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Engaged ETFs and firm performance 参与式 ETF 与公司业绩
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-09-26 DOI: 10.1111/eufm.12459
Izidin El Kalak, Robert Hudson, Onur K. Tosun
{"title":"Engaged ETFs and firm performance","authors":"Izidin El Kalak,&nbsp;Robert Hudson,&nbsp;Onur K. Tosun","doi":"10.1111/eufm.12459","DOIUrl":"10.1111/eufm.12459","url":null,"abstract":"<p>Exchange Traded Funds (ETFs) have often tracked indices and charged low fees so their incentives to improve firm performance are questionable although little empirical work has investigated this issue. Theoretically, however, we expect firms to perform better when held by more engaged ETFs. We develop a new measure of engagement using a weighted-average concentration measure which captures the combined effect of the concentration of the portfolios of the ETFs investing in a firm and the ownership of the firm by those ETFs. Using ETFs' investment in US-listed firms for the period 2000–2019, we confirm our expectations that more engaged ETFs improve firm performance.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 3","pages":"1708-1756"},"PeriodicalIF":2.2,"publicationDate":"2023-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12459","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134957886","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 risk dependence between green bonds and financial markets 绿色债券与金融市场之间的极端风险依赖性
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-09-16 DOI: 10.1111/eufm.12458
Sitara Karim, Brian M. Lucey, Muhammad A. Naeem, Larisa Yarovaya
{"title":"Extreme risk dependence between green bonds and financial markets","authors":"Sitara Karim,&nbsp;Brian M. Lucey,&nbsp;Muhammad A. Naeem,&nbsp;Larisa Yarovaya","doi":"10.1111/eufm.12458","DOIUrl":"10.1111/eufm.12458","url":null,"abstract":"<p>The current study investigates the extreme risk dependence between green bonds and financial markets by employing the dual approaches of time-varying optimal copula and extreme risk spillover analysis of dynamic conditional Value-at-Risk. We report significant symmetric (asymmetric) tail-dependent copulas in the upper (lower) tails characterizing independent regimes. Green bonds offer sufficient diversification, safe-haven, and hedging opportunities during stable and distressing times to financial markets. The extreme risk spillovers revealed that COVID-19 transformed the spillovers between green bonds and financial markets except Bitcoin. We proposed insightful implications for policymakers, governments, investors, and portfolio managers to relish the findings for their investment avenues.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 2","pages":"935-960"},"PeriodicalIF":2.2,"publicationDate":"2023-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12458","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135306257","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
Born after the Volcker Rule: Regulatory change, managerial remuneration and hedge fund performance 沃尔克规则之后诞生：监管变化、经理薪酬和对冲基金业绩
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-09-06 DOI: 10.1111/eufm.12457
Michael Bowe, Olga Kolokolova, Lijie Yu
{"title":"Born after the Volcker Rule: Regulatory change, managerial remuneration and hedge fund performance","authors":"Michael Bowe,&nbsp;Olga Kolokolova,&nbsp;Lijie Yu","doi":"10.1111/eufm.12457","DOIUrl":"10.1111/eufm.12457","url":null,"abstract":"<p>Substantial remunerative benefits accrue to managers of new hedge funds launched after the implementation of the Volcker Rule if their previous employer is a large US bank. After the rule, ex-bankers' funds charge higher management fees and receive more flows as compared with other new hedge funds established during the same period. This phenomenon is related to changes in investor perception of the distribution of skills of new fund managers rather than to the actual differences in skills. Ex-bankers' funds are indistinguishable from other funds in terms of performance, risk, and liquidation probability, both before and after the Volcker Rule.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 3","pages":"1668-1707"},"PeriodicalIF":2.2,"publicationDate":"2023-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12457","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135150925","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 4/2023 发行信息：欧洲财务管理4/2023
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-09-05 DOI: 10.1111/eufm.12374
{"title":"Issue Information: European Financial Management 4/2023","authors":"","doi":"10.1111/eufm.12374","DOIUrl":"https://doi.org/10.1111/eufm.12374","url":null,"abstract":"","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"29 4","pages":"1023"},"PeriodicalIF":2.2,"publicationDate":"2023-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/eufm.12374","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50122341","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
Is bitcoin ESG-compliant? A sober look 比特币符合 ESG 标准吗？冷静思考
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-09-01 DOI: 10.1111/eufm.12451
Juliane Proelss, Denis Schweizer, Stéphane Sévigny
{"title":"Is bitcoin ESG-compliant? A sober look","authors":"Juliane Proelss,&nbsp;Denis Schweizer,&nbsp;Stéphane Sévigny","doi":"10.1111/eufm.12451","DOIUrl":"10.1111/eufm.12451","url":null,"abstract":"<p>Much of the media focus surrounding Bitcoin (BTC) has been on the ‘E’ (environmental) element of the ESG investing approach. Given the amount of electricity consumed by BTC mining, and the resulting large carbon emissions, BTC has faced substantial criticism of its overly negative environmental impact, which is critically reviewed in this article. This one-sided discussion, however, ignores the ‘S’ (social) and ‘G’ (governance) elements entirely. To remedy that, we explore BTC's positive impact on the ‘S’ (user satisfaction, data protection and privacy, human rights, and criminal activity), and ‘G’ (accounting integrity and transparency, compensation, and principles of good governance) components.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 2","pages":"680-726"},"PeriodicalIF":2.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135253462","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
Financial uncertainty and stock market volatility 金融不确定性与股市波动
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-08-28 DOI: 10.1111/eufm.12456
