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Estimating contagion mechanism in global equity market with time-zone effect 具有时区效应的全球股票市场传染机制估计
IF 2.8 3区 经济学
Financial Management Pub Date : 2023-07-03 DOI: 10.1111/fima.12430
Boyao Wu, Difang Huang, Muzi Chen
{"title":"Estimating contagion mechanism in global equity market with time-zone effect","authors":"Boyao Wu,&nbsp;Difang Huang,&nbsp;Muzi Chen","doi":"10.1111/fima.12430","DOIUrl":"10.1111/fima.12430","url":null,"abstract":"<p>This paper proposes a time-zone vector autoregressive (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static analysis and the COVID-19 crisis through a rolling window method. Our study of comovements using VAR coefficients reveals a resonance effect in the global system. Findings on densities and assortativities suggest the existence of the transmission mechanism in all periods and abnormal structural changes during the crises. Strength analysis uncovers the information transmission mechanism across continents over normal and turmoil periods and emphasizes specific stock markets' unique roles. We examine dynamic continent strengths to demonstrate the contagion mechanism in the global equity market over an extended period. Incorporating the time-zone effect significantly enhances the VAR model's interpretability. Signed networks provide more information on global equity markets and better identify critical contagion patterns than unsigned networks.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 3","pages":"543-572"},"PeriodicalIF":2.8,"publicationDate":"2023-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fima.12430","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43531236","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: 8
To see is to believe: Corporate site visits and mutual fund herding 眼见为实:企业实地考察和共同基金羊群效应
IF 2.8 3区 经济学
Financial Management Pub Date : 2023-05-26 DOI: 10.1111/fima.12421
Xiaofeng Quan, Cheng Xiang, Donghui Li, Kelvin Jui Keng Tan
{"title":"To see is to believe: Corporate site visits and mutual fund herding","authors":"Xiaofeng Quan,&nbsp;Cheng Xiang,&nbsp;Donghui Li,&nbsp;Kelvin Jui Keng Tan","doi":"10.1111/fima.12421","DOIUrl":"10.1111/fima.12421","url":null,"abstract":"<p>Using a unique data set of corporate site visits by mutual funds to Chinese firms listed on the Shenzhen Stock Exchange from 2013 to 2021, we find that firms with visits (more visits) are associated with lower mutual fund herding than those with no (fewer) visits. In addition, we demonstrate that mutual funds’ visits to a firm drive the change in their herding propensity by verifying hard information (e.g., the firm's technology, innovation, accounting, and finance information) and obtaining soft information (e.g., management's risk appetite, employee morale, and corporate culture). Furthermore, corporate site visits are found to strengthen herding's price impact without return reversals. Overall, our results are consistent with information cascade theory.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 4","pages":"711-740"},"PeriodicalIF":2.8,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47043460","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
Climate change and corporate cash holdings: Global evidence 气候变化与企业现金持有：全球证据
IF 2.8 3区 经济学
Financial Management Pub Date : 2023-04-26 DOI: 10.1111/fima.12420
Siamak Javadi, Abdullah-Al Masum, Mohsen Aram, Ramesh P. Rao
{"title":"Climate change and corporate cash holdings: Global evidence","authors":"Siamak Javadi,&nbsp;Abdullah-Al Masum,&nbsp;Mohsen Aram,&nbsp;Ramesh P. Rao","doi":"10.1111/fima.12420","DOIUrl":"https://doi.org/10.1111/fima.12420","url":null,"abstract":"<p>Using data from 41 countries, we provide novel empirical evidence that firms’ cash holdings are positively associated with their climate change exposure. This evidence is robust to different model specifications and survives a battery of tests to ease concerns related to spurious correlation and omitted variable bias. Using the release of the Stern Review as an exogenous shock to climate change awareness, we show that this association becomes significantly stronger after the release of the Review and particularly so for firms with higher exposure to regulatory and transition risk dimensions of climate change as well as financially constrained firms. Overall, results fit consistently within the precautionary motive framework and suggest that firms hold more cash to safeguard against the adverse impact of climate change.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 2","pages":"253-295"},"PeriodicalIF":2.8,"publicationDate":"2023-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50154461","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
Tick size and price efficiency: Further evidence from the Tick Size Pilot Program 蜱虫大小和价格效率：蜱虫大小试点项目的进一步证据#
IF 2.8 3区 经济学
Financial Management Pub Date : 2023-03-27 DOI: 10.1111/fima.12419
Kee H. Chung, Chairat Chuwonganant
