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Mortgage rates and credit risk: Evidence from mortgage pools 抵押贷款利率和信贷风险：来自抵押贷款池的证据
IF 2.1 3区 经济学
European Financial Management Pub Date : 2024-04-03 DOI: 10.1111/eufm.12486
Gaetano Antinolfi, Celso Brunetti, Jay Im
{"title":"Mortgage rates and credit risk: Evidence from mortgage pools","authors":"Gaetano Antinolfi,&nbsp;Celso Brunetti,&nbsp;Jay Im","doi":"10.1111/eufm.12486","DOIUrl":"10.1111/eufm.12486","url":null,"abstract":"<p>In the 1990s, securitised subprime loans supported the growth of mortgage lending. We study the evolution of initial mortgage rates as a function of loan and borrower characteristics during 1992–2015. We compare the evolution of initial rates on securitised subprime mortgages with rates of prime privately securitised mortgages, mortgages securitised by government-sponsored enterprises, and nonsecuritised mortgages. Starting in 2003 the risk premium on subprime loans decreases until it disappears at the onset of the Global Financial Crisis. We find that loading factors on subprime rates are cointegrated with delinquencies and house price movements, providing evidence of the important role of the subprime market.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 5","pages":"2658-2681"},"PeriodicalIF":2.1,"publicationDate":"2024-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140578706","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
Can quantitative investment improve market efficiency?—Evidence from China 量化投资能否提高市场效率？
IF 2.1 3区 经济学
European Financial Management Pub Date : 2024-03-30 DOI: 10.1111/eufm.12485
Ruiqing Hu, Wang Xiang, Weinan Zheng, Keyu Zhou
{"title":"Can quantitative investment improve market efficiency?—Evidence from China","authors":"Ruiqing Hu,&nbsp;Wang Xiang,&nbsp;Weinan Zheng,&nbsp;Keyu Zhou","doi":"10.1111/eufm.12485","DOIUrl":"10.1111/eufm.12485","url":null,"abstract":"<p>We investigate the impact of quantitative investment on market efficiency in China. We provide an illustrative model to show that quantitative investment enhances market efficiency. Empirically, we conduct both time-series and cross-sectional analysis. Regarding the time series dimension, we construct <i>QuantDegree</i> to measure the level of quantitative investment. We find that the performance of most anomalies decreases as <i>QuantDegree</i> increases. In the cross-sectional dimension, we sort stocks into portfolios based on quant fund holdings and traditional anomalies. We find the anomaly return is lower within the groups with higher quant fund holdings, a result further confirmed by Fama–MacBeth regressions.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 5","pages":"2628-2657"},"PeriodicalIF":2.1,"publicationDate":"2024-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140361931","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
Geopolitical risk and global green bond market growth 地缘政治风险与全球绿色债券市场增长
IF 2.1 3区 经济学
European Financial Management Pub Date : 2024-03-25 DOI: 10.1111/eufm.12484
Charilaos Mertzanis, Imen Tebourbi
{"title":"Geopolitical risk and global green bond market growth","authors":"Charilaos Mertzanis,&nbsp;Imen Tebourbi","doi":"10.1111/eufm.12484","DOIUrl":"10.1111/eufm.12484","url":null,"abstract":"<p>Using individual transaction data, we investigate how geopolitical risk influences green bond issuance across 73 countries during 2008–2021. We consider deal characteristics, as well as economic and institutional factors. We find a positive association between geopolitical risk and green bond issuance. The effect shows nonlinearity and time delays. Our findings remain robust after conducting sensitivity and endogeneity analysis. After decomposing the geopolitical risk index, we discover that all its components have positive correlations with green bond issuance. Lastly, our study highlights the crucial role of the underwriters' network and specific geopolitical jurisdictions as drivers for global green bond market expansion.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"31 1","pages":"26-71"},"PeriodicalIF":2.1,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12484","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140301436","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
