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A new unique impulse response function in linear vector autoregressive models 线性向量自回归模型中一种新的唯一脉冲响应函数
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-10-03 DOI: 10.1111/irfi.12396
Yanlin Shi
{"title":"A new unique impulse response function in linear vector autoregressive models","authors":"Yanlin Shi","doi":"10.1111/irfi.12396","DOIUrl":"10.1111/irfi.12396","url":null,"abstract":"<p>This article proposes a new unique impulse response function (IRF) measure, or MIRF, based on the popular vector autoregressive model to study interdependency of multivariate time series. Same as the orthogonal IRF, the estimator of MIRF has an analytical form with well-established asymptotics, and is invariant to ordering of series. Compared to alternative unique IRF measures, MIRF does not depend on extreme identifications, and the associated forecast error variance measure is explainable. An illustrative empirical example is also provided.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 2","pages":"460-468"},"PeriodicalIF":1.7,"publicationDate":"2022-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12396","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44136100","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 maturity-lengthening role of national development banks 国家开发银行在延长到期日方面的作用
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-09-21 DOI: 10.1111/irfi.12391
Alfredo Schclarek, Jiajun Xu, Jianye Yan
{"title":"The maturity-lengthening role of national development banks","authors":"Alfredo Schclarek,&nbsp;Jiajun Xu,&nbsp;Jianye Yan","doi":"10.1111/irfi.12391","DOIUrl":"10.1111/irfi.12391","url":null,"abstract":"<p>We analyze why national development banks (NDBs) may provide longer-term loans to firms than private commercial banks (PCBs). If NDB bonds have higher collateral value than PCB bonds, then NDBs may lend longer-term than PCBs. NDBs may enjoy higher recapitalization willingness and capacity by the state and hence greater collateral value than PCBs. Moreover, NDBs may have advantages over state-owned commercial banks if NDB bonds enjoy higher market liquidity. However, NDBs may suffer from poor monitoring quality owing to undue political intervention, thus undermining collateral value. Our study implies that NDBs are not substitutes for but complements to PCBs.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 1","pages":"130-157"},"PeriodicalIF":1.7,"publicationDate":"2022-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12391","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49268079","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: 9
Impact of mortgage soft information in loan pricing on default prediction using machine learning 贷款定价中抵押贷款软信息对机器学习违约预测的影响
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-09-18 DOI: 10.1111/irfi.12392
Thi Mai Luong, Harald Scheule, Nitya Wanzare
{"title":"Impact of mortgage soft information in loan pricing on default prediction using machine learning","authors":"Thi Mai Luong,&nbsp;Harald Scheule,&nbsp;Nitya Wanzare","doi":"10.1111/irfi.12392","DOIUrl":"10.1111/irfi.12392","url":null,"abstract":"<p>We analyze the impact of soft information on US mortgages for default prediction and provide a new measure for lender soft information that is based on the interest rates offered to borrowers and incremental to public hard information. Hard and soft information provide for a variation in annual default probabilities of approximately 3%. Soft information has a lesser impact over time and time since origination. Lenders rely more on soft information for high-risk borrowers. Our study evidences the importance of soft information collected at loan origination.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 1","pages":"158-186"},"PeriodicalIF":1.7,"publicationDate":"2022-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12392","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46404087","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
Stock market, credit market, and heterogeneous innovations 股票市场、信贷市场和异质创新
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-09-06 DOI: 10.1111/irfi.12390
Xun Wang
{"title":"Stock market, credit market, and heterogeneous innovations","authors":"Xun Wang","doi":"10.1111/irfi.12390","DOIUrl":"10.1111/irfi.12390","url":null,"abstract":"<p>The relative importance of credit market development and stock market development in boosting innovation remains a long-standing debate issue. In this study, we document how different types of financial markets development affect heterogeneous innovations. Using a broad sample across 42 developed and emerging economies and a generalized difference-in-differences identification strategy, we find that stock market development leads to significantly higher substantive innovation, especially in young and small firms, but has negative impact on incremental innovation. Conversely, credit market development promotes incremental innovation, especially in mature and large firms, but has negative impact on substantive innovation. Further analyses indicate that stronger shareholder protection enhances the positive impact of stock market on substantive innovation, while stronger creditor rights enhance the promoting effect of credit market on incremental innovation, and even turn the negative impact of credit market on substantive innovation into positive. Our paper provides new insights into the heterogeneous effects of credit market and equity markets on the real economy.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 1","pages":"103-129"},"PeriodicalIF":1.7,"publicationDate":"2022-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48430643","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
