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Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection 利用混合频率特性在参数化平均期望差投资组合选择中
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-24 DOI: 10.1016/j.econmod.2025.107072
Shuting Liu , Sicheng Zhang , Yun Chen
{"title":"Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection","authors":"Shuting Liu ,&nbsp;Sicheng Zhang ,&nbsp;Yun Chen","doi":"10.1016/j.econmod.2025.107072","DOIUrl":"10.1016/j.econmod.2025.107072","url":null,"abstract":"<div><div>In this paper, we investigate the role of mixed-frequency characteristics in portfolio selection. We introduce a novel parametric Mean-Expected Shortfall model which establishes direct linkages between portfolio weights and mixed-frequency characteristics. The model solution is converted into a penalized MIDAS expectile regression problem, which not only reduces computational costs, but also identifies the crucial characteristics. An empirical analysis of the CSI 300 index reveals that incorporating mixed-frequency characteristics significantly enhances portfolio performance. The proposed method consistently outperforms other competing models by delivering substantially lower risk and markedly higher risk-adjusted returns. Further coefficient analysis highlights crucial characteristics exerting significant impacts on portfolio weights. Specifically, accumulation distribution and market value demonstrate positive influences, while moving averages, relative strength index, liquidity, and book-to-market ratio exhibit negative impacts. These findings provide investors with valuable tool for asset allocation, enhancing interpretability and reliability in complex data environments.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107072"},"PeriodicalIF":4.2,"publicationDate":"2025-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143725547","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
Revisiting the welfare costs of consumption fluctuations and reduced growth: What matters most to consumers? 重新审视消费波动和增长放缓的福利成本：对消费者来说，什么最重要？
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-20 DOI: 10.1016/j.econmod.2025.107074
Fernando Barros Jr , Gabriel T. Couto , Fábio A.R. Gomes
{"title":"Revisiting the welfare costs of consumption fluctuations and reduced growth: What matters most to consumers?","authors":"Fernando Barros Jr ,&nbsp;Gabriel T. Couto ,&nbsp;Fábio A.R. Gomes","doi":"10.1016/j.econmod.2025.107074","DOIUrl":"10.1016/j.econmod.2025.107074","url":null,"abstract":"<div><div>In an influential work, Lucas (1987) concluded that the welfare benefits of long-term consumption growth far outweigh those of eliminating consumption fluctuation, interpreting this as evidence of the success of the short-term macroeconomics field. We revisit these conclusions to examine their robustness to more plausible variations in long-term consumption growth and the inclusion of habit formation. We also introduce a novel measure to quantify the <em>welfare cost of business cycles</em>, where consumer compensation occurs through a higher consumption growth rate rather than in the level. In the United States economy, the <em>welfare cost of reducing growth</em> is sensitive to alternative consumption growth rates; however, the evidence still supports the argument that growth matters more for consumers than deeper stability. Regarding the <em>welfare cost of business cycles</em>, our results reveal that compensation through higher consumption levels costs less.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107074"},"PeriodicalIF":4.2,"publicationDate":"2025-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143705886","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
Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns? 解释交易量和股票收益之间的因果关系：是什么驱动了它的跨分位数模式？
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-19 DOI: 10.1016/j.econmod.2025.107077
Bartosz Gebka
{"title":"Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?","authors":"Bartosz Gebka","doi":"10.1016/j.econmod.2025.107077","DOIUrl":"10.1016/j.econmod.2025.107077","url":null,"abstract":"<div><div>This study investigates the impact of trading volume on future stock returns, addressing the gap in the literature as to why such causality has previously been found to be of varying signs and magnitudes. Using data from the US covering the period 10/1973-12/2018, we employ quantile regressions to empirically examine if the volume-return causality is driven by informed trading, investors’ liquidity needs, sentiment, or uncertainty. Our analysis reveals that sentiment and the prevalence of informed trading, especially on good news, significantly explain the observed cross-quantile volume-return causality pattern. These findings offer new insights into how stock trading, driven by irrational sentiment and following informed investors, causes temporary imbalances and future price reversals, highlighting the importance of investor irrationality, insider trading, but also illiquidity and imperfect arbitrage, for asset price behaviour. Our results provide implications for risk management, return and volatility forecasting, and regulation of insider trading and information provision.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107077"},"PeriodicalIF":4.2,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143679497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Non-fundamental information disclosure and discretionary liquidity trading 非基本信息披露与任意流动性交易
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-18 DOI: 10.1016/j.econmod.2025.107038
Lanyu Li, Hong Liu, Qingshan Yang
