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The price of the slow lane: Traffic congestion and stock block trading premium 慢车道的价格：交通拥堵和股票大宗交易溢价
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-08-21 DOI: 10.1111/irfi.12432
Tingqiu Cao, Xianhang Qian, Le Zhang
{"title":"The price of the slow lane: Traffic congestion and stock block trading premium","authors":"Tingqiu Cao,&nbsp;Xianhang Qian,&nbsp;Le Zhang","doi":"10.1111/irfi.12432","DOIUrl":"10.1111/irfi.12432","url":null,"abstract":"<p>Using data on city-level daily traffic congestion and stock block trading, we investigate the impact of trader cities' traffic congestion on the stock block trading price. We find that higher level of traffic congestion in the traders' cities is associated with lower stock block trading premium, particularly when the information asymmetry between the trading parties is high. We also find that the buyers have more bargaining power in determining the price premium of block trading. Moreover, we employ a multi-pronged approach to address the identification issue and find confirming evidence for the causal link.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 1","pages":"30-52"},"PeriodicalIF":1.7,"publicationDate":"2023-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46791949","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
In family we trust—In good and bad times 在家庭中我们信任——无论顺境还是逆境
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-08-16 DOI: 10.1111/irfi.12429
Philippe Masset, Cédric Poretti, Jean-Philippe Weisskopf
{"title":"In family we trust—In good and bad times","authors":"Philippe Masset,&nbsp;Cédric Poretti,&nbsp;Jean-Philippe Weisskopf","doi":"10.1111/irfi.12429","DOIUrl":"10.1111/irfi.12429","url":null,"abstract":"<p>This short report investigates the stock market behavior of Swiss companies during the COVID-19 pandemic. Results suggest that family firms performed better during the outbreak and post-lockdown periods than widely-held firms. Family firms also displayed a larger abnormal trading volume drop than widely-held companies. In size-sorted subsamples, the volume difference appears more pronounced for smaller firms. We explain these findings by family firms, especially smaller ones, predominantly attracting investors with a long-term horizon. Such investors are less likely to sell during market turmoil, making family firms not only less liquid but also less sensitive to market fluctuations.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 1","pages":"128-138"},"PeriodicalIF":1.7,"publicationDate":"2023-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12429","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46346076","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
Climate risks and forecastability of the weekly state-level economic conditions of the United States 气候风险和美国每周州一级经济状况的可预测性
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-08-13 DOI: 10.1111/irfi.12431
Oguzhan Cepni, Rangan Gupta, Wenting Liao, Jun Ma
{"title":"Climate risks and forecastability of the weekly state-level economic conditions of the United States","authors":"Oguzhan Cepni,&nbsp;Rangan Gupta,&nbsp;Wenting Liao,&nbsp;Jun Ma","doi":"10.1111/irfi.12431","DOIUrl":"10.1111/irfi.12431","url":null,"abstract":"<p>In this paper, we first utilize a dynamic factor model with stochastic volatility (DFM-SV) to filter out the national factor from the local components of weekly state-level economic conditions indexes of the United States (US) over the period of April 1987 to August 2021. In the second step, we forecast the state-level factors in a panel data set-up based on the information content of corresponding state-level climate risks, as proxied by changes in temperature and its SV. The forecasting experiment depicts statistically significant evidence of out-of-sample predictability over a one-month- to one-year-ahead horizon, with stronger forecasting gains derived for states that do not believe that climate change is happening and are Republican. We also find evidence of national climate risks in accurately forecasting the national factor of economic conditions. Our analyses have important policy implications from a regional perspective.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 1","pages":"154-162"},"PeriodicalIF":1.7,"publicationDate":"2023-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43185348","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
A novel approach to portfolio selection using news volume and sentiment 一种利用新闻量和情绪进行投资组合选择的新方法
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-08-08 DOI: 10.1111/irfi.12427
Kin-Yip Ho, Kun Tracy Wang, Wanbin Walter Wang
