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Migrants and default: Evidence from China 移民和违约:来自中国的证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-12-30 DOI: 10.1111/irfi.12371
Jianwen Li, Jinyan Hu
{"title":"Migrants and default: Evidence from China","authors":"Jianwen Li,&nbsp;Jinyan Hu","doi":"10.1111/irfi.12371","DOIUrl":"10.1111/irfi.12371","url":null,"abstract":"<p>Reform and opening up have stimulated internal migration; at the same time, home bias and regional discrimination have become pressing problems in China, even though the internet has reduced distance-related informational frictions. Evidence from an emerging peer-to-peer lending platform shows that migration statuses can reveal additional information about borrowers' credit risk. <i>Ceteris paribus</i>, migrants, interprovincial migrants, upward-moving migrants, and long-distance migrants are less likely to default; this is especially true for migrants with stronger educational backgrounds and work experience. Further analyses show that migrants tend to have higher credit quality, lower financing costs, and better economic attributes and assimilate themselves to a higher trusted culture, allowing them to default less than nonmigrants. This means that lenders and trading platforms may rely on the informative content of migration to adjust their lending policies in a fashion that attracts more participation from creditworthy migrants.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 3","pages":"472-505"},"PeriodicalIF":1.7,"publicationDate":"2021-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45786935","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
COVID-19 and hedge fund equity ownership 2019冠状病毒病与对冲基金股权
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-11-24 DOI: 10.1111/irfi.12370
Laleh Samarbakhsh, Amanjot Singh
{"title":"COVID-19 and hedge fund equity ownership","authors":"Laleh Samarbakhsh,&nbsp;Amanjot Singh","doi":"10.1111/irfi.12370","DOIUrl":"10.1111/irfi.12370","url":null,"abstract":"<p>This study investigates hedge funds equity ownership in light of the COVID-19 pandemic. Using the merged dataset of Lipper TASS hedge funds and the corresponding 13F filings, we find that with the start of the pandemic, hedge funds increased their equity ownership toward firms with less financial constraints, such as larger firms, firms with lower leverage, and more profitability. Moreover, hedge funds increased their ownership in firms which had higher overall risk (political and non-political), and lower overall sentiment. Hedge funds also care about firms' exposure/sensitivity toward different political issues such as health care, technology &amp; infrastructure, and security &amp; defense. This suggests that hedge funds seek equity ownership in riskier stocks as a result of pandemic uncertainties.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 2","pages":"356-364"},"PeriodicalIF":1.7,"publicationDate":"2021-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12370","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43683105","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
Can macroprudential policies mitigate pressures from capital inflows on real exchange rates? Empirical evidence from emerging markets 宏观审慎政策能否缓解资本流入对实际汇率的压力?来自新兴市场的经验证据
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-11-09 DOI: 10.1111/irfi.12369
Tony Cavoli, Sasidaran Gopalan, Ramkishen S. Rajan
{"title":"Can macroprudential policies mitigate pressures from capital inflows on real exchange rates? Empirical evidence from emerging markets","authors":"Tony Cavoli,&nbsp;Sasidaran Gopalan,&nbsp;Ramkishen S. Rajan","doi":"10.1111/irfi.12369","DOIUrl":"10.1111/irfi.12369","url":null,"abstract":"<p>Can macroprudential policies (MaPs) mitigate the pressures from capital inflows on real exchange rates in emerging markets? We investigate this question empirically for a large panel of emerging markets, factoring in the heterogeneity of capital inflows. Exploiting a comprehensive dataset on MaPs for a panel of 85 countries spanning the time-period 2000–2017, we empirically examine the association between different types of gross capital flows and real effective exchange rates (REER) and assess whether there is a role for MaPs in influencing that relationship. We find that the imposition of MaPs helps counter REER appreciation only when it results from higher gross portfolio debt inflows. In other words, the moderating impact of MaPs on REER varies by the type of capital flows. We also show that these results hold only for countries with high degrees of financial development, possibly because MaPs work primarily via the financial system and hence there needs to be a reasonable level of financial development for them to be effective.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 3","pages":"567-579"},"PeriodicalIF":1.7,"publicationDate":"2021-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43373844","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
Corporate lobbying and the value of firms: The case of defense firms and the 9/11 terrorist attacks 企业游说与企业价值：国防企业与9/11恐怖袭击
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-10-29 DOI: 10.1111/irfi.12368
