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Going Green: Effect of green bond issuance on corporate debt financing costs 走向绿色发行绿色债券对企业债务融资成本的影响
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-10-11 DOI: 10.1016/j.najef.2024.102299
{"title":"Going Green: Effect of green bond issuance on corporate debt financing costs","authors":"","doi":"10.1016/j.najef.2024.102299","DOIUrl":"10.1016/j.najef.2024.102299","url":null,"abstract":"<div><div>This paper investigates the influence of green bond (GB) issuance on the credit spread of non-green bonds (NGBs) issued by the same firm. Based on Chinese bond market data from 2013 to 2021, our results show that GB issuers experience a decline in NGB credit spreads after issuing GBs, indicating that “going green” can lower corporate debt financing costs. This beneficial effect is more salient among firms with lower bond liquidity, supporting the “bond liquidity story” that investors anticipate increased bond liquidity following GB issuance and thus charge lower credit spreads. In contrast, we find limited evidence for alternative explanations such as the “default risk story,” “halo effect story,” or “information asymmetry story.” Our research highlights the financial benefits of GB issuance and contributes to related literature on the economic implications of green finance. The findings also offer valuable insights for policymakers and corporate executives seeking to promote sustainable investment.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142445172","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
Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system 中国原油期货与石化相关商品期货的多尺度动态相互依存关系：产业链体系的综合视角
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-10-04 DOI: 10.1016/j.najef.2024.102296
{"title":"Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system","authors":"","doi":"10.1016/j.najef.2024.102296","DOIUrl":"10.1016/j.najef.2024.102296","url":null,"abstract":"<div><div>This paper examines the coupling of China’s petrochemical-related commodity futures from the perspective of an integrated system as well as the multiscale interdependency between this system and Shanghai crude oil futures (SCM) with two globally influential benchmarks, i.e., Brent and WTI, as comparisons. Our methods innovatively build on the multifractal theory and provide in-depth analysis across various time scales. The results show the dynamic coupling of China’s oil industry chain system (ICS) can reflect its level of systemic risk concentration well. The greater the time scale, the stronger the coupling. The abrupt deterioration of the external economic environment enhanced the impact of crude oil on the ICS, but the impact from SCM increased the most. Furthermore, the higher dependency preference of ICS for SCM confirms the effectiveness of this emerging futures market in reflecting domestic oil supply and demand but continuously weakens as the time scale increases, indicating the dominance of Brent and WTI in the long run.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425750","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
Momentum mechanisms under heterogeneous beliefs 异质信念下的动量机制
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-10-01 DOI: 10.1016/j.najef.2024.102262
{"title":"Momentum mechanisms under heterogeneous beliefs","authors":"","doi":"10.1016/j.najef.2024.102262","DOIUrl":"10.1016/j.najef.2024.102262","url":null,"abstract":"<div><div>We establish a continuous-time heterogeneous beliefs model to discuss the mechanisms of Momentum and Reversal. Price learning, information transmission and extrapolative expectation are incorporated into a unified framework for the Momentum and Reversal. The calibration results from SP500 show that the presence of Extrapolators and Information-driven Traders are important influences of Momentum and Reversal in all phases. We also find that momentum and reversal become significantly stronger as belief weights approach true belief weights.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425832","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
Multiscale tail risk integration between safe-haven assets and Africa’s emerging equity market 避险资产与非洲新兴股票市场之间的多尺度尾部风险整合
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-30 DOI: 10.1016/j.najef.2024.102294
{"title":"Multiscale tail risk integration between safe-haven assets and Africa’s emerging equity market","authors":"","doi":"10.1016/j.najef.2024.102294","DOIUrl":"10.1016/j.najef.2024.102294","url":null,"abstract":"<div><div>This study examines the multiscale tail risk integration between safe-haven assets and top equity markets in Africa (South Africa, Kenya, Egypt, Ghana, Nigeria, Botswana, Zambia, and Morocco) as well as portfolio implications. We further investigate the role of global economic factors in these relationships by employing Conditional Autoregressive Value at Risk and Complete Ensemble Empirical Mode Decomposition with Adaptive Noise-based TVP-VAR with data spanning from January 2010 to September 2024. Our findings show that while the equity market in South Africa is a net transmitter of tail risk spillovers, the rest of the equity markets are net receivers. They also reveal that while gold and silver transmit significant shocks to the other assets, Bitcoin receives considerable shocks from the other assets. We conclude that global economic factors and spillovers from safe-haven assets significantly affect the tail risk exposures of Africa’s equity markets. Our findings have significant implications for investment decision-making.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425749","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
