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Quarterly Review of Economics and Finance最新文献

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Institutional blockholder monitoring and stock price crash risk 机构大股东监控与股价暴跌风险
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-10-23 DOI: 10.1016/j.qref.2024.101933
{"title":"Institutional blockholder monitoring and stock price crash risk","authors":"","doi":"10.1016/j.qref.2024.101933","DOIUrl":"10.1016/j.qref.2024.101933","url":null,"abstract":"<div><div>We examine whether institutional investors can reduce the risk of stock price crashes caused by managers’ intentional withholding of bad news. Specifically, we focus on the effect of institutional blockholder monitoring on stock price crash risk. The empirical results show negative relationships between institutional blockholdings and various crash risk variables, which suggests that institutional blockholder monitoring of nontransparent managerial behaviors can decrease crash risk. Furthermore, we find that the influence of monitors is more pronounced in firms with high information asymmetry, thereby corroborating the institutional blockholder monitoring role. This study validates the monitoring role of dedicated institutional investors in agency-motivated managerial behaviors.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142530117","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
Employee stock ownership plan as a measure of covering up corporate fraud: Evidence from China 员工持股计划是掩盖公司欺诈行为的一种措施：来自中国的证据
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-10-22 DOI: 10.1016/j.qref.2024.101934
{"title":"Employee stock ownership plan as a measure of covering up corporate fraud: Evidence from China","authors":"","doi":"10.1016/j.qref.2024.101934","DOIUrl":"10.1016/j.qref.2024.101934","url":null,"abstract":"<div><div>Although companies typically claim to implement an employee stock ownership plan (ESOP) for the purpose of incentivizing employees to enhance corporate performance, many non-incentive motives may be hidden behind this move. Using data on China’s stock market from 2014 to 2022, this paper demonstrates that due to optimistic market reactions, employee stock ownership plans may be related to covering up corporate fraud. Companies that have already committed fraud but have yet to have this fraud detected have a higher propensity for declaring an ESOP. In further research, we found this effect is more pronounced for companies with underperforming stock prices.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142553621","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
Vulnerable options with regime switching and stochastic liquidity 制度转换和随机流动性下的脆弱期权
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-10-18 DOI: 10.1016/j.qref.2024.101930
{"title":"Vulnerable options with regime switching and stochastic liquidity","authors":"","doi":"10.1016/j.qref.2024.101930","DOIUrl":"10.1016/j.qref.2024.101930","url":null,"abstract":"<div><div>Investigating default risk in pricing options holds significant practical importance, as nearly all market participants and institutions face credit risk. Additionally, economic cycles and asset liquidity are crucial factors that should be incorporated. This paper considers these factors and derives an analytical pricing formula. Specifically, we model the economic cycles through switching volatility driven by a continuous-time Markov chain, while we adopt a discounting factor based on market liquidity levels to model the asset liquidity. We establish a risk-neutral measure after embracing a regime-switching Esscher transform, and formulate a price representation to value vulnerable options analytically despite the complexity of the developed model. We conduct several numerical experiments to validate the model’s efficacy and flexibility.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142530116","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 value of international standards certification: Evidence on export and firm performance from a security enforcement on borders 国际标准认证的价值：边境安全执法对出口和公司业绩的影响
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-10-02 DOI: 10.1016/j.qref.2024.101926
{"title":"The value of international standards certification: Evidence on export and firm performance from a security enforcement on borders","authors":"","doi":"10.1016/j.qref.2024.101926","DOIUrl":"10.1016/j.qref.2024.101926","url":null,"abstract":"<div><div>Globally, economic growth is promoted through regional economic integration, and governments actively try to improve the security and efficiency of international trade and border management by optimizing the conditions for international trade. The World Trade Organization (WTO) introduced the Authorized Economic Operator (AEO) certification system to improve the efficiency of customs clearance and to ensure the security of the global supply chain. Using a sample of Taiwanese-listed firms that attained AEO certification from 2009 to 2018, this study investigates the influence of AEO certification on their export sales and corporate performance. The empirical results show that AEO-certified firms increase their ratio of export sales and the scope of export destination regions. However, AEO-certified firms can not improve their operating and market performance significantly, except for low-performance firms in the accreditation year. This study also uses the two-stage least square regressions (2SLS) method and the propensity score matching method to conduct the regression analysis. The regression results are consistent with the main findings. The findings can be used for reference by firms seeking to expand international trade and by governments to promote the country’s international trading.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425577","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
Intraday analyses on weather-induced sentiment and stock market behavior 对天气引发的情绪和股市行为进行日内分析
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-10-01 DOI: 10.1016/j.qref.2024.101929
{"title":"Intraday analyses on weather-induced sentiment and stock market behavior","authors":"","doi":"10.1016/j.qref.2024.101929","DOIUrl":"10.1016/j.qref.2024.101929","url":null,"abstract":"<div><div>We examine the intraday relationship between weather conditions and investor sentiment in the Korean equity market. By uncovering the intermediary role of weather-induced sentiment in affecting market variables, we suggest a potential link between weather conditions, sentiment, and market dynamics. High temperatures, humidity, and cloud coverage negatively affect investors’ moods, while strong winds and long sunshine durations have a positive impact. Although only cloud coverage marginally impacts stock returns, weather factors significantly affect market turnover, volatility, and illiquidity, especially when they alter sentiment dynamics.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142553620","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
Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM 通过 GARCH-MIDAS 和单类 SVM 的新型组合预测天然气波动率
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-29 DOI: 10.1016/j.qref.2024.101927
