Global Finance Journal最新文献_第2页

Analytical fixed income pricing in discrete time: A new family of models 离散时间下的分析性固定收益定价：一类新模型

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 DOI: 10.1016/j.gfj.2025.101170

Marcos Escobar-Anel , Lars Stentoft , Xize Ye

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引用次数: 0

Social capital and leasing 社会资本与租赁

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-09-01 DOI: 10.1016/j.gfj.2025.101173

Joshua Zhang , Hasibul Chowdhury , Jacquelyn E. Humphrey , Mostafa Monzur Hasan

引用次数: 0

From noise to signals: Investor attention as a catalyst for the momentum effect in the Chinese stock market 从噪音到信号：投资者关注是中国股市动量效应的催化剂

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-08-25 DOI: 10.1016/j.gfj.2025.101175

Zhi-Yu Zhang , Chi Xie , Gang-Jin Wang , You Zhu , Xiao-Xin Li

{"title":"From noise to signals: Investor attention as a catalyst for the momentum effect in the Chinese stock market","authors":"Zhi-Yu Zhang , Chi Xie , Gang-Jin Wang , You Zhu , Xiao-Xin Li","doi":"10.1016/j.gfj.2025.101175","DOIUrl":"10.1016/j.gfj.2025.101175","url":null,"abstract":"<div><div>The momentum effect is a pricing anomaly that is widely observed in financial markets but not promised in the Chinese stock market. We explore the interaction between investor attention and momentum effects to strengthen momentum-based strategies' profitability by transforming the inherent noise of investor attention into valuable signals. Applying the conditional autoencoder (CAE) asset pricing model, we extract signals from noisy information to estimate stock returns that reflect the expected price adjustments driven by collective attention. Results yield four key conclusions. (i) The signal derived from investor attention acts as a catalyst that significantly enhances momentum strategies' performance, and the attention-based momentum (AttMOM) strategy consistently outperforms the conventional momentum (MOM) strategy in various formation periods. (ii) Although pricing anomalies, such as firm size, influence both strategies' returns, the attention-driven signal enables AttMOM to achieve higher and more stable returns. (iii) Investor attention helps AttMOM to maintain stable profits during market downturns. (iv) Investor attention reinforces the AttMOM strategy's resilience during turbulence, improving its hedging capabilities. Overall, our findings highlight the pivotal role of investor attention in boosting momentum returns, offering valuable insights for investment decision-making.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101175"},"PeriodicalIF":5.5,"publicationDate":"2025-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144902433","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 environmental responsibility and financial constraints for unlisted SMEs 企业环境责任与非上市中小企业的财务约束

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-08-25 DOI: 10.1016/j.gfj.2025.101176

Barkat Ullah

引用次数: 0

Unbundling institutions for corporations 为企业拆分机构

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-08-19 DOI: 10.1016/j.gfj.2025.101171

Dong Wook Lee , Jee Eun Lee , Lingxia Sun

{"title":"Unbundling institutions for corporations","authors":"Dong Wook Lee , Jee Eun Lee , Lingxia Sun","doi":"10.1016/j.gfj.2025.101171","DOIUrl":"10.1016/j.gfj.2025.101171","url":null,"abstract":"<div><div>This paper proposes that a country's institutions for corporations—especially their roles—can be divided into the supporting for corporate growth and the policing of corporate wrongdoing. We identify the two roles of institutions indirectly yet more effectively through their respective targets. Companies with negative free cash flows (FCF) are the main target of the institutional supporting, while companies with positive FCF are subject primarily to the institutional policing. Using firm-level data from 43 countries for the period of 2000–2018, we find evidence for the possibility and usefulness of this unbundling. Specifically, the cross-country difference in corporate performance is concentrated in negative-FCF firms. To the extent that the corporate performance we examine is a direct outcome of the surrounding institutions, our results suggest that a meaningful cross-country difference in institutional interventions—that is, the ones that create a difference in economic outcome across countries—lies in those for negative-FCF firms. They are the institutional supports that discover and finance corporate growth opportunities so that companies can invest beyond their own means, thereby running negative FCF.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101171"},"PeriodicalIF":5.5,"publicationDate":"2025-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144908540","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 stock market effects of committing and setting GHG targets: evidence from the science-based targets initiative 承诺和设定温室气体目标的股票市场效应：来自科学目标倡议的证据

