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The S&P 500 sectoral indices responses to economic news sentiment 标准普尔 500 行业指数对经济新闻情绪的反应
International Journal of Finance and Economics Pub Date : 2024-05-02 DOI: 10.1002/ijfe.2989
Mohamed Arbi Madani
{"title":"The S&P 500 sectoral indices responses to economic news sentiment","authors":"Mohamed Arbi Madani","doi":"10.1002/ijfe.2989","DOIUrl":"https://doi.org/10.1002/ijfe.2989","url":null,"abstract":"This study explores the dynamic relationship between economic news sentiment and the US stock market using a non‐linear empirical framework. The analysis focuses on both sectoral indices and the aggregate stock market index from November 2011 to November 2021. Using causality tests and a rolling window detrended cross‐correlation coefficient, the study reveals several key findings. First, the causal effect of investor sentiment on sectoral returns varies over time, with each sector responding differently. Second, while no evidence of dependence exists for time scales less than 2 months, a positive relationship emerges for time scales greater than 6 months, except for the utilities sector, which is found to be negative. Third, the study shows that the relationships between all pairs of variables are time‐dependent. Finally, economic news sentiment might have a varying impact on market inefficiency over different periods, making it challenging to predict market behaviour based on sentiment data.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"199 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827259","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How underinvestment reduces underpricing 投资不足如何减少定价不足
International Journal of Finance and Economics Pub Date : 2024-04-30 DOI: 10.1002/ijfe.2987
Marco Bade, Hans Hirth
{"title":"How underinvestment reduces underpricing","authors":"Marco Bade, Hans Hirth","doi":"10.1002/ijfe.2987","DOIUrl":"https://doi.org/10.1002/ijfe.2987","url":null,"abstract":"We develop an economic model demonstrating that firms can benefit from committing to underinvestment. The model considers a firm's IPO, secondary‐market trading and subsequent investment decision. We analyse the conditions under which underinvestment can paradoxically be advantageous despite reducing the fundamental value of the firm. The benefit of committing to underinvest post‐IPO is expressed in reduced underpricing and thus a higher valuation during the IPO. We furthermore show that the firm may commit to an inefficient investment policy by appointing a manager with biased expectations or risk aversion. Our findings imply that, under certain conditions, firms are better off relying on biased managers when their initial outlook is poor, but risk‐averse managers when their initial outlook is good.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"44 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827302","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are financial sanctions truly “smart”? Evidence from the perspective of cross‐border capital flows 金融制裁真的 "聪明 "吗？从跨境资本流动角度看证据
International Journal of Finance and Economics Pub Date : 2024-04-29 DOI: 10.1002/ijfe.2982
Yang Liu, Wei Lang, Aihua Wang
{"title":"Are financial sanctions truly “smart”? Evidence from the perspective of cross‐border capital flows","authors":"Yang Liu, Wei Lang, Aihua Wang","doi":"10.1002/ijfe.2982","DOIUrl":"https://doi.org/10.1002/ijfe.2982","url":null,"abstract":"Few studies are found to examine the impact of financial sanctions on cross‐border capital flows. Using a panel data from 48 countries from 2000 to 2019, this paper aims to examine the impact of financial sanctions on the volatility of cross‐border capital flows. We employ difference‐in‐differences (DID) and spatial DID (SDID) models, showing the result that financial sanctions lead to an exacerbation of the volatility of cross‐border capital inflows and outflows in the targeted country, with the channel of negative impact on the financial sector in the targeted country. The subsample regressions indicate heterogeneous impacts of financial sanctions depending on economic structure and capital account openness. Additionally, the result of the SDID model shows that financial sanctions cause cross‐border transmission of financial risks, and that the spatial spillover effect of financial sanctions will also have negative economic impacts on other countries in addition to the target country. The significance of this study lies in emphasizing that international financial sanctions affect the economy of target countries through cross‐border capital flows. Meanwhile, we confirm that financial sanctions pose a certain threat to global financial stability.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827215","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Inequality and poverty in Spain: Insights from a regional convergence analysis 西班牙的不平等与贫困：地区趋同分析的启示
International Journal of Finance and Economics Pub Date : 2024-04-29 DOI: 10.1002/ijfe.2992
Nicholas Apergis, Francisco J. Delgado, Claudia Suárez‐Arbesú
