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ESG investment performance and global attention to sustainability ESG 投资业绩和全球对可持续发展的关注
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-12 DOI: 10.1016/j.najef.2024.102287
{"title":"ESG investment performance and global attention to sustainability","authors":"","doi":"10.1016/j.najef.2024.102287","DOIUrl":"10.1016/j.najef.2024.102287","url":null,"abstract":"<div><p>We analyze ESG-based investments in stocks across 23 developed markets using daily data from 2004 to 2022. The findings suggest a weak relationship between the ESG ratings and expected returns, with some evidence of modest underperformance of high ESG stocks compared to lower-rated ones in specific periods. This outcome indicates that stock prices have already reflected ESG information, and well-known asset pricing factors can effectively capture the returns of portfolios based on ESG ratings. However, the strength of this relationship depends on global attention to sustainability, where high ESG-rated stocks tend to gain advantages during unexpected attention increases, highlighting the dynamic, nonlinear nature of this relationship.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062940824002122/pdfft?md5=f2467fdde9d4ef5a45a049767cd85053&pid=1-s2.0-S1062940824002122-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142232409","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
Hedge funds network and stock price crash risk 对冲基金网络与股价暴跌风险
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-12 DOI: 10.1016/j.najef.2024.102288
{"title":"Hedge funds network and stock price crash risk","authors":"","doi":"10.1016/j.najef.2024.102288","DOIUrl":"10.1016/j.najef.2024.102288","url":null,"abstract":"<div><p>Utilizing a dataset from 2013 to 2022 on China’s listed companies, we explored whether a hedge fund network could help explain the occurrence of Chinese stock crash. First, this study constructs a hedge fund network based on common holdings. Then, from the perspective of network centrality, we explore the impact of hedge fund network on stock crash risk and its mechanisms. Our findings suggest that companies with greater network centrality experience lower stock crash risk. Such results remain valid after alternating measures, using the propensity score matching method, and excluding other network effects. We further document that the centrality of hedge fund network reduces crash risk through two channels: information asymmetry and governance monitoring. In addition, the negative impact of hedge fund network centrality on stock crash risk is more pronounced for non-SOEs firms. In summary, our research shed light on the important role of hedge fund information network in curbing stock crash.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142242212","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
Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds 谁更聪明？对冲基金和共同基金极端金融风险传染的证据
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-07 DOI: 10.1016/j.najef.2024.102283
{"title":"Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds","authors":"","doi":"10.1016/j.najef.2024.102283","DOIUrl":"10.1016/j.najef.2024.102283","url":null,"abstract":"<div><p>We investigate the extreme risk contagion of hedge funds and mutual funds, thereby comparing their performance, and studying whether hedge funds are smarter than mutual funds or vice versa. We construct the Copula-CoVaR model to measure the dynamic and nonlinear extreme risk contagion of hedge funds and mutual funds from January 1994 to April 2020. Our findings suggest that compared with mutual funds, hedge funds are subject to lower extreme risk contagion and offer higher average returns. This outperformance is robust in different crisis periods. Moreover, although almost all types of hedge funds outperform mutual funds, the characteristics of hedge funds have a different impact on the outperformance. Specifically, hedge funds adopting strategies of long/short equity hedge, event-driven, funds of funds, emerging markets, equity market neutral, multi-strategy, and global macro, funds with moderate activism, and illiquid hedge funds are smarter than mutual funds from the perspective of extreme risk contagion.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142172098","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
Overconfident investors, Predictable Returns, and optimal consumption-portfolio rules 过度自信的投资者、可预测回报和最优消费组合规则
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-06 DOI: 10.1016/j.najef.2024.102284