Benjamin M. Blau, Todd G. Griffith, Derek Larsen, Ryan J. Whitby
{"title":"Corporate lobbying and the value of firms: The case of defense firms and the 9/11 terrorist attacks","authors":"Benjamin M. Blau,&nbsp;Todd G. Griffith,&nbsp;Derek Larsen,&nbsp;Ryan J. Whitby","doi":"10.1111/irfi.12368","DOIUrl":"10.1111/irfi.12368","url":null,"abstract":"<p>We examine the stock prices of defense firms surrounding the reopening of markets after the September 11, 2001 terrorist attacks. The cumulative abnormal returns for defense firms increased dramatically in response to the attacks, which is arguably explained by the expectation of impending military conflict and the possibility of new defense spending. Perhaps more interestingly, a substantial amount of the variation in the price response across defense firms is driven by whether or not the firm had established political connections through lobbying activities or political action committee contributions before the attacks. These findings seem to support the notion that market participants perceived that defense firms with political connections were more likely to secure future military contracts.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 4","pages":"759-769"},"PeriodicalIF":1.7,"publicationDate":"2021-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42756290","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
Insider trading and the algorithmic trading environment 内幕交易和算法交易环境
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-10-25 DOI: 10.1111/irfi.12367
Millicent Chang, John Gould, Yuyun Huang, Sirimon Treepongkaruna, Joey Wenling Yang
{"title":"Insider trading and the algorithmic trading environment","authors":"Millicent Chang,&nbsp;John Gould,&nbsp;Yuyun Huang,&nbsp;Sirimon Treepongkaruna,&nbsp;Joey Wenling Yang","doi":"10.1111/irfi.12367","DOIUrl":"10.1111/irfi.12367","url":null,"abstract":"<p>We examine how algorithmic trading (AT) changes the trading environment for corporate insiders, specifically in terms of motivation to trade and timing of trade. Using SEC Form 4 insider filings and AT computed from the limit order book, we find that AT affects insiders' decisions to buy or sell, depending on whether the trades are information driven, resulting in changes in trading returns. AT reduces returns associated with routine insider sales by 0.9% of a change in AT. However being sophisticated and informed traders, insiders are able to trade strategically, leaving their purchase returns unaffected by AT. The results also show that while AT reduces information acquisition efforts in the pre-earnings announcement period, insider trades counteract this effect by releasing information to the market. Our findings reinforce the important role of insider trading in providing fundamental information and aiding price discovery, especially in an era of computerized financial markets.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 4","pages":"725-750"},"PeriodicalIF":1.7,"publicationDate":"2021-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47263727","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
Bank risk-taking in a mixed duopoly: The role of the state-owned bank 混合双头垄断中的银行风险承担：国有银行的作用
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-09-08 DOI: 10.1111/irfi.12366
Ping-Lun Tseng, Wen-Chung Guo
{"title":"Bank risk-taking in a mixed duopoly: The role of the state-owned bank","authors":"Ping-Lun Tseng,&nbsp;Wen-Chung Guo","doi":"10.1111/irfi.12366","DOIUrl":"10.1111/irfi.12366","url":null,"abstract":"<p>We analyze the role of a state-owned bank, whose objective is to maximize social welfare, in a credit market with a mixed duopoly. The equilibrium reveals that the state-owned bank is exposed to lower credit risk than the private bank. Furthermore, when the deposit rate is raised by the monetary authority, both banks exert socially beneficial higher monitoring efforts. In modified models, we explore the effects of the cost-inefficiency and the political view of the state-owned bank. Extensions on partial nationalization, mixed oligopoly with multiple private banks, and the case of loan differentiation with price competition are also discussed.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 4","pages":"688-724"},"PeriodicalIF":1.7,"publicationDate":"2021-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12366","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43093970","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 COVID-19 risk in the Chinese option market 中国期权市场的新冠肺炎风险
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-09-07 DOI: 10.1111/irfi.12365
Jianhui Li, Xinfeng Ruan, Sebastian A. Gehricke, Jin E. Zhang
