Journal of Multinational Financial Management最新文献

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Evaluating the performance of U.S. international equity closed-end funds 评价美国国际股票型封闭式基金的业绩
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-06-01 DOI: 10.1016/j.mulfin.2021.100692
Jonathan Fletcher
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引用次数: 0
Measuring liquidity risk effects on carry trades across currencies and regimes 衡量跨货币和制度套利交易的流动性风险影响
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-06-01 DOI: 10.1016/j.mulfin.2021.100683
Samuel Abankwa , Lloyd P. Blenman
{"title":"Measuring liquidity risk effects on carry trades across currencies and regimes","authors":"Samuel Abankwa ,&nbsp;Lloyd P. Blenman","doi":"10.1016/j.mulfin.2021.100683","DOIUrl":"10.1016/j.mulfin.2021.100683","url":null,"abstract":"<div><p>We study the effects of FX liquidity risk on carry trade returns using a novel low-frequency market-wide liquidity measure. We show conclusively that the vast majority of variation in carry trade returns can be explained by two risk factors (liquidity risk and market risk). Our results are further corroborated when the mimicking liquidity risk factor is replaced with a non-tradable innovations risk factor. Safe-haven currencies (SHC) provide insurance against crash risk by having negative liquidity betas, across all time periods. SHCs provide the highest levels of protection during periods of extreme volatility. We find that liquidity risk is priced in the cross-section of carry trade returns, and estimate the liquidity risk premium in the FX market to be around 412 basis points per annum.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"60 ","pages":"Article 100683"},"PeriodicalIF":4.2,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2021.100683","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45638348","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: 12
The stabilizing effects of pension funds vs. mutual funds on country-specific market risk 养老基金与共同基金对特定国家市场风险的稳定作用
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-06-01 DOI: 10.1016/j.mulfin.2021.100691
Wenjun Xue , Zhongzhi He , Yu Hu
{"title":"The stabilizing effects of pension funds vs. mutual funds on country-specific market risk","authors":"Wenjun Xue ,&nbsp;Zhongzhi He ,&nbsp;Yu Hu","doi":"10.1016/j.mulfin.2021.100691","DOIUrl":"10.1016/j.mulfin.2021.100691","url":null,"abstract":"<div><p>Using country-level data on 47 global markets, this paper examines the stabilizing effects of pension funds vs. mutual funds on country-specific market risk. We find that mutual funds have a significantly negative effect on idiosyncratic volatility in developed markets, but this role becomes insignificant in emerging markets. In contrast, pension funds significantly reduce country-specific market risk in both developed and emerging markets, with a much stronger stabilizing effect. The prudence of pension funds subsumes the macrofactor effects on market risk and drives away the effects of mutual funds in emerging markets. Our results suggest that the steady growth of pension funds can be a viable strategy to improve a country’s financial health, especially for emerging markets.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"60 ","pages":"Article 100691"},"PeriodicalIF":4.2,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2021.100691","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"54822726","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: 4
Payouts and stock ownership 派息和股票所有权
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-06-01 DOI: 10.1016/j.mulfin.2021.100684
H. Kent Baker , Lammertjan Dam , Adri De Ridder
{"title":"Payouts and stock ownership","authors":"H. Kent Baker ,&nbsp;Lammertjan Dam ,&nbsp;Adri De Ridder","doi":"10.1016/j.mulfin.2021.100684","DOIUrl":"10.1016/j.mulfin.2021.100684","url":null,"abstract":"<div><p>Using a unique Swedish database that records the ultimate stockholdings in public firms, we decompose stock ownership by domiciles using votes rather than cashflows. We then study the impact of variables related to the lifecycle theory of dividends and the catering theory of dividends. We also examine the propensity of firms to pay dividends and/or activate a stock buyback program. Univariate analysis reveals a positive association between a firm’s maturity and its likelihood to pay dividends. Logistic regression finds a positive relation between payouts and retained earnings to total assets. Foreign institutional investors are less likely to hold dividend-paying stocks than domestic institutional investors. The analysis finds no support for the catering theory of dividends. After controlling for stock ownership, our evidence is consistent with the lifecycle theory of dividends, which states that more mature firms are associated with dividends. It also supports the transaction cost hypothesis claiming that foreign investors face additional administrative costs when holding dividend-paying stocks.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"60 ","pages":"Article 100684"},"PeriodicalIF":4.2,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2021.100684","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43958729","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: 2