{"title":"Tick size and price efficiency: Further evidence from the Tick Size Pilot Program","authors":"Kee H. Chung,&nbsp;Chairat Chuwonganant","doi":"10.1111/fima.12419","DOIUrl":"10.1111/fima.12419","url":null,"abstract":"<p>This paper examines whether larger tick sizes improve or hinder price efficiency for small-capitalization stocks using data from implementing and terminating the Tick Size Pilot Program (TSPP). We show that the TSPP led to increases in various liquidity measures, and its termination restored them to their pre-TSPP levels. We also find evidence that the TSPP led to trader migration from the pilot to control stocks. The TSPP implementation (termination) is associated with decreases (increases) in price efficiency, indicating that price efficiency decreases with tick sizes. Liquidity and informed trading are two channels through which the TSPP changes price efficiency.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 3","pages":"483-511"},"PeriodicalIF":2.8,"publicationDate":"2023-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45253586","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: 2
The consequences of non-trading institutional investors 非交易机构投资者的后果
IF 2.8 3区 经济学
Financial Management Pub Date : 2023-03-16 DOI: 10.1111/fima.12418
Mohammad (Vahid) Irani, Hugh Hoikwang Kim
{"title":"The consequences of non-trading institutional investors","authors":"Mohammad (Vahid) Irani,&nbsp;Hugh Hoikwang Kim","doi":"10.1111/fima.12418","DOIUrl":"10.1111/fima.12418","url":null,"abstract":"<p>We document that institutional investors do not trade a single share, on average, in one of five stocks in their portfolio for an extended period. Investors with high inaction are likely to underperform in the future. Our results show a similar underperformance for stocks with a high non-trading level of institutional investors. We investigate several behavioral biases as potential drivers of the non-trades and find no evidence of distraction, overconfidence, and disposition effects. Institutional investors’ tendency to sell stocks with salient price movements and recency bias best explains their inactions. Overall, the non-trading behavior of institutional investors serves as a unique predictor for their future performance and potential behavioral biases are driving this predictability.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 3","pages":"433-481"},"PeriodicalIF":2.8,"publicationDate":"2023-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fima.12418","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47014748","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
Biodiversity finance: A call for research into financing nature 生物多样性融资：呼吁研究为自然融资
IF 2.8 3区 经济学
Financial Management Pub Date : 2023-02-13 DOI: 10.1111/fima.12417
G. Andrew Karolyi, John Tobin-de la Puente
{"title":"Biodiversity finance: A call for research into financing nature","authors":"G. Andrew Karolyi,&nbsp;John Tobin-de la Puente","doi":"10.1111/fima.12417","DOIUrl":"https://doi.org/10.1111/fima.12417","url":null,"abstract":"<p>Biodiversity conservation will supersede climate change risk mitigation and adaptation as the next grand challenge for sustainable finance. Closing the financing gap between what is currently spent and what is needed to be spent over the next 10 years to mobilize private investment to maintain ecosystem integrity and biodiversity, and the services they provide, is estimated to exceed hundreds of billions per year. Yet there are no studies in the top tier journals in finance that have framed the risks related to biodiversity loss, how those risks might be priced, or how the private financing flows need to be intermediated. We lay out one framework and outline important open research questions for financial economists to pursue.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 2","pages":"231-251"},"PeriodicalIF":2.8,"publicationDate":"2023-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50140163","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
Pricing strategies in BigTech lending: Evidence from China 大科技贷款的定价策略:来自中国的证据
IF 2.8 3区 经济学
Financial Management Pub Date : 2023-01-24 DOI: 10.1111/fima.12416
Lei Lu, Jianxing Wei, Weixing Wu, Yi Zhou
{"title":"Pricing strategies in BigTech lending: Evidence from China","authors":"Lei Lu,&nbsp;Jianxing Wei,&nbsp;Weixing Wu,&nbsp;Yi Zhou","doi":"10.1111/fima.12416","DOIUrl":"10.1111/fima.12416","url":null,"abstract":"<p>This paper analyzes a BigTech lender's pricing strategies in the business-to-customer unsecured loan market using a proprietary data set of consumer loans in China. We find that the credit rating constructed by the BigTech lender is informative of the customers' default risk. Moreover, the interest rate decreases and the credit limit increases with the credit rating. Interestingly, the BigTech lender charges different interest rates to its customers based on the customer channel, although it does not provide information about the customers' default risk. Following the passage of the China Banking Regulatory Commission Act, which reduced credit market competition, the BigTech lender increased the current rate and decreased the credit limit. We rationalize these empirical findings in a simple model of credit contract design.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 2","pages":"333-374"},"PeriodicalIF":2.8,"publicationDate":"2023-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44470894","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: 1
