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Mutual fund flow-driven trading and the mispricing of cross-listed stocks 共同基金流量驱动交易与交叉上市股票的错误定价
IF 2.9 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-11-23 DOI: 10.1016/j.mulfin.2024.100888
David Rakowski , J. David Diltz , Anh Tuan Nguyen
{"title":"Mutual fund flow-driven trading and the mispricing of cross-listed stocks","authors":"David Rakowski ,&nbsp;J. David Diltz ,&nbsp;Anh Tuan Nguyen","doi":"10.1016/j.mulfin.2024.100888","DOIUrl":"10.1016/j.mulfin.2024.100888","url":null,"abstract":"<div><div>We explore cross-border divergence in pricing of cross-listed stocks driven by mutual fund flow–driven trading. Drawing on data from the US and forty-four international markets, we find the following: 1) Non-US stock returns are highly correlated with US stock returns and only weakly associated with liquidity-driven US-based mutual fund trading; 2) Approximately 69 % of the variation in non-US stock returns may be attributed to flow-driven trading, controlling for a variety of factors; 3) Stock return divergence is greater for small-cap, narrowly-held, and actively traded stocks; 4) Divergence is greater for stocks cross-listed in Latin American, Caribbean, and Asian-Pacific emerging markets; 5) Divergence is greater for stocks in funds experiencing outflows; and finally 6) Large outflows (i.e., fire sales) have no effect on price divergence across markets.</div><div>This draft: October 31, 2024</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"76 ","pages":"Article 100888"},"PeriodicalIF":2.9,"publicationDate":"2024-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142722641","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
How informed are international short sellers? Global and local industry concentration of short sellers 国际卖空者的信息量有多大？做空者的全球和本地行业集中度
IF 2.9 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-11-12 DOI: 10.1016/j.mulfin.2024.100885
Truong X. Duong , Zsuzsa R. Huszár , Ruth S.K. Tan
{"title":"How informed are international short sellers? Global and local industry concentration of short sellers","authors":"Truong X. Duong ,&nbsp;Zsuzsa R. Huszár ,&nbsp;Ruth S.K. Tan","doi":"10.1016/j.mulfin.2024.100885","DOIUrl":"10.1016/j.mulfin.2024.100885","url":null,"abstract":"<div><div>Internationally, documenting the information content from short sellers at the stock level is rather challenging because of various direct and indirect short sale constraints as suggested by Boehmer et al. (2022). To account for stock level short sale constraints and the cross-country variation in short sale feasibility, we focus on short sellers’ information at the aggregate industry and country levels and show that the value-weighted portfolio consisting of stocks from the topmost shorted and top three most shorted industries are associated with 45 bps and 42 bps lower returns over the next 20 days in a sample of 37 countries. The aggregate industry level also shows significant negative information from short sellers in more countries compared to Boehmer et al. (2022), especially in less developed markets. In addition to the industry information, we also find market level information from short sellers and show that high short selling predicts lower future market returns when short sellers target the country’s largest industries. We furthermore document evidence of short sellers' role in global information propagation.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"76 ","pages":"Article 100885"},"PeriodicalIF":2.9,"publicationDate":"2024-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142722816","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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 China’s social credit system construction promote foreign bank expansion? 中国的社会信用体系建设是否促进了外资银行的扩张？
IF 2.9 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-11-09 DOI: 10.1016/j.mulfin.2024.100886
Xifang Sun, Tianjian Yang, Liyu Liu
{"title":"Does China’s social credit system construction promote foreign bank expansion?","authors":"Xifang Sun,&nbsp;Tianjian Yang,&nbsp;Liyu Liu","doi":"10.1016/j.mulfin.2024.100886","DOIUrl":"10.1016/j.mulfin.2024.100886","url":null,"abstract":"<div><div>Information asymmetry is one of the significant barriers to the development of multinational banks. This paper examines the impact of China’s social credit system construction in pilot cities and the privatization of credit reporting on the expansion of foreign banks. The findings indicate that the upgrading of China’s social credit system significantly promotes the expansion of foreign banks. Foreign banks establish more business branches in pilot cities and cities with higher levels of privatization in credit reporting systems. The mechanism lies in the fact that the development of the credit reporting system alleviates the information asymmetry for foreign banks. Further analysis reveals that this effect is particularly applicable to foreign banks from European and American markets, globally systemically important banks, cities with high financial development, and regional central cities. This study provides evidence from the perspective of credit reporting system reform to facilitate foreign bank expansion.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"76 ","pages":"Article 100886"},"PeriodicalIF":2.9,"publicationDate":"2024-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653888","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Directors appointed by non-state shareholders and stock price synchronicity: Evidence from Chinese SOEs 非国有股东任命的董事与股价同步性：中国国有企业的证据
IF 2.9 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-11-02 DOI: 10.1016/j.mulfin.2024.100884
Zongtao Tian, Zhibin Chen, Xinxue Chang