{"title":"Overconfident investors, Predictable Returns, and optimal consumption-portfolio rules","authors":"","doi":"10.1016/j.najef.2024.102284","DOIUrl":"10.1016/j.najef.2024.102284","url":null,"abstract":"<div><p>In a market characterized by partial information, we delve into the influence of overconfidence on individual optimal consumption and portfolio decisions. To address this, we tackle the max–min expected utility problem, which allows us to derive the optimal consumption and portfolio rules. Solving this problem yields two higher-order nonlinear partial differential equations that capture the scaled deterministic equivalent wealth − a key component for evaluating the value function and quantifying welfare loss. This paper presents an alternative theoretical perspective on the phenomena of underconsumption or overinvestment, attributing these behaviors to the overconfidence bias. Our model forecasts that overconfidence bias leads to an excessive allocation to risky assets and a reduction in consumption, thereby inevitably resulting in a certain degree of welfare loss. Moreover, it provides a cohesive theoretical framework to explain stock return puzzles, such as the momentum and reversal effects, within a structured model. Significantly, we discover that the conditional Sharpe ratio adheres to a mean-reverting process. These insights indicate that overconfidence bias significantly influences individual behavior, which in turn has a profound impact on return anomalies.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062940824002092/pdfft?md5=33f81086d4dcfaae4fcdbb8e38ddd78c&pid=1-s2.0-S1062940824002092-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142163419","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
Multi-asset bubbles equilibrium price dynamics 多资产泡沫均衡价格动力学
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-05 DOI: 10.1016/j.najef.2024.102281
{"title":"Multi-asset bubbles equilibrium price dynamics","authors":"","doi":"10.1016/j.najef.2024.102281","DOIUrl":"10.1016/j.najef.2024.102281","url":null,"abstract":"<div><p>The price-bubble and crash formation process is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based models, where agents are distinguished in terms of factor and investment trading strategies. In line with experimental results, we show that assets with a positive average dividend, i.e., with a strictly declining fundamental value, display at the equilibrium price the typical hump-shaped bubble observed in experimental asset markets. Moreover, a misvaluation effect is observed in the asset with a constant fundamental value, triggered by the other asset that displays the price bubble shape when a sharp price decline is exhibited at the end of the market.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142148768","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
Cross-border ESG rating dynamics: An in-depth connectedness analysis of portfolio returns and volatilities in the USA and Canada 跨境环境、社会和公司治理评级动态：美国和加拿大投资组合回报和波动率的深度关联分析
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-09-02 DOI: 10.1016/j.najef.2024.102282
{"title":"Cross-border ESG rating dynamics: An in-depth connectedness analysis of portfolio returns and volatilities in the USA and Canada","authors":"","doi":"10.1016/j.najef.2024.102282","DOIUrl":"10.1016/j.najef.2024.102282","url":null,"abstract":"<div><p>This study uses a time-varying parameter vector autoregression (TVP-VAR) model to examine the dynamic relationship between rating changes and portfolio returns in the US and Canada across the environmental (E), social (S), governance (G) and total ESG assessment pillars. The analysis includes both return and volatility spillovers and covers the period from March 2009 to October 2022. The study reveals a fluctuating pattern of connectedness, influenced by global financial events, such as the 2008 financial crisis. In particular, the US shows higher levels of connectedness. Rating changes, particularly in the ESG dimension, show stronger spillovers than returns, highlighting their importance in portfolio construction. The study further explores net connectedness profiles, identifying ESG rating changes as net transmitters. The results suggest that investors should prioritize rating changes over returns, highlighting the importance of considering ESG factors in portfolio management, especially the social criterion, to mitigate investment risks. The research contributes to the understanding of ESG dynamics in international equity markets and provides valuable insights for investors and market regulators.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142148941","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
Time-varying risk aversion and international stock returns 时变风险规避与国际股票回报率
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-08-30 DOI: 10.1016/j.najef.2024.102271
