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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
Different demands for almost the same assets? Demographic structure's different effect on direct and indirect equity purchase 几乎同样的资产有不同的需求？人口结构对直接和间接股权购买的不同影响
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-11-02 DOI: 10.1111/irfi.12436
Sei-Wan Kim, Namwon Hyung
{"title":"Different demands for almost the same assets? Demographic structure's different effect on direct and indirect equity purchase","authors":"Sei-Wan Kim,&nbsp;Namwon Hyung","doi":"10.1111/irfi.12436","DOIUrl":"10.1111/irfi.12436","url":null,"abstract":"<p>This study is motivated by the improved empirical framework of the Fourier flexible form estimation to investigate how the demographic structure leads to asymmetric effects on direct and indirect (mutual fund) equity demands. We find that, first, the demographic structure has asymmetric effects between direct and indirect equity purchases. Second, those in early old age create a stronger demand for indirect equity than other age cohorts in the middle of declining demand from young period. Third, we find theoretical and empirical evidence that direct and indirect equity demands respond asymmetrically to market risk aversion. Finally, we find evidence that bonds can substitute for indirect equity.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 1","pages":"104-127"},"PeriodicalIF":1.7,"publicationDate":"2023-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135974453","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
Rare disaster, economic growth, and disaster risk management with preferences for liquidity 罕见灾害、经济增长和流动性偏好下的灾害风险管理
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-10-26 DOI: 10.1111/irfi.12437
Ting Lu, Pengfei Luo
{"title":"Rare disaster, economic growth, and disaster risk management with preferences for liquidity","authors":"Ting Lu,&nbsp;Pengfei Luo","doi":"10.1111/irfi.12437","DOIUrl":"10.1111/irfi.12437","url":null,"abstract":"<p>This paper examines the effect of preferences for liquidity on the relationship between disasters and growth along with disaster risk management. It further demonstrates that preferences for liquidity lead to less consumption. Moreover, from preferences for liquidity perspective, our model can potentially reconcile the conflicting predictions on the interaction between disasters and growth in the empirical findings. Finally, we find that preferences for liquidity cause policymakers to become more incentivized in mitigating disaster risk and lead them overestimate the welfare benefit of policy instruments.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 2","pages":"195-212"},"PeriodicalIF":1.7,"publicationDate":"2023-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136376477","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
Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets 回报率和波动率的关联性以及溢出效应传递的净方向性模式：东亚和东南亚股票市场
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-10-25 DOI: 10.1111/irfi.12435
Cesario Mateus, Miramir Bagirov, Irina Mateus
{"title":"Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets","authors":"Cesario Mateus,&nbsp;Miramir Bagirov,&nbsp;Irina Mateus","doi":"10.1111/irfi.12435","DOIUrl":"10.1111/irfi.12435","url":null,"abstract":"<p>In this article, we investigate the pattern and dynamics of return and volatility connectedness across East and Southeast Asian markets (referred to as the ASEAN5 + 5 group) by utilizing forecast-error variance decompositions in a generalized VAR framework in conjunction with the Bai-Perron procedure to control for structural breaks. Our analysis of the dynamics of return spillovers in static and time-varying settings identifies that the stock markets of Singapore, Hong Kong and South Korea act as constant and largest net transmitters of shocks throughout the period from January 2003 to July 2021. The Chinese stock market is found to have the lowest return connectedness with other regional markets, which could be due to the local foreign ownership regulations. Visualization of the net pairwise return spillover network shows that Singapore is the sole net transmitter of shocks to all other markets in the ASEAN5 + 5 group, whereas, China, despite its market size is the sole net recipient. Two other markets in the regional group are identified as the net receivers, Japan and the Philippines, with the former becoming a net recipient from 2007. Our analysis of structural breaks shows that return spillovers across the markets intensify during periods of economic turmoil, financial shocks and the health crisis (COVID-19), however, return to the pre-shock levels during stable market periods. Further analysis of time-varying patterns revealed that the dynamic connectedness across the region is not symmetrical and the influence of negative returns is more pronounced. The investigation of volatility spillovers shows no substantial differences. The stock markets generally retain their roles. Importantly, the time-varying volatility connectedness exhibits similar patterns and tends to reach peak levels during turbulent episodes.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 1","pages":"83-103"},"PeriodicalIF":1.7,"publicationDate":"2023-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12435","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135166455","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
Risk-taking in pension and crashes: Firm-level evidence 养老金的风险承担与崩溃：公司层面的证据
IF 1.8 4区 经济学
International Review of Finance Pub Date : 2023-10-02 DOI: 10.1111/irfi.12434
Heejin Park, Jung-Hee Noh
{"title":"Risk-taking in pension and crashes: Firm-level evidence","authors":"Heejin Park,&nbsp;Jung-Hee Noh","doi":"10.1111/irfi.12434","DOIUrl":"10.1111/irfi.12434","url":null,"abstract":"<p>Our study, using a large sample of U.S. firms between 1990 and 2013, found a positive association between pension risk-taking and future stock price crash risk. The impact of pension risk-taking on future crash risk is particularly significant in firms with low funding ratios and high default risks. Overall, our findings provide robust evidence that risk-taking in defined benefit (DB) pension asset management can predict future crash risk. Our study offers valuable insights for stakeholders and shareholders in evaluating firms with DB pension plans and for policymakers in protecting workers' retirement benefits and shareholder wealth.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 3","pages":"546-556"},"PeriodicalIF":1.8,"publicationDate":"2023-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135830382","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
Cognition ability, financial advice seeking, and investment performance: New evidence from China 认知能力、寻求金融建议与投资业绩：来自中国的新证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-09-29 DOI: 10.1111/irfi.12433
Ziying Yang, Jie Gao, Du Yu
{"title":"Cognition ability, financial advice seeking, and investment performance: New evidence from China","authors":"Ziying Yang,&nbsp;Jie Gao,&nbsp;Du Yu","doi":"10.1111/irfi.12433","DOIUrl":"10.1111/irfi.12433","url":null,"abstract":"<p>This paper examines how cognitive ability affects households' demand for financial advice and whether households with financial advisors reap better investment returns in China. Using data from the nationally representative China Household Finance Survey (CHFS) and China Family Panel Studies (CFPS), we find that math ability (i.e., one domain of cognitive ability) has a significant and negative effect on households' propensity to hire financial advisors, whereas the impact of verbal ability (i.e., another domain of cognitive ability) on seeking financial advice is insignificant. The analysis also suggests that the influence of cognitive limitation is larger for less educated and financially literate households. We conduct a regression discontinuity based on the Huai River policy, supporting the causal influence of cognitive ability on financial advice seeking. Furthermore, we find no evidence that financial advice improves investors' investment performance.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 1","pages":"53-82"},"PeriodicalIF":1.7,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135244598","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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