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The battle of factors 因素之争
IF 5.5 2区 经济学
Global Finance Journal Pub Date : 2024-06-13 DOI: 10.1016/j.gfj.2024.101004
Kodjovi Assoe , Najah Attig , Oumar Sy
{"title":"The battle of factors","authors":"Kodjovi Assoe ,&nbsp;Najah Attig ,&nbsp;Oumar Sy","doi":"10.1016/j.gfj.2024.101004","DOIUrl":"https://doi.org/10.1016/j.gfj.2024.101004","url":null,"abstract":"<div><p>This study delves into the battle of factors in Canadian capital markets, employing spanning tests to evaluate 17 factors from ten multifactor models for 1991–2022. While the value factor (HML) proves redundant, its monthly updated counterpart excels. The size factor (SMB) is not improved by discounting mispriced stocks but gains potency after controlling for profitability and investment. Q-based and mispricing factors subsume the momentum factor (UMD). No single asset-pricing model emerges dominant, except in three instances. A six-factor model including market, size, monthly updated value, ROE, expected growth, and PEAD factors proves effective for asset pricing in Canadian markets.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"62 ","pages":"Article 101004"},"PeriodicalIF":5.5,"publicationDate":"2024-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141539756","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
Oil shocks and currency behavior: A dual approach to digital and traditional currencies 石油冲击与货币行为：数字货币和传统货币的双重方法
IF 5.2 2区 经济学
Global Finance Journal Pub Date : 2024-06-12 DOI: 10.1016/j.gfj.2024.101002
Sahar Afshan , Tanzeela Yaqoob , Younes Ben Zaied , Shekhar Mishra , Sibanjan Mishra
{"title":"Oil shocks and currency behavior: A dual approach to digital and traditional currencies","authors":"Sahar Afshan ,&nbsp;Tanzeela Yaqoob ,&nbsp;Younes Ben Zaied ,&nbsp;Shekhar Mishra ,&nbsp;Sibanjan Mishra","doi":"10.1016/j.gfj.2024.101002","DOIUrl":"10.1016/j.gfj.2024.101002","url":null,"abstract":"<div><p>Given the financial markets' growing preference for examining digital platforms, this study explores the dynamic relationship of oil shocks with both conventional and digital currencies. It provides a novel approach for evaluating the relationship between aggregate oil, demand, and supply shocks using three conventional currencies (Japanese Yen, Chinese Yuan, and Euro), cryptocurrencies (Bitcoin, Ethereum, Tether), and DeFi tokens (Maker, Chainlink, and Basic Attention Token). We use wavelet analysis to test the asymmetric association among variables from June 22, 2018, to July 11, 2023. The outcomes of continuous wavelet confirm the volatile behavior of oil shocks and studied currencies. In particular, a nonlinear wavelet coherence is observed between oil shocks and DeFi tokens, cryptocurrencies, and traditional currency in the short, medium, and long term. Moreover, crypto and conventional currencies are found to respond more strongly to external events than DeFi tokens. Given the empirical findings and the rapid transformation of digitalized finance with ongoing currency restructuring, this study plays a critical role by actively influencing the adaptation of regulatory frameworks to align with dynamic changes in associations, serving as a strategic guide for regulatory bodies to navigate the complexities of emerging financial paradigms.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"62 ","pages":"Article 101002"},"PeriodicalIF":5.2,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141406716","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 impact of capital on bank profitability during the COVID-19 pandemic COVID-19 大流行期间资本对银行盈利能力的影响
IF 5.2 2区 经济学
Global Finance Journal Pub Date : 2024-06-08 DOI: 10.1016/j.gfj.2024.100994
Osamah Alkhazali , Mohamad Husam Helmi , Ali Mirzaei , Mohsen Saad
