Quarterly Review of Economics and Finance最新文献_第7页

Hacks and the price synchronicity of bitcoin and ether 黑客攻击与比特币和以太币价格的同步性

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-23 DOI: 10.1016/j.qref.2024.04.008

Jying-Nan Wang , Samuel A. Vigne , Hung-Chun Liu , Yuan-Teng Hsu

引用次数: 0

Dual effects of investor sentiment and uncertainty in financial markets 投资者情绪和不确定性对金融市场的双重影响

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-21 DOI: 10.1016/j.qref.2024.04.006

Sangik Seok , Hoon Cho , Doojin Ryu

引用次数: 0

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-18 DOI: 10.1016/j.qref.2024.04.005

Afees A. Salisu , Ahamuefula E. Ogbonna , Rangan Gupta , Elie Bouri

{"title":"Energy-related uncertainty and international stock market volatility","authors":"Afees A. Salisu , Ahamuefula E. Ogbonna , Rangan Gupta , Elie Bouri","doi":"10.1016/j.qref.2024.04.005","DOIUrl":"10.1016/j.qref.2024.04.005","url":null,"abstract":"<div><p>This paper predicts the daily return volatility of 28 advanced and developing stock markets using monthly metrics of the corresponding country and global energy-related uncertainty indexes (EUIs) recently proposed in the literature. Using data in their “natural” frequencies to avoid aggregation bias, the results show that country-specific and global EUIs have predictive powers for stock returns volatility for the in-sample periods, with increased levels of EUIs exhibiting the tendency to heighten volatility. This predictability also withstands various out-of-sample forecast horizons, implying that EUI is a statistically relevant predictor in the out-of-sample analysis. The forecast precision of the GARCH-MIDAS model is improved by incorporating global EUIs relatively more than country-specific EUIs. The robustness of the findings with respect to the choice of EUI and sample definition is further confirmed. The outcomes have important policy implications for the concerned stakeholders who are concerned with stability in the global financial system and economy.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"95 ","pages":"Pages 280-293"},"PeriodicalIF":3.4,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000589/pdfft?md5=4756c1d423cd03d63476fe8d01cf3fb1&pid=1-s2.0-S1062976924000589-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140781634","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

Do ESG disclosures mitigate investors’ reaction on mining disasters? Evidence from Brazil 环境、社会和治理信息披露能否减轻投资者对矿业灾难的反应？巴西的证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-18 DOI: 10.1016/j.qref.2024.04.003

Inés Merino Fdez-Galiano , José Manuel Feria-Dominguez

{"title":"Do ESG disclosures mitigate investors’ reaction on mining disasters? Evidence from Brazil","authors":"Inés Merino Fdez-Galiano , José Manuel Feria-Dominguez","doi":"10.1016/j.qref.2024.04.003","DOIUrl":"https://doi.org/10.1016/j.qref.2024.04.003","url":null,"abstract":"<div><p>The purpose of this paper is to examine the investors´ reaction to the largest ecological disasters –Samarco (2015) and Brumadinho (2019)– occurred in Minas Gerais (Brazil). Applying a short-term event study analysis, we test the stock and Credit Default Swap (CDS) market´s on the mining sector. Moreover, a cross-sectional analysis is performed testing the effect of ESG disclosures on the market reaction –in terms of Cumulative Abnormal Returns, CAR– on the competitors of Vale S.A., the company involved in such ecological catastrophes. Our findings show a statistically significant reaction in both events. Investors´ react negatively and immediately in the case of Vale for both events; CARs are statistically significant for the shorter windows. However, investors react differently in the mining sector sample –excluding Vale–. While CARs are negative in Samarco, investors do so positively in the case of Brumadinho. In that sense, investors seemed as if they switch their perceptions from this first event –Samarco–in comparison to the most recent one –Brumadinho– rewarding the increase of ESG disclosures in the meantime and mitigating a negative contagion effect in the mining sector. The impact on the CDS market is also found positive in mining sector.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"95 ","pages":"Pages 256-267"},"PeriodicalIF":3.4,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000565/pdfft?md5=6897ed0518caf14706a453ff0ebd438e&pid=1-s2.0-S1062976924000565-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140639040","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

Customer concentration, managerial risk aversion, and hostile takeover threats 客户集中度、管理风险规避和恶意收购威胁

