North American Journal of Economics and Finance最新文献_第7页

A penalized U-MIDAS multinomial logit model with applications to corporate credit ratings 一个被惩罚的U-MIDAS多项逻辑模型及其在企业信用评级中的应用

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

Detecting corporate ESG performance: The role of ESG materiality in corporate financial performance and risks 侦测企业ESG绩效：ESG重要性在企业财务绩效与风险中的作用

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

Mutual fund style drift measured using higher moments and its cash flow incentive 共同基金风格漂移采用更高矩及其现金流激励测量

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

International extreme sovereign risk connectedness: Network structure and roles 国际极端主权风险连通性：网络结构和作用

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

A predictive term-spread model in the age of inflation targeting 通货膨胀目标制时代的预测期限价差模型

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.2025.102364

Jostein Tvedt

引用次数: 0

Factors of predictive power for metal commodities 金属商品预测能力的因素

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.2024.102309

Patric Papenfuß, Amelie Schischke, Andreas Rathgeber

引用次数: 0

Does the VIX act as the main transmitter of mispricing in index futures markets? Insights from European and American regions 波动率指数是指数期货市场错误定价的主要传递者吗？来自欧美地区的见解

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.2024.102341

S.M.R.K. Samarakoon , Rudra P. Pradhan , Sasikanta Tripathy , Manju Jayakumar

{"title":"Does the VIX act as the main transmitter of mispricing in index futures markets? Insights from European and American regions","authors":"S.M.R.K. Samarakoon , Rudra P. Pradhan , Sasikanta Tripathy , Manju Jayakumar","doi":"10.1016/j.najef.2024.102341","DOIUrl":"10.1016/j.najef.2024.102341","url":null,"abstract":"<div><div>This study examines the interconnected mispricing of index futures in European and American markets from 2008 to 2023, with a specific focus on the role of the Volatility Index (VIX) and the adjustment for transaction costs in shaping these dynamics. Utilizing the cost of carry model, theoretical prices are computed, and discrepancies with actual market values are analysed to measure actionable mispricing. Econometric tools, including DCC-GARCH, connectedness approach, and quantile regression, are employed to assess dynamic conditional correlations and volatility spillovers, using three distinct datasets: daily mispricing series, weekly mispricing series, and transaction cost-adjusted boundary violation series. This layered approach enables a comprehensive analysis of interconnected mispricing and robustness across different temporal frequencies and adjustments. Our results highlight significant interconnected mispricing driven by market volatilities, with the VIX serving as a pivotal transmitter of volatility during periods of financial turbulence. The analysis demonstrates that the inclusion of the VIX significantly amplifies systemic connectedness, while its exclusion emphasizes regional dynamics, with the Euro Stoxx 50 Index Futures emerging as a principal hub within European markets. The incorporation of transaction costs further reveals critical insights into boundary violations, identifying actionable mispricing and its contribution to systemic volatility, providing a more granular understanding of these dynamics. The robustness of the findings is validated through the use of both daily and weekly data, with consistent patterns of interconnectedness and volatility propagation observed across all analyses.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102341"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094375","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

Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States 加密货币相关股票和加密货币市场的连通性：来自美国的证据

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.2024.102344

Erdinc Akyildirim , Shaen Corbet , Ali Coskun , Metin Ercan

引用次数: 0

ESG rating divergence and stock price crash risk ESG评级分化与股价崩盘风险

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.2024.102323

Chunhua Ju , Xusheng Fang , Zhonghua Shen

引用次数: 0

Explosiveness in the renewable energy equity sector: International evidence 可再生能源股票领域的爆炸性：国际证据

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.2025.102378

Juan Ariza, Román Ferrer

{"title":"Explosiveness in the renewable energy equity sector: International evidence","authors":"Juan Ariza, Román Ferrer","doi":"10.1016/j.najef.2025.102378","DOIUrl":"10.1016/j.najef.2025.102378","url":null,"abstract":"<div><div>This paper investigates episodes of explosiveness in the renewable energy equity sectors of the three major economic regions, namely the U.S., China, and Europe, as well as the degree of connectedness between these regional renewable energy sectors and their respective broader stock markets. To this end, the novel methodology developed by <span><span>Phillips and Shi (2019)</span></span> is employed in conjunction with the robust bootstrap procedure of <span><span>Phillips and Shi (2020)</span></span>. Furthermore, the connectedness framework of <span><span>Diebold and Yilmaz, 2012</span></span>, <span><span>Diebold and Yilmaz, 2014</span></span> is used to assess return connectedness. The empirical results reveal significant episodes of explosiveness within the renewable energy sectors across the three regions. The principal period of explosivity began in late 2020 within U.S. and European renewable energy stocks, following the initial COVID-19 pandemic wave, and subsequently spread to Chinese renewable energy stocks. However, there is limited co-explosivity between the renewable energy sectors and broader stock markets, indicating that the explosive dynamics in renewable energy equities do not pose a systemic threat for the general stock markets. Additionally, the study reveals a decrease in connectedness between the regional renewable energy sectors and their broader market counterparts during the recent explosive periods, likely reflecting the decoupling of renewable energy stocks from general market trends during the latter stages of the renewable energy bubble.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102378"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094295","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