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Pricing Protest: The Response of Financial Markets to Social Unrest 定价抗议：金融市场对社会动荡的反应
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-05-05 DOI: 10.1093/rof/rfae008
Philip Barrett, Mariia Bondar, Sophia Chen, Mali Chivakul, Deniz Igan
{"title":"Pricing Protest: The Response of Financial Markets to Social Unrest","authors":"Philip Barrett, Mariia Bondar, Sophia Chen, Mali Chivakul, Deniz Igan","doi":"10.1093/rof/rfae008","DOIUrl":"https://doi.org/10.1093/rof/rfae008","url":null,"abstract":"We identify start days of 156 episodes of social unrest from textual analysis of media reports and show a systematic negative impact of social unrest on stock market performance. Social unrest on average leads to a 1.4 percentage point drop in cumulative abnormal returns in two weeks, more for events that last longer and that happen in emerging markets. Stronger institutions, particularly better governance and more democratic systems, are associated with a smaller adverse impact of social unrest on stock market returns. We argue this reflects the ability of better institutions to provide a more reliable way to reconcile conflicting views and dampen uncertainty after unrest.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140887636","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Female innovative entrepreneurship and maternity risk 女性创新创业与生育风险
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-04-29 DOI: 10.1093/rof/rfae014
Fabrizio Core
{"title":"Female innovative entrepreneurship and maternity risk","authors":"Fabrizio Core","doi":"10.1093/rof/rfae014","DOIUrl":"https://doi.org/10.1093/rof/rfae014","url":null,"abstract":"This paper documents the existence of an intensive margin of the gender gap in innovative entrepreneurship. Not only there are fewer women than men who become entrepreneurs, but female entrepreneurs also hold smaller equity stakes, make less substantial investments, and are less frequently appointed as firm executives compared to their male counterparts. Leveraging the context of emergency contraception deregulation in Italy and varying abortion service accessibility, I find that mitigating maternity risk narrows these gaps. Consequently, female-led firms become riskier and more attractive to venture capital investors during their early stages.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140837588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Strategic Borrowing From Passive Investors 向被动投资者战略性借款
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-04-15 DOI: 10.1093/rof/rfae012
Darius Palia, Stanislav Sokolinski
{"title":"Strategic Borrowing From Passive Investors","authors":"Darius Palia, Stanislav Sokolinski","doi":"10.1093/rof/rfae012","DOIUrl":"https://doi.org/10.1093/rof/rfae012","url":null,"abstract":"We find that short-sellers manage risks by strategically borrowing shares in stocks with significant ownership by passive investors. This practice increases securities lending demand for stocks with substantial passive ownership, resulting in improved price efficiency, higher lending fees, and increased short interest in these stocks. Consistent with the risk mitigation motive, these stocks show reduced risks of unexpected fee hikes and loan recall, longer loan durations, and attract more informed short-sellers. These effects are particularly pronounced in hard-to-borrow stocks where short-sale constraints are binding. Our study suggests that passive investing helps alleviate short-sale constraints by reducing the risks associated with stock borrowing.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140615418","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Do Investors Care about Biodiversity? 投资者关心生物多样性吗？
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-04-13 DOI: 10.1093/rof/rfae010
Alexandre Garel, Arthur Romec, Zacharias Sautner, Alexander f Wagner
{"title":"Do Investors Care about Biodiversity?","authors":"Alexandre Garel, Arthur Romec, Zacharias Sautner, Alexander f Wagner","doi":"10.1093/rof/rfae010","DOIUrl":"https://doi.org/10.1093/rof/rfae010","url":null,"abstract":"This paper introduces a new measure of a firm’s negative impact on biodiversity, the corporate biodiversity footprint, and studies whether it is priced in an international sample of stocks. On average, the corporate biodiversity footprint does not explain the cross-section of returns between 2019 and 2022. However, a biodiversity footprint premium (higher returns for firms with larger footprints) began emerging in October 2021 after the Kunming Declaration, which capped the first part of the UN Biodiversity Conference (COP15). Consistent with this finding, stocks with large footprints lost value in the days after the Kunming Declaration. The launch of the Taskforce for Nature-related Financial Disclosures (TNFD) in June 2021 had a similar effect. These results indicate that investors have started to require a risk premium upon the prospect of, and uncertainty about, future regulation or litigation to preserve biodiversity.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140601234","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Humans in Charge of Trading Robots: The First Experiment 人类掌管交易机器人：首次实验
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-03-15 DOI: 10.1093/rof/rfae007
Elena Asparouhova, Peter Bossaerts, Xiaoqin Cai, Kristian Rotaru, Nitin Yadav, Wenhao Yang
{"title":"Humans in Charge of Trading Robots: The First Experiment","authors":"Elena Asparouhova, Peter Bossaerts, Xiaoqin Cai, Kristian Rotaru, Nitin Yadav, Wenhao Yang","doi":"10.1093/rof/rfae007","DOIUrl":"https://doi.org/10.1093/rof/rfae007","url":null,"abstract":"We present results from an experiment where participants have access to automated trading algorithms, which they may deploy at will while still trading manually. Treatments differ in whether robots must not be halted, deployment is compulsory, or robots can be halted and replaced at will. We hypothesize that robot trading would reduce mispricing, and that the effect would be more pronounced as commitment degree increases. Yet, compared to manual trading only, we observe equally large and frequent mispricing and, in early trading, significantly higher bid-ask spreads and more frequent flash crashes/price surges. Participants earn more provided they combine robot and manual trading. Compared to evidence from archival data, we find significantly higher use of liquidity-taking robots. We attribute this to the inability, in the field, to identify the presence of liquidity takers when they happen not to trade.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140146513","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Complementarity of Sovereign and Corporate Debt Issuance: Mind the Gap 主权债务和公司债务发行的互补性：注意差距