{"title":"Inequality and poverty in Spain: Insights from a regional convergence analysis","authors":"Nicholas Apergis, Francisco J. Delgado, Claudia Suárez‐Arbesú","doi":"10.1002/ijfe.2992","DOIUrl":"https://doi.org/10.1002/ijfe.2992","url":null,"abstract":"We study the dynamics of inequality and poverty across 17 Spanish regions during 2008–2021. Through a club convergence approach, the results show noticeable differences in both indicators, income inequality (S80/S20) and poverty rate: two clubs are endogenously derived from inequality, while the analysis of the poverty was conducted in four clubs. In addition, the results are complemented with the outcomes for the GDP per capita, where more heterogeneity is detected, with three clubs, but with six divergent regions. The ordered logit model allows to identify the driving factors of such clubs. Finally, policy implications are discussed: the findings recommend the need for specific public policies to address regional differences in terms of economic and social growth also considering the trajectories—convergence or divergence—in inequality and poverty and their determining factors.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827216","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Climate risks and the REITs market 气候风险与房地产投资信托市场
International Journal of Finance and Economics Pub Date : 2024-04-28 DOI: 10.1002/ijfe.2983
Afees A. Salisu, Ahamuefula E. Ogbonna, Xuan Vinh Vo
{"title":"Climate risks and the REITs market","authors":"Afees A. Salisu, Ahamuefula E. Ogbonna, Xuan Vinh Vo","doi":"10.1002/ijfe.2983","DOIUrl":"https://doi.org/10.1002/ijfe.2983","url":null,"abstract":"This study presents results supporting the need to price climate risks in real estate investment trusts. We approach this objective by conducting some empirical analyses for global, regional, and [US] sectoral REITs for want of wider coverage while we also consider variants of climate risks involving physical and transition risks. We first establish that climate concerns amplify the volatility of REIT returns. While our results are split for sectoral REITs, we find that both physical and transition risks magnify the volatility in the regional and global REITs market. However, when we consider the US sectoral REITs, we find contrasting evidence between the two variants of climate risks. While the transition risks seem to raise the REITs market volatility, perhaps owing to improved trading in the market as signalled by some level commitments towards addressing climate change, the physical risks associated with damages due to climate change tend to lower the REITs market volatility due to lower trading. Consequently, we formulate a framework that enables a profit‐maximizing investor to observe climate risks when making investment decisions in the REITs market, and we further show that doing so provides higher economic gains than ignoring it. This outcome has implications for investors looking for the best hedging strategy against climate‐related risks, especially as the world intensifies efforts towards de‐carbonization.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"37 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140810790","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Market power, optimal scale and competition promotion in banking: Analysis in the GCC region 银行业的市场力量、最佳规模和竞争促进：海湾合作委员会地区分析
International Journal of Finance and Economics Pub Date : 2024-04-28 DOI: 10.1002/ijfe.2990
Sara Alfaihani, Oleg Badunenko, Shabbar Jaffry
{"title":"Market power, optimal scale and competition promotion in banking: Analysis in the GCC region","authors":"Sara Alfaihani, Oleg Badunenko, Shabbar Jaffry","doi":"10.1002/ijfe.2990","DOIUrl":"https://doi.org/10.1002/ijfe.2990","url":null,"abstract":"We propose an approach to identify optimally scaled banks and analyse the competition levels among banks in different stages of production in six countries of the Gulf region. The empirical results show that the global financial crisis curbed the rise in the market power of banks, but the market power continued to increase straight after 2009. Also, we show that the existing methods fail to identify that a significant proportion of banks across different countries, up to 90%, are operating at an optimal scale. Finally, we discuss the misclassification of banks by the traditional approach to scale analysis and its implications for decision‐making by competition authorities and central banks that assess and promote competition in banking. We advocate a more nuanced approach to competition policy that recognizes the potential impact of various phases of banks' production process on the competition.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140810776","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Trade and flow of value in global value chains 全球价值链中的贸易和价值流动
International Journal of Finance and Economics Pub Date : 2024-04-26 DOI: 10.1002/ijfe.2980
Peijie Wang, Zhiyuan Liu
{"title":"Trade and flow of value in global value chains","authors":"Peijie Wang, Zhiyuan Liu","doi":"10.1002/ijfe.2980","DOIUrl":"https://doi.org/10.1002/ijfe.2980","url":null,"abstract":"This paper examines flow of value that goes with trade flows in global value chains (GVCs) by a residence‐based domestic value‐added trade measure. Accordingly, the paper puts forward a concept of residence‐based domestic value‐added exports from activity domains and develops a corresponding trade measure. Export activities of G20 economies are scrutinized empirically, with which sizeable differences are observed between figures in the proposed residence‐based domestic value‐added trade measure and the conventional domestic value‐added trade measure. This calls for new measures, to which the present study responds. It has been demonstrated that the developed G20 gains persistently in residence‐based domestic value‐added exports, increasing from the conventional domestic value‐added exports measure. Whereas trade performance of the developing G20 deteriorates with considerably reduced surpluses in the new measure. Considerable additional value flows out from developing to developed economies in GVCs. Developed economies continue to gain from international trade as a matter of fact.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"42 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140806358","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do ESG funds engage in portfolio pumping to gain higher flows? An application of Benford's Law 环境、社会和治理基金是否为获得更高的流动性而进行投资组合抽水？本福德定律的应用
