Carlos Andres Zapata Quimbayo , Diego Felipe Carmona Espejo , Jhonatan Gamboa Hidalgo
{"title":"Robust Bayesian portfolio optimization","authors":"Carlos Andres Zapata Quimbayo , Diego Felipe Carmona Espejo , Jhonatan Gamboa Hidalgo","doi":"10.1016/j.irfa.2025.104215","DOIUrl":"10.1016/j.irfa.2025.104215","url":null,"abstract":"<div><div>We propose a robust Bayesian model using the normal-inverse-Wishart and Gamma distributions for an investment portfolio consisting of the stocks of the United States Dow Jones Industrial Index. To this end, the Bayesian approach and the robust portfolio model are integrated to determine the uncertainty of the estimated parameters in expected returns and covariances using ellipsoidal or quadratic type uncertainty sets. The results show that the proposed method exhibits better performance and diversification than the traditional mean-variance model as well as the robust portfolios.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104215"},"PeriodicalIF":7.5,"publicationDate":"2025-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143767523","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":"Does local government debt replacement affect macroeconomics? Evidence from China","authors":"Yan Wang , Xiao Wang , Xinyi Zheng","doi":"10.1016/j.irfa.2025.104208","DOIUrl":"10.1016/j.irfa.2025.104208","url":null,"abstract":"<div><div>Utilizing the quasi-natural experiment of local debt replacement from 2015 to 2019, this paper employs the intensity difference-in-difference method to investigate the impact of debt replacement on macroeconomics. The findings reveal that local debt replacement significantly increased fixed asset investment, increased industrial output, and reduced financial sector growth, demonstrating its importance in optimizing macroeconomic resource allocation. Simultaneously, local debt replacement improved commercial banks' liquidity risks, slowed stock trading growth, and reduced insurance density, indicating a financial sector constraining effect. Furthermore, local debt replacement significantly stimulated real estate markets by increasing capital availability, increasing newly started construction areas, and accelerating commercial housing sales. Consequently, the fiscal policy space created by such initiatives should be strategically utilized to prioritize investments in major technological advancements, industrial structure optimization, and high-quality development. Second, policymakers must monitor the potential disruptions to financial institutions' operations caused by significant policy changes and promote fiscal–monetary policy synergies. Finally, the stimulative effects of local debt replacement on the real estate sector must be carefully managed to avoid countercyclical policies that unintentionally amplify procyclical distortions.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104208"},"PeriodicalIF":7.5,"publicationDate":"2025-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143776800","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":"What drives institutional investors' site visit decisions: The role of local business environment in China","authors":"Xiaofang Xu , Qi Wan , Jingru Ma , Qilin Peng","doi":"10.1016/j.irfa.2025.104204","DOIUrl":"10.1016/j.irfa.2025.104204","url":null,"abstract":"<div><div>Corporate site visits are crucial for information discovery, forecasting prospective earnings, and enhancing market liquidity, investment efficiency, and financial performance. However, the factors influencing investors' decisions to conduct corporate site visits remain unclear. Leveraging detailed records of institutional investors' site visits to 3154 listed Chinese firms from 2013 to 2021, we demonstrate that a favorable local business environment positively correlates with the frequency and scope of these visits. This relationship arises from reduced information costs and enhanced returns for investors, particularly benefiting firms with lower market synchronicity, higher agency costs, fewer financial constraints, higher cash reserves, and lower dividend payout ratios. Additionally, employing a difference-in-differences research design with interest rate liberalization as an exogenous shock helps mitigate endogeneity concerns, reinforcing the robustness of our conclusions. Furthermore, We find that the interaction between the local financial environment and institutional investors' site visits significantly improves corporate investment efficiency and mitigates both overinvestment and underinvestment issues. Overall, our findings underscore the critical role of local business environment development in shaping institutional investors' site visit patterns and their complex interplay with firm-specific attributes.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104204"},"PeriodicalIF":7.5,"publicationDate":"2025-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143814825","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 does regional judicial quality improvement enhance enterprises' capital allocation efficiency: Evidence from the establishment of circuit court","authors":"Lei Liu","doi":"10.1016/j.irfa.2025.104212","DOIUrl":"10.1016/j.irfa.2025.104212","url":null,"abstract":"<div><div>This paper makes a valuable contribution to the existing research framework on finance and law. The subject of this investigation is the efficacy of capital resource allocation in enterprises in response to regional judicial quality enhancements. This study explicitly employs the establishment of circuit courts as a natural experiment to investigate the causal relationship between the efficacy of capital allocation and judicial enhancement in enterprises that operated from 2012 to 2022. The findings suggest that the effective implementation of circuit courts can enhance the efficiency of capital allocation for firms by reducing finance costs and increasing the productivity of all factors. Nevertheless, the findings do not apply to all enterprises. Heterogeneous analysis suggests that enterprises subject to more severe financial constraints are more susceptible to changes in the legal environment. Furthermore, the heterogeneous effects of a variety of legal environments suggest that the inherent legal environment has a substantial impact on the improvement of regional judicial quality. This paper provides a unique viewpoint on the inefficiency of enterprises' allocation of capital resources.