Quarterly Review of Economics and Finance最新文献_第10页

Reexamining information asymmetry related to corporate spin-offs 重新审视与公司分拆有关的信息不对称问题

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-02-03 DOI: 10.1016/j.qref.2024.01.011

Han-Sheng Chen , Ying-Chou Lin , Yu-Chen Lin

{"title":"Reexamining information asymmetry related to corporate spin-offs","authors":"Han-Sheng Chen , Ying-Chou Lin , Yu-Chen Lin","doi":"10.1016/j.qref.2024.01.011","DOIUrl":"https://doi.org/10.1016/j.qref.2024.01.011","url":null,"abstract":"<div><p>Recent technological innovations and changes in governmental regulations both affect information dissemination; within this context, we use this paper to reassess the role of information asymmetry in corporate spin-off decisions. Analyzing spin-off deals from 1980 to 2017, we find that information asymmetry does not significantly influence spin-off decisions. Specifically, there is neither substantial disparity in levels of information asymmetry between spin-off firms and their counterparts, nor marked improvements after breakups. This remains true even when we account for events such as the Regulation Fair Disclosure (Reg FD) and the types of spin-offs themselves. Additionally, no evidence exists to suggest that firms with greater information asymmetry are more inclined to spin off. Contrary to findings in the literature, information asymmetry does not explain observed positive abnormal returns around spin-off announcements; instead, the misvaluation of spin-off firms correlates more closely with their pre-spin-off investment efficiency. These findings suggest a shift in primary drivers behind corporate spin-offs: a diminished focus on information asymmetry and stronger attention instead to investment inefficiencies and misvaluation in response to evolving market conditions.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"94 ","pages":"Pages 190-205"},"PeriodicalIF":3.4,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139714769","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 sustainability factor in asset pricing: Empirical evidence from the Indian market 资产定价中的可持续性因素：印度市场的经验证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-02-01 DOI: 10.1016/j.qref.2024.01.004

S. Mohanasundaram , R. Kasilingam

{"title":"The sustainability factor in asset pricing: Empirical evidence from the Indian market","authors":"S. Mohanasundaram , R. Kasilingam","doi":"10.1016/j.qref.2024.01.004","DOIUrl":"10.1016/j.qref.2024.01.004","url":null,"abstract":"<div><p>This study investigates the feasibility of including the sustainability performance of firms in the asset pricing problem. The data of 500 firms from the NIFTY 500 index are used for this study. The stock prices and financial data are downloaded from the CIME database. The sustainability factor is computed using the ESG scores from the Bloomberg database. In order to test the influence of the sustainability factor, the Fama–French Five-Factor model is extended by including the sustainability factor as an additional factor. The dependent variables are the excess returns on 36 size and book-to-market ratio sorted portfolios, 36 size and operating profitability sorted portfolios, and 36 size and investment sorted portfolios. The impact of the sustainability factor on excess portfolio return is tested using the Fama–MacBeth two-pass regression and the Fama–French methodology. The results show that the price of ESG risk (or ESG risk premium) is positive, indicating that firms with lower ESG performance yield more returns than those with higher ESG performance. About one-third of the portfolios witness the significant impact of the sustainability factor on their returns. However, the insignificant relationship in two third of the portfolios between the sustainability factor and excess portfolio returns conveys that in the Indian market, corporate investors have the flexibility to decide on ESG investment. Smaller firms are exposed to a higher ESG risk, and Firms which do not integrate environmental and social costs into their strategies may bear a higher cost of equity.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"94 ","pages":"Pages 206-213"},"PeriodicalIF":3.4,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139679555","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 method to measure bank output while excluding credit risk and retaining liquidity effects 衡量银行产出的方法，同时排除信贷风险并保留流动性效应。

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-02-01 DOI: 10.1016/j.qref.2024.01.007

Raphaël Chiappini , Bertrand Groslambert , Olivier Bruno

{"title":"A method to measure bank output while excluding credit risk and retaining liquidity effects","authors":"Raphaël Chiappini , Bertrand Groslambert , Olivier Bruno","doi":"10.1016/j.qref.2024.01.007","DOIUrl":"10.1016/j.qref.2024.01.007","url":null,"abstract":"<div><p>The current method of calculating nominal bank output in the national accounts has significant shortcomings. Discussions to remedy this have been ongoing for several years. We propose a new method that addresses the flaws of the current approach of the System of National Accounts. We implement a simple model-free method that removes the ’pure’ credit risk premium from the production of banks while keeping the liquidity provision as part of the total nominal bank output. Using both local projections and autoregressive distributed lag models, we show that our method produces nominal bank output estimates that are consistent with the evolution of the economic activity and that remain always positive including during periods of financial stress. This method satisfies the four conditions set by the Inter-Secretariat Working Group on National Accounts. Furthermore, our method reveals that the nominal banking output of the eurozone is overestimated by approximately 40% over the period 2003–2017.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"94 ","pages":"Pages 167-179"},"PeriodicalIF":3.4,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000139/pdfft?md5=306fe2681ac20dab9392dc6038078826&pid=1-s2.0-S1062976924000139-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139679631","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

State-contingent debt with lender risk aversion 贷方规避风险的国家或有债务

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-01-28 DOI: 10.1016/j.qref.2024.01.009

Gonçalo Pina

引用次数: 0

Family ties and firm performance empirical evidence from East Asia 家庭纽带与公司业绩东亚的经验证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-01-26 DOI: 10.1016/j.qref.2024.01.008