Ying Jiang, Xiaoquan Liu, Zhenyu Lu
{"title":"Financial uncertainty and stock market volatility","authors":"Ying Jiang,&nbsp;Xiaoquan Liu,&nbsp;Zhenyu Lu","doi":"10.1111/eufm.12456","DOIUrl":"10.1111/eufm.12456","url":null,"abstract":"<p>This study explores the relation between financial uncertainty and volatility in China. The time variation in financial uncertainty shocks is theoretically closely related to stock return dynamics. Empirically, the financial uncertainty measure is based on a large set of economic and financial variables and captures its unpredictable component. Over the sample period from 2000 to 2021, we find that financial uncertainty positively impacts the trend component of market volatility and that it improves volatility predictions in both statistical and economic terms. Our study sheds new light on the sources driving volatility and the dynamic relation between uncertainty and volatility components.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 3","pages":"1618-1667"},"PeriodicalIF":2.2,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135032967","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
News sentiment and investment efficiency: Evidence from China 新闻情绪与投资效率:来自中国的证据
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-08-25 DOI: 10.1111/eufm.12454
Yuan-Teng Hsu, Min Hua, Heng Liu, Qingren Wang
{"title":"News sentiment and investment efficiency: Evidence from China","authors":"Yuan-Teng Hsu,&nbsp;Min Hua,&nbsp;Heng Liu,&nbsp;Qingren Wang","doi":"10.1111/eufm.12454","DOIUrl":"10.1111/eufm.12454","url":null,"abstract":"<p>This study investigates the impact of media sentiment on firms' investment efficiency in the Chinese market during 2007–2017. We find that increased media sentiment can lead to overinvestment and thus distort investment efficiency, but it has no significant effect on underinvestment. Further, mediation analysis shows that financing constraints mediates the media sentiment effects on overinvestment. To mitigate potential endogenous problems, we employ instrumental variable approach and propensity score matching method. The main findings hold after a battery of robustness tests. Further tests show that corporate governance factors can ameliorate the adverse effect of news sentiment on corporate investment efficiency.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 3","pages":"1587-1617"},"PeriodicalIF":2.2,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42756254","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
CFO pay convexity, risk taking and corporate hedging 首席财务官薪酬凸性、风险承担和公司对冲
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-08-24 DOI: 10.1111/eufm.12455
Massimiliano Barbi, Valentina Febo, Irene Massimiliani
{"title":"CFO pay convexity, risk taking and corporate hedging","authors":"Massimiliano Barbi,&nbsp;Valentina Febo,&nbsp;Irene Massimiliani","doi":"10.1111/eufm.12455","DOIUrl":"10.1111/eufm.12455","url":null,"abstract":"<p>We study how a CFO's risk-taking incentives affect corporate hedging by utilising hand-collected data from 2009 to 2019 on corporate hedging and managerial compensation for a sample of US oil and gas firms. The relative convexity of CFO equity compensation negatively affects the likelihood and extent of hedging. When the CFO and CEO have diverging risk-taking incentives, the relative convexity of the CFO's equity payoff prevails over that of the CEO. This evidence underscores the primary role of the CFO in steering a firm's hedging strategy.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 3","pages":"1545-1586"},"PeriodicalIF":2.2,"publicationDate":"2023-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45065959","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
Cost-effectiveness, fairness and adverse selection in mutual aid 互助中的成本效益、公平与逆向选择
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-08-19 DOI: 10.1111/eufm.12450
Ze Chen, Runhuan Feng, Li Wei, Jiaqi Zhao
{"title":"Cost-effectiveness, fairness and adverse selection in mutual aid","authors":"Ze Chen,&nbsp;Runhuan Feng,&nbsp;Li Wei,&nbsp;Jiaqi Zhao","doi":"10.1111/eufm.12450","DOIUrl":"10.1111/eufm.12450","url":null,"abstract":"<p>Online mutual aid (MA) is a novel form of ex-post risk sharing empowered by InsurTech to provide critical illness coverage without involving an insurer. In this paper, we first provide a rigorous examination of the underpinning theory and analyze MA model's cost-effectiveness. In addition, we theoretically investigate the condition for MA's actuarial fairness among all participants. Our numerical illustration also shows that current MA plans lack the consideration of actuarial fairness as they differentiate members only by gender and age group of large bandwidths. Last, our empirical analysis confirms the existence of adverse selection due to the lack of actuarial fairness.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 3","pages":"1510-1544"},"PeriodicalIF":2.2,"publicationDate":"2023-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44934425","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 ESG activities stabilise IPO prices? Evidence from the Hong Kong stock market ESG活动能否稳定IPO价格?证据来自香港股市
IF 2.2 3区 经济学
European Financial Management Pub Date : 2023-08-17 DOI: 10.1111/eufm.12452
Yaopeng Wang, Morong Xu
{"title":"Can ESG activities stabilise IPO prices? Evidence from the Hong Kong stock market","authors":"Yaopeng Wang,&nbsp;Morong Xu","doi":"10.1111/eufm.12452","DOIUrl":"10.1111/eufm.12452","url":null,"abstract":"<p>This study explores the relationship between economic, social, and governance (ESG) activities and initial public offering (IPO) price stabilisation actions using IPOs listed on the Hong Kong stock exchange between 2004 and 2021 as samples. We find that IPO issuers that actively conduct ESG activities have higher ESG scores, which enhances price stabilisation. Furthermore, ex-ante volatility serves as a potential channel through which ESG activities affect price stabilisation. Providing ethical and economic implications for companies, policymakers, and investors, our findings suggest that ESG activities are vital drivers of price stabilisation.</p>","PeriodicalId":47815,"journal":{"name":"European Financial Management","volume":"30 3","pages":"1460-1509"},"PeriodicalIF":2.2,"publicationDate":"2023-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46798324","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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