Bond return predictability: Macro factors and machine learning methods 债券回报的可预测性：宏观因素和机器学习方法
IF 2.1 3区 经济学
European Financial Management Pub Date : 2024-03-12 DOI: 10.1111/eufm.12483
Ying Jiang, Xiaoquan Liu, Yirong Liu, Fumin Zhu
{"title":"Bond return predictability: Macro factors and machine learning methods","authors":"Ying Jiang,&nbsp;Xiaoquan Liu,&nbsp;Yirong Liu,&nbsp;Fumin Zhu","doi":"10.1111/eufm.12483","DOIUrl":"10.1111/eufm.12483","url":null,"abstract":"<p>We investigate the impact of macroeconomic variables on bond risk premia prediction via machine learning techniques. On the basis of Chinese treasury bonds from March 2006 to December 2022, we show that adding macroeconomic factors improves bond return forecasts and generates higher economic benefits to investors. This is achieved when the nonlinear relationship between macroeconomic variables and bond returns is modelled via machine learning methods. Furthermore, the importance of macroeconomic determinants changes along the yield curve. Our study sheds new light on the information contained in macroeconomic variables for treasury bond valuation and highlights the importance of utilizing appropriate machine learning methods.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 5","pages":"2596-2627"},"PeriodicalIF":2.1,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140249563","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
Issue Information: European Financial Management 2/2024 发行信息：欧洲财务管理 2/2024
IF 2.2 3区 经济学
European Financial Management Pub Date : 2024-03-04 DOI: 10.1111/eufm.12433
{"title":"Issue Information: European Financial Management 2/2024","authors":"","doi":"10.1111/eufm.12433","DOIUrl":"https://doi.org/10.1111/eufm.12433","url":null,"abstract":"","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 2","pages":"673"},"PeriodicalIF":2.2,"publicationDate":"2024-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12433","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140031896","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
Spillover in higher-order moments across carbon and energy markets: A portfolio view 碳和能源市场高阶矩的溢出效应：组合观点
IF 2.1 3区 经济学
European Financial Management Pub Date : 2024-02-08 DOI: 10.1111/eufm.12482
Rizwan Ahmed, Elie Bouri, Seyedmehdi Hosseini, Syed J. Hussain Shahzad
{"title":"Spillover in higher-order moments across carbon and energy markets: A portfolio view","authors":"Rizwan Ahmed,&nbsp;Elie Bouri,&nbsp;Seyedmehdi Hosseini,&nbsp;Syed J. Hussain Shahzad","doi":"10.1111/eufm.12482","DOIUrl":"10.1111/eufm.12482","url":null,"abstract":"<p>Motivated by the occurrence of extreme events and nonnormality of returns, we examine the spillovers among the conditional volatility, skewness and (excess) kurtosis of European Union allowances (EUA), Brent oil, natural gas, coal, electricity and clean energy markets. The jointly estimated spillover index in the system of the three higher-order moments is notably high, exceeding the spillover index estimated for each individual moment separately. This suggests that spillovers across moments in the carbon-energy system are important for the sake of completeness of the spillover analysis, and should not be ignored. The performance of the portfolio improves after considering higher-order moments.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 5","pages":"2556-2595"},"PeriodicalIF":2.1,"publicationDate":"2024-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12482","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139772566","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
Sustainability, climate change and financial innovation: Future research directions 可持续性、气候变化和金融创新：未来研究方向
IF 2.2 3区 经济学
European Financial Management Pub Date : 2024-02-01 DOI: 10.1111/eufm.12481
Douglas Cumming, Hisham Farag, Sofia Johan
{"title":"Sustainability, climate change and financial innovation: Future research directions","authors":"Douglas Cumming,&nbsp;Hisham Farag,&nbsp;Sofia Johan","doi":"10.1111/eufm.12481","DOIUrl":"10.1111/eufm.12481","url":null,"abstract":"","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 2","pages":"675-679"},"PeriodicalIF":2.2,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139879374","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 influence of initial sponsor backing on post-IPO acquisition activity 初始赞助商支持对上市后收购活动的影响