{"title":"The impact of capital on bank profitability during the COVID-19 pandemic","authors":"Osamah Alkhazali ,&nbsp;Mohamad Husam Helmi ,&nbsp;Ali Mirzaei ,&nbsp;Mohsen Saad","doi":"10.1016/j.gfj.2024.100994","DOIUrl":"https://doi.org/10.1016/j.gfj.2024.100994","url":null,"abstract":"<div><p>This study examines how various forms of capital in the years leading up to the COVID-19 pandemic affected bank profitability during the crisis in emerging economies. Using data from 819 banks in 26 countries during the 2019–2020 period, we find that banks entering the crisis with a superior capital position performed better during the pandemic. High-quality capital metrics such as Tier 1 capital and total regulatory capital ratios, not the standard leverage ratio, possess the capacity to affect bank profitability. These results are robust after controlling for Basel III liquidity requirements. We also find that the capital-profitability relationship is stronger for larger banks and for those that entered the crisis with better liquidity and credit risk position. Overall, our results imply that focusing on capital quality can help reduce the adverse effect of an external shock on bank performance.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"62 ","pages":"Article 100994"},"PeriodicalIF":5.2,"publicationDate":"2024-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141329313","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
Advancing understanding of ESG score and executive compensation relationships in the Indian context 促进对印度环境、社会和公司治理得分与高管薪酬关系的理解
IF 5.2 2区 经济学
Global Finance Journal Pub Date : 2024-05-31 DOI: 10.1016/j.gfj.2024.100993
Ranjitha Ajay , Surendranath Rakesh Jory , K.P. Syamraj
{"title":"Advancing understanding of ESG score and executive compensation relationships in the Indian context","authors":"Ranjitha Ajay ,&nbsp;Surendranath Rakesh Jory ,&nbsp;K.P. Syamraj","doi":"10.1016/j.gfj.2024.100993","DOIUrl":"https://doi.org/10.1016/j.gfj.2024.100993","url":null,"abstract":"<div><p>This study examines the impact of environmental, social, and corporate governance (ESG) performance metrics on executive compensation in India using a sample of top-listed firms from 2007 to 2021 and controls for various firm-level characteristics. Findings show that a higher ESG score is associated with higher executive compensation. The subsample analyses examines how business-group affiliations and environmental sensitivity affect executive compensation. Results reveal that business-group affiliated firms with higher ESG scores tend to have higher executive compensation than nonaffiliated firms. Moreover, environmentally sensitive firms with higher governance pillar scores, which represent better governance practices, show higher executive compensation. Finally, high ESG scores and executive compensation is associated with better firm performance.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"62 ","pages":"Article 100993"},"PeriodicalIF":5.2,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141286269","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
Give me uncertainty, and I will shine: CEO narcissism and corporate performance 给我不确定性，我将大放异彩：首席执行官的自恋与企业绩效
IF 5.2 2区 经济学
Global Finance Journal Pub Date : 2024-05-25 DOI: 10.1016/j.gfj.2024.100991
Tom Aabo , Theodor Roe Kirch , Katrine Høj Stadil Thomsen
{"title":"Give me uncertainty, and I will shine: CEO narcissism and corporate performance","authors":"Tom Aabo ,&nbsp;Theodor Roe Kirch ,&nbsp;Katrine Høj Stadil Thomsen","doi":"10.1016/j.gfj.2024.100991","DOIUrl":"https://doi.org/10.1016/j.gfj.2024.100991","url":null,"abstract":"<div><p>CEO narcissism is an established fact in the corporate world. We argue that uncertainty moderates the relationship between CEO narcissism and corporate performance. Thus, we hypothesize that the decisiveness and craving for attention of the narcissistic CEO improve corporate performance during periods of high uncertainty, while these features of narcissism are not needed and indeed are disadvantageous during periods of low uncertainty. Our empirical results support our hypothesis. Our findings are important in understanding the context specificity of the advantages and disadvantages of CEO narcissism in an empirical corporate setting and thus important for CEO selection and CEO management.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"62 ","pages":"Article 100991"},"PeriodicalIF":5.2,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1044028324000632/pdfft?md5=6aa39df9a9e84bd221b4883921798718&pid=1-s2.0-S1044028324000632-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141250887","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Does news related to digital economy and central bank digital currency affect digital economy ETFs? Evidence from TVP-VAR connectedness and wavelet local multiple correlation analyses 与数字经济和央行数字货币相关的新闻会影响数字经济ETF吗？来自 TVP-VAR 关联性和小波局部多重相关性分析的证据
IF 5.2 2区 经济学
Global Finance Journal Pub Date : 2024-05-23 DOI: 10.1016/j.gfj.2024.100992