{"title":"Directors appointed by non-state shareholders and stock price synchronicity: Evidence from Chinese SOEs","authors":"Zongtao Tian,&nbsp;Zhibin Chen,&nbsp;Xinxue Chang","doi":"10.1016/j.mulfin.2024.100884","DOIUrl":"10.1016/j.mulfin.2024.100884","url":null,"abstract":"<div><div>Do non-state shareholders who are given more boardroom \"voice\" inhibit stock price synchronicity? Utilizing panel data for Chinese enterprises spanning 2007–2021, we explore the impact of directors appointed by foreign shareholders and non-foreign shareholders on stock price synchronicity. Our findings indicate that directors appointed by non-state shareholders are negatively related to stock price synchronicity. Compared with directors appointed by non-foreign shareholders, directors appointed by foreign shareholders exert more effective governance effects and reduce stock price synchronicity. Compared with directors appointed by non-foreign shareholders, directors appointed by foreign shareholders exert a more effective information effect, resulting in lower share price synchronicity. Heterogeneous analyses reveal that this impact is more pronounced in non-multinational enterprises, and enterprises with foreign directors. Furthermore, directors appointed by non-state shareholders reduce stock price synchronicity mainly through the information effect.</div></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"76 ","pages":"Article 100884"},"PeriodicalIF":2.9,"publicationDate":"2024-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142577921","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market 美国股市中各行业对经济政策不确定性和地缘政治风险的反应
IF 2.9 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-08-31 DOI: 10.1016/j.mulfin.2024.100874
Sun-Yong Choi
{"title":"Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market","authors":"Sun-Yong Choi","doi":"10.1016/j.mulfin.2024.100874","DOIUrl":"10.1016/j.mulfin.2024.100874","url":null,"abstract":"<div><p>We examine the impact of economic policy uncertainty and geopolitical risk on various industries, highlighting their asymmetric effects on sectoral volatility. Furthermore, we investigate the differential effects of economic policy uncertainty and geopolitical risk on sectoral volatility, distinguishing between good and bad volatility responses. We find an asymmetric relationship between economic policy uncertainty and geopolitical risk in these industries, with economic policy uncertainty generally exerting a stronger impact on sector-specific volatility compared to geopolitical risk. During normal circumstances since the 2010s, the influence of geopolitical risk on sector-specific volatility has been relatively insignificant. However, both economic policy uncertainty and geopolitical risk have played significant roles in affecting multiple sectors during certain crisis periods, with geopolitical risk demonstrating short-term effects. These findings have important implications for both investors and policymakers. Investors can time positions using insights on policy uncertainty and geopolitical risk, while policymakers can identify vulnerable sectors.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"76 ","pages":"Article 100874"},"PeriodicalIF":2.9,"publicationDate":"2024-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142158503","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Do cultural differences affect the share price puzzle? 文化差异会影响股价之谜吗？
IF 2.9 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-08-17 DOI: 10.1016/j.mulfin.2024.100873
Riccardo Ferretti , Pierpaolo Pattitoni , Alessia Pedrazzoli
{"title":"Do cultural differences affect the share price puzzle?","authors":"Riccardo Ferretti ,&nbsp;Pierpaolo Pattitoni ,&nbsp;Alessia Pedrazzoli","doi":"10.1016/j.mulfin.2024.100873","DOIUrl":"10.1016/j.mulfin.2024.100873","url":null,"abstract":"<div><p>We examine the impact of cultural differences on nominal share prices across 63 countries from 2002 to 2018. Using institutional and catering theories, we assess how cultural dimensions—including World Governance Indicators (WGI), legal systems, religious influences, and GLOBE dimensions—affect the spatial heterogeneity of share price levels. Our findings indicate that share prices are higher in countries with common law systems and comprehensive information reporting, as these environments tend to attract institutional investors. Conversely, cultural traits emphasizing altruistic values correspond with lower share prices, reflecting the preferences of individual investors.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"75 ","pages":"Article 100873"},"PeriodicalIF":2.9,"publicationDate":"2024-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042444X24000380/pdfft?md5=3c50aae2a35f6210bce0548495b1dbff&pid=1-s2.0-S1042444X24000380-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142077116","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Extreme weather exposure and corporate carbon emissions management: Evidence from forty countries 极端天气风险与企业碳排放管理：来自四十个国家的证据
IF 2.9 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-08-02 DOI: 10.1016/j.mulfin.2024.100872
Xianhang Qian, Shanyun Qiu, Xue Yang
{"title":"Extreme weather exposure and corporate carbon emissions management: Evidence from forty countries","authors":"Xianhang Qian,&nbsp;Shanyun Qiu,&nbsp;Xue Yang","doi":"10.1016/j.mulfin.2024.100872","DOIUrl":"10.1016/j.mulfin.2024.100872","url":null,"abstract":"<div><p>Utilizing survey data for firms from 40 countries, we explore the impact of extreme weather exposure on corporate carbon emissions management. Our findings indicate that firms manage their carbon emissions better if they have suffered losses due to extreme weather events. These results persist after considering endogeneity concerns, including placebo tests, the Heckman two-stage method, propensity score matching, the instrumental variables approach, and other robustness tests. Cross-sectional analyses reveal that this impact is more pronounced for firms located in developed countries and in countries with superior climate protection and lower levels of carbon emissions. Furthermore, the effect of extreme weather exposure is more significant for firms with foreign ownership and political connections and those subject to an energy tax. Finally, improved management of carbon emissions accompanied by extreme weather exposure can lead to increased corporate capacity utilization and reduced production costs.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"75 ","pages":"Article 100872"},"PeriodicalIF":2.9,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141948284","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Global, local, or glocal? Unravelling the interplay of geopolitical risks and financial stress 全球、地方还是全球？解读地缘政治风险与金融压力的相互作用