IF 2.1 3区 经济学
European Financial Management Pub Date : 2024-01-26 DOI: 10.1111/eufm.12480
Mattheo Kaufmann, Sascha Kolaric, Lennart Walter
{"title":"The influence of initial sponsor backing on post-IPO acquisition activity","authors":"Mattheo Kaufmann,&nbsp;Sascha Kolaric,&nbsp;Lennart Walter","doi":"10.1111/eufm.12480","DOIUrl":"10.1111/eufm.12480","url":null,"abstract":"<p>We investigate the impact of financial sponsor backing [venture capital (VC) or private equity (PE)] on post-initial public offerings (IPO) acquisition strategies of newly public companies. We find that PE-backed newly public firms undertake nearly three times more acquisitions than VC-backed ones and almost twice as many as non-backed firms, indicating that acquisitions are a primary growth strategy for PEs. This result remains robust after addressing potential endogeneity concerns. Additionally, PE syndicate-backed firms engage in transformative acquisitions, proxied by size, while VC-backed firms prioritise organic growth through R&amp;D spending. Moreover, PE-backed acquirers experience significant positive long-run post-IPO stock returns, unlike VC-backed acquirers.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 5","pages":"2503-2555"},"PeriodicalIF":2.1,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12480","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139579469","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
The impact of credit reforms on bank loans and firm leverage around the world 信贷改革对全球银行贷款和企业杠杆率的影响
IF 2.1 3区 经济学
European Financial Management Pub Date : 2024-01-22 DOI: 10.1111/eufm.12477
Halit Gonenc, Floris Jansen, Mario Hernandez Tinoco, Milos Vulanovic
{"title":"The impact of credit reforms on bank loans and firm leverage around the world","authors":"Halit Gonenc,&nbsp;Floris Jansen,&nbsp;Mario Hernandez Tinoco,&nbsp;Milos Vulanovic","doi":"10.1111/eufm.12477","DOIUrl":"10.1111/eufm.12477","url":null,"abstract":"<p>This study examines how credit reforms impact commercial bank loans and nonfinancial firms' debt. Using two international samples for commercial banks and nonfinancial firms from 2004 to 2019, we find that global information-sharing reforms encourage banks to increase corporate loans, thus improving firm debt financing, particularly in countries with weak creditor rights. Legal rights reforms significantly boost corporate bank loans in emerging countries and enhance firms' debt financing in developed countries. Our findings suggest credit reforms positively impact firms' financing; however, their effects on debt financing supply and demand vary by economic development level and the strength of creditor rights.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 5","pages":"2449-2502"},"PeriodicalIF":2.1,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12477","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139517223","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
Option compensation, dynamic investment and capital structure 期权补偿、动态投资和资本结构
IF 2.1 3区 经济学
European Financial Management Pub Date : 2024-01-20 DOI: 10.1111/eufm.12478
Liu Gan, Xin Xia, Hai Zhang
{"title":"Option compensation, dynamic investment and capital structure","authors":"Liu Gan,&nbsp;Xin Xia,&nbsp;Hai Zhang","doi":"10.1111/eufm.12478","DOIUrl":"10.1111/eufm.12478","url":null,"abstract":"<p>We develop a dynamic trade-off model of managerial discretion to investigate how stock option compensation relates to managers' intertwined capital structure and dynamic investment decisions. Our model predicts that option grants provide managers with incentives to undertake both current and future investments, in sharp contrast to the effects of stock compensation. With an increase in option compensation, managers in low- (high-) risk firms tend to increase (decrease) firm leverage, while the opposite is true when stock pay increases. This result offers an innovative prospective on the empirical tests of the relationship between option compensation and capital structure.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 4","pages":"2422-2445"},"PeriodicalIF":2.1,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139516678","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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