Quarterly Review of Economics and Finance最新文献

Revisions of peer firms’ analyst forecasts and corporate investment 修正同行公司的分析师预测和企业投资

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-22 DOI: 10.1016/j.qref.2026.102124

Huiqi Gan

引用次数: 0

Luck “duels” among factors in China 在中国，运气是各种因素中的“决斗”

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-22 DOI: 10.1016/j.qref.2026.102125

Ming-Long Wang , Huai-Long Shi , Yu-Lei Wan , Jing-Jin Wang

{"title":"Luck “duels” among factors in China","authors":"Ming-Long Wang , Huai-Long Shi , Yu-Lei Wan , Jing-Jin Wang","doi":"10.1016/j.qref.2026.102125","DOIUrl":"10.1016/j.qref.2026.102125","url":null,"abstract":"<div><div>We investigate the cross-sectional pricing power of factors in the Chinese A-share market under a rigorous multiple-testing framework. We construct 139 characteristic-managed portfolios and 30 principal components (PCs) derived from instrumented PCA (IPCA), risk-premium PCA (RPPCA), and traditional PCA. Using individual stocks as test assets and a bootstrap-based panel regression approach, we evaluate these candidates’ incremental explanatory power while addressing data mining and <span><math><mi>p</mi></math></span>-hacking concerns. We find that latent factors constructed via IPCA and RPPCA – notably IPC9 and RPPC1 – exhibit significant pricing power, whereas traditional PCs fail to provide incremental information. Among characteristic-based portfolios, three-year capital expenditure (CAPEX) growth, debt growth, and eight-quarter earnings consistency stand out by outperforming PCA-derived factors. Beyond statistical robustness, we provide new economic insights by linking factor efficacy to China-specific market frictions. Specifically, we show that IPC9 proxies for retail-driven noise trader risk and RPPC1 captures a flight-to-quality premium in large-cap stocks, yet the pricing power of both factors is strictly confined to market segments accessible to arbitrage capital. Furthermore, we document a structural migration in the CAPEX factor’s efficacy from state-owned to private enterprises, mirroring the secular evolution of China’s industrial policy. Further analysis under value-weighted schemes, small-cap exclusions, and sectoral filters underscores market heterogeneity: large-cap investors prioritize profitability and liquidity, mid-caps exhibit sensitivity to institutional trading dynamics, and non-financial stocks reward long-term investment efficiency. These findings contribute to a better understanding of conventional “factor zoo” paradigms and advocate for hybrid models that integrate standalone characteristics with synthetic risk proxies.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"106 ","pages":"Article 102125"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146080340","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

Harnessing incentives for sustainability: The impact of eco−compensation reform on green innovation in China 可持续发展激励机制：生态补偿改革对中国绿色创新的影响

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-02-20 DOI: 10.1016/j.qref.2026.102128

Jinghan Liu , Yanhui Li , Zhaian Bian , Wei Tu , Yinghao Song

{"title":"Harnessing incentives for sustainability: The impact of eco−compensation reform on green innovation in China","authors":"Jinghan Liu , Yanhui Li , Zhaian Bian , Wei Tu , Yinghao Song","doi":"10.1016/j.qref.2026.102128","DOIUrl":"10.1016/j.qref.2026.102128","url":null,"abstract":"<div><div>Against the backdrop of mounting global pressure for ecological governance, how to effectively stimulate corporate green innovation through institutional incentives has become a common challenge faced by nations worldwide. This study investigates the effect of the Ecological Compensation Reward–Punishment Mechanism Reform on corporate green innovation by utilizing a difference−in−differences approach and a panel dataset of A−share listed firms in China spanning 2003–2023. The empirical evidence indicates that the reform plays a significant role in fostering firms’ green innovation activities. Multiple robustness tests, including placebo simulations and PSM−DID estimations, further validate the consistency and reliability of the results. Mechanism analysis indicates that the reform exerts its effect indirectly by enhancing managerial environmental awareness and promoting corporate green transformation. Heterogeneity analysis reveals that firms in non−high−tech sectors, non−polluting industries, and competitive markets are more responsive to the policy, suggesting that institutional−dependent firms have a stronger sensitivity to external green incentives. Moreover, the effect is more pronounced among firms located in central and western China compared to those in the eastern region, indicating that in less−developed, policy−driven areas, the marginal effect of institutional incentives is more substantial. This study contributes micro−level evidence on the impact of ecological compensation policies on corporate green behavior and uncovers the organizational behavior logic of environmental policy mechanisms, providing actionable insights for developing economies and global ecological governance frameworks.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"106 ","pages":"Article 102128"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147398671","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

Consumption, investment, life insurance, and early retirement decisions under habit-dependent living standards 习惯依赖生活标准下的消费、投资、人寿保险和提前退休决定

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-02-19 DOI: 10.1016/j.qref.2026.102126

Se Yung Bae , Junkee Jeon , Hyeng Keun Koo

引用次数: 0

How does digital finance influence the share of labor income? Evidence from China 数字金融如何影响劳动收入占比？来自中国的证据

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102115

Rui Cheng , Wenzhong Yue

引用次数: 0

Mitigating downside risk: ESG integration in portfolio construction with stock preselection using machine learning and mean-CVaR optimization 降低下行风险：利用机器学习和均值cvar优化将ESG整合到投资组合构建和股票预选中

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-26 DOI: 10.1016/j.qref.2026.102118

Larry Van Wallendael , Line Vanneste , Yanyi Zhang , Alexander Stevens, Johannes De Smedt