Are socially responsible exchange-traded funds paying off in performance? 对社会负责的交易所交易基金业绩是否有回报？
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-09-05 DOI: 10.1111/irfi.12389
Ya Dai, Liang Guo, Steve Liu, Hongxian Zhang
{"title":"Are socially responsible exchange-traded funds paying off in performance?","authors":"Ya Dai,&nbsp;Liang Guo,&nbsp;Steve Liu,&nbsp;Hongxian Zhang","doi":"10.1111/irfi.12389","DOIUrl":"10.1111/irfi.12389","url":null,"abstract":"<p>This study examines the <i>Socially Responsible</i> (SR) exchange-traded funds (ETFs) by comparing their risk-adjusted performance with a matched group of <i>conventional</i> ETFs in the U.S. equity market. In contrast to prior studies that focus on actively managed mutual funds, we find that the risk-adjusted returns of <i>SR ETFs</i> are significantly lower than those of <i>conventional ETFs</i> during the 2005–2020 period. Such underperformance is only observed in non-crisis periods but not in economic crisis periods (i.e., the 2020 pandemic recession and 2008 financial turmoil). We attribute the observed underperformance of SR ETFs during the non-crisis periods to their limited diversification of unsystematic risks resulting from various negative or positive screens employed in the funds. We also find that net fund flows of the SR ETFs are less sensitive to past negative performance than are conventional fund flows. Collectively, our findings suggest that, instead of seeking wealth maximization, socially conscious investors may choose SR ETFs to gain non-economic utility.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 1","pages":"4-26"},"PeriodicalIF":1.7,"publicationDate":"2022-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42309590","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
How does the volatility-timing strategy perform in mutual funds portfolios 波动率择时策略在共同基金投资组合中的表现如何
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-07-01 DOI: 10.1111/irfi.12387
Zhida Yin, Jilin Jiang, Zongxin Qian
{"title":"How does the volatility-timing strategy perform in mutual funds portfolios","authors":"Zhida Yin,&nbsp;Jilin Jiang,&nbsp;Zongxin Qian","doi":"10.1111/irfi.12387","DOIUrl":"10.1111/irfi.12387","url":null,"abstract":"<p>Literature suggests that a volatility-timing strategy improves the performance of factor portfolios in the stock market and currency carry trade. This paper shows that the performance of this strategy is mixed when applied to mutual fund portfolios. More specifically, its performance not only depends on the investment style of the mutual funds but also the time periods when it is applied.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 1","pages":"87-102"},"PeriodicalIF":1.7,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44144610","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 crises, banking regulations, and corporate financing patterns around the world 全球金融危机、银行监管和企业融资模式
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-05-10 DOI: 10.1111/irfi.12381
Ali Gungoraydinoglu, Özde Öztekin
{"title":"Financial crises, banking regulations, and corporate financing patterns around the world","authors":"Ali Gungoraydinoglu,&nbsp;Özde Öztekin","doi":"10.1111/irfi.12381","DOIUrl":"https://doi.org/10.1111/irfi.12381","url":null,"abstract":"<p>This study examines financing behavior during financial crises in an international sample of corporate firms including 85 countries from 1987 to 2017. Measuring “financial cyclicality” as the difference between financing levels during normal times and financial crisis times, we document counter-cyclicality in leverage and pro-cyclicality in security issuances and debt maturity. Financial crises discourage both debt and equity issuances, with a greater decline in equity, leverage increases, and debt maturity decreases. Public debt markets partially act as spare tire during crises when bank loan supply contracts significantly. Leverage financial counter-cyclicality is more pronounced in countries with weaker banking regulations.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 3","pages":"506-539"},"PeriodicalIF":1.7,"publicationDate":"2022-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134879283","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
Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China 盈利公告日前后累计异常收益的股票收益可预测性——来自中国的证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-03-23 DOI: 10.1111/irfi.12380
Ping-Wen Sun, Zipeng Wen