{"title":"Non-fundamental information disclosure and discretionary liquidity trading","authors":"Lanyu Li,&nbsp;Hong Liu,&nbsp;Qingshan Yang","doi":"10.1016/j.econmod.2025.107038","DOIUrl":"10.1016/j.econmod.2025.107038","url":null,"abstract":"<div><div>We examine how the disclosure of non-fundamental information affects market attributes in the presence of discretionary liquidity traders. We find that the involvement of discretionary liquidity traders augments market liquidity, whereas non-fundamental information disclosure has the reverse effect. Furthermore, the effect of disclosure on the equilibrium number of discretionary liquidity traders depends on whether the speculator discloses information about only noise traders or all liquidity traders. Discretionary liquidity traders may result in multiple equilibria, which are related to the speculator’s disclosure preferences. Under specific conditions, the speculator can select the noise level of disclosed information to optimize profits, offering insights into how speculators make decisions regarding information disclosure in financial markets. Moreover, disclosure can minimize price volatility when the equilibrium number of informed traders is endogenously determined, offering practical guidance on how financial markets should use information disclosure strategies to stabilize stock prices.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"147 ","pages":"Article 107038"},"PeriodicalIF":4.2,"publicationDate":"2025-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143643312","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
Impacts of minimum quality standards in durable-goods markets 最低质量标准对耐用品市场的影响
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-14 DOI: 10.1016/j.econmod.2025.107073
Wen-Chung Guo , Jia-Rui Su
{"title":"Impacts of minimum quality standards in durable-goods markets","authors":"Wen-Chung Guo ,&nbsp;Jia-Rui Su","doi":"10.1016/j.econmod.2025.107073","DOIUrl":"10.1016/j.econmod.2025.107073","url":null,"abstract":"<div><div>This study explores the welfare implications of minimum quality standards (MQS) in durable goods markets, contrasting them with the primary focus of existing research on nondurable-goods markets. Our findings show that MQS can improve social welfare in durable-goods markets by encouraging higher research and development levels and increasing overall market outputs. Our findings also suggest that deploying MQS strategically reduces quality disparities across firms, fostering more competition and benefiting consumers. Discussions on imperfect durability rates and the impact of horizontal product differentiation are also included.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107073"},"PeriodicalIF":4.2,"publicationDate":"2025-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143679496","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
Unveiling consumption patterns during COVID-19: Insights from credit cards 揭示COVID-19期间的消费模式：来自信用卡的洞察
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-12 DOI: 10.1016/j.econmod.2025.107071
Simone Emiliozzi , Concetta Rondinelli , Stefania Villa
{"title":"Unveiling consumption patterns during COVID-19: Insights from credit cards","authors":"Simone Emiliozzi ,&nbsp;Concetta Rondinelli ,&nbsp;Stefania Villa","doi":"10.1016/j.econmod.2025.107071","DOIUrl":"10.1016/j.econmod.2025.107071","url":null,"abstract":"<div><div>This study examines the impact of the first wave of the COVID-19 pandemic on Italian consumer spending. Using a novel high-frequency dataset of credit card transactions and an event study approach, we analyze changes in spending behavior across expenditure categories and regions. We find that total transactions dropped by more than 50% during the national lockdown, with steeper declines in high-contact sectors and earlier contractions in Northern regions due to tighter initial restrictions. These results demonstrate the ability of high-frequency data to detect rapid shifts in consumer behavior and the importance of timely policy interventions in response to extreme events.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"147 ","pages":"Article 107071"},"PeriodicalIF":4.2,"publicationDate":"2025-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143627989","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
Housing rare disaster events and asset prices 住房罕见的灾难事件和资产价格
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-11 DOI: 10.1016/j.econmod.2025.107070
Messaoud Chibane , Patrice Poncet
{"title":"Housing rare disaster events and asset prices","authors":"Messaoud Chibane ,&nbsp;Patrice Poncet","doi":"10.1016/j.econmod.2025.107070","DOIUrl":"10.1016/j.econmod.2025.107070","url":null,"abstract":"<div><div>This study revisits the interaction between housing consumption dynamics and the level and term structure of equity risk premia and interest rates. The existing literature on housing consumption fails to explain asset prices when using acceptable preference parameters for the representative investor. By taking into account rare economic disasters events in the dynamics of both standard and housing consumption applied to U.S. data between 1959 and 2020 our model is able to solve long-standing asset pricing puzzles while accommodating upward and downward-sloping term structures of risk premia. These findings show that the housing sector plays a crucial role in explaining the dynamics of financial markets and offers new insights for investors and policy makers alike on how to incorporate housing dynamics into investment decisions and regulations.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"147 ","pages":"Article 107070"},"PeriodicalIF":4.2,"publicationDate":"2025-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143643313","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Localized risk factors: Performance differentials between state-level and US factor models 本地化风险因素：州级和美国因素模型的性能差异
