{"title":"Sustainability arbitrage pricing of ESG derivatives","authors":"Takashi Kanamura","doi":"10.1016/j.irfa.2025.104177","DOIUrl":"10.1016/j.irfa.2025.104177","url":null,"abstract":"<div><div>This study aims to propose a new model of ESG derivative pricing by introducing a new concept of sustainability arbitrage arising from ES components vertical to market risk and examine the model’s usefulness in practice by focusing on the mean-reverting properties of ESG asset prices. The ESG derivative pricing model, an extension of good-deal bounds (GDB) in an incomplete market, can overcome the arbitrariness of setting the exogenous Sharpe ratio necessary for the GDBs. The empirical studies using ESG indices of S&P, MSCI, and STOXX demonstrate that the price boundaries from sustainability arbitrage pricing of ESG futures and call options are much tighter than those from the original good-deal bounds with twice the Sharpe ratio, which is the maximum of any portfolio performance as assumed in Ross (1976) and which Shanken (1992) calls “approximate arbitrage.” Sustainability arbitrage pricing generates relatively tight price boundaries consistent with sustainable concepts. Then, empirical studies find the long-term mean of ESG indices strongly affects ES risk premiums in sustainability arbitrage pricing. The results confirm the importance of mean-reversion of ESG indices in ESG derivative pricing. Sustainability arbitrage pricing produces a positive relationship between economic and ESG value, symmetric information holding of ES risk between buyers and sellers, and reasonable upper limits in ES risk premiums. These three features of the ES risk premium may prove that sustainability arbitrage pricing is valid for ESG derivative pricing in practice. Finally, we discuss the validities of the proposed models and empirical studies using an econometric analysis, model parameter estimation using more recent extended data, and a sensitivity analysis of strike prices to call option prices.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"104 ","pages":"Article 104177"},"PeriodicalIF":7.5,"publicationDate":"2025-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143852309","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}
Guangrui Liu , Ying Fang , Hao Qian , Zhigang Ding , Alex Zhang , Songlin Zhang
{"title":"Incentive or catering effect of environmental subsidies? Evidence from ESG reports on greenwashing","authors":"Guangrui Liu , Ying Fang , Hao Qian , Zhigang Ding , Alex Zhang , Songlin Zhang","doi":"10.1016/j.irfa.2025.104242","DOIUrl":"10.1016/j.irfa.2025.104242","url":null,"abstract":"<div><div>This study examines how government environmental subsidies impact firm environmental, social, and governance (ESG) information disclosure by focusing on incentive-driven and catering effects. Using data from Chinese listed companies (2011−2021), we develop an ESG report greenwashing catering index. We show that these subsidies generally promote greenwashing in ESG disclosures, with the catering effect outweighing the incentive effect. This is driven mainly by increased investor sentiment, analyst attention and risk-taking capacity following subsidy receipt. Management's greenwashing is amplified by executives' political connections and is more prevalent in the sample of heavy polluters, state-owned enterprises, firms under strong environmental regulation, firms exhibiting voluntary disclosure and firms with poor ESG performance. Overall, we reveal the catering effect of ESG reporting on greenwashing through government environmental subsidies and introduce a new theoretical perspective on such greenwashing.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104242"},"PeriodicalIF":7.5,"publicationDate":"2025-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143823861","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}
{"title":"Impact of Fintech on supply chain resilience","authors":"Fang Liu , Linling Xie , Wei Liu","doi":"10.1016/j.irfa.2025.104241","DOIUrl":"10.1016/j.irfa.2025.104241","url":null,"abstract":"<div><div>This study examines the impact of financial technology (fintech) on corporate supply chain resilience. The findings indicate that fintech development significantly strengthens supply chain resilience, particularly in enhancing resistance to disruptions and recovery capabilities. A mechanism analysis reveals that this effect is driven by the expansion of supply chain finance and the reduction of supply chain concentration. Additionally, a heterogeneity analysis shows that fintech plays a more pronounced role in improving supply chain resilience for non-state-owned enterprises, firms facing high financing constraints, and businesses operating in regions with a higher level of market development. This paper offers both theoretical insights and practical guidance for corporations aiming to bolster supply chain resilience in the fintech era.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104241"},"PeriodicalIF":7.5,"publicationDate":"2025-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143833904","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}