Introducing a novel fragility index for assessing financial stability amid asset bubble episodes 引入新的脆弱性指数，评估资产泡沫事件中的金融稳定性
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-24 DOI: 10.1016/j.najef.2024.102291
{"title":"Introducing a novel fragility index for assessing financial stability amid asset bubble episodes","authors":"","doi":"10.1016/j.najef.2024.102291","DOIUrl":"10.1016/j.najef.2024.102291","url":null,"abstract":"<div><div>This paper is devoted to the development of an innovative fragility index designed to capture comprehensively the dynamics of financial stability during periods characterized by asset bubbles. Utilizing a multifaceted methodological framework, the study begins by identifying bubble occurrences and calculating the delta CoVaR systemic risk metric. Building on established macroeconomic methodologies, we then propose an indicator to quantify the impact of financial bubbles on the stability of an emerging market. Specifically, we construct two coincident indicators based on daily observations of financial stability for the twenty most liquid Romanian companies. The first indicator is derived from the delta CoVaR values of these companies, while the second is computed using the residuals of a model that employs the same financial stability metric as the dependent variable, with a binary variable representing the presence of asset bubbles as the explanatory factor. This second coincident indicator tracks financial stability in the absence of bubble effects. The disparity between these two indicators forms the basis for the creation of an index, termed the “bubble fragility index,” which measures the overall susceptibility of financial stability to asset bubbles. In the context of the Romanian market, this study demonstrates that periods marked by asset bubbles are associated with elevated systemic risks. Our findings indicate that the presence of bubbles significantly intensifies financial risk factors, creating conditions conducive to severe market corrections and economic downturns. We identify specific intervals during which fragility reaches peak levels, including June to September 2018, December 2018 to March 2019, March 2020, and March 2022.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425748","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
ESG risk, economic policy uncertainty, and the downside risk: Evidence from US firms 环境、社会和公司治理风险、经济政策不确定性和下行风险：来自美国公司的证据
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-24 DOI: 10.1016/j.najef.2024.102293
{"title":"ESG risk, economic policy uncertainty, and the downside risk: Evidence from US firms","authors":"","doi":"10.1016/j.najef.2024.102293","DOIUrl":"10.1016/j.najef.2024.102293","url":null,"abstract":"<div><div>This study investigates the relationship between risk factors of Environmental, Social, and Governance (ESG) and the downside risk of U.S. firms and tackles the role of economic policy uncertainty (EPU) in this relationship. Our results show that the downside risk of firms, as measured by value-at-risk and lower partial moment, is positively affected by ESG risk scores, and that this effect becomes more pronounced as EPU rises. These results are robust to two other alternative measures of ESG risk. We argue that enhancing ESG management and adaptability to economic uncertainty is crucial for aligning with sustainable development goals. Our findings provide valuable insights for U.S. firms, investors, and policymakers looking to navigate the evolving risk landscape.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425791","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
A common component of Fama and French factor variances 法马因子和法国因子方差的共同成分
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-24 DOI: 10.1016/j.najef.2024.102292
{"title":"A common component of Fama and French factor variances","authors":"","doi":"10.1016/j.najef.2024.102292","DOIUrl":"10.1016/j.najef.2024.102292","url":null,"abstract":"<div><div>This is the first study that explicitly explores the risk of the Fama and French equity factors in terms of their realized variances. Our results show that realized factor variances exhibit strong power-law behavior. A striking commonality is that the power-law exponents are close to α ≈ 2 regardless of which factor variance is analyzed. Notably, our novel joint test designed to test Mandelbrot’s infinite variance hypothesis in the cross-section of realized factor variances shows that the null hypothesis of α = 1.9 cannot be rejected, which further corroborates the evidence that (a) there exist a common component governing factor variance risk, and (b) factor variance risk is statistically undefined. Further evidence derived from co-fractality analysis shows that (c) risk diversification appears to be very limited as factor variances tend to exhibit power-law behavior coincidently. We argue that our study has several theoretical and practical implications—especially due to the fact that factor investing reached $5 trillion in assets under management.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425833","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