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-09 DOI: 10.1016/j.econmod.2025.107067
Oliver Budras, Maik Dierkes, Florian Sckade
{"title":"Localized risk factors: Performance differentials between state-level and US factor models","authors":"Oliver Budras,&nbsp;Maik Dierkes,&nbsp;Florian Sckade","doi":"10.1016/j.econmod.2025.107067","DOIUrl":"10.1016/j.econmod.2025.107067","url":null,"abstract":"<div><div>We extend the literature on the debate on whether global or local factor models more accurately price assets by comparing US factor models with state-specific localized versions. We show performance differentials between localized and market-wide models even within a country. Using a comprehensive set of factor models and anomaly portfolios as test assets, we show that state-level risk factors tend to outperform their US-wide counterparts. Additionally, US-wide factor models do not span local factors in most cases but can explain correlations of portfolio returns across states. Finally, we show that state-level characteristics as well as the intra- and inter-state return comovement affect the performance gap between state-level and US factor models. Increases in return comovement across states reduce the performance gap between models, while increases in comovement within states raise the latter. The results have important implications for the estimation of the cost of capital as well as portfolio diversification.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"147 ","pages":"Article 107067"},"PeriodicalIF":4.2,"publicationDate":"2025-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143621358","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Can property tax curb housing costs in China? New insights from Chongqing with Bayesian synthetic control 房产税能抑制中国的房价吗？基于贝叶斯综合控制的重庆新见解
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-09 DOI: 10.1016/j.econmod.2025.107069
Jinyu Zhang , Yinghan Tang , Tianyi Liu , Yuan Zhang
{"title":"Can property tax curb housing costs in China? New insights from Chongqing with Bayesian synthetic control","authors":"Jinyu Zhang ,&nbsp;Yinghan Tang ,&nbsp;Tianyi Liu ,&nbsp;Yuan Zhang","doi":"10.1016/j.econmod.2025.107069","DOIUrl":"10.1016/j.econmod.2025.107069","url":null,"abstract":"<div><div>This study explores whether property taxes can effectively curb housing costs, contributing new evidence to the literature on fiscal policies and housing markets. Existing research highlights the regulatory potential of property taxes in developed economies but offers limited insights from emerging markets. We employ monthly data from 64 Chinese cities (2009–2012) and a Bayesian synthetic control approach that addresses the challenge of many potential control units with limited observations. Our findings reveal that Chongqing’s pilot tax reduced average rents by 6.51%, with a delayed peak impact of around 10% in the eighth month. These results highlight how increased holding costs curb speculative incentives, eventually passing through to rental markets. By demonstrating the tax’s substantial dampening effect and the importance of anticipating implementation lags, this study provides critical insights into how property taxes regulate housing markets and offers implications for policymakers seeking to curb speculation while improving housing affordability.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"147 ","pages":"Article 107069"},"PeriodicalIF":4.2,"publicationDate":"2025-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143758872","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
Carbon taxes and labor market: Balancing environmental and social impacts 碳税和劳动力市场：平衡环境和社会影响
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-08 DOI: 10.1016/j.econmod.2025.107041
Dorothée Charlier, Bérangère Legendre, Sarah Le-Duigou
{"title":"Carbon taxes and labor market: Balancing environmental and social impacts","authors":"Dorothée Charlier,&nbsp;Bérangère Legendre,&nbsp;Sarah Le-Duigou","doi":"10.1016/j.econmod.2025.107041","DOIUrl":"10.1016/j.econmod.2025.107041","url":null,"abstract":"<div><div>This paper explores the impact of carbon taxation on labor market performance, particularly focusing on the adverse effects of rising fuel prices on workers’ mobility, employment, and wages. Using a spatial mismatch job search model, we show that while carbon taxes reduce <span><math><mrow><mi>C</mi><msub><mrow><mi>O</mi></mrow><mrow><mn>2</mn></mrow></msub></mrow></math></span> emissions, they also exacerbate unemployment for workers living far from major job centers and depress wages. Our analysis, grounded in French data, highlights that rural and low-income workers are disproportionately affected by the increased commuting costs. To mitigate these effects, we evaluate compensatory policies such as employment premiums, which can enhance the social acceptability of carbon taxes without compromising environmental goals. The findings underscore the importance of balancing environmental objectives with labor market equity to ensure sustainable and socially inclusive climate policies.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"147 ","pages":"Article 107041"},"PeriodicalIF":4.2,"publicationDate":"2025-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143621359","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
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