International Review of Financial Analysis最新文献

Optimal shrinkage of means in the Markowitz model 马科维茨模型中均值的最优缩减

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-22 DOI: 10.1016/j.irfa.2025.104136

Roberto Ortiz , Mauricio Contreras , Cristhian Mellado

{"title":"Optimal shrinkage of means in the Markowitz model","authors":"Roberto Ortiz , Mauricio Contreras , Cristhian Mellado","doi":"10.1016/j.irfa.2025.104136","DOIUrl":"10.1016/j.irfa.2025.104136","url":null,"abstract":"<div><div>This paper shows that portfolio optimization operates with low volatility in the portfolio weights and out-the-sample Sharpe ratio higher than the <span><math><mrow><mn>1</mn><mo>/</mo><mi>n</mi></mrow></math></span> rule by shrinking the vector of averages to its grand mean and minimizing the mean square error of the portfolio weights. It is also shown that shrinking the vector of means to its grand mean and minimizing the mean square error of the vector of means can obtain out-of-sample Sharpe ratios that exceed the <span><math><mrow><mn>1</mn><mo>/</mo><mi>n</mi></mrow></math></span> rule; however, this leads to high values of the portfolio weights’ volatilities. That is because minimizing the mean square error of the portfolio weights also optimizes the estimation error of the model’s decision variables. Therefore, this method can be part of the predict-and-optimize approach. In contrast, minimizing the mean square error of the vector of means involves incorporating the estimated values of the means to calculate the values of the decision variables (portfolio weights). That is, it minimizes the estimation error of the vector of means, not the decision variables. This method can be considered within the estimate-then-optimize approach.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"104 ","pages":"Article 104136"},"PeriodicalIF":7.5,"publicationDate":"2025-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143868011","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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

Military experience and mortgage stress 从军经历和抵押贷款压力

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-21 DOI: 10.1016/j.irfa.2025.104237

Mingzhi Hu , Yinxin Su

引用次数: 0

How do prestigious CEOs change corporate ESG initiatives? 知名ceo如何改变企业的ESG计划？

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-20 DOI: 10.1016/j.irfa.2025.104273

Ying Chen , Zhitao Wang , Fan Ye

引用次数: 0

Beyond borders: Asset price reaction to ESG incidents at home and abroad 超越国界：资产价格对国内外ESG事件的反应

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-19 DOI: 10.1016/j.irfa.2025.104246

Tomasz Orpiszewski, Mark Thompson

{"title":"Beyond borders: Asset price reaction to ESG incidents at home and abroad","authors":"Tomasz Orpiszewski, Mark Thompson","doi":"10.1016/j.irfa.2025.104246","DOIUrl":"10.1016/j.irfa.2025.104246","url":null,"abstract":"<div><div>This study addresses the growing interest among investors and academics in understanding the asset price reaction to Environmental, Social, and Governance (ESG) incidents, particularly those occurring internationally. Despite extensive literature on ESG-related financial implications, the joint impact on stocks and corporate bonds, especially in relation to geographic, linguistic, and economic contexts of incidents, remains understudied. To bridge this gap, we apply an event-study methodology utilizing the Fama–French five-factor model for equities and matching portfolios based on credit ratings and durations for corporate bonds. Analyzing a global dataset of ESG incidents, we uncover several important insights. First, environmental incidents are generally associated with a downward movement in both stocks and corporate bonds. In Europe, governance-related news also triggers a pronounced negative reaction. Second, ESG incidents occurring within the home jurisdiction in the US and Europe often lead to a price increase or a milder drop, highlighting a differential market response based on geographical proximity. Third, we observe that incidents reported in non-English languages or occurring farther from the corporate headquarters tend to elicit stronger negative market reactions, especially when these incidents take place in developed countries within the Asia-Pacific region. Finally, incidents in wealthier countries with higher GDP per capita result in a greater price drop across all assets, whereas bond prices exhibit a smaller decline or even increase when incidents occur in developing countries. These findings underscore the nuanced ways in which geographical, linguistic, and economic factors shape market responses to global ESG events.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"104 ","pages":"Article 104246"},"PeriodicalIF":7.5,"publicationDate":"2025-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143865152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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

Effects of artificial intelligence in the modern business: Client artificial intelligence application and audit quality 人工智能在现代商业中的影响：客户端人工智能应用与审计质量

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-19 DOI: 10.1016/j.irfa.2025.104271

Jianhua Tan , Samuel Chang , Ying Zheng , Kam C. Chan

{"title":"Effects of artificial intelligence in the modern business: Client artificial intelligence application and audit quality","authors":"Jianhua Tan , Samuel Chang , Ying Zheng , Kam C. Chan","doi":"10.1016/j.irfa.2025.104271","DOIUrl":"10.1016/j.irfa.2025.104271","url":null,"abstract":"<div><div>Audit clients in various industries are investing significant funds in research and development for artificial intelligence (AI), machine learning, and related technological innovations relevant to their firm operations. In this study, we examine the impact of client AI applications on the quality of financial statement audits. Using 25,408 firm-year observations from a sample of Chinese firms, we document that firms developing and implementing AI technology exhibit, on average, a higher audit quality on their annual audits. This effect is transmitted by increased internal control quality and increased corporate transparency. Additional analysis suggests that this effect is moderated by the auditor's IT background, auditor-client distance, the client's corporate governance quality, and whether the firm belongs to a high-technology industry. Furthermore, we find that applications of AI also decrease audit lags and audit fees for the client. Given that the implementation of AI improves audit quality and reduces fees, we suggest that a firm's AI application improves operational efficiency and provides additional unforeseen benefits of improved audit quality for the firm.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"104 ","pages":"Article 104271"},"PeriodicalIF":7.5,"publicationDate":"2025-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143854386","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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