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104212"},"PeriodicalIF":7.5,"publicationDate":"2025-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143807560","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":"Strategic alliances and corporate financialization","authors":"Xin Zhao , Meiju Feng , Jinmei Sun","doi":"10.1016/j.irfa.2025.104214","DOIUrl":"10.1016/j.irfa.2025.104214","url":null,"abstract":"<div><div>Strategic alliances have restructured the business strategies of enterprises, and as a result, the way resources are allocated. This study analyses a sample of Chinese A-share listed companies from 2009 to 2021 from the perspective of corporate financial asset allocation, and adds strategic alliances in the research framework of corporate financialization. The results show that strategic alliances significantly inhibit the financialization of physical enterprises. The mechanism testing demonstrates that easing financing constraints, enhancing the competitive advantage of the main business, and alleviating agency problems are important channels by which strategic alliances to suppress corporate financialization. Additionally, the equity cooperation model and bilateral-contract-type strategic alliances significantly increase the inhibitory effect of strategic alliances on corporate financialization. For both speculative financial assets and value-preserving financial assets, strategic alliances can have a significant inhibitory effect. Strategic alliances can weaken the adverse effects of corporate financialization on capital investment and R&D investment. This study reveals the impact, mechanism, and economic consequences of strategic alliances on the financialization of physical enterprises, providing inspiration and reference for restraining the financialization of physical enterprises and achieving high-quality economic development in China.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104214"},"PeriodicalIF":7.5,"publicationDate":"2025-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143814828","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":"Asymmetric impacts of energy market-related uncertainty on clean energy stock volatility: The role of extreme shocks","authors":"Yanchen Liu , Siyu Yi , Sitong Li , Gengxuan Chen","doi":"10.1016/j.irfa.2025.104206","DOIUrl":"10.1016/j.irfa.2025.104206","url":null,"abstract":"<div><div>Amid escalating uncertainties in the global energy transition and markets, clean energy stock volatility has become a critical concern for investors and policy-makers. This study applies two extended GARCH-MIDAS frameworks to analyse the effects of energy market-related uncertainty indicators—the global energy-related uncertainty index (GEUI), the oil price uncertainty index (OPU), and the crude oil volatility index (OVX)—on clean energy stock volatility. The results show that the GEUI exerts the most substantial influence, with the OPU and OVX having comparatively smaller effects. Further analysis reveals that positive extreme uncertainty shocks exert a stronger influence on stock market volatility than negative shocks, highlighting the heightened sensitivity of markets during periods of increasing uncertainty. Additionally, a leverage effect is observed, where past negative volatility has a greater influence on current volatility than positive events do. These findings offer empirical guidance for risk management and valuable insights for policy-makers addressing frequent uncertainty shocks in the clean energy sector.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104206"},"PeriodicalIF":7.5,"publicationDate":"2025-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783577","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 finance and sustainable development of commercial banks; insights from listed commercial banks","authors":"Qiubo Li , Zhu Zhong , Qing Ge","doi":"10.1016/j.irfa.2025.104209","DOIUrl":"10.1016/j.irfa.2025.104209","url":null,"abstract":"<div><div>With the rise of the digital economy, the ongoing integration of modern information technology with financial elements has significantly boosted the development of digital finance. This paper focuses on listed commercial banks in the A-share capital markets of Shanghai and Shenzhen, China, and empirically examines the impact of digital finance development on their sustainable development. The findings indicate that digital finance development substantially enhances the sustainable growth of these commercial banks. Further analysis reveals that this enhancement is achieved through two main mechanisms: improved business performance and better risk management. Moreover, the positive impact of digital finance on the sustainable development of commercial banks is more pronounced in regions with higher levels of marketization and among non-state-owned commercial banks.