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Closed-Form Optimal Investment Under Generalized GARCH Models 广义GARCH模型下的闭型最优投资
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 Epub Date: 2025-11-03 DOI: 10.1111/eufm.70030
Marcos Escobar-Anel, Tobias Lausser, Rudi Zagst
{"title":"Closed-Form Optimal Investment Under Generalized GARCH Models","authors":"Marcos Escobar-Anel,&nbsp;Tobias Lausser,&nbsp;Rudi Zagst","doi":"10.1111/eufm.70030","DOIUrl":"https://doi.org/10.1111/eufm.70030","url":null,"abstract":"<p>This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN-GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN-GARCH class of models permits closed-form solutions for optimal allocation and value function. We introduce and study in more detail an example of this class, the 4/2-HN-GARCH model, inspired by the continuous-time 4/2 stochastic volatility model of Grasselli. A robust parameter estimation procedure is developed, and a numerical analysis is performed.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"791-815"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.70030","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148237662","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
FinTech, Financial Inclusion, and Environmental Outcomes: Evidence From the European Transition Towards Sustainability 金融科技、普惠金融和环境成果：来自欧洲向可持续性转型的证据
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 Epub Date: 2026-01-09 DOI: 10.1111/eufm.70046
Aisha K. Almuhailan, Sarosh Shabi, Ramzi Benkraiem, Mohammad Zoynul Abedin
{"title":"FinTech, Financial Inclusion, and Environmental Outcomes: Evidence From the European Transition Towards Sustainability","authors":"Aisha K. Almuhailan,&nbsp;Sarosh Shabi,&nbsp;Ramzi Benkraiem,&nbsp;Mohammad Zoynul Abedin","doi":"10.1111/eufm.70046","DOIUrl":"https://doi.org/10.1111/eufm.70046","url":null,"abstract":"<p>This paper aims to investigate Europe's transition towards sustainability. We explore the role of FinTech, financial inclusion, green innovation, renewable energy, and natural resource rents on carbon dioxide emissions, greenhouse gas emissions, and the ecological footprint. This paper applies a panel dataset of 31 European countries from 2004 to 2021. The analysis is based on the Panel Corrected Standard Error estimation followed by the Driscoll–Kraay standard errors method and Feasible Generalized Least Squares method. The results demonstrate that FinTech, financial inclusion, and renewable energy considerably lessen emissions and ecological footprint. It ends with policy issues to promote sustainable development targets in Europe.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"1041-1055"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.70046","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148237688","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
Issue Information: European Financial Management 03/2026 发行信息：欧洲财务管理03/2026
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 DOI: 10.1111/eufm.70080
{"title":"Issue Information: European Financial Management 03/2026","authors":"","doi":"10.1111/eufm.70080","DOIUrl":"https://doi.org/10.1111/eufm.70080","url":null,"abstract":"","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"725-726"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.70080","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148237935","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
In Labels We Trust? The Influence of Sustainability Labels on Mutual Fund Flows 《我们信任的标签？》可持续性标签对共同基金流动的影响
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 Epub Date: 2025-10-30 DOI: 10.1111/eufm.70027
Sofia Brito-Ramos, Maria Céu Cortez, Svetoslav Covachev, Florinda Silva
{"title":"In Labels We Trust? The Influence of Sustainability Labels on Mutual Fund Flows","authors":"Sofia Brito-Ramos,&nbsp;Maria Céu Cortez,&nbsp;Svetoslav Covachev,&nbsp;Florinda Silva","doi":"10.1111/eufm.70027","DOIUrl":"https://doi.org/10.1111/eufm.70027","url":null,"abstract":"<div>\u0000 \u0000 <p>Third-party certifications and labels signal sustainable investment strategies. This paper examines the impact of sustainability labels sponsored by government and nonprofit organisations (GNPOs) on mutual fund flows in a setting with multiple coexisting labels. We find that funds awarded a GNPO label attract increased inflows, particularly top-performing, smaller and institutionally targeted funds, although the effect is short-lived. Furthermore, investors react positively to new labelling information, whether from GNPO labels or the Sustainable Finance Disclosure Regulation classification, even when prior certifications already exist. These findings suggest that GNPO labels serve as salient and credible signals, highlighting their influence on investor behaviour.</p>\u0000 </div>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"727-755"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148238244","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 Mandatory Carbon Disclosure Regulation on Operating Lease Activities 强制性碳披露法规对经营租赁活动的影响