{"title":"The COVID-19 risk in the Chinese option market","authors":"Jianhui Li,&nbsp;Xinfeng Ruan,&nbsp;Sebastian A. Gehricke,&nbsp;Jin E. Zhang","doi":"10.1111/irfi.12365","DOIUrl":"10.1111/irfi.12365","url":null,"abstract":"<p>The COVID-19 pandemic has increased fear of a financial market crash in China. We use an implied volatility slope measure, which proxies the cost of option protection against and therefore trader's fear of crash risk, using the Shanghai Shenzhen CSI 300 Index options. We show that this measure is positively related to new cases and deaths of the pandemic during the COVID-19 outbreak in China. Option traders are willing to pay more for hedging downside tail risk as the pandemic worsens, and are no longer as concerned by news of cases and deaths after the lift of the lockdown.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 2","pages":"346-355"},"PeriodicalIF":1.7,"publicationDate":"2021-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12365","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41718717","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: 5
Equity analysts' recommendation revisions and corporate bond price reactions 股票分析师的建议修正和公司债价格反应
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-08-18 DOI: 10.1111/irfi.12364
Xiaoting Wei, Viet Do
{"title":"Equity analysts' recommendation revisions and corporate bond price reactions","authors":"Xiaoting Wei,&nbsp;Viet Do","doi":"10.1111/irfi.12364","DOIUrl":"10.1111/irfi.12364","url":null,"abstract":"<p>This paper analyzes bond price reactions to examine the information spillover from equity analysts' recommendation revisions into the bond market. We document a positive relation between bond price reactions and recommendation revisions. On average, bond prices react positively to recommendation upgrades and negatively to recommendation downgrades. The strongest reactions are observed among speculative-grade bonds. While, on average, bond price movements are in the same direction as analysts' recommendation revisions, these revisions can also lead to bond price reactions in the opposite direction to share price reactions. We find evidence of negative bond return reactions relative to share price reactions among firms that are closer to distress, especially when they have high levels of institutional ownership or discretionary accruals. The negative relative price reaction between shares and bonds indicates that equity analyst recommendations sometimes carry security-specific information.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 4","pages":"669-687"},"PeriodicalIF":1.7,"publicationDate":"2021-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12364","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47518088","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 investments and commodity prices 金融投资和商品价格
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-08-10 DOI: 10.1111/irfi.12361
Peng Liu, Zhigang Qiu, David Xiaoyu Xu
{"title":"Financial investments and commodity prices","authors":"Peng Liu,&nbsp;Zhigang Qiu,&nbsp;David Xiaoyu Xu","doi":"10.1111/irfi.12361","DOIUrl":"10.1111/irfi.12361","url":null,"abstract":"<p>In this paper, we show that financial investments dilute the relationship between convenience yields (a proxy for fundamentals) and commodity prices. On average, the explanatory power of convenience yields on the movements of commodity prices decreased from 63% to 33% after 2004, when institutional investors rapidly started building their positions in commodity futures. We develop a model of the commodity market with financial investments and test the model predictions using futures prices of 21 US-traded commodities and index traders' positions on 12 agricultural commodities. Because of correlated financial demands for different commodity futures, we identify comovements in spot prices for fundamentally independent commodities.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 4","pages":"637-661"},"PeriodicalIF":1.7,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12361","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42762007","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
Economic policy responses to the COVID-19 pandemic and growth of nonperforming loans 应对新冠疫情和不良贷款增长的经济政策
IF 1.7 4区 经济学
International Review of Finance Pub Date : 2021-08-10 DOI: 10.1111/irfi.12362
Hassan F. Gholipour, Amir Arjomandi
{"title":"Economic policy responses to the COVID-19 pandemic and growth of nonperforming loans","authors":"Hassan F. Gholipour,&nbsp;Amir Arjomandi","doi":"10.1111/irfi.12362","DOIUrl":"10.1111/irfi.12362","url":null,"abstract":"<p>In this paper, we investigate the relationship between various economic policy responses to the COVID-19 pandemic (liquidity support, prudential policies, borrower support, asset purchase, and policy rate decisions) and the growth of nonperforming loans (NPLs) in 2020 across 47 economies. Controlling for other relevant determinants of NPLs, our regression analyses show that economies in which policymakers have used prudential and borrower support measures reported significantly slower growth of aggregate NPLs. The prudential measures also confirmed a more robust relationship with NPL reductions compared with borrower support measures. Added to this, non-mortgage consumer loans are found to be more sensitive than mortgage loans to economic policy responses.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 3","pages":"551-566"},"PeriodicalIF":1.7,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12362","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43420592","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: 5
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