{"title":"Diabetes burden and firm value: The role of labor","authors":"Siying Quan , Peng Cheng , Jia Zhai","doi":"10.1016/j.irfa.2025.104211","DOIUrl":"10.1016/j.irfa.2025.104211","url":null,"abstract":"<div><div>Building on human relations and stakeholder theories, we demonstrate a negative relationship between state-level diabetes burden, measured by diabetes-related death rates, and firm value. We identify three key moderating channels: organizational capital, which captures a firm's ability to attract and retain skilled labor; labor-intensive industries, such as mining and manufacturing; and labor productivity, measured by sales per employee. This study contributes to the ESG (environmental, social, governance) literature by illustrating how community health influences corporate performance and by providing empirical evidence linking the diabetes burden to firm value. By integrating health factors into business strategies, we expand the literature on firm valuation and emphasize the role of public health in creating value by aligning stakeholder interests with workforce wellbeing. The findings also offer practical implications for policymakers and managers, highlighting the importance of recognizing chronic disease burdens as key determinants of firm performance in the pursuit of sustainable development.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104211"},"PeriodicalIF":7.5,"publicationDate":"2025-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143807561","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}
{"title":"Greening the chain: How digital transformation of supply chains drives corporate innovation in China's A-share market","authors":"Tianze Zhang , Xueqi Zhao , Yue Xi","doi":"10.1016/j.irfa.2025.104224","DOIUrl":"10.1016/j.irfa.2025.104224","url":null,"abstract":"<div><div>This study examines the effect of supply chain digital transformation (SCDT) on corporate green innovation. We focused on listed companies in China's A-share market from 2007 to 2023, utilizing text analysis to construct an index that measures the digital transformation of corporate supply chains. Our empirical findings indicate that the SCDT significantly increased corporate green innovations. Furthermore, the mechanism analysis suggests that the improvement in net cash flow and the alleviation of financing constraints brought about by the SCDT significantly promote firms' engagement in green innovation. In addition, we find that the effect of supply chain digital transformation on green innovation is pronounced in firms with higher environmental performance, a larger proportion of female executives, and those located in provinces with higher government environmental expenditures.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104224"},"PeriodicalIF":7.5,"publicationDate":"2025-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143821154","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}
{"title":"How mayors’ promotion incentives shape corporate green innovation disclosure? Evidence from China’s New Environmental Protection Law","authors":"Jiaqi Li , Rui Sun , Mingduo Zhao","doi":"10.1016/j.irfa.2025.104181","DOIUrl":"10.1016/j.irfa.2025.104181","url":null,"abstract":"<div><div>We investigate the impact of mayors’ promotion incentives on corporate green innovation disclosures following China’s implementation of the New Environmental Protection Law (NEPL) in 2015. The NEPL signaled a nationwide escalation in environmental regulations. Although firms governed by high-promotion-incentivized mayors disclosed fewer green innovations than firms governed by low-promotion-incentivized mayors, they increased their green innovation disclosures more significantly after the NEPL implementation. Our results capture the dynamics of corporate green innovation disclosure around NEPL implementation by measuring firm green innovation disclosure using neural network-based machine-learning techniques. Furthermore, this improvement in green innovation disclosure is more pronounced for firms in pollution-heavy industries, firms with political ties, and those facing high litigation risks. Lastly, environmental media coverage and investigation mechanisms amplify the positive effect of mayors’ promotion incentives on green innovation disclosures. Our study highlights the age factor in local politicians’ promotion incentives for corporate green innovation disclosure.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104181"},"PeriodicalIF":7.5,"publicationDate":"2025-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143821155","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}
Chien-Chiang Lee , Chih-Wei Wang , Weizheng Lin , En-Jia Chen
{"title":"Cyber risk and corporate share repurchases","authors":"Chien-Chiang Lee , Chih-Wei Wang , Weizheng Lin , En-Jia Chen","doi":"10.1016/j.irfa.2025.104232","DOIUrl":"10.1016/j.irfa.2025.104232","url":null,"abstract":"<div><div>This study investigates the relationship between cyberattacks and corporate share repurchases among U.S. firms. The results indicate that firms typically increase share repurchases following a cyberattack, driven by firm undervaluation and improvements in corporate governance. To address potential endogeneity concerns, this research employs several methods to enhance the robustness of our findings. Additionally, we observe that peer firms exhibit heightened repurchase activity in response to cyberattacks. Our heterogeneity analysis further reveals that finance, services, and high-tech firms are exceptionally responsive to cyberattacks, significantly increasing repurchase activity. Results also find that firms in states with lower economic policy uncertainty and those with more substantial financial performance are more likely to engage in share repurchases.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104232"},"PeriodicalIF":7.5,"publicationDate":"2025-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143823859","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}