{"title":"Mitigating downside risk: ESG integration in portfolio construction with stock preselection using machine learning and mean-CVaR optimization","authors":"Larry Van Wallendael , Line Vanneste , Yanyi Zhang , Alexander Stevens, Johannes De Smedt","doi":"10.1016/j.qref.2026.102118","DOIUrl":"10.1016/j.qref.2026.102118","url":null,"abstract":"<div><div>Recent studies indicate that Environmental, Social, and Governance (ESG) factors are valuable indicators of downside risk. However, research into how ESG integration within portfolio construction can reduce extreme investment risks is limited. This study investigates ESG integration for downside risk mitigation within a dual-phase framework comprising stock preselection and portfolio optimization. ESG scores are incorporated either linearly in actual returns or through negative screening. We utilize various machine learning techniques for stock preselection, followed by mean Conditional Value-at-Risk optimization in the portfolio phase. Our analysis includes both in-sample and out-of-sample testing across periods characterized by low and high market volatility. Results indicate that ESG-informed returns effectively mitigate portfolio downside risk, particularly during volatile periods, while ESG integration through screening proves less effective. Overall, this study contributes novel insights into the nuanced effects of ESG integration strategies on portfolio downside risk management.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"106 ","pages":"Article 102118"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146173826","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 impact of perceived uncertainty on corporate financial asset allocation: Evidence from China 感知不确定性对企业金融资产配置的影响：来自中国的证据

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102116

Yue Liu , Meng Ju , Qilong Cao

引用次数: 0

Text-implied uncertainty in 10-K filings: Do investors get the message? 10-K文件中文本隐含的不确定性：投资者明白了吗？

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-28 DOI: 10.1016/j.qref.2026.102121

Oliver Budras, Maik Dierkes, Sebastian Schroen

引用次数: 0

Analyzing foreclosure recovery rates and lags in defaulted mortgages: Insights from the threshold model 分析丧失抵押品赎回权的回收率和违约抵押贷款的滞后性：来自阈值模型的见解

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102117

Shu Ling Chiang , Ming Shann Tsai

{"title":"Analyzing foreclosure recovery rates and lags in defaulted mortgages: Insights from the threshold model","authors":"Shu Ling Chiang , Ming Shann Tsai","doi":"10.1016/j.qref.2026.102117","DOIUrl":"10.1016/j.qref.2026.102117","url":null,"abstract":"<div><div>The loss given default (LGD) of a defaulted mortgage is mainly determined by the following two variables: the foreclosure recovery rate (FRR) and foreclosure lag (FL). This study examines whether factors such as the FICO score, the LTV ratio, the interest rate, and the housing return influence these two variables. Furthermore, we use a threshold model to examine whether there is a threshold effect for the impact of the influential factors on the FRR and the FL when the housing return serves as the threshold variable. Our results reveal that all these four factors significantly influence the FRR and the FL. All factors, except for the LTV ratio, positively impact the FRR. In addition, the FL is negatively influenced by all factors, except the housing return at the selling date. Moreover, a structural change can be observed when the housing return exceeds a threshold level. The direction and magnitude of the impact of the influential factors on FRR and FL vary within the two distinct regimes, defined by housing return. Additionally, the explanatory power is enhanced when considering the threshold effect on the analyses. Our results are valuable for the mortgage insurance industry and financial institutions in effectively managing risks and minimizing potential losses.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"106 ","pages":"Article 102117"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146080341","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

Hedging extreme risks in US stocks caused by the shortage of US dollar liquidity: Evidence from the COVID-19 outbreak 对冲美元流动性短缺导致的美股极端风险：来自新冠肺炎疫情的证据

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102123

Che-Chun Lin , Han-Bo Chen , I-Chun Tsai

{"title":"Hedging extreme risks in US stocks caused by the shortage of US dollar liquidity: Evidence from the COVID-19 outbreak","authors":"Che-Chun Lin , Han-Bo Chen , I-Chun Tsai","doi":"10.1016/j.qref.2026.102123","DOIUrl":"10.1016/j.qref.2026.102123","url":null,"abstract":"<div><div>This paper analyzes whether gold and Bitcoin serve as hedges against US stocks by exploring the connection between gold, Bitcoin, and US dollar liquidity. It discusses the characteristics of the gold standard, which is a currency that serves as a replacement for the US dollar. It is inferred that abnormal changes in US dollar liquidity (shocks from money supply) bring about short-term negative impact and immediate changes in gold and Bitcoin prices. Also, such changes may contribute to the inverse relationship between these asset types and the US stock market during certain periods. Moreover, this paper infers that other precious metals and virtual currencies with similar characteristics also provide a hedging option when a major shock occurs in the US stock market, and therefore, function as safe-haven assets as well. To verify the inference, this paper employs a time-varying parameter-vector autoregressive model and a quantile-on-quantile regression to estimate dynamic correlations. This paper takes the three years following the COVID-19 outbreak as the study period. It examines whether precious metals (gold and silver) and virtual currencies (Bitcoin and the Crypto Currency index 30) can act as safe-haven assets, allowing investors to navigate extreme events in the stock market. The results confirm the theory presented in this paper. It also shows that when there is an extreme shortage of US dollar liquidity, a highly negative correlation exists between asset returns and money supply growth for precious metals and virtual currencies. This implies that these assets can hedge extreme risks in US stocks caused by the shortage of US dollar liquidity.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"106 ","pages":"Article 102123"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146026037","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