Mohammad Enamul Hoque , Mabruk Billah , Md Rafayet Alam , Brian Lucey
{"title":"Does news related to digital economy and central bank digital currency affect digital economy ETFs? Evidence from TVP-VAR connectedness and wavelet local multiple correlation analyses","authors":"Mohammad Enamul Hoque ,&nbsp;Mabruk Billah ,&nbsp;Md Rafayet Alam ,&nbsp;Brian Lucey","doi":"10.1016/j.gfj.2024.100992","DOIUrl":"10.1016/j.gfj.2024.100992","url":null,"abstract":"<div><p>The rapid and widespread digitalization of economies warrants a better understanding of its impact on society and economy. This study contributes to this new but important research agenda by examining how news on digitalization affects digital economy related exchange traded funds (ETFs). For this purpose, we first construct a digital economy attention index by utilizing Google Search Volume Index for several keywords. Then, using this index and two other indices that represent attention and uncertainty related to central bank digital currency (CBDC), we examine the time-varying connectedness and correlations between these three indices and digital economy ETFs. Our TVP-VAR frequency connectedness analysis shows that attention to and uncertainty around the CBDC and digital economy have strong connectedness with the ETFs in the short-term. The analysis also shows that CBDC and digital economy indices are mainly net transmitters of shocks while the majority of the ETFs are the net receivers of the shocks. The results of our wavelet local multiple correlation (WLMC) analysis show that the correlations between ETFs, digital economy and CBDC indices are time- and frequency-dependent. Moreover, both connectedness and correlations are affected by CBDC-related global events and COVID-19 pandemic. The time- and frequency-dependent relation requires active management of the portfolios containing digital economy related assets.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"61 ","pages":"Article 100992"},"PeriodicalIF":5.2,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141131868","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
Performance implications of hedging with industry ETFs 利用行业 ETF 进行对冲对业绩的影响
IF 5.2 2区 经济学
Global Finance Journal Pub Date : 2024-05-15 DOI: 10.1016/j.gfj.2024.100990
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin, Mustafa Oztekin
{"title":"Performance implications of hedging with industry ETFs","authors":"Yigit Atilgan,&nbsp;K. Ozgur Demirtas,&nbsp;A. Doruk Gunaydin,&nbsp;Mustafa Oztekin","doi":"10.1016/j.gfj.2024.100990","DOIUrl":"10.1016/j.gfj.2024.100990","url":null,"abstract":"<div><p>Extant research documents that hedge funds which bet on positive earnings surprises manage their sector risk by shorting industry exchange-traded funds (ETFs). We add to this literature by evaluating the performance of a hypothetical hedge fund that can anticipate positive earnings news. We construct return series for a naked strategy that only takes long stock positions and a hedged strategy that also holds short positions in industry ETFs around earnings announcements with positive content. Our main result is that hedging with industry ETFs improves fund performance based on various reward-to-risk ratios. This finding holds in various equity subsamples and both strategies tend to perform better among riskier stocks. Hedging with industry ETFs boosts fund performance compared to hedging with a broad market index.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"61 ","pages":"Article 100990"},"PeriodicalIF":5.2,"publicationDate":"2024-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141043803","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
Explaining differences in CEO gender diversity across industries: Do personality traits matter? 解释各行业首席执行官性别多样性的差异：个性特征重要吗？
IF 5.2 2区 经济学
Global Finance Journal Pub Date : 2024-05-14 DOI: 10.1016/j.gfj.2024.100986
Tom Aabo , Malene Hansen , Sara Husted Krog , Katrine Kynde