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-16 DOI: 10.1016/j.qref.2024.04.004

Pattanaporn Chatjuthamard , Pornsit Jiraporn , Sang Mook Lee , Pattarake Sarajoti

{"title":"Customer concentration, managerial risk aversion, and hostile takeover threats","authors":"Pattanaporn Chatjuthamard , Pornsit Jiraporn , Sang Mook Lee , Pattarake Sarajoti","doi":"10.1016/j.qref.2024.04.004","DOIUrl":"https://doi.org/10.1016/j.qref.2024.04.004","url":null,"abstract":"<div><p>Exploiting a unique measure of takeover vulnerability principally based on the staggered passage of anti-takeover state legislations, we investigate how customer concentration is influenced by the discipline of the market for corporate control, which is widely regarded as a crucial instrument of external corporate governance. Our results demonstrate that more takeover exposure raises customer concentration considerably. Specifically, a rise in takeover susceptibility by one standard deviation increases customer concentration by 8.10%− 9.16%. When insulated from the discipline of the takeover market, risk-averse managers prefer to live a quiet life, trying to reduce firm risk. Consequently, they seek to lower customer concentration as a high level of customer concentration is risky. Therefore, firms more exposed to hostile takeovers exhibit higher customer concentration. Further analysis including entropy balancing, propensity score matching, and instrumental-variable analysis validates the results. Our study is the first to link customer concentration to the market for corporate control.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"95 ","pages":"Pages 268-279"},"PeriodicalIF":3.4,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140650059","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

Social pension insurance and household risky asset investment: Evidence from China 社会养老保险与家庭风险资产投资：来自中国的证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-16 DOI: 10.1016/j.qref.2024.04.001

Jingrong Li , Xinyu Mi , Chenlei Zhang , Yanran Qin

引用次数: 0

Factor returns and FOMC announcements: The role of sentiment 因子回报与 FOMC 公告：情绪的作用

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-15 DOI: 10.1016/j.qref.2024.03.014

George Dotsis , Carlo Rosa

引用次数: 0

The determinants of debt renegotiation: Evidence from Brazil 债务重新谈判的决定因素：巴西的证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-12 DOI: 10.1016/j.qref.2024.04.002

João Paulo Augusto Eça , Tatiana Albanez , Rafael Felipe Schiozer , Mauricio Ribeiro do Valle

{"title":"The determinants of debt renegotiation: Evidence from Brazil","authors":"João Paulo Augusto Eça , Tatiana Albanez , Rafael Felipe Schiozer , Mauricio Ribeiro do Valle","doi":"10.1016/j.qref.2024.04.002","DOIUrl":"https://doi.org/10.1016/j.qref.2024.04.002","url":null,"abstract":"<div><p>We investigate factors that affect debt renegotiation in an emerging economy, focusing on Brazil's publicly-listed non-financial firms. We manually collect novel data from more than three thousand notes to financial statements. The results show that the deterioration in the financial condition of companies - marked by declining profitability and increasing leverage - increases the probability of debt renegotiations. Furthermore, our findings reveal that the impairment in a firm's payment capacity, such as reduced profitability, cash flow, and interest coverage heighten the chances of renegotiations incorporating debtholder compensation mechanisms. Our results expand the knowledge about renegotiation to a context that has been scarcely addressed in previous studies: emerging markets. Additionally, it provides novel insights into the use of compensation mechanisms during renegotiations — an aspect little explored in the literature, although very present in renegotiations. We also innovate by addressing renegotiations with bondholders, an aspect largely overlooked in extant literature.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"95 ","pages":"Pages 244-255"},"PeriodicalIF":3.4,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140620908","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 forward premium anomaly and the currency carry trade hypothesis 远期溢价异常与货币套利交易假说

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-02 DOI: 10.1016/j.qref.2024.03.013

Nikolaos Elias, Dimitris Smyrnakis, Elias Tzavalis

引用次数: 0

Tug of war with noise traders? Evidence from the G7 stock markets 与噪音交易者拔河？来自 G7 股票市场的证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-03-28 DOI: 10.1016/j.qref.2024.03.011

Aghamehman Hajiyev, Karl Ludwig Keiber, Adalbert Luczak

引用次数: 0