ariel M. Viale","doi":"10.1111/irfi.12438","DOIUrl":"10.1111/irfi.12438","url":null,"abstract":"<p>We introduce the info-metrics approach to empirical asset pricing under ambiguity. We apply relative entropy as a pseudo-metric of model discrepancy, and generalized maximum entropy as a principle of statistical inference, to cross-sectional asset pricing tests. We show that a single-factor market representation of the CAPM under ambiguity can explain the cross-section of U.S. stock returns without the aid of additional risk factors. The additional factors can be interpreted as compensations for idiosyncratic ambiguity. The approach can also recover the market price of ambiguity that sets a lower (entropy-based) bound on stock prices, which can be understood as investors' “margin of safety” against extreme market events.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 2","pages":"213-235"},"PeriodicalIF":1.7,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134954389","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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