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-08-13 DOI: 10.1016/j.gfj.2025.101165

Santiago Guerrero-Escobar , Gerardo Hernández-del-Valle , Marco Hernández-Vega

引用次数: 0

Regulatory enforcement actions and bank liquidity creation: Evidence from China 监管执法行动与银行流动性创造：来自中国的证据

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-08-10 DOI: 10.1016/j.gfj.2025.101169

Yuanbiao Huang , Jinlei Li

{"title":"Regulatory enforcement actions and bank liquidity creation: Evidence from China","authors":"Yuanbiao Huang , Jinlei Li","doi":"10.1016/j.gfj.2025.101169","DOIUrl":"10.1016/j.gfj.2025.101169","url":null,"abstract":"<div><div>We investigate how regulatory enforcement shapes bank liquidity creation, using a manually-collected dataset of administrative penalties combined with panel data for 368 Chinese commercial banks from 2010 to 2023. Employing a bank-level fixed-effects model, we find that enforcement causally enhances liquidity creation. This effect is not transitory, persisting for a 3-year period after sanctions. This positive effect operates through three channels: a strategic reallocation of bank portfolios, a strengthening of capital buffers, and an improvement in information disclosure. Furthermore, the effect is more pronounced for larger banks, for banks in regions with stronger supervisory capacity, and for sanctions targeting institutions rather than individual employees. Our study contributes to the literature by reframing the role of regulatory enforcement. We show that, rather than solely acting as a disciplinary constraint, well-designed sanctions can serve as a catalyst for beneficial adjustments in bank strategy and governance. This offers new insights into how supervisory design in emerging markets can bolster financial stability without compromising banks' financial intermediation capacity.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101169"},"PeriodicalIF":5.5,"publicationDate":"2025-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144813839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Ownership concentration and equity transactions: The ambivalent role of controlling shareholders in firm performance in Latin American contexts 所有权集中与股权交易：拉丁美洲背景下控股股东在公司绩效中的矛盾角色

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-08-08 DOI: 10.1016/j.gfj.2025.101168

Jimmy A. Saravia , Silvia Saravia-Matus , Cristhian J. Cachope , Paula M. Almonacid

{"title":"Ownership concentration and equity transactions: The ambivalent role of controlling shareholders in firm performance in Latin American contexts","authors":"Jimmy A. Saravia , Silvia Saravia-Matus , Cristhian J. Cachope , Paula M. Almonacid","doi":"10.1016/j.gfj.2025.101168","DOIUrl":"10.1016/j.gfj.2025.101168","url":null,"abstract":"<div><div>This study aims to test a corporate governance mechanism described by Jensen and Meckling in their classic theory of the agency costs of outside equity, focusing on Latin American companies characterized by controlling shareholders who own a large percentage of their firms' shares. Our findings align with the theory: Ownership concentration gives controlling shareholders significant influence over their firms, enabling them to reduce agency costs when selling shares or issuing new equity, as their interests align with those of outside shareholders. Higher market valuations and better investment performance evidence this. However, we also find that this influence allows controlling shareholders to act opportunistically when increasing their ownership stakes or during stock repurchases, as interests are not aligned, leading to adverse effects on firm performance. Thus, high ownership stakes provide controlling shareholders with influence, but whether this influence positively or negatively impacts performance depends on the specific context of equity transactions. This paper sheds new light on the ambivalent role of ownership concentration, offering insights relevant to improving monitoring and regulation in markets with weak institutions.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101168"},"PeriodicalIF":5.5,"publicationDate":"2025-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144852137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Assessing dynamic connectedness in global supply chain infrastructure portfolios: The impact of risk factors and extreme events 评估全球供应链基础设施组合中的动态连通性：风险因素和极端事件的影响