Religion, places of worship, and individual risk-taking in China 中国的宗教、礼拜场所和个人冒险行为

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-19 DOI: 10.1016/j.irfa.2025.104250

Li Xu , Ningru Zhao , Jin Di Zheng

引用次数: 0

Firm complexity and credit ratings 公司复杂性和信用评级

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-18 DOI: 10.1016/j.irfa.2025.104267

Man Dang , Premkanth Puwanenthiren , Mieszko Mazur , Viet Anh Hoang , Sivathaasan Nadarajah , Thieu Quang Nguyen

引用次数: 0

Can political connections promote corporate social responsibility? Evidence from targeted poverty alleviation programs 政治关系能促进企业的社会责任吗？来自精准扶贫项目的证据

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-18 DOI: 10.1016/j.irfa.2025.104264

Chen Weng , Jie Chen

{"title":"Can political connections promote corporate social responsibility? Evidence from targeted poverty alleviation programs","authors":"Chen Weng , Jie Chen","doi":"10.1016/j.irfa.2025.104264","DOIUrl":"10.1016/j.irfa.2025.104264","url":null,"abstract":"<div><div>Using sample data of A-share listed companies in the Shanghai and Shenzhen Stock Exchanges from 2016 to 2020, this study empirically explores the impact of political connections on corporate fulfilment of social responsibility for targeted poverty alleviation based on the panel regression model. The results showed that political connections can effectively encourage enterprises to fulfil social responsibility for targeted poverty alleviation. We conducted multiple robustness tests using propensity score matching and instrumental variable methods to address the sample selection bias and endogeneity, changing the explained and explanatory variables, and adding regional control variables. The mechanism test showed that political connections encourage enterprises to fulfil their social responsibility for targeted poverty alleviation mainly by easing financing constraints and increasing government subsidies obtained by enterprises. Heterogeneity analysis showed that political connections significantly impact non-state-owned enterprises, firms with a shorter history, and higher managerial ownership. Therefore, the government should reasonably guide enterprises to fulfil their social responsibilities and actively serve the national rural revitalisation strategy by setting an example for entrepreneurs who contribute to poverty alleviation, reduce resource allocation intervention, optimise the business environment of enterprises, and appropriately provide resources to enterprises that actively participate in targeted poverty alleviation.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"104 ","pages":"Article 104264"},"PeriodicalIF":7.5,"publicationDate":"2025-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143877013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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

Can the digital economy enhance enterprises' breakthrough innovation? 数字经济能否增强企业的突破性创新？

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-18 DOI: 10.1016/j.irfa.2025.104269

Teng Qin , Chuan Qin , Jiaxin Wang , Haiyan Xing

{"title":"Can the digital economy enhance enterprises' breakthrough innovation?","authors":"Teng Qin , Chuan Qin , Jiaxin Wang , Haiyan Xing","doi":"10.1016/j.irfa.2025.104269","DOIUrl":"10.1016/j.irfa.2025.104269","url":null,"abstract":"<div><div>Despite the growing recognition of digital transformation's significance, empirical evidence remains limited on how advancements in the digital economy (<span><math><mi>DE</mi></math></span>) specifically influence breakthrough innovation (<span><math><mi>INNOVT</mi></math></span>), particularly in the presence of organizational moderating factors. This study examines these relationships while exploring the moderating roles of managerial empowerment (<span><math><mi>MGM</mi></math></span>) and organizational resilience (<span><math><mi>OR</mi></math></span>). Using a comprehensive dataset of Chinese A-share listed firms from 2007 to 2021, we construct a composite digital economy index and employ multiple econometric approaches, including baseline regression, instrumental variable analysis, propensity score matching, and the Heckman correction method. Our empirical findings reveal that the <span><math><mi>DE</mi></math></span> significantly enhances <span><math><mi>INNOVT</mi></math></span> by improving resource accessibility, reducing constraints, and fostering connectivity. Moreover, <span><math><mi>MGM</mi></math></span> amplifies this effect by optimizing resource allocation and cultivating an experimental culture, whereas <span><math><mi>OR</mi></math></span> strengthens innovation outcomes by enabling firms to adapt to disruptions and sustain their focus on innovation. Heterogeneity analyses further indicate that ownership structure, technological intensity, and organizational lifecycle significantly influence these relationships. This research contributes to resource-based and dynamic capabilities theoretical frameworks by demonstrating how organizational characteristics convert digital potential into innovation outcomes. The findings provide actionable insights for business leaders seeking to maximize innovation returns from digital investments.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"104 ","pages":"Article 104269"},"PeriodicalIF":7.5,"publicationDate":"2025-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143877010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 benefits of downside risk reduction through coinsurance 通过共同保险降低下行风险的好处

IF 7.5 1区经济学

International Review of Financial Analysis Pub Date : 2025-04-18 DOI: 10.1016/j.irfa.2025.104265

Michael Goedde-Menke , Lars Norden , Christian Rose

引用次数: 0