International Journal of Finance and Economics Pub Date : 2024-04-12 DOI: 10.1002/ijfe.2976
Aineas Mallios, Taylan Mavruk
{"title":"Do ESG funds engage in portfolio pumping to gain higher flows? An application of Benford's Law","authors":"Aineas Mallios, Taylan Mavruk","doi":"10.1002/ijfe.2976","DOIUrl":"https://doi.org/10.1002/ijfe.2976","url":null,"abstract":"Portfolio pumping is identified as an ‘illegal’ trading practice that involves inflating quarter‐ and year‐end portfolio returns. Utilizing U.S. domestic equity mutual fund daily return data, we examine whether environmental, social, and governance (ESG) funds engage in portfolio pumping to generate higher flows. Our findings reveal that, on average, ESG funds attract 0.4% higher flows than other funds. However, they engage in portfolio pumping and achieve returns that are 5.3 basis points (bps) higher at quarter ends compared to their returns during the rest of the year. This practice does not result in additional fund flows. Notably, compared to other funds, ESG funds exhibit a significant 4 bps reduction through portfolio pumping. This implies that, on the last day of the quarter, ESG funds earn approximately 4 bps lower returns compared to other funds. Portfolio pumping is costly for both investors and financial markets since it leads to trading activities that cause stock prices to deviate from their fundamental values. ESG funds engage less in portfolio pumping than other funds, which indicates that their primary focus is to maximize fund flows rather than enhance or create a positive social impact on the underlying firm portfolio. Investors seem to understand this goal, particularly when ESG funds engage in portfolio pumping and avoid investing in ESG funds.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140566425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Acquisition deal characteristics and earnings management: New evidence from Gulf Cooperation Council countries 收购交易特征与收益管理：海湾合作委员会国家的新证据
International Journal of Finance and Economics Pub Date : 2024-04-11 DOI: 10.1002/ijfe.2972
Mahmoud Alghemary, Basil Al‐Najjar, Nereida Polovina
{"title":"Acquisition deal characteristics and earnings management: New evidence from Gulf Cooperation Council countries","authors":"Mahmoud Alghemary, Basil Al‐Najjar, Nereida Polovina","doi":"10.1002/ijfe.2972","DOIUrl":"https://doi.org/10.1002/ijfe.2972","url":null,"abstract":"In this study, we empirically investigate the association between acquisition deal characteristics and two forms of earnings management: accruals earnings management and real earnings management. Our focus is on acquiring firms listed in six Gulf Cooperation Council (GCC) countries. Employing a panel data approach to explore these interrelationships, our findings suggest that acquiring companies involved in cross‐border deals tend to resort to accruals earnings management before the acquisition rather than real earnings management. Conversely, acquiring firms engaged in unrelated industrial deals are inclined to employ real earnings management over accruals earnings management. Moreover, our analysis indicates that the extent of acquired ownership acts as an effective tool in mitigating both forms of earnings management. Similarly, cash payment acquisitions emerge as an efficient means of curtailing both accruals and real earnings management. These results underscore that the engagement of GCC acquiring firms in earnings management is influenced by the specific characteristics inherent in the acquisition deals.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"29 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140566684","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal decisions of retailer's loans from bank 零售商向银行贷款的最优决策
International Journal of Finance and Economics Pub Date : 2024-04-10 DOI: 10.1002/ijfe.2979
Bo Yan, Mengru Liang, Lifeng Liu
{"title":"Optimal decisions of retailer's loans from bank","authors":"Bo Yan, Mengru Liang, Lifeng Liu","doi":"10.1002/ijfe.2979","DOIUrl":"https://doi.org/10.1002/ijfe.2979","url":null,"abstract":"This study employs the Stackelberg game model to explore an innovative financing model where the retailer directly borrows from the bank under conditions of symmetric information. Diverging from traditional research, this study uniquely incorporates the concept of the margin rate into the decentralised decision analysis among retailer, supplier, and bank. The finding indicates that the capital of the retailer and margin rate significantly influence financing decisions within the supply chain, thereby impacting profitability for all stakeholders. Specifically, we find that the margin rate plays a crucial role in optimising retailer financing decisions, supplier pricing strategies, and bank risk management. These insights offer a fresh perspective for banks to establish appropriate margin rates and loan interest rates, effectively managing loan risks and maximising supply chain profitability.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140566648","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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