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-08-07 DOI: 10.1016/j.gfj.2025.101166

Haibo Wang

{"title":"Assessing dynamic connectedness in global supply chain infrastructure portfolios: The impact of risk factors and extreme events","authors":"Haibo Wang","doi":"10.1016/j.gfj.2025.101166","DOIUrl":"10.1016/j.gfj.2025.101166","url":null,"abstract":"<div><div>This paper analyzes global supply chain investment risk factors (i.e., energy market, investor sentiment, and global shipping costs). It then presents portfolio strategies responsive to dynamic risks. We employ a time-varying vector autoregression model to examine the spillovers and interconnectedness among these factors from January 5, 2010, to June 29, 2023, using a set of environmental, social, and governance (ESG) indexes. Hedge ratios (HRs) and hedging effectiveness (HE) are calculated to determine optimal long and short positions for these portfolios. We then assess the impact of extreme events on risk spillovers and investment strategies by comparing periods before and after COVID-19. Our results show that risk shocks drive dynamic connectedness among infrastructure portfolios, and we highlight how extreme events affect spillovers and investment outcomes. Portfolios with higher ESG scores exhibit stronger connectedness with other portfolios and factors. Net total directional connectedness indicates that West Texas Intermediate (WTI), the Baltic Exchange Dry Index, and the investor sentiment volatility index (VIX) are consistent net receivers of spillover shocks, while the GLFOX portfolio alternates as a time-varying receiver and transmitter. Pairwise connectedness analysis reveals that WTI and VIX are predominantly receivers, whereas CSUAX, GII, and FGIAX portfolios act as net transmitters. COVID-19 altered the structure of dynamic connectedness across portfolios: shifts in mean HR and HE suggest that long/short position weights underwent structural changes post-outbreak, and portfolios with higher ESG scores demonstrated superior hedging ability. These findings offer valuable insights for investors adjusting hedging strategies in global supply chain infrastructure investments.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101166"},"PeriodicalIF":5.5,"publicationDate":"2025-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144810653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

ESG fund performance and fund manager trading strategy: Evidence from China ESG基金绩效与基金经理交易策略：来自中国的证据

IF 5.5 2区经济学

Global Finance Journal Pub Date : 2025-08-07 DOI: 10.1016/j.gfj.2025.101167

Tiantian Tang , Jiahui Guo , Liping Zou , Lu Luo

{"title":"ESG fund performance and fund manager trading strategy: Evidence from China","authors":"Tiantian Tang , Jiahui Guo , Liping Zou , Lu Luo","doi":"10.1016/j.gfj.2025.101167","DOIUrl":"10.1016/j.gfj.2025.101167","url":null,"abstract":"<div><div>This study investigates the performance of environmental, social, and governance (ESG) funds compared with their conventional counterparts in China's financial market, using quarterly stockholding data from 2018 to 2021. The findings show that ESG funds consistently outperform conventional ones in generating risk-adjusted excess returns. ESG funds also exhibit lower tendencies toward window dressing and maintain longer investment horizons, reflecting their commitment to long-term objectives and reduced focus on short-term gains. Probit model results reveal that fund managers' personal characteristics—particularly gender and investment style—significantly influence the likelihood of a fund being classified as an ESG fund. Additionally, a trading strategy that mimics ESG principles by investing in high-ESG-rated stocks and divesting from low-rated ones generates positive returns, underscoring the profitability of ESG-based investment strategies. This research provides valuable insights into China's ESG fund landscape and emphasizes its growing role in promoting sustainable development within the global financial ecosystem.</div></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"67 ","pages":"Article 101167"},"PeriodicalIF":5.5,"publicationDate":"2025-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144892902","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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