{"title":"Time-varying risk aversion and international stock returns","authors":"","doi":"10.1016/j.najef.2024.102271","DOIUrl":"10.1016/j.najef.2024.102271","url":null,"abstract":"<div><p>We estimate aggregate, time-varying risk aversion inferred from options, stock returns and macroeconomic data for a panel of 8 countries. We document that, for most countries, the estimated risk aversion measure is counter-cyclical. Moreover, we show that estimated risk aversion forecasts monthly stock index returns up to 12 months ahead. This effect is statistically significant in panel regressions, and it survives the inclusion of additional control variables, such as an estimated of the variance risk premium, an investors’ sentiment index, and a measure of economic uncertainty. Finally, we show that risk aversion provides useful information to an investor who aims at timing the market. An investment strategy that uses the estimated time-varying risk aversion measure to solve a mean–variance asset allocation problem, delivers significantly positive returns.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142098951","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 finance in production and international trade 金融在生产和国际贸易中的作用
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-08-29 DOI: 10.1016/j.najef.2024.102273
{"title":"The role of finance in production and international trade","authors":"","doi":"10.1016/j.najef.2024.102273","DOIUrl":"10.1016/j.najef.2024.102273","url":null,"abstract":"<div><p>We introduce finance in a neo-classical general equilibrium model of production and international trade to integrate the core microeconomic theory with the theory of finance. The stock of credit, as past savings, finances employment and the acquisition of machines or capital goods. The availability of finance or international financial flows does not affect production or trade patterns, except for nominal factor prices, in undistorted competitive structures. However, distortions such as unemployment, imperfect credit markets, and factor mobility do affect real outcomes and trade. Our results are consistent with contemporary empirical evidence and have policy implications for financial development and institutional quality. Numerical illustrations provide further insights.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142129476","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
Pricing options on the maximum or the minimum of several assets with default risk 对具有违约风险的几种资产的最大值或最小值进行期权定价
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-08-29 DOI: 10.1016/j.najef.2024.102272
{"title":"Pricing options on the maximum or the minimum of several assets with default risk","authors":"","doi":"10.1016/j.najef.2024.102272","DOIUrl":"10.1016/j.najef.2024.102272","url":null,"abstract":"<div><p>This paper presents analytical solutions for options on the maximum or the minimum of several assets with counterparty default risk before maturity, including derivations of several specific Greeks. To derive the solutions, we provide the joint distribution of the minimum value of one Brownian motion and the terminal values of all Brownian motions for correlated multidimensional Brownian motion. We then conduct a numerical analysis to examine the effects of counterparty risk on option prices.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142098950","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
Risk spillovers between Chinese new energy futures and carbon-intensive assets: Asymmetric effect, time–frequency dynamics, and portfolio strategies 中国新能源期货与碳密集型资产之间的风险溢出效应：非对称效应、时频动态和投资组合策略
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2024-08-26 DOI: 10.1016/j.najef.2024.102275
{"title":"Risk spillovers between Chinese new energy futures and carbon-intensive assets: Asymmetric effect, time–frequency dynamics, and portfolio strategies","authors":"","doi":"10.1016/j.najef.2024.102275","DOIUrl":"10.1016/j.najef.2024.102275","url":null,"abstract":"<div><p>This study investigates the asymmetric time–frequency risk spillovers between Chinese new energy futures and carbon-intensive assets by using a time-varying parameter vector autoregressive connectedness approach. The results reveal that, in both the return and volatility spillover cases, industrial silicon futures and lithium carbonate futures generally are the net receivers of risk spillovers as regards the relationships with carbon-intensive sectoral stocks and fossil energy futures. In addition, there exists an asymmetric spillover effect, where spillovers based on bad news are higher than those based on good news. Meanwhile, return and volatility spillovers are extremely intensive in the short term as compared to the medium the long term. Finally, this study develops portfolio strategies by constructing bivariate and multivariate portfolios comprised of new energy futures and carbon-intensive assets. The bivariate portfolio analysis indicates that industrial silicon futures and lithium carbonate futures can well hedge against carbon-intensive sectoral stocks. The multivariate portfolio analysis shows that allocating the smallest share of petrochemical stocks and steel stocks can mitigate investment risks. These findings have important implications for investors and policymakers.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142088792","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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