{"title":"Enhancing corporate total factor productivity: The dual drivers of inclusive finance and technological progress","authors":"Xueqin Dong , Dongdong Dong , Lilong Huang","doi":"10.1016/j.irfa.2025.104213","DOIUrl":"10.1016/j.irfa.2025.104213","url":null,"abstract":"<div><div>This study employs data from Chinese listed companies between 2011 and 2022 to explore the synergetic effects of inclusive finance and technological progress on the enhancement of corporate total factor productivity (TFP). The results indicate that both inclusive finance and technological advancements independently contribute to the elevation of corporate TFP. Moreover, technological progress acts as a crucial bridge, facilitating the positive impact of inclusive finance on corporate TFP. Additionally, the study finds heterogeneous effects of inclusive finance and technological progress on TFP improvement across state-owned and private enterprises, highlighting the need for tailored strategies to maximize productivity gains in different ownership contexts.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104213"},"PeriodicalIF":7.5,"publicationDate":"2025-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143799580","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}
{"title":"Digital transformation in banking: Curbing procyclical leverage to strengthen financial stability","authors":"Li Wang , Zeyu Huang , Yanan Wang , Yining Yang","doi":"10.1016/j.irfa.2025.104205","DOIUrl":"10.1016/j.irfa.2025.104205","url":null,"abstract":"<div><div>Digital transformation is revitalizing the banking system. By applying NLP techniques, this study aims to analyze the trends of digital transformation in Chinese commercial banks and explore how this transformation contributes to banks' deleveraging and stabilization. We construct a framework for digital transformation in banking across five dimensions, emphasizing the critical role of digitalized risk control. The findings reveal that digital transformation, particularly when integrating digitalized risk control, significantly contributes to deleveraging. Among the sub-dimensions, technological digitalization, risk control digitalization, and product digitalization have strong effects in reducing bank leverage. The deleveraging impact of digital transformation is especially pronounced in banks owned by the government, with higher capital adequacy ratios, in regions with weaker financial regulation, with a fintech subsidiaries, and listed as systematically important. In terms of mechanisms, digital transformation helps mitigate procyclical leverage behavior, thereby stabilizing the financial system. Shifting the focus to off-balance sheet activities and systemic risk, an intriguing phenomenon emerges: banks with fewer types of wealth management products, a preference for shorter maturities, and higher yield caps demonstrate a more pronounced deleveraging effect during digital transformation. Additionally, the dual effects of digital transformation on both deleveraging and systemic risk control are also examined.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104205"},"PeriodicalIF":7.5,"publicationDate":"2025-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143826028","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}
Zhaoyang Sun , Meng Rao , Baoshuai Yao , Huifang Ci , Zongrun Li , Chao Feng
{"title":"Driving enterprise new quality productivity: The role of big data tax collection","authors":"Zhaoyang Sun , Meng Rao , Baoshuai Yao , Huifang Ci , Zongrun Li , Chao Feng","doi":"10.1016/j.irfa.2025.104184","DOIUrl":"10.1016/j.irfa.2025.104184","url":null,"abstract":"<div><div>The application of big data in tax administration has emerged as a crucial catalyst for technological advancements in enterprises, promoting sustained growth and significantly enhancing the development of new quality productivity. This research uses a difference-in-difference (DID) model, anchored by the ‘Golden Tax Phase III’ project as a natural experiment benchmark, to empirically investigates how big data tax administration influences enterprise new quality productivity and uncovers the pathways through which these effects manifest. The findings indicate that the implementation of big data tax management, exemplified by the ‘Golden Tax Phase III’ project, significantly boosts enterprise new quality productivity, particularly by enhancing innovation capacity and output value. Notably, this impact is especially pronounced in technology-intensive and environmentally friendly enterprises, with the western region experiencing the strongest positive effects compared to the eastern and central regions. Furthermore, the mediation effect model provides further insights, revealing that big data tax administration indirectly strengthens enterprise new quality productivity by improving total factor productivity, increasing investment levels, and accelerating technological progress. By integrating theoretical foundations with empirical evidence, this research sheds light on the economic benefits of big data tax administration. It also offers strategic recommendations aimed at fostering digital economic innovation, improving new quality productivity, and driving the ongoing reform of regulatory systems.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104184"},"PeriodicalIF":7.5,"publicationDate":"2025-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143823860","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}