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 Epub Date: 2025-10-30 DOI: 10.1111/eufm.70031
Maria-Eleni K. Agoraki, Chen Huang, Tam D. Nguyen, Yu Zhang
{"title":"The Impact of Mandatory Carbon Disclosure Regulation on Operating Lease Activities","authors":"Maria-Eleni K. Agoraki,&nbsp;Chen Huang,&nbsp;Tam D. Nguyen,&nbsp;Yu Zhang","doi":"10.1111/eufm.70031","DOIUrl":"https://doi.org/10.1111/eufm.70031","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines whether mandatory carbon disclosure influences firms' financing strategies. Using the 2010 implementation of the U.S. Greenhouse Gas Reporting Program (GHGRP) as a regulatory shock, we find that affected firms increase their use of operating leases. This shift reflects a strategic response to transition risk, allowing firms to preserve financial flexibility and avoid long-term capital commitments. We identify three channels through which GHGRP impacts leasing behaviour, institutional investor pressure, increased financial constraints, and reduced investment in fixed assets. Our findings enhance understanding of how environmental regulation influences corporate capital structure and asset financing decisions.</p></div>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"756-778"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148238243","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 Does the NSFR Regulatory Constraint Affect Profitability and Lending? Evidence From EU Banks NSFR监管约束如何影响盈利能力和贷款？来自欧盟银行的证据
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 Epub Date: 2025-10-31 DOI: 10.1111/eufm.70032
Paolo Agnese, Andrea Delle Foglie, Pasqualina Porretta, Fabrizio Santoboni
{"title":"How Does the NSFR Regulatory Constraint Affect Profitability and Lending? Evidence From EU Banks","authors":"Paolo Agnese,&nbsp;Andrea Delle Foglie,&nbsp;Pasqualina Porretta,&nbsp;Fabrizio Santoboni","doi":"10.1111/eufm.70032","DOIUrl":"https://doi.org/10.1111/eufm.70032","url":null,"abstract":"<p>This paper analyzes the relationship between long-term liquidity regulatory constraints, profitability, and lending activities in the EU banking sector. In particular, we examine how Net Stable Funding Ratio (<i>NSFR</i>) liquidity requirements impact the profitability and the core banking activities of 187 banks. Our findings reveal that higher <i>NSFR</i> levels improve profitability and asset quality over time rather than immediately. Additionally, <i>NSFR</i> supports loan growth, highlighting the duality of the Basel III liquidity requirement as a prudential constraint and a performance driver. This study highlights that well-calibrated liquidity regulations can strengthen the financial system while ensuring a stable credit supply.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"779-790"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.70032","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148238249","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
Do Major Customers Affect Firms' Environmental, Social and Governance Activities? 大客户是否影响企业的环境、社会和治理活动？
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 Epub Date: 2025-12-07 DOI: 10.1111/eufm.70040
Feng Dong, John A. Doukas, Stephanie Walton, Rongyao Gloria Zhang, Yiyang Zhang
{"title":"Do Major Customers Affect Firms' Environmental, Social and Governance Activities?","authors":"Feng Dong,&nbsp;John A. Doukas,&nbsp;Stephanie Walton,&nbsp;Rongyao Gloria Zhang,&nbsp;Yiyang Zhang","doi":"10.1111/eufm.70040","DOIUrl":"https://doi.org/10.1111/eufm.70040","url":null,"abstract":"<p>We examine the role of major customers in shaping firms' environmental, social and governance (ESG) practices. We find that firms with major customer relationships undertake fewer ESG activities compared to those without such ties. The association is attenuated when institutional ownership is high, firms are less diversified, customers exhibit greater bankruptcy risk and lower switching costs and during periods of elevated equity market sentiment. Taken together, our findings highlight that reliance on a concentrated customer base can weaken firms’ incentives to engage in ESG practices, with important implications for supply chain sustainability.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"946-969"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.70040","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148237549","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