{"title":"Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China","authors":"Ping-Wen Sun,&nbsp;Zipeng Wen","doi":"10.1111/irfi.12380","DOIUrl":"10.1111/irfi.12380","url":null,"abstract":"<p>We find that cumulative abnormal returns adjusted by size, book-to-market, and momentum around the earnings announcement date (DGTW_CAR3 hereafter) significantly and positively predict stock returns in the 6-month period from May 2005 to October 2020 in the China's A-shares market. The monthly equally-weighted DGTW_CAR3 premiums are 0.47% and 0.67% after risk adjustment. Although stock price delay fails to fully account for the DGTW_CAR3 premium, we find that the DGTW_CAR3 premium is more significant for illiquid stocks and during periods with high investor sentiment. This result suggests that market inefficiency explains the DGTW_CAR3 premium. Further analysis shows that, in addition to earnings information, the optimism reflected in the management discussion and analysis section of the annual or half-year report also contributes to the DGTW_CAR3 premium. This finding implies that DGTW_CAR3 may contain new fundamental information that correlates significantly and positively with future stock performance. Finally, we find that the institutional ownership change of a stock associated with DGTW_CAR3 also significantly and positively predicts the stock's return, suggesting that institutional investors adjust their holdings according to DGTW_CAR3 and consequently influence the demand for the stock in the China's A-shares market.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 1","pages":"58-86"},"PeriodicalIF":1.7,"publicationDate":"2022-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48946247","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 role of tail network topological characteristic in portfolio selection: A TNA-PMC model 尾部网络拓扑特征在投资组合选择中的作用：一个TNA‐PMC模型
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-03-15 DOI: 10.1111/irfi.12379
Mengting Li, Qifa Xu, Cuixia Jiang, Qinna Zhao
{"title":"The role of tail network topological characteristic in portfolio selection: A TNA-PMC model","authors":"Mengting Li,&nbsp;Qifa Xu,&nbsp;Cuixia Jiang,&nbsp;Qinna Zhao","doi":"10.1111/irfi.12379","DOIUrl":"10.1111/irfi.12379","url":null,"abstract":"<p>To improve the performance of a large portfolio selection, we consider the effect of tail network and propose a novel tail network-augmented parametric mean-conditional value-at-risk (CVaR) portfolio selection model labeled as TNA-PMC. First, we adopt the least absolute shrinkage and selection operator-quantile vector autoregression (LASSO-QVAR) approach to construct a tail network. Second, we parameterize the weights of the mean-CVaR model as a function of asset characteristics. Third, we incorporate the effect of the tail network topological characteristic, namely eigenvector centrality (EC), on the weights to construct the TNA-PMC model. After that, we apply the model to the empirical analysis on the Shanghai Stock Exchange 50 (SSE50) Index of China from January 2010 to September 2020. Our empirical results illustrate the effectiveness of the TNA-PMC model in two aspects. First, the TNA-PMC model clarifies the economic interpretation of the characteristics, such as the negative effective of EC on the portfolio weights. Second, the TNA-PMC model performs well in terms of achieving diversification and attractive risk-adjusted return.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 1","pages":"37-57"},"PeriodicalIF":1.7,"publicationDate":"2022-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43740480","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
Social responsibility, moral hazard, and collateral requirement: Evidence from a quasi-natural experiment in India 社会责任、道德风险和附带要求：来自印度准自然实验的证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-03-14 DOI: 10.1111/irfi.12378
Nemiraja Jadiyappa, Santosh Shrivastava, Avinash Ghalke
{"title":"Social responsibility, moral hazard, and collateral requirement: Evidence from a quasi-natural experiment in India","authors":"Nemiraja Jadiyappa,&nbsp;Santosh Shrivastava,&nbsp;Avinash Ghalke","doi":"10.1111/irfi.12378","DOIUrl":"10.1111/irfi.12378","url":null,"abstract":"<p>The stakeholder theory predicts that corporate social responsibility (CSR) activities reduce the morale hazard problem between creditors and corporate firms and decrease the requirement of collaterals in debt transactions. Consistent with this theory, our analysis shows that there is a negative relationship between CSR and secured debt in a cross-section of firms. Further, by using the mandatory CSR regulation implemented in India as a quasi-natural experiment setting, we observe the same negative relationship across periods in firms that were impacted by the regulation. These results suggest that CSR activities may substitute collaterals for obtaining debt from financial institutions, especially banks.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 1","pages":"27-36"},"PeriodicalIF":1.7,"publicationDate":"2022-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41339727","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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