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"104 ","pages":"Article 104209"},"PeriodicalIF":7.5,"publicationDate":"2025-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143850736","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":"The disciplinary impact of capital market internationalization on corporate ESG greenwashing: A study of A-shares' inclusion in the MSCI index","authors":"Lulu Tian , Xinyang Song , Meng Du , Baochang Xu","doi":"10.1016/j.irfa.2025.104202","DOIUrl":"10.1016/j.irfa.2025.104202","url":null,"abstract":"<div><div>In the context of high-quality global development, ESG principles have become crucial for enhancing corporate competitiveness and fulfilling social responsibility. However, the prevalence of greenwashing has not only weakened market trust in ESG practices but also raised concerns about corporate ethical responsibility. This study investigated whether the capital market internationalization could impose a disciplinary effect on corporate ESG greenwashing, using the inclusion of China's A-shares in the MSCI Emerging Markets Index in 2018 as an exogenous event and applying a multi-period difference-in-differences model. The findings indicated that capital market internationalization significantly reduced ESG greenwashing, particularly in the dimensions of environmental and corporate governance. Mechanistic analysis revealed that internationalization alleviated financing constraints and strengthened external oversight, prompting firms to adopt higher ethical standards and improve transparency in information disclosure. The heterogeneity analysis further demonstrated that this disciplinary effect was more pronounced for non-high‑carbon firms, companies with institutional investors, firms audited by Big Four accounting firms, and businesses located in more open regions. This study offers valuable insights into how capital market internationalization fosters ethical corporate behavior and mitigates ESG greenwashing.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104202"},"PeriodicalIF":7.5,"publicationDate":"2025-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143776798","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":"Tax neutrality and digital transformation of private enterprises: From the perspective of human capital structure adjustment","authors":"Jiezheng Zhou , Xuexin Liu , Zhe Wang","doi":"10.1016/j.irfa.2025.104200","DOIUrl":"10.1016/j.irfa.2025.104200","url":null,"abstract":"<div><div>Private firms are increasingly adopting digital transformation as a critical future development trend. Examining the factors that promote business digital transformation through the lens of policy instruments is crucial. Using data from A-share nonfinancial private listed companies from 2007 to 2021, this study empirically examines the impact of tax neutrality on the digital transformation of private organizations and its mechanism. Tax neutrality has been shown to significantly improve the digital transformation of private businesses, even after accounting for endogeneity and under numerous robustness tests. Tax neutrality aids private firms' digital transformation by improving human capital structure, boosting employee education, and increasing the number of nonroutine, highly trained personnel. It also has a greater impact on promoting the digital transformation of private enterprises in regions with higher levels of marketization, fiercer industry competition, and more severe financing constraints. Furthermore, this study demonstrates an interacting relationship between tax neutrality and government subsidies. The findings build on prior research on the factors influencing digital transformation in private enterprises. They also confirm the positive impact of tax neutrality and contribute to studying how tax policies affect private enterprises' microeconomic behavior.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104200"},"PeriodicalIF":7.5,"publicationDate":"2025-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143760662","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}
Min Bai , Yue Li , Chia-Feng (Jeffrey) Yu (Jeffrey)
{"title":"Business environment trustworthiness and employee income share","authors":"Min Bai , Yue Li , Chia-Feng (Jeffrey) Yu (Jeffrey)","doi":"10.1016/j.irfa.2025.104201","DOIUrl":"10.1016/j.irfa.2025.104201","url":null,"abstract":"<div><div>Using China's social credit pilot program as a quasi-natural experiment and a sample of listed firms from 2011 to 2019, we provide robust evidence that employee income share rises as business environment trustworthiness improves. Notably, this increase is primarily driven by rank-and-file employees rather than executives. The mechanisms behind this trend include enhanced talent agglomeration, reduced agency problems, and eased financing constraints. The effect is more pronounced for firms facing greater competition, weaker corporate governance, poorer information environments, or located in less marketized regions. Further, the rise in employee income share positively impacts firms' future financial performance. These findings indicate that in a more trustworthy marketplace, where more customers and investors are likely to engage, firms—particularly those struggling to attract customers and investors—place greater value on rank-and-file employees and increase their income share. This behavior fosters employee reciprocity, leading to improved firm performance.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104201"},"PeriodicalIF":7.5,"publicationDate":"2025-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143748328","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}