Journal of Financial Research最新文献_第8页

New ESG rating drivers in the cross-section of European stock returns 新的ESG评级驱动因素在欧洲股票回报的横截面

IF 1.5 3区经济学

Journal of Financial Research Pub Date : 2023-10-27 DOI: 10.1111/jfir.12356

Ian Berk, Massimo Guidolin, Monia Magnani

{"title":"New ESG rating drivers in the cross-section of European stock returns","authors":"Ian Berk, Massimo Guidolin, Monia Magnani","doi":"10.1111/jfir.12356","DOIUrl":"10.1111/jfir.12356","url":null,"abstract":"We assess the performance of two quantitative signals based on ESG scores across a large, multi-national cross-section of European stock returns. We test whether the cost of equity capital is more influenced by the upward momentum (measured over time) of the ESG scores of the firms issuing stocks or by their stability (identified as the volatility of the scores over time), measured around a changing mean level. We find that short-term ESG momentum over 1 month has a significant impact on the cross-section of stock returns, lowering the anticipated cost of capital and leading to positive average abnormal returns. This suggests that short-term ESG momentum may represent a novel, priced systematic risk factor. Furthermore, we find strong evidence that an ESG volatility spread strategy which buys low ESG score volatility stocks and sells high volatility ones, generates a substantial alpha and affects the ex-ante cost of capital. Both quantitative ESG signals result in portfolio sorting and long-short strategies that enhance the overall sustainability profile of the issuing firms without compromising the raw average of their ESG scores.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 S1","pages":"S133-S162"},"PeriodicalIF":1.5,"publicationDate":"2023-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12356","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136262147","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

Can central banks be heard over the sound of gunfire? 中央银行的声音能盖过枪炮声吗？

IF 1.5 3区经济学

Journal of Financial Research Pub Date : 2023-10-26 DOI: 10.1111/jfir.12358

Ge Gao, Alex Nikolsko-Rzhevskyy, Oleksandr Talavera

引用次数: 0

Climate transition risk and bank lending 气候转型风险与银行贷款

IF 1.5 3区经济学

Journal of Financial Research Pub Date : 2023-10-26 DOI: 10.1111/jfir.12360

Brunella Bruno, Sara Lombini

引用次数: 0

Firm reaction to geopolitical crises: Evidence from the Russia-Ukraine conflict 对地缘政治危机的坚定反应：来自俄乌冲突的证据

IF 1.5 3区经济学

Journal of Financial Research Pub Date : 2023-10-26 DOI: 10.1111/jfir.12354

MD ASIF UL ALAM, Erik Devos, Zifeng Feng

引用次数: 0

Board structure and market performance: Does one solution fit all? 董事会结构和市场表现：一个解决方案适合所有吗？

IF 1.5 3区经济学

Journal of Financial Research Pub Date : 2023-10-25 DOI: 10.1111/jfir.12361

Milena Petrova

{"title":"Board structure and market performance: Does one solution fit all?","authors":"Milena Petrova","doi":"10.1111/jfir.12361","DOIUrl":"10.1111/jfir.12361","url":null,"abstract":"We investigate the relationship between internal corporate governance and market performance across multiple countries, utilizing a comprehensive data set comprising 77,440 firm observations from 15 European Union countries over the period 2002-2018. Specifically, we examine the impact of board characteristics, including size, independence, gender diversity, CEO duality, and classified boards, on market performance. Our findings reveal that CEO duality is generally negatively related to returns, whereas independent directors and board diversity are positively related to market performance. We observe a positive association between staggered boards and market performance as well as Tobin's Q, aligning with the EU's emphasis on stakeholder investments. Upon analyzing the data at the country level, we identify that the links between board structure and performance vary by country, and there isn't a single variable that is consistently related to market returns or Tobin's Q. These divergent findings indicate that there is no universally applicable corporate governance solution that can be recommended for companies throughout Europe.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 S1","pages":"S7-S27"},"PeriodicalIF":1.5,"publicationDate":"2023-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12361","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135216300","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

Does environmental investment pay off?—portfolio analyses of the E in ESG during political conflicts and public health crises 环境投资有回报吗？-在政治冲突和公共卫生危机期间对ESG中的E进行组合分析