Christophe J. Godlewski , Hong Nhung Le

引用次数: 0

Do environmental courts break collusion in environmental governance? Evidence from corporate green innovation in China 环境法院能否打破环境治理中的合谋？中国企业绿色创新的证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-01-24 DOI: 10.1016/j.qref.2024.01.005

Weiyan Gao, Yuzhang Wang, Fengrong Wang, William Mbanyele

{"title":"Do environmental courts break collusion in environmental governance? Evidence from corporate green innovation in China","authors":"Weiyan Gao, Yuzhang Wang, Fengrong Wang, William Mbanyele","doi":"10.1016/j.qref.2024.01.005","DOIUrl":"10.1016/j.qref.2024.01.005","url":null,"abstract":"<div><p>The environmental courts represent institutional innovation in the judicial system independent of administrative regulations, this study examines whether and how environmental courts promote corporate green innovation by breaking collusion in Chinese heavily polluting listed firms from 2003 to 2020. Based on a staggered difference-in-difference analysis, our findings show that environmental courts have a stronger stimulating effect on green innovation quality and no effect on low-quality green patents. This effect is particularly more pronounced for firms with lower risk-taking ability, higher green agency costs, and state-owned firms. We also confirmed that environmental courts enhance authoritative judicial constraints on local governments, thereby curbing collusion and forcing them to implement environmental protection subsidies and administrative penalties to optimize corporate green innovation structure. Our fine-grained analysis indicates that independent green patents are more sensitive to environmental courts than collaborative ones. However, corporate green R&D efficiency does not improve following the establishment of environmental courts. Overall, our study underscores the importance of strengthening environmental justice as an effective mechanism for facilitating a just transition to a low-carbon green economy.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"94 ","pages":"Pages 133-149"},"PeriodicalIF":3.4,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139631237","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

Investment network and stock’s systemic risk contribution: Evidence from China 投资网络与股票的系统性风险贡献：来自中国的证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-01-23 DOI: 10.1016/j.qref.2024.01.006

Youtao Xiang, Sumuya Borjigin

{"title":"Investment network and stock’s systemic risk contribution: Evidence from China","authors":"Youtao Xiang, Sumuya Borjigin","doi":"10.1016/j.qref.2024.01.006","DOIUrl":"10.1016/j.qref.2024.01.006","url":null,"abstract":"<div><p>In this paper, we investigated the effect of network structures on stock’s systemic risk contribution, which measures the connection characteristics of investment network from different aspects. Firstly, we find that network centrality increases systemic risk contribution, and empirical results hold even after controlling for other factors and are also robust to alternate measures. Secondly, this paper further proposes two possible explanations. Specifically, investment network connection could increase the possibility of collusion with firms, facilitate the relevant institutional investors to hollow out the listed company, and firms at the center of network can amplify the sentiment of market participants through the generation and dissemination of information, thereby increasing stock’s systemic risk contribution. Besides, economic policy uncertainty (EPU) could strengthen the positive effect of network centrality on stock’s systemic risk contribution. Finally, we document that other important network features (including structural holes, clustering coefficients, and core-periphery structure) can also increase stock’s systemic risk contribution.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"94 ","pages":"Pages 113-132"},"PeriodicalIF":3.4,"publicationDate":"2024-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139638703","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 transmission of targeted monetary policy to bank credit supply 定向货币政策对银行信贷供应的传导

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-01-22 DOI: 10.1016/j.qref.2024.01.003

Matjaž Volk

引用次数: 0

Economic policy uncertainty as an indicator of abrupt movements in the US stock market 经济政策不确定性作为美国股市突然波动的指标

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-01-15 DOI: 10.1016/j.qref.2024.01.002

Paraskevi Tzika , Theologos Pantelidis

{"title":"Economic policy uncertainty as an indicator of abrupt movements in the US stock market","authors":"Paraskevi Tzika , Theologos Pantelidis","doi":"10.1016/j.qref.2024.01.002","DOIUrl":"10.1016/j.qref.2024.01.002","url":null,"abstract":"<div><p>A two regime switching model is developed in an attempt to relate expected US stock market returns to deviations from fundamentals and to Economic Policy Uncertainty (EPU). The analysis is based on monthly data that cover the period from January 1900 to October 2022 and the EPU index is used as an explanatory variable. The findings suggest that the US stock market spends most of the time in a low-volatility regime, periodically switching to a high-volatility regime during times of financial instability. In an attempt to examine the forecasting ability of the model, out-of-sample probabilities of a crash and a boom are estimated recursively. The results provide evidence that our model is able to depict periods of abrupt movements in the US stock market. Finally, the estimated model and the associated probability of a crash are used to develop and evaluate a proposed trading strategy, in order to analyse the financial usefulness of the model. A simple simulation reveals that our trading rule produces statistically significant abnormal returns and manages to outperform the simple buy-and-hold strategy for the period before the Covid-19 crisis.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"94 ","pages":"Pages 93-103"},"PeriodicalIF":3.4,"publicationDate":"2024-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139469060","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

Sukuk liquidity and creditworthiness during COVID-19 COVID-19 期间伊斯兰债券的流动性和信用度

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-01-10 DOI: 10.1016/j.qref.2024.01.001

Mariya Gubareva , Tatiana Sokolova , Zaghum Umar , Xuan Vinh Vo

引用次数: 0