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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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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
The effect of stock liquidity on corporate cash holdings: The real investment motive 股票流动性对企业现金持有量的影响:真实投资动机
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-03-09 DOI: 10.1111/irfi.12377
Hyun Joong Im, Barry Oliver, Heungju Park
{"title":"The effect of stock liquidity on corporate cash holdings: The real investment motive","authors":"Hyun Joong Im,&nbsp;Barry Oliver,&nbsp;Heungju Park","doi":"10.1111/irfi.12377","DOIUrl":"https://doi.org/10.1111/irfi.12377","url":null,"abstract":"<p>This study examines the relationship between stock liquidity and corporate cash holdings and explores a new economic mechanism driving this relationship. Using a regression discontinuity design approach based on the annual reconstitution of the Russell 1000/2000 indices, we find that stock liquidity has a positive causal effect on corporate cash holdings. This effect is more pronounced for firms with more investment opportunities. These results suggest that enhanced stock liquidity increases corporate cash holdings by expanding the set of investment opportunities. Our evidence supports the real investment motive over the repurchase motive.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134804014","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
Does options improve the information absorption? Evidence from the introduction of weekly index options 选项是否能提高信息吸收？引入周指数期权的证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-02-23 DOI: 10.1111/irfi.12372
Prachi Jain, Kiran Kumar Kotha
{"title":"Does options improve the information absorption? Evidence from the introduction of weekly index options","authors":"Prachi Jain,&nbsp;Kiran Kumar Kotha","doi":"10.1111/irfi.12372","DOIUrl":"10.1111/irfi.12372","url":null,"abstract":"<p>This paper empirically examines the effect of weekly options introduction on the benchmark index of Indian stock market, NIFTY50. The paper evaluates the possible stabilizing or destabilizing nature of impact on underlying volatility focusing on the relation between information and volatility using GARCH framework. The results indicate that the onset of weekly index options has improved the information assimilation and reduced the persistence of old information on volatility. Further, similar changes are not evident on a control index, NIFTY NEXT50. Overall, the results indicate an increase in market efficiency with weekly index options trading.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44045785","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
Payout policies, government ownership, and financial constraints: Evidence from Vietnam 赔付政策、政府所有权和财政约束:来自越南的证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-02-16 DOI: 10.1111/irfi.12375
Nha Duc Bui, Yun-Yi Wang, Jin-Ping Lee
{"title":"Payout policies, government ownership, and financial constraints: Evidence from Vietnam","authors":"Nha Duc Bui,&nbsp;Yun-Yi Wang,&nbsp;Jin-Ping Lee","doi":"10.1111/irfi.12375","DOIUrl":"10.1111/irfi.12375","url":null,"abstract":"<p>This study investigates the impact of government ownership on payout policies, cash holdings, capital expenditures, and borrowing costs for firms in Vietnam. Using the central hypothesis that state-owned firms (SOEs) are less financially constrained than privately-owned firms, we provide several main findings. First, we reveal that SOEs typically pay higher dividends, have higher total payouts, but undertake lower repurchases than privately-owned firms. Second, we find that SOEs have less need to hoard cash and spend less of their cash flow on capital expenditures than non-state-owned firms. Finally, our research indicates that SOEs have lower borrowing costs than privately owned firms. These findings support the view that, in frontier markets, firms with non-state ownership can mitigate the adverse effects of financial constraints by decreasing total payouts to shareholders and instead using their cash flow to increase cash holdings or capital spending.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47776577","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
Impact of operational fragility on stock returns: Lessons from COVID-19 crisis 运营脆弱性对股票回报的影响:来自COVID - 19危机的教训
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2022-02-03 DOI: 10.1111/irfi.12374
Avijit Bansal, Balagopal Gopalakrishnan, Joshy Jacob, Pranjal Srivastava
{"title":"Impact of operational fragility on stock returns: Lessons from COVID-19 crisis","authors":"Avijit Bansal,&nbsp;Balagopal Gopalakrishnan,&nbsp;Joshy Jacob,&nbsp;Pranjal Srivastava","doi":"10.1111/irfi.12374","DOIUrl":"10.1111/irfi.12374","url":null,"abstract":"<p>We examine how the market valuation of firms varies on account of their operational fragility that makes them vulnerable to the COVID-19 pandemic. Using the data on plant location that uniquely identifies the vulnerability of firms to operational disruptions, we find that firms with plants located in zones susceptible to higher infections earn significantly lower returns. For firms with high operational fragility, the marginal value of financial flexibility and operating flexibility is higher. The adverse impact of the operational fragility is lower for firms affiliated with the larger business groups. The paper identifies unique channels associated with the pandemic that impact firm value.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2022-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12374","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47762149","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
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