IF 1.5 3区经济学

Journal of Financial Research Pub Date : 2023-10-25 DOI: 10.1111/jfir.12357

Jiancheng Shen, Chen Chen, Zheng Liu

引用次数: 0

Market impacts of the 2020 short selling bans 2020年卖空禁令的市场影响

IF 1.5 3区经济学

Journal of Financial Research Pub Date : 2023-10-24 DOI: 10.1111/jfir.12355

Alessandro Spolaore, Caroline Le Moign

引用次数: 0

European equity markets volatility spillover: Destabilizing energy risk is the new normal 欧洲股市波动溢出：不稳定的能源风险是新常态

IF 1.5 3区经济学

Journal of Financial Research Pub Date : 2023-10-24 DOI: 10.1111/jfir.12359

Zsuzsa R. Huszár, Balázs B. Kotró, Ruth S. K. Tan

{"title":"European equity markets volatility spillover: Destabilizing energy risk is the new normal","authors":"Zsuzsa R. Huszár, Balázs B. Kotró, Ruth S. K. Tan","doi":"10.1111/jfir.12359","DOIUrl":"10.1111/jfir.12359","url":null,"abstract":"While energy risk is increasingly recognized as a systemic risk, there is limited comprehensive analysis of the risk propagation in regional contexts. In this study, we examine oil and natural gas price changes and shocks in relation to equity market returns and volatility for 24 European Economic Area (EEA) countries. In addition to traditional panel regressions, we also deploy the Diebold-Yilmaz (2014) spillover index for a closed network analysis. We differentiate in the cross-section across the core EU block, PIIGS countries, EU enlargement countries joining after 2004, and other non-EU countries, to provide insights into the ongoing debates on the European energy market stability. While we find evidence of the manifestation of energy risk throughout the sample period, we find that until 2019 the primary sources of volatility spillover in the EEA economic network arose from economic or political uncertainty. Energy risks, measured by large crude oil and natural gas price shocks also significantly contributed to equity market volatility, with increasing volatility risk arising from natural gas, a green labelled energy source after 2019. Last, we show that CEEC equity markets are more sensitive to oil and natural gas price shocks when domestic currencies depreciate against the Euro.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 S1","pages":"S205-S271"},"PeriodicalIF":1.5,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135267321","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 labor on the performance of founder-family firms 劳动力对创始人家族企业绩效的影响

IF 3.5 3区经济学

Journal of Financial Research Pub Date : 2023-09-27 DOI: 10.1111/jfir.12353

Murali Jagannathan, Brett W. Myers, Xu Niu

引用次数: 0

Cyclicality of liquidity creation: Nonlinear evidence from US bank holding companies 流动性创造的周期性:来自美国银行控股公司的非线性证据

IF 3.5 3区经济学

Journal of Financial Research Pub Date : 2023-09-06 DOI: 10.1111/jfir.12352

Ghulame Rubbaniy, Ali Awais Khalid, Shoaib Ali, Efstathios Polyzos

{"title":"Cyclicality of liquidity creation: Nonlinear evidence from US bank holding companies","authors":"Ghulame Rubbaniy, Ali Awais Khalid, Shoaib Ali, Efstathios Polyzos","doi":"10.1111/jfir.12352","DOIUrl":"10.1111/jfir.12352","url":null,"abstract":"Using a panel smooth transition regression framework on a new proxy of the business cycle (BC) index and quarterly data of US bank holding companies from 1993Q1 to 2020Q1, our results provide empirical support for the theory that the BC has a nonlinear effect on liquidity creation. We find a positive and highly significant nonlinear effect of the BC on liquidity creation, which not only supports the pro-cyclicality of liquidity creation but also improves the liquidity creation estimation compared to previous studies. The results are robust to different proxies of the BC and model specifications. We also document that US bank holding companies create liquidity more during the expansion phase (normal times) than during the recession phase (crisis times) of the BC, suggesting an asymmetrical effect of BC changes on liquidity creation. Our findings have important implications for financial market participants by suggesting that banks should keep alternative sources of funding on hand during the BC recession phase. Insights from our study also provide policy implications for central banks and prudent supervisors to consider when incentivizing banks, for instance, by lowering regulatory requirements, adjusting the policy rate, or implementing any other quantitative easing policy during the BC recession phase to keep the financial system efficient.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 4","pages":"1165-1185"},"PeriodicalIF":3.5,"publicationDate":"2023-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43363451","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