{"title":"Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM","authors":"","doi":"10.1016/j.qref.2024.101927","DOIUrl":"10.1016/j.qref.2024.101927","url":null,"abstract":"<div><div>Research has focused on whether information spillovers from external influences play a role in clean energy–natural gas volatility forecasts. However, the climate and energy crises caused by the intensification of extreme events, such as recent extreme weather and geopolitical risks, have led the public to turn their attention to research in the field of clean energy. Therefore, this paper uses one-class SVM (support vector machine) techniques to identify extreme volatility in natural gas prices induced by significant occurrences (e.g., wars, financial crises, and COVID-19) and then investigates whether considering extreme volatility in natural gas over different volatile periods (short- and long-term periods) improves volatility forecasting accuracy within the context of a GARCH-MIDAS framework. The in-sample analyses demonstrate that extreme shocks increase natural gas price volatility and that the asymmetric effects are more influential than the short- and long-term extreme volatility effects. The out-of-sample results indicate that the GJR-GARCH-MIDAS-one-class-SVM-SLES model outperforms the other models and achieves the best forecasting performance of the remaining extended models. In addition, robustness tests confirm these findings.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425576","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
Debtholder responses to controlling shareholders’ share pledging 债务人对控股股东股权质押的反应
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-28 DOI: 10.1016/j.qref.2024.101928
{"title":"Debtholder responses to controlling shareholders’ share pledging","authors":"","doi":"10.1016/j.qref.2024.101928","DOIUrl":"10.1016/j.qref.2024.101928","url":null,"abstract":"<div><div>This study investigates debtholders’ responses to controlling shareholders’ share pledging. We found that share pledging by controlling shareholders is crucial for reducing agency costs. This lessens the information asymmetry of outsiders by strengthening pledgee supervision, and decreases companies’ risk-taking by adopting a relatively conservative investment strategy that hedges excessive risks. This also reduces the impact of insider control, decreases the interest spread, and increases the length of loan maturity. Further analyses show that the favorable effect of share pledging on bank loan covenants weakens for companies with a higher degree of financing deficit. Additionally, the role of share pledging varies with the agency costs of companies’ insider controls. The effects of share pledging on bank loan terms are more profound for companies with a higher degree of corporate governance performance. Robustness analyses addressing potential endogeneity further confirm our primary conclusions.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425631","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
Rigidity in public contracts: Implications for renewal dynamics 公共合同的刚性：对续约动态的影响
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-26 DOI: 10.1016/j.qref.2024.101924
{"title":"Rigidity in public contracts: Implications for renewal dynamics","authors":"","doi":"10.1016/j.qref.2024.101924","DOIUrl":"10.1016/j.qref.2024.101924","url":null,"abstract":"<div><div>We investigate how the rigidity of public contracts influences the frequency of their renewal. Using a dataset of contracts for public–private car parks and employing machine-reading techniques to assess contract rigidity, we find that heightened contract rigidity, particularly in litigation clauses, significantly raises the probability of contract renewal. Our findings indicate that procedural sunk costs and the competitive advantage conferred to incumbents by contract rigidity are key factors contributing to more frequent renewals. This study enhances our comprehension of public contract renewals by emphasizing the significance of political contestability and rigidity, providing valuable insights into optimal strategies for contract renegotiation.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142357915","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
From the Fringe to the front-stage. European immigration and the Far-Right vote: An IV approach 从边缘到前台。欧洲移民与极右翼选票：IV 方法
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-25 DOI: 10.1016/j.qref.2024.101925
{"title":"From the Fringe to the front-stage. European immigration and the Far-Right vote: An IV approach","authors":"","doi":"10.1016/j.qref.2024.101925","DOIUrl":"10.1016/j.qref.2024.101925","url":null,"abstract":"<div><div>We use regional data spanning over 4500 electoral outcomes at NUTS3 level between 2000 and 2017 to assess the impact of immigration on Western European Far-Right voting. To deal with potential reverse causation, we use immigration in neighboring countries as an instrument for domestic immigration. The estimated effects of immigration are positive, significant and larger compared to those obtained by simple OLS and fixed effects regressions. Depending on the measure of immigration used, we find that a 1% increase in immigration stocks leads to a between 1.78% and 2.97% in Far-Right voting. Similar results are obtained using electoral outcomes and immigration shares at the NUTS2 level, where the effect of immigration is estimated between 3% and 5.32%. Our results are consistent with possible negative feedback from the Far-Right to immigration. Our estimated effects explain a large part of the observed rise in Far-Right in Western European countries that experienced high levels of immigration during the span of our sample.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425630","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
Monetary policy through the risk-taking channel: Evidence from an emerging market 通过风险承担渠道制定货币政策：新兴市场的证据
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-16 DOI: 10.1016/j.qref.2024.101923
{"title":"Monetary policy through the risk-taking channel: Evidence from an emerging market","authors":"","doi":"10.1016/j.qref.2024.101923","DOIUrl":"10.1016/j.qref.2024.101923","url":null,"abstract":"<div><div>This paper examines the influence of domestic and international monetary policies on the risk-taking behavior of Brazilian banks from 2003 to 2021. Using a dynamic panel model and macroeconomic data, we find a negative correlation between interest rates and banks' risk-taking. Lower interest rates heighten risk activities, evidenced by expanded credit, interbank deposits, risk exposure, provisions, and leverage. The relationship is stronger with international rates, highlighting global monetary policy's significant role. Our analysis also distinguishes the impacts of the subprime and Covid-19 crises, showing how these events, along with bank-specific characteristics and macroeconomic conditions, affect risk-taking. This study provides nuanced insights into the interplay between monetary policy, financial crises, and bank-specific factors in an emerging market context.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":2.9,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142319579","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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