North American Journal of Economics and Finance最新文献_第6页

Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications 投资组合优化中的多元仿射GARCH。分析解决方案和应用

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-02-03 DOI: 10.1016/j.najef.2025.102376

Marcos Escobar-Anel , Yu-Jung Yang , Rudi Zagst

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CEO turnover and financial policy transfer CEO离职与财务政策转移

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-02-02 DOI: 10.1016/j.najef.2025.102382

Daniel Sungyeon Kim , Kwangwon Ahn , Hanwool Jang , Jaeyoon Lee

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Evaluating the hedging potential of energy, metals, and agricultural commodities for U.S. stocks post-COVID-19 评估新冠肺炎疫情后能源、金属和农产品对美国股市的对冲潜力

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-31 DOI: 10.1016/j.najef.2025.102380

SeungOh Han

{"title":"Evaluating the hedging potential of energy, metals, and agricultural commodities for U.S. stocks post-COVID-19","authors":"SeungOh Han","doi":"10.1016/j.najef.2025.102380","DOIUrl":"10.1016/j.najef.2025.102380","url":null,"abstract":"<div><div>This study employs TVP-VAR analysis to assess risk spillover effects between the U.S. stock ETF and commodity futures (energy, metals, grains, livestock, and soft) during the year surrounding the COVID-19 outbreak. Market connectedness intensifies rapidly after January 2020, with Brent crude oil and heating oil emerging as major net risk transmitters and Richard Bay coal as a primary receiver. While short-term interconnectedness shows sharp spikes with quick reversals, long-term interconnectedness exhibits modest but persistent elevation, necessitating horizon-specific hedging strategies. Our analysis reveals that livestock futures provide the most cost-effective hedge against the S&P 500 ETF, highlighting the potential of previously overlooked instruments. Energy futures demonstrate significant risk mitigation capabilities, reinforcing their established hedging role, while soft futures show notably enhanced hedging effectiveness. These patterns remain consistent across sector ETFs, with metals futures particularly effective for energy ETF hedging. The findings prove robust to alternative specifications, including the NASDAQ 100 ETF, extended analysis periods, different pandemic period definitions, and raw returns.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"77 ","pages":"Article 102380"},"PeriodicalIF":3.8,"publicationDate":"2025-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143348610","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 temporal variability in the returns of socially responsible funds to structural oil shocks 结构性石油冲击下社会责任基金回报的时间变异性

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-01-30 DOI: 10.1016/j.najef.2025.102366

Mobeen Ur Rehman , Neeraj Nautiyal , Rami Zeitun , Xuan Vinh Vo

引用次数: 0

Environmental tax reform and corporate tax avoidance: A quasi-natural experiment on China’s environmental protection tax law 环境税改革与企业避税：中国环境保护税法的准自然实验

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

Imported risk in global financial markets: Evidence from cross-market connectedness 全球金融市场的进口风险：来自跨市场连通性的证据

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 2008-2009年金融危机期间的银行流动性供给与企业投资

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

How does news-driven monetary policy frictions affect nonperforming loans?--Taking Chinese commercial banks as an example 新闻驱动的货币政策摩擦如何影响不良贷款？——以中国商业银行为例

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 双均值回归4/2随机波动环境下的投资机会策略

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

Optimal venture capital entry–exit strategy with jump–diffusion risk 具有跳跃扩散风险的最优风险投资进出策略

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