Foreign direct investments: The role of corporate social responsibility 外商直接投资:企业社会责任的作用
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-03-01 DOI: 10.1016/j.mulfin.2020.100663
Mei Liu , Andrew Marshall , Patrick McColgan
{"title":"Foreign direct investments: The role of corporate social responsibility","authors":"Mei Liu ,&nbsp;Andrew Marshall ,&nbsp;Patrick McColgan","doi":"10.1016/j.mulfin.2020.100663","DOIUrl":"10.1016/j.mulfin.2020.100663","url":null,"abstract":"<div><p>This paper investigates whether superior corporate social responsibility (CSR) performance leads to greater firm-level foreign direct investment (FDI). We argue that the decisions managers take on their CSR can have a positive influence in the external perception of the firm and act as an important intangible asset. Using a sample of 4764 firms from 44 countries spanning 2003–2014, we find evidence of a positive relation between CSR performance and the propensity to engage in FDI. The positive relation between CSR performance and FDI propensity is strongest for firms without prior international experience in FDI. Our results suggest that that a strong CSR reputation can act as important intangible asset and help firms’ internationalization by increasing external legitimacy and reputation. The results are robust to controls for endogeneity, alternative measures of international experience, and alternative model specifications.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"59 ","pages":"Article 100663"},"PeriodicalIF":4.2,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2020.100663","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48354666","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: 8
Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management 加密货币与外汇市场之间的连通性:对风险管理的影响
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-03-01 DOI: 10.1016/j.mulfin.2020.100666
Rahma Chemkha , Ahmed BenSaïda , Ahmed Ghorbel
{"title":"Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management","authors":"Rahma Chemkha ,&nbsp;Ahmed BenSaïda ,&nbsp;Ahmed Ghorbel","doi":"10.1016/j.mulfin.2020.100666","DOIUrl":"10.1016/j.mulfin.2020.100666","url":null,"abstract":"<div><p>This paper examines the connectedness between cryptocurrencies and major fiat currencies in a multivariate framework using vine copulas. One of the advantages of this method is the flexibility in the choice of distributions used to model complex dependencies. The results show that the dependence, measured conditionally or unconditionally, is positive and higher for the pairs of the same market than those across markets. Moreover, a low significant dependency is found between cryptocurrencies and the main conventional currencies. Based on the Value-at-Risk (VaR) and expected shortfall (ES) analyses, vine copulas produce accurate risk measures by adding cryptocurrencies to a portfolio of fiat currencies.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"59 ","pages":"Article 100666"},"PeriodicalIF":4.2,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2020.100666","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41724274","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: 22
Renegotiating public-private partnerships 重新谈判公私伙伴关系
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-03-01 DOI: 10.1016/j.mulfin.2020.100661
Joaquim Miranda Sarmento , Luc Renneboog
{"title":"Renegotiating public-private partnerships","authors":"Joaquim Miranda Sarmento ,&nbsp;Luc Renneboog","doi":"10.1016/j.mulfin.2020.100661","DOIUrl":"https://doi.org/10.1016/j.mulfin.2020.100661","url":null,"abstract":"<div><p>Public-Private Partnerships (PPPs) are frequently renegotiated as their contracts are long-term, often with a duration exceeding 30 years, involve major investments, and are necessary incomplete. Still, while contract incompleteness is difficult to prevent, renegotiation frequency does not decline in spite of decades of experience. Electoral cycles and political connections lead to strategic behaviour by both the public sector, intending to please the electorate, and the private entity, often taking advantage of the fact that the government cannot afford disruption in public services prior to elections. The bargaining power is held mainly by private firms/corporate consortiums who extract additional rents to compensate for underbidding at the initial bidding rounds. When a consortium dominated by a foreign firm, the frequency of negotiations is higher but the extraction of rents from renegotiations is lower, reflecting a lower degree of political connectedness. Experience with PPP projects does not reduce the likelihood of subsequent renegotiations. In spite of the recommendations of the PPP supervisor (the Court of Audit), the public sector has not implemented improvements in contract design and renegotiations clauses of PPP contracts.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"59 ","pages":"Article 100661"},"PeriodicalIF":4.2,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2020.100661","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136541528","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
Key factors determining corporate social responsibility practices of Vietnamese firms and the joint effects of foreign ownership 决定越南企业社会责任实践的关键因素及外资所有权的共同影响