ESG Thematic Bonds in Emerging Markets: Risk, Uncertainty, and Ambiguity 新兴市场的ESG主题债券：风险、不确定性和模糊性
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 Epub Date: 2025-12-23 DOI: 10.1111/eufm.70041
Nebojsa Dimic, Vanja Piljak, Laurens Swinkels, Milos Vulanovic
{"title":"ESG Thematic Bonds in Emerging Markets: Risk, Uncertainty, and Ambiguity","authors":"Nebojsa Dimic,&nbsp;Vanja Piljak,&nbsp;Laurens Swinkels,&nbsp;Milos Vulanovic","doi":"10.1111/eufm.70041","DOIUrl":"https://doi.org/10.1111/eufm.70041","url":null,"abstract":"<p>We examine the impact of risk aversion, ambiguity, and uncertainty (geopolitical and economic) on the ESG thematic bond markets in emerging countries. We analyze ESG sovereign (both USD and local currency denominated) and corporate bond markets on the aggregate and regional levels. Increasing levels of risk aversion and economic uncertainty are associated with significant declines in both ESG thematic sovereign and corporate emerging bond returns. On the contrary, ambiguity exhibits a positive impact on bond market returns. Finally, geopolitical risk shows a significant negative relationship only in certain regions. The comparison between ESG and non-ESG emerging market bonds reveals that uncertainty sources are generally reflected in bond returns in the same way, regardless of the ESG nature of the bonds.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"1005-1040"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.70041","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148238054","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
Asymmetric Relation Between Firm-Level Characteristics and Returns 企业层面特征与收益的不对称关系
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 Epub Date: 2025-11-27 DOI: 10.1111/eufm.70034
Doina C. Chichernea, Haimanot Kassa, Feifei Wang
{"title":"Asymmetric Relation Between Firm-Level Characteristics and Returns","authors":"Doina C. Chichernea,&nbsp;Haimanot Kassa,&nbsp;Feifei Wang","doi":"10.1111/eufm.70034","DOIUrl":"https://doi.org/10.1111/eufm.70034","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper applies quantile regression to reassess the relationship between firm characteristics and future stock returns across the return distribution. Unlike traditional OLS methods, this approach captures heterogeneity and tail-specific dynamics. We show that characteristics such as beta, size, illiquidity and MAX exhibit asymmetry (i.e., sign reversals) across quantiles and that their correlation with return volatility can predict the direction of this asymmetry. The methodology improves out-of-sample forecasting relative to classic Fama-MacBeth regressions, especially for extreme returns and certain firm types. Our findings can inform more targeted investment strategies and highlight the importance of accounting for heterogeneity in cross-sectional analysis.</p>\u0000 </div>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"883-902"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148238197","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 Role of ESG in Shaping the Impact of Financial Development on Banks' Performance ESG在塑造金融发展对银行绩效影响中的作用
IF 3.1 3区 经济学
European Financial Management Pub Date : 2026-06-10 Epub Date: 2025-12-07 DOI: 10.1111/eufm.70037
Noman Arshed, Yassine Bakkar, Marco De Sisto, Mubasher Iqbal, Shajara Ul-Durar
{"title":"The Role of ESG in Shaping the Impact of Financial Development on Banks' Performance","authors":"Noman Arshed,&nbsp;Yassine Bakkar,&nbsp;Marco De Sisto,&nbsp;Mubasher Iqbal,&nbsp;Shajara Ul-Durar","doi":"10.1111/eufm.70037","DOIUrl":"https://doi.org/10.1111/eufm.70037","url":null,"abstract":"<p>This study investigates how financial development, divided into financial markets and financial institutions, affects banks' performance across 93 financially developed countries during the period between 2008 and 2023. The analysis highlights the role of environmental, social and governance readiness as core determinants that reshape financial progress and banking outcomes. On the basis of financial intermediation theory and the broader idea of stakeholder engagement, this study finds that entrepreneurship strengthens bank performance, internet usage negatively affects it, and mobile usage shows a negative effect in the case of financial institutions but a positive impact when financial markets are considered.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"32 3","pages":"932-945"},"PeriodicalIF":3.1,"publicationDate":"2026-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.70037","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148237550","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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