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-03-05 DOI: 10.1093/rof/rfae006
Bruce D Grundy, Sjoerd van Bekkum, Patrick Verwijmeren
{"title":"Complementarity of Sovereign and Corporate Debt Issuance: Mind the Gap","authors":"Bruce D Grundy, Sjoerd van Bekkum, Patrick Verwijmeren","doi":"10.1093/rof/rfae006","DOIUrl":"https://doi.org/10.1093/rof/rfae006","url":null,"abstract":"We investigate the relation between sovereign and corporate bond issuance. Sovereign bond issues that increase a country’s maximum maturity are followed by increases in the maximum maturity of corporate issues. Our results point to issuance complementarities based on the benchmarking of corporate bonds to sovereign bonds. Sovereign and corporate bond issues are also substitutes, but substitutability requires the availability of a high-quality sovereign bond benchmark. By adding to existing theories focusing on substitutability, our findings highlight the role that the maturity of sovereign debt plays in capital market development.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140047472","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Fresh Air Eases Work—the Effect of Air Quality on Individual Investor Activity 新鲜空气让工作更轻松--空气质量对个人投资者活动的影响
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-02-22 DOI: 10.1093/rof/rfae005
Steffen Meyer, Michaela Pagel
{"title":"Fresh Air Eases Work—the Effect of Air Quality on Individual Investor Activity","authors":"Steffen Meyer, Michaela Pagel","doi":"10.1093/rof/rfae005","DOIUrl":"https://doi.org/10.1093/rof/rfae005","url":null,"abstract":"This paper shows that contemporaneous and lagged air pollution significantly negatively affects the likelihood of German individual investors logging in and trading in their brokerage accounts, using intra-day data and controlling for investor-, weather-, traffic-, and market-specific factors. A one standard deviation increase in air pollution leads to a 1.3% reduction in the probability of logging in, which is larger than the response to a one standard deviation increase in sunshine. We argue that changes in air pollution affect productivity in cognitively demanding tasks, such as trading. Our results are robust to macroeconomic productivity shocks, non-linearities, or measurement errors.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139969344","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets 建立信任需要时间：区块链资产套利的局限性
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-02-17 DOI: 10.1093/rof/rfae004
Nikolaus Hautsch, Christoph Scheuch, Stefan Voigt
{"title":"Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets","authors":"Nikolaus Hautsch, Christoph Scheuch, Stefan Voigt","doi":"10.1093/rof/rfae004","DOIUrl":"https://doi.org/10.1093/rof/rfae004","url":null,"abstract":"A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement, instead, exposes arbitrageurs to costly default risk. We show with Bitcoin network and order book data that cross-exchange price differences coincide with periods of high settlement latency, asset flows chase arbitrage opportunities, and price differences across exchanges with low default risk are smaller. Blockchain-based trading thus faces a dilemma: Reliable consensus protocols require time-consuming settlement latency, leading to arbitrage limits. Circumventing such arbitrage costs is possible <italic>only</italic> by reinstalling trusted intermediation, which mitigates default risk.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Yield Curve Momentum 收益率曲线动量
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-02-11 DOI: 10.1093/rof/rfae003
Markus Sihvonen
{"title":"Yield Curve Momentum","authors":"Markus Sihvonen","doi":"10.1093/rof/rfae003","DOIUrl":"https://doi.org/10.1093/rof/rfae003","url":null,"abstract":"I analyze time series momentum along the Treasury term structure. Yield curve momentum is primarily due to changes in the level factor of yields. Because yield changes are partly induced by changes in the federal funds rate, yield curve momentum is related to post-FOMC announcement drift. The momentum factor is unspanned by the information in the term structure today and is hence inconsistent with standard term structure, macrofinance and behavioral models. I argue that the results are consistent with a model with unpriced longer term dependencies.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139754020","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Common Risk Factors in Cross-Sectional FX Options Returns 横截面外汇期权回报中的常见风险因素
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-01-20 DOI: 10.1093/rof/rfae002
Xuanchen Zhang, Raymond H Y So, Tarik Driouchi
{"title":"Common Risk Factors in Cross-Sectional FX Options Returns","authors":"Xuanchen Zhang, Raymond H Y So, Tarik Driouchi","doi":"10.1093/rof/rfae002","DOIUrl":"https://doi.org/10.1093/rof/rfae002","url":null,"abstract":"We identify a comprehensive list of thirty-eight characteristics for predicting cross-sectional FX options returns. We find that three factors—long-term straddle momentum, implied volatility, and illiquidity—can generate economically and statistically significant risk premia not explained by other return predictors. Meanwhile, the predictability of the other characteristics becomes insignificant after accounting for the FX option three-factor model. The significance of the three factors is confirmed through a series of robustness tests covering different data sources, alternative options strategies, diversification effects, bootstrapping, and omitting crisis years.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139509417","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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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