North American Journal of Economics and Finance最新文献_第5页

Optimal venture capital entry–exit strategy with jump–diffusion risk

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102359

Si Zuo , Haijun Wang

{"title":"Optimal venture capital entry–exit strategy with jump–diffusion risk","authors":"Si Zuo , Haijun Wang","doi":"10.1016/j.najef.2024.102359","DOIUrl":"10.1016/j.najef.2024.102359","url":null,"abstract":"<div><div>This paper introduces a double exponential jump–diffusion process to model the pre-expansion value of a start-up firm. Within this framework, we present a dynamic model for studying the entry and exit decisions of venture capitalists (VCs). The model returns an analytical solution for the entry trigger, a semi-analytical solution for the exit trigger, the post-money optimum ownership, the (raw) cash multiple and a new time-adjusted version. Significantly, we uncover a direct correlation between the optimal premium upon exit through the trade sale (M&A) and the start-up firm’s value during the M&A offer. Additionally, we theoretically demonstrate that the exit trigger is larger than the value of the start-up firm when the VC makes a M&A offer to the buyer. Our numerical analysis discusses the following empirical implications: (i) postponing the M&A offer results in an increased optimal premium, leading to a strategically delayed divestment. This delay corresponds to an amplified (raw) cash multiple but triggers a notable decrease in the adjusted cash multiple; (ii) considering jump risk enhances the expected investment performance; (iii) the post-money optimum ownership is not influenced by jump risk; (iv) greater uncertainty associated with jump intensity and volatility prompts delayed entry and exit decisions, producing larger cash multiples; (v) a higher VC’s optimism leads to an increased (raw) cash multiple and a decreased adjusted cash multiple.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102359"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143103395","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

Imported risk in global financial markets: Evidence from cross-market connectedness

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2025.102374

Zisheng Ouyang , Zhen Chen , Xuewei Zhou , Zhongzhe Ouyang

{"title":"Imported risk in global financial markets: Evidence from cross-market connectedness","authors":"Zisheng Ouyang , Zhen Chen , Xuewei Zhou , Zhongzhe Ouyang","doi":"10.1016/j.najef.2025.102374","DOIUrl":"10.1016/j.najef.2025.102374","url":null,"abstract":"<div><div>We propose a cross-market connectedness network, including stock market layer and foreign exchange market layer in the spillover index method for investigating imported risk in global financial markets. In addition, we explore the topology of the cross-market connectedness network at the system and market layers. We also identify the key drivers of global risk spillovers by constructing the systemic importance indicator. Meanwhile, we examine the impact of global economic policy uncertainty, geopolitical risks, and external financial conditions on imported risk of international financial markets. Our results show that risk contagion in the stock market is more pronounced than in the foreign exchange market. Furthermore, we note that advanced markets are the main recipients of global imported risk, with the Netherlands, the EU and France being the most strongly shocked to external risks. Finally, the determinants analysis suggests that geopolitical risks significantly increase imported risk in global stock markets, while external financial conditions have a driving effect on risk spillovers in foreign exchange markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102374"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094292","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

Bank liquidity supply and corporate investment during the 2008–2009 financial crisis

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2025.102371

Wei Zhang

引用次数: 0

Environmental tax reform and corporate tax avoidance: A quasi-natural experiment on China’s environmental protection tax law

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2025.102367

Zhongbo Jing , Wei Zhang , Pengcheng Zhao , Yang Zhao

{"title":"Environmental tax reform and corporate tax avoidance: A quasi-natural experiment on China’s environmental protection tax law","authors":"Zhongbo Jing , Wei Zhang , Pengcheng Zhao , Yang Zhao","doi":"10.1016/j.najef.2025.102367","DOIUrl":"10.1016/j.najef.2025.102367","url":null,"abstract":"<div><div>The implementation of China’s Environmental Protection Tax Law (EPTL) in 2018 granted local governments the autonomy to adjust local environmental tax rates, raising concerns about potential unintended consequences. This study employs a time-varying difference-in-differences (DID) method to investigate the impact of the EPTL on corporate tax avoidance, utilizing data from China’s A-share listed polluting firms spanning from 2015 to 2021. The findings reveal the following: a) the EPTL substantially intensifies tax avoidance among polluting firms in regions with rising environmental tax rates. The policy’s impact is more significant in firms with pre-existing extensive tax avoidance practices and does not significantly influence innovation inputs and outputs; b) this effect is primarily driven by companies with higher operational risks, political connections, and greater market bargaining power; c) the boosting effect of this policy is influenced by regional features and company characteristics; d) the findings indicate that tax avoidance increases firm value, explaining the motivation behind corporate tax avoidance. This study provides pivotal empirical evidence for assessing the unintended consequences of the EPTL.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102367"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094288","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 penalized U-MIDAS multinomial logit model with applications to corporate credit ratings