{"title":"A novel approach to portfolio selection using news volume and sentiment","authors":"Kin-Yip Ho,&nbsp;Kun Tracy Wang,&nbsp;Wanbin Walter Wang","doi":"10.1111/irfi.12427","DOIUrl":"10.1111/irfi.12427","url":null,"abstract":"<p>In this study, we develop a novel approach to portfolio diversification by integrating information on news volume and sentiment with the <i>k</i>-nearest neighbors (kNN) algorithm. Our empirical analysis indicates that high news volume contributes to portfolio risk, whereas news sentiment contributes to portfolio return. Based on these findings, we propose a kNN algorithm for portfolio selection. Our in-sample and out-of-sample tests suggest that the proposed kNN portfolio selection approach outperforms the benchmark index portfolio. Overall, we show that incorporating news volume and sentiment into portfolio selection can enhance portfolio performance by improving returns and reducing risk.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 4","pages":"903-917"},"PeriodicalIF":1.7,"publicationDate":"2023-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12427","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46539186","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
Do academic directors matter? Evidence from Taiwan equity market 学术负责人重要吗？台湾股市证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-08-07 DOI: 10.1111/irfi.12428
Tai-Hsi Wu, Mei-Chen Lin, Pei-Ju Lucy Ting, Jyun Yan Huang
{"title":"Do academic directors matter? Evidence from Taiwan equity market","authors":"Tai-Hsi Wu,&nbsp;Mei-Chen Lin,&nbsp;Pei-Ju Lucy Ting,&nbsp;Jyun Yan Huang","doi":"10.1111/irfi.12428","DOIUrl":"10.1111/irfi.12428","url":null,"abstract":"<p>In this study, we investigate the impact of academic directors on a firm's performance and decisions in the Taiwan equity market. We find that firms with more independent directors and board size are more likely to appoint academic directors, and academic directors can improve firm performance. The presence of academic directors positively affects firm performance through channels like more capital expenditure and larger R&amp;D expenses. Academic directors with finance and technology backgrounds positively correlate with both Tobin's Q and ROA. Moreover, the appropriate match of expertise between firms and their academic directors contributes to a better performance. However, corporations with academic directors have a higher compensation gap between top managers and employees.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 1","pages":"4-29"},"PeriodicalIF":1.7,"publicationDate":"2023-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41462314","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 effect of corporate annual report quality on the relationship between institutional blockholder monitoring and firm's information environment 企业年度报告质量对制度块持有人监控与企业信息环境关系的影响
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-08-02 DOI: 10.1111/irfi.12430
Chune Young Chung, Amirhossein Fard, Hong Kee Sul
{"title":"The effect of corporate annual report quality on the relationship between institutional blockholder monitoring and firm's information environment","authors":"Chune Young Chung,&nbsp;Amirhossein Fard,&nbsp;Hong Kee Sul","doi":"10.1111/irfi.12430","DOIUrl":"10.1111/irfi.12430","url":null,"abstract":"<p>Expanding on current research, this study finds that firms with better financial report readability demonstrate a stronger relationship between institutional blockholder monitoring and information asymmetry. This result supports our hypothesis that enhanced readability improves firm information and aids the institutional investor monitoring of firms, reducing information asymmetry. By demonstrating that readability amplifies the marginal effect of institutional blockholder monitoring, we highlight the significance and policy implications of better corporate disclosure readability.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"24 1","pages":"139-153"},"PeriodicalIF":1.7,"publicationDate":"2023-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46690773","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 cross-predictability of industry returns in international financial markets 国际金融市场中行业回报的交叉可预测性
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-07-25 DOI: 10.1111/irfi.12426
Xin Wang, Haofei Zhang
{"title":"The cross-predictability of industry returns in international financial markets","authors":"Xin Wang,&nbsp;Haofei Zhang","doi":"10.1111/irfi.12426","DOIUrl":"10.1111/irfi.12426","url":null,"abstract":"<p>This article finds evidence of return cross-predictability among trading partners in international financial markets. We show that the predictability of international customers dominates the predictability of domestic customers, and the predictability of international intra-industry customers dominates the predictability of international inter-industry customers. This return cross-predictability decreases with two country characteristics: financial sophistication and size.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 4","pages":"859-885"},"PeriodicalIF":1.7,"publicationDate":"2023-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43858411","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
Topic tones of analyst reports and stock returns: A deep learning approach 分析报告和股票回报的主题语调:一种深度学习方法