IF 2.9 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-07-11 DOI: 10.1016/j.mulfin.2024.100871
Faroque Ahmed , Constantin Gurdgiev , Kazi Sohag , Md. Monirul Islam , Veton Zeqiraj
{"title":"Global, local, or glocal? Unravelling the interplay of geopolitical risks and financial stress","authors":"Faroque Ahmed ,&nbsp;Constantin Gurdgiev ,&nbsp;Kazi Sohag ,&nbsp;Md. Monirul Islam ,&nbsp;Veton Zeqiraj","doi":"10.1016/j.mulfin.2024.100871","DOIUrl":"10.1016/j.mulfin.2024.100871","url":null,"abstract":"<div><p>Since the start of the previous decade, regionalization of trade and investment flows has led to complex coupling in local (country-level) and global risks. To-date, little is known about how global uncertainty interacts with local uncertainty across the financial systems. Our study investigates the nexus between global and country-specific Geopolitical Risks (GPRs) and financial stress index (FSI) in five highly-open, large developed economies. We employ the cross-quantilogram and cross-spectral quantile coherency approaches on weekly data over 2000–2022 to show heterogeneous dependency of local and global geopolitical uncertainty on the financial stress conditions. Specifically, our results show that in the U.S. and the UK dependency of local and global geopolitical uncertainty on the financial stress conditions is influenced by the varying market conditions. In contrast, Canadian FSI is intensified by both global and country-level geopolitical risks, whereas German and French financial systems exhibit significant resilience to the global and local geopolitical shocks. Hence, the latter markets show hedging properties vis-a-vis global geopolitical risks.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"75 ","pages":"Article 100871"},"PeriodicalIF":2.9,"publicationDate":"2024-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141629776","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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 climate risk on corporate innovation: An international comparison 气候风险对企业创新的影响：国际比较
IF 2.9 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-06-19 DOI: 10.1016/j.mulfin.2024.100870
Qu Deng , Garland Huang , Donghui Li , Shijie Yang
{"title":"The impact of climate risk on corporate innovation: An international comparison","authors":"Qu Deng ,&nbsp;Garland Huang ,&nbsp;Donghui Li ,&nbsp;Shijie Yang","doi":"10.1016/j.mulfin.2024.100870","DOIUrl":"https://doi.org/10.1016/j.mulfin.2024.100870","url":null,"abstract":"<div><p>Employing an international sample of 10,012 firms across 62 economies spanning 2005–2017, we show that climate risk is negatively associated with corporate innovation activities. This finding is consistent with increased managerial risk aversion when managers perceive higher climate risk, leading to lower innovativeness. Through risk-buffering mechanisms, the negative association is weaker when firms are not subject to financial constraints, when corporate governance is stronger, and when the economy is more developed. Through risk-sharing mechanisms, better equity market development, greater trade openness, and greater insurance coverage can help mitigate the negative impact of climate risk on corporate innovation. Further analyses suggest that firms respond to climate change by inventing more green patents. Our study has implications for how to motivate corporate innovation in high-climate-risk economies.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"75 ","pages":"Article 100870"},"PeriodicalIF":2.9,"publicationDate":"2024-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141483845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Do foreign investors make firms more transparent? Evidence from Korea 外国投资者会使公司更加透明吗？韩国的证据
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2024-05-03 DOI: 10.1016/j.mulfin.2024.100860
Junyong Lee , Frederick Dongchuhl Oh
{"title":"Do foreign investors make firms more transparent? Evidence from Korea","authors":"Junyong Lee ,&nbsp;Frederick Dongchuhl Oh","doi":"10.1016/j.mulfin.2024.100860","DOIUrl":"https://doi.org/10.1016/j.mulfin.2024.100860","url":null,"abstract":"<div><p>In this study, we investigate whether foreign equity participation enhances the level of transparency in Korean listed firms’ accounting information. Using panel data on the Korean listed firms during the 1999–2019 period, we find that foreign ownership has a positive effect on the accounting transparency of firms. This suggests that foreign investors effectively monitor the earnings management activities of a firm and contribute to increasing the quality of accounting information. In addition, this positive impact of foreign equity ownership is more pronounced in non-chaebol firms than in chaebols. We further show that foreign investors reinforce the effect of changes in accounting systems on the transparency of Korean firms. Finally, firms with enhanced transparency by foreign investors perform better in the future. Overall, our study highlights the importance of foreign investors for enhancing accounting transparency in the Korean stock market. (JEL F21, F65, G15, G30, M40)</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"74 ","pages":"Article 100860"},"PeriodicalIF":4.2,"publicationDate":"2024-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140823497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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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