{"title":"Explaining differences in CEO gender diversity across industries: Do personality traits matter?","authors":"Tom Aabo ,&nbsp;Malene Hansen ,&nbsp;Sara Husted Krog ,&nbsp;Katrine Kynde","doi":"10.1016/j.gfj.2024.100986","DOIUrl":"10.1016/j.gfj.2024.100986","url":null,"abstract":"<div><p>Women are severely underrepresented in the upper echelons. We show that female CEOs score higher (lower) than their male peers on personality traits that correlate positively (negatively) with leadership. Thus, it seems that female CEOs must be more “leaderlike” to emerge and survive on a non-level playing field. The degree of female underrepresentation is not uniform across industries. CEO personality traits differ 1) across industries and 2) between genders. Thus, we argue and show that the (lack of) alignment between the CEO personality traits of the industry and the personality traits of female CEOs is a likely explaining factor for the relative over- and underrepresentation of female CEOs in specific industries. Our findings are important in understanding one of the industry-related obstacles that women face in reaching the upper echelons in the corporate world.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"61 ","pages":"Article 100986"},"PeriodicalIF":5.2,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1044028324000589/pdfft?md5=31a65908204ded5784713c1b562e5bf2&pid=1-s2.0-S1044028324000589-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141050866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Digital finance, financing constraints, and green technological innovation: A spatial analysis 数字金融、融资限制和绿色技术创新：空间分析
IF 5.2 2区 经济学
Global Finance Journal Pub Date : 2024-05-11 DOI: 10.1016/j.gfj.2024.100988
Bo Li , Zhenya Liu , Xuemei Jia , Fengping Ma
{"title":"Digital finance, financing constraints, and green technological innovation: A spatial analysis","authors":"Bo Li ,&nbsp;Zhenya Liu ,&nbsp;Xuemei Jia ,&nbsp;Fengping Ma","doi":"10.1016/j.gfj.2024.100988","DOIUrl":"10.1016/j.gfj.2024.100988","url":null,"abstract":"<div><p>This study investigates the role of financing constraints in mediating the influence of digital finance on green technological innovations by using the spatial Durbin model. Based on the panel data of 273 Chinese cities from 2011 to 2020, the empirical results demonstrate that local and neighboring financing constraints mediate more than 50% of the direct impact of local digital finance on the quantity and quality of green innovation. Moreover, these financing constraints completely mediate the indirect impact of neighbors' digitalization levels, one of the three indicators of digital finance. This underscores the importance of addressing financing constraints and fostering regional cooperation to enhance the efficacy of digital finance in advancing green technology.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"61 ","pages":"Article 100988"},"PeriodicalIF":5.2,"publicationDate":"2024-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141041214","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
Tail risk intersection between tech-tokens and tech-stocks 科技代币与科技股之间的尾部风险交集
IF 5.2 2区 经济学
Global Finance Journal Pub Date : 2024-05-10 DOI: 10.1016/j.gfj.2024.100989
Mohammad Abdullah , Provash Kumer Sarker , Emmanuel Joel Aikins Abakah , Aviral Kumar Tiwari , Mohd Ziaur Rehman
{"title":"Tail risk intersection between tech-tokens and tech-stocks","authors":"Mohammad Abdullah ,&nbsp;Provash Kumer Sarker ,&nbsp;Emmanuel Joel Aikins Abakah ,&nbsp;Aviral Kumar Tiwari ,&nbsp;Mohd Ziaur Rehman","doi":"10.1016/j.gfj.2024.100989","DOIUrl":"10.1016/j.gfj.2024.100989","url":null,"abstract":"<div><p>This study investigates the interconnectedness of upside and downside tail risks between tech-industry tokens and equities, focusing on uncertainties and portfolio implications. We estimate tail-risk measures at various quantiles using the conditional autoregressive value-at-risk method and investigate selected assets' static and dynamic connectedness using a time-varying parameter-vector autoregression approach. The findings reveal a moderate level of time-varying tail-risk interconnectedness. Furthermore, we examine the role of global uncertainty factors in tail-risk contagion and identify the factors driving connectedness. Moreover, this study analyzes portfolio implications, offering insights into effective risk management strategies and the potential benefits of diversification. These findings have significant implications for investors, regulators, and policymakers in risk management in the technology industry.</p></div>","PeriodicalId":46907,"journal":{"name":"Global Finance Journal","volume":"61 ","pages":"Article 100989"},"PeriodicalIF":5.2,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141031626","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
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