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-07-25 DOI: 10.1111/irfi.12425
Hitoshi Iwasaki, Ying Chen, Jun Tu
{"title":"Topic tones of analyst reports and stock returns: A deep learning approach","authors":"Hitoshi Iwasaki,&nbsp;Ying Chen,&nbsp;Jun Tu","doi":"10.1111/irfi.12425","DOIUrl":"https://doi.org/10.1111/irfi.12425","url":null,"abstract":"<p>We present a novel approach that analyzes topics and tones of analyst reports using a deep neural network in a supervised learning approach. By letting trained classifiers evaluate topics and tones of the reports, we find that incorporation of topic tones significantly enhances the accuracy of predicting cumulative abnormal returns, increasing adjusted <math>\u0000 <mrow>\u0000 <mspace></mspace>\u0000 <msup>\u0000 <mi>R</mi>\u0000 <mn>2</mn>\u0000 </msup>\u0000 </mrow></math> from 6.1% without considering textual information to 17.9% with detailed topic tones. This improvement is primarily driven by the inclusion of opinion and corporate fact type of topics. Our findings highlight importance of topic assessment to make the most use of analyst reports for informed investment decisions.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 4","pages":"831-858"},"PeriodicalIF":1.7,"publicationDate":"2023-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12425","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138473393","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
The contribution of macroprudential policies to banks' resilience: Lessons from the systemic crises and the COVID-19 pandemic shock 宏观审慎政策对银行韧性的贡献:系统性危机和COVID - 19大流行冲击的教训
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-07-15 DOI: 10.1111/irfi.12424
Tiago F. A. Matos, João C. A. Teixeira, Tiago M. Dutra
{"title":"The contribution of macroprudential policies to banks' resilience: Lessons from the systemic crises and the COVID-19 pandemic shock","authors":"Tiago F. A. Matos,&nbsp;João C. A. Teixeira,&nbsp;Tiago M. Dutra","doi":"10.1111/irfi.12424","DOIUrl":"10.1111/irfi.12424","url":null,"abstract":"<p>This study examines the effectiveness of macroprudential policies in reducing the banks' risk during the COVID-19 pandemic and compares these results with the systemic banking crises years. Based on a sample of 624 banks across 40 countries during the period 2006–2020, we find that loosening capital-aimed macroprudential policies effectively reduced banks' risk during the COVID-19 pandemic, while this behavior led to increased risk during the systemic crises years. In contrast, tightening the remaining macroprudential policies during the systemic crises years and during the pandemic proved effective in reducing banks' risk. Furthermore, we show that the magnitude of the impact of macroprudential policies was stronger during the systemic crisis than that during the pandemic. Finally, we show that the results are driven by the capital requirement prudential policy, both during the systemic crisis and the COVID-19 pandemic, although the conservation buffer and the leverage limit also contributes to the ineffectiveness of these policies during the COVID-19 pandemic. The banks' leverage and loan growth also play an enhancing role of the effects of the macroprudential policies.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 4","pages":"794-830"},"PeriodicalIF":1.7,"publicationDate":"2023-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41258526","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
Political institutions and corporate risk-taking: International evidence 政治制度与企业风险承担:国际证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2023-07-03 DOI: 10.1111/irfi.12423
Helen X. H. Bao, Rohan Cardoza
{"title":"Political institutions and corporate risk-taking: International evidence","authors":"Helen X. H. Bao,&nbsp;Rohan Cardoza","doi":"10.1111/irfi.12423","DOIUrl":"https://doi.org/10.1111/irfi.12423","url":null,"abstract":"<p>Tapping into firm-level accounting data across 90 countries over a 26-year period, we find that sound political institutions are positively associated with corporate risk-taking. This result is economically significant, robust to alternative proxies for corporate risk-taking and political institutions, and continues to hold after mitigating endogeneity concerns of political institutions. We also collect evidence that sound political institutions may compensate for weak legal institutions in inducing corporate risk-taking. We argue that sound political institutions improve the investment environment for firms and can induce higher levels of corporate risk-taking, which is ultimately associated with economic growth.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 4","pages":"777-793"},"PeriodicalIF":1.7,"publicationDate":"2023-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12423","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138473437","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
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