Share repurchases on trial: Large-sample evidence on share price performance, executive compensation, and corporate investment 股票回购试验:关于股价表现、高管薪酬和公司投资的大样本证据
IF 2.8 3区 经济学
Financial Management Pub Date : 2023-01-23 DOI: 10.1111/fima.12415
Nicholas Guest, S. P. Kothari, Parth Venkat
{"title":"Share repurchases on trial: Large-sample evidence on share price performance, executive compensation, and corporate investment","authors":"Nicholas Guest,&nbsp;S. P. Kothari,&nbsp;Parth Venkat","doi":"10.1111/fima.12415","DOIUrl":"10.1111/fima.12415","url":null,"abstract":"<p>Using a large sample of US stocks covering more than three decades, we empirically examine common criticisms of and rationales for stock repurchases. Repurchases account for a tiny fraction of the trading volume in a typical stock, making their price impact too small to generate short-term price manipulation. Price appreciation following repurchases is modest and does not reverse on average, suggesting the small price increases following repurchases signal firms’ good prospects. Also, we find no evidence that CEOs of repurchasing firms are paid excessively or that repurchases crowd out valuable investment opportunities. Because repurchases do not appear to be systematically abusive, enforcement action should be sufficient to deal with any bad actors, and significant regulation seems unwarranted.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 1","pages":"19-40"},"PeriodicalIF":2.8,"publicationDate":"2023-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46153354","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: 1
Climate risk perceptions and demand for flood insurance 气候风险认知和洪水保险需求
IF 2.8 3区 经济学
Financial Management Pub Date : 2023-01-18 DOI: 10.1111/fima.12414
Dimuthu Ratnadiwakara, Buvaneshwaran Venugopal
{"title":"Climate risk perceptions and demand for flood insurance","authors":"Dimuthu Ratnadiwakara,&nbsp;Buvaneshwaran Venugopal","doi":"10.1111/fima.12414","DOIUrl":"https://doi.org/10.1111/fima.12414","url":null,"abstract":"<p>The demand for flood insurance is low when the frequency and severity of flood disasters are increasing due to climate change. We show that beliefs about climate change influence homeowners' choice and level of flood insurance coverage. The demand for voluntary flood insurance coverage for homes and contents is higher in areas with more people who are worried about global warming. Property-level analysis shows that individuals are more likely to terminate flood insurance after unanticipated premium increases if they do not perceive climate change as a risk. We use the heterogeneous impact of widening partisan polarization on climate change beliefs to rule out alternative explanations.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 2","pages":"297-331"},"PeriodicalIF":2.8,"publicationDate":"2023-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50136651","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
Macroeconomic fundamentals and cryptocurrency prices: A common trend approach 宏观经济基本面和加密货币价格:共同趋势方法
IF 2.8 3区 经济学
Financial Management Pub Date : 2022-12-27 DOI: 10.1111/fima.12412
Xiaoquan Jiang, Iván M. Rodríguez Jr., Qianying Zhang
{"title":"Macroeconomic fundamentals and cryptocurrency prices: A common trend approach","authors":"Xiaoquan Jiang,&nbsp;Iván M. Rodríguez Jr.,&nbsp;Qianying Zhang","doi":"10.1111/fima.12412","DOIUrl":"10.1111/fima.12412","url":null,"abstract":"<p>Based on asset pricing theory, we posit and find that equity markets and cryptocurrency markets share a common fundamental. Our cointegration tests show that the most important asset pricing primitive, consumption, can serve as the common fundamental. We further show that additional macroeconomic factors, as well as uncertainty and sentiment, all play a role in explaining the deviation from fundamentals. To understand the linkage between equity markets, cryptocurrency markets, and the macroeconomy, we suggest the following three channels: (i) portfolio allocation decisions, (ii) intermarket order flows, and (iii) technological adaption expectations.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"52 1","pages":"181-198"},"PeriodicalIF":2.8,"publicationDate":"2022-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48029769","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: 1
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