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2025.102381

Cuixia Jiang , Junwei Sun , Qifa Xu

引用次数: 0

How does news-driven monetary policy frictions affect nonperforming loans?--Taking Chinese commercial banks as an example

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102353

Heng-Guo Zhang , Shihong Wang , Yuchi Xie

引用次数: 0

Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102358

Jiling Cao , Jeong-Hoon Kim , Wenqiang Liu , Wenjun Zhang

{"title":"Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment","authors":"Jiling Cao , Jeong-Hoon Kim , Wenqiang Liu , Wenjun Zhang","doi":"10.1016/j.najef.2024.102358","DOIUrl":"10.1016/j.najef.2024.102358","url":null,"abstract":"<div><div>The investment-timing problem and the valuation of the right to take certain business initiatives in a given project (called a “real option”) have been considered by many authors under the assumption that volatility of the present value of the expected future net cash flows is stochastic. In this paper, we re-tackle these problems by assuming that the present value of the expected future net cash flows follows the double-mean-reverting 4/2 stochastic volatility model, proposed recently by Cao et al. (2023). Applying an asymptotic analysis approach outlined by Fouque et al. (2011), we obtain two approximation formulas for the value of the real option and the investment threshold, respectively. We conduct numerical experiments on sensitivity analysis of the formulas with respect to the model parameters (“Heston”- and “3/2”-factors) and the associated variables. Furthermore, we also conduct the least square Monte Carlo (LSM) simulation proposed by Longstaff and Schwartz (2001), and compare the real option values from our approximation formula with those from the LSM simulation. Our analysis shows that the relative errors are less than 0.3% in most of our cases, which justifies the appropriateness of our asymptotic approach for the model.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102358"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094386","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

Mutual fund style drift measured using higher moments and its cash flow incentive

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2025.102373

Qi Chen , Peng Wang , Dong Yang

{"title":"Mutual fund style drift measured using higher moments and its cash flow incentive","authors":"Qi Chen , Peng Wang , Dong Yang","doi":"10.1016/j.najef.2025.102373","DOIUrl":"10.1016/j.najef.2025.102373","url":null,"abstract":"<div><div>This paper evaluates the contribution of higher moment information to the identification of mutual fund investment styles. We develop a multi-objective optimization model that identifies fund investment styles by simultaneously considering returns and higher moments risks. Our results indicate that this model, by incorporating variance and skewness, can more accurately identify fund investment styles. We then quantify the degree of style drift exhibited by funds utilizing the proposed model. Employing a dataset of 1327 open-ended equity funds in China between 2008 and 2023, we find that style drift is both pervasive and persistent. Funds susceptible to style drift tend to be smaller, have higher portfolio turnover and expense ratios, and are supervised by less seasoned managers. In addition, we explore how cash flows affect funds’ style drift behavior. Our analysis reveals a positive relationship between low cash inflows and the magnitude of style drift. This finding remains consistent after addressing potential endogeneity concerns. Finally, we find no support for the hypothesis that style drift enhances future fund performance.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102373"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094294","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

Detecting corporate ESG performance: The role of ESG materiality in corporate financial performance and risks

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2025.102370

Sharon S. Yang , Jr-Wei Huang , Hong-Yi Chen , Min-Hung Tsay

引用次数: 0

International extreme sovereign risk connectedness: Network structure and roles

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102355

Wei-Qiang Huang , Peipei Liu , Yao-Long Zhu

{"title":"International extreme sovereign risk connectedness: Network structure and roles","authors":"Wei-Qiang Huang , Peipei Liu , Yao-Long Zhu","doi":"10.1016/j.najef.2024.102355","DOIUrl":"10.1016/j.najef.2024.102355","url":null,"abstract":"<div><div>With network topology measures, we can model the global and individual properties of international extreme sovereign risk spillovers and understand how shocks propagate. Hence, using dynamic connectedness based on a TVP-VAR model, we construct daily extreme sovereign risk spillover networks based on defined extreme risk series among the G20. Our purpose is to creatively explore the network structures and describe international connectedness. We find that system- and country-level measures are all more sensitive to global systemic events, such as the COVID-19 pandemic. Country-level analysis shows that emerging countries such as Mexico, South Africa and European countries such as Spain emit and receive larger risk spillovers. Using the Logit and threshold regression, we creatively explore whether these system- and country-level measures can explain the probability of countries’ extreme sovereign risk outbreaks. The results show that system-level measures such as total risk spillover strength and country-level measures all play positive roles. Specifically, the greater the total risk spillover strength, the more central countries’ position and the greater the probability of countries’ extreme sovereign risk outbreak. Most importantly, their roles are the largest when the total risk spillover strength is at the middle level.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102355"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094381","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