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-03-01 DOI: 10.1016/j.mulfin.2020.100676
Rezaul Kabir , Hanh Minh Thai
{"title":"Key factors determining corporate social responsibility practices of Vietnamese firms and the joint effects of foreign ownership","authors":"Rezaul Kabir ,&nbsp;Hanh Minh Thai","doi":"10.1016/j.mulfin.2020.100676","DOIUrl":"10.1016/j.mulfin.2020.100676","url":null,"abstract":"<div><p>Corporate social responsibility is growing steadfast in emerging countries. Studies analyzing the factors that typically determine CSR practices of firms have often led to conflicting results. In this study, we examine corporate governance determinants that are specifically relevant to CSR in emerging countries. Analyzing a large sample of Vietnamese listed firms, we find that foreign ownership, international orientation, gender diversity, and CEO education positively influence CSR. Furthermore, we find significant joint effects of foreign ownership with international orientation, gender diversity and CEO education. The study highlights the key drivers of CSR practices of firms in emerging countries.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"59 ","pages":"Article 100676"},"PeriodicalIF":4.2,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2020.100676","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48157309","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: 12
Do managers pay attention to the market? A review of the relationship between stock price informativeness and investment 经理们关注市场吗?股票价格信息性与投资关系研究述评
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-03-01 DOI: 10.1016/j.mulfin.2020.100675
Paulo Pereira da Silva
{"title":"Do managers pay attention to the market? A review of the relationship between stock price informativeness and investment","authors":"Paulo Pereira da Silva","doi":"10.1016/j.mulfin.2020.100675","DOIUrl":"10.1016/j.mulfin.2020.100675","url":null,"abstract":"<div><p>Using a multi-country sample of stocks, the sensitivity of investment to stock price informativeness is assessed. Consistent with prior research, we find a positive association between investment and stock prices. This association becomes stronger when prices are more informative. However, while measures of price informativeness related to the amount of (market-based) private information conveyed by prices heighten the investment-to-stock price sensitivity, others, akin to the weak form of the efficient market hypothesis, hardly affect it. This is consistent with only revelatory private information acquired by traders influencing managers’ investment decisions. The relevance of private information revealed in secondary markets also extends to financing decisions, with price informativeness also shaping the association between external financing and growth opportunities. Not least importantly, we show that abnormal investment generated by the amount of private information contained in prices fosters future profitability and aggregate efficiency. In robustness tests, the presence of a causal relationship flowing from price informativeness to (abnormal) investment rates is appraised. Using two quasi-random events that enhanced the information environment of stocks (MSCI ACWI reconstitutions and the passing of JGTRRA in 2003), we present evidence that exogenous variation of the amount of private information contained in stock prices affects investment rates.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"59 ","pages":"Article 100675"},"PeriodicalIF":4.2,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2020.100675","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48864380","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: 5
Reversal returns and expected returns from liquidity provision: Evidence from emerging markets 流动性供给的逆转回报和预期回报:来自新兴市场的证据
IF 4.2 3区 经济学
Journal of Multinational Financial Management Pub Date : 2021-03-01 DOI: 10.1016/j.mulfin.2020.100664
Hilal Anwar Butt , Kenneth Högholm , Mohsin Sadaqat
{"title":"Reversal returns and expected returns from liquidity provision: Evidence from emerging markets","authors":"Hilal Anwar Butt ,&nbsp;Kenneth Högholm ,&nbsp;Mohsin Sadaqat","doi":"10.1016/j.mulfin.2020.100664","DOIUrl":"https://doi.org/10.1016/j.mulfin.2020.100664","url":null,"abstract":"<div><p>In this study, we document, for a number of emerging markets, that positive returns can be obtained using a short-term reversal strategy. These returns are higher for small and illiquid firms, and highest for more volatile firms. Overall, the reversal strategy-based alphas are significant when accessed through different asset pricing models. Our results provide, however, an important unexplored explanation; the reversal return is higher, irrespective of firm characteristics, when market volatility is high, and pronounced for the stocks that witness higher active investor exits. These findings reconcile with the notion that the reversal returns proxy the expected returns from liquidity provision in adverse times.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":"59 ","pages":"Article 100664"},"PeriodicalIF":4.2,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mulfin.2020.100664","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136541529","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
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