Sources of CEO power and firm mergers & acquisitions——Evidence from Chinese listed family firms CEO权力来源与企业并购--来自中国上市家族企业的证据
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-19 DOI: 10.1016/j.najef.2024.102290
{"title":"Sources of CEO power and firm mergers & acquisitions——Evidence from Chinese listed family firms","authors":"","doi":"10.1016/j.najef.2024.102290","DOIUrl":"10.1016/j.najef.2024.102290","url":null,"abstract":"<div><div>Since the announcement of China’s dual circulation strategy, family firms’ participation in mergers and acquisitions (M&amp;As) has been prevalent. This paper investigates the impacts of family CEOs on firm M&amp;As and further explains how family CEOs affect firm M&amp;A performance by reducing agency costs and enhancing internal control quality. We find that listed family firms controlled by family CEOs have better M&amp;A performance than family firms controlled by non-family CEOs, and this effect is more profound for firms located in coastal areas or regions with low levels of social trust and equity restrictions. Our research provides an important reference for coordination between family business governance and firm performance.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142318698","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
Re-examining China and the u.s.’s respective green bond markets in extreme conditions: Evidence from quantile connectedness 重新审视极端条件下中国和美国各自的绿色债券市场：量子关联性的证据
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-17 DOI: 10.1016/j.najef.2024.102286
{"title":"Re-examining China and the u.s.’s respective green bond markets in extreme conditions: Evidence from quantile connectedness","authors":"","doi":"10.1016/j.najef.2024.102286","DOIUrl":"10.1016/j.najef.2024.102286","url":null,"abstract":"<div><p>This study explores the role of green bonds in mitigating risks during extreme conditions, considering China and the US’ robust green bond markets and global risk events. It analyzes the interconnectedness of green bonds with other sectors like conventional bonds, equities, crude oil, and monetary policy. Using the quantile connectedness approach, it reveals how stabilized green bond markets in both countries act as hedges during extreme situations. By examining time-varying spillover effects, it identifies commonalities and differences in linkages between green bond markets and other sectors. These findings endorse green bonds’ integration into finance and hold implications for enhancing portfolio management and risk models.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142272568","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
Unveiling the crypto-green nexus: A risk management and investment strategy approach through the lens of NFTs, DeFis, green cryptocurrencies, and green investments 揭开加密货币与绿色关系的神秘面纱：从 NFT、DeFis、绿色加密货币和绿色投资的角度看风险管理和投资战略方法
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-13 DOI: 10.1016/j.najef.2024.102289
{"title":"Unveiling the crypto-green nexus: A risk management and investment strategy approach through the lens of NFTs, DeFis, green cryptocurrencies, and green investments","authors":"","doi":"10.1016/j.najef.2024.102289","DOIUrl":"10.1016/j.najef.2024.102289","url":null,"abstract":"<div><p>This study focuses to examine the connectedness among the Green Investments, NFTs, DeFis &amp; Green Cryptocurrencies, along with the portfolio diversification and hedging potential of the Green Investment against the other investments. We examined the connectedness using the Quantile VAR and Wavelet Quantile Correlation method, indicating the existence of the partial connectedness among the selected assets. The connectedness among the assets changes due to change in global uncertainty caused by Covid-19 and Russia-Ukraine war. The green investment offers the hedging benefits to other green investment. Among all crypto assets, Dai serve as a good hedge for the green investment and other crypto assets. MCoP is best performing portfolio with Sharpe ratio, followed by MCP. However, the investment as per MCoP and MCP approaches increases the volatility of green assets. Further, the hedging benefits are varying with the changing global dynamics. None of the approach gives positive cumulative return and Sharpe ratio to the investors during the Russia-Ukraine war period. Our study has implications for the investors and portfolio managers with respect to portfolio framing and fund allocation.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142266330","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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