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Impact of political risk on emerging market risk premiums and risk adjusted returns 政治风险对新兴市场风险溢价和风险调整后回报的影响
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-12 DOI: 10.1016/j.ribaf.2024.102573
{"title":"Impact of political risk on emerging market risk premiums and risk adjusted returns","authors":"","doi":"10.1016/j.ribaf.2024.102573","DOIUrl":"10.1016/j.ribaf.2024.102573","url":null,"abstract":"<div><div>Researchers have observed the political risk, sign paradox whereby a decrease in political risk is associated with an increase in stock market returns. This apparent contradiction may be driven by a few political risk factors or perhaps certain emerging market (EM) countries<em>.</em> This paper examines this issue by assessing how key political risk components impact equity risk premiums and risk adjusted returns among EM countries. Using monthly stock market return data for 28 EM countries from 2000 to 2019, we segment countries into high and low political risk groups to explore heterogeneous effects. We find that improvements in political risk increase risk adjusted returns by lowering the volatility of returns. Differences were also found between EM countries with improvements in government stability leading to higher risk adjusted returns among high political risk EM countries. In contrast for low political risk countries, democracy was found to have a negative effect on equity premiums, while law and order and investment profile have a positive impact. Finally, our results suggest key political risk subcomponents, such as investment profile and corruption, impact risk adjusted returns during times of financial crisis.</div></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142358510","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
Place-based policies and local technology spillovers: Evidence from national high-tech zones in China 以地方为基础的政策与地方技术溢出效应：中国国家高新区的证据
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-12 DOI: 10.1016/j.ribaf.2024.102580
{"title":"Place-based policies and local technology spillovers: Evidence from national high-tech zones in China","authors":"","doi":"10.1016/j.ribaf.2024.102580","DOIUrl":"10.1016/j.ribaf.2024.102580","url":null,"abstract":"<div><p>This study examines the impact of place-based policies on local technology spillovers, using a sample from the Chinese A-share market. The findings indicate that firms experience greater local technology spillovers following the establishment of national high-tech zones (HTZs). Channel analysis shows that HTZ policies facilitate the formation of R&amp;D alliances and promote technology transactions. The positive effects are more pronounced in firms with higher knowledge absorptive capacity, those led by executives with academic backgrounds, and in environments with weaker market competition and intellectual property rights enforcement. Additionally, the research reveals that the technology spillovers generated by HTZ policies primarily spread between industries rather than within them.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142241267","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
Interconnectedness and return spillover among APEC currency exchange rates: A time-frequency analysis 亚太经合组织货币汇率之间的相互关联性和回报溢出效应：时频分析
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-11 DOI: 10.1016/j.ribaf.2024.102572
{"title":"Interconnectedness and return spillover among APEC currency exchange rates: A time-frequency analysis","authors":"","doi":"10.1016/j.ribaf.2024.102572","DOIUrl":"10.1016/j.ribaf.2024.102572","url":null,"abstract":"<div><div>By combining TVP-VAR Model (time domain connectedness) and TVP-VAR based Baruník and Křehlík model (frequency domain connectedness), this study analyzes the impact of the COVID-19 pandemic, the Russia-Ukraine war, and the Silicon Valley Bank (SVB) collapse on the Asia Pacific Economic Cooperation (APEC) forum currency exchange rates. The results reveal that APEC currencies have time-varying effects (tend to cluster in appreciation and depreciation patterns in both the short and long term) and have generated higher total return spillover during COVID-19 (in the time domain) than the Russia-Ukraine war and SVB collapse. During COVID-19 (87.18 %) (total return spillover), impacts were more severe than the Russia-Ukraine crisis (79.49 %) and the Silicon Valley Bank collapse (75.55 %). Moreover, the South Korean won, Thai Bhat and Australian Dollar are identified as consistent shock transmitters, and Malaysian Ringgit, Philippine peso, Indonesian Rupiah, and Chinese Yuan as consistent shock receivers in the time domain. The findings have substantial repercussions for financial regulators and investors.</div></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142320410","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
Asset pricing when social preference meets lottery preference: Evidence from China 当社会偏好与彩票偏好相遇时的资产定价：来自中国的证据
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-11 DOI: 10.1016/j.ribaf.2024.102576
{"title":"Asset pricing when social preference meets lottery preference: Evidence from China","authors":"","doi":"10.1016/j.ribaf.2024.102576","DOIUrl":"10.1016/j.ribaf.2024.102576","url":null,"abstract":"<div><p>There is substantial evidence indicating that stocks with lottery-like payoffs have lower returns. Unlike existing studies that focus on the role of investor behavior in accelerating lottery premiums, we propose that investors’ social preference toward corporate social responsibility (CSR) could alleviate the underperformance of lottery-like stocks. Using a sample of all Chinese listed A-share stocks, we show that a negative relationship between lottery preference and stock returns does not exist among stocks that behave well regarding CSR performance. Furthermore, we show that better CSR performance and higher institutional ownership mitigate the overpricing of lottery-like stocks. Our research contributes to CSR literature by showing that behaving socially responsible can prevent stock prices from being overpriced when the stock exhibits lottery-like payoffs.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142171662","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
Time horizon and corporate investment: Evidence from private and public firms around the world 时间跨度与企业投资：来自全球私营企业和上市公司的证据
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-11 DOI: 10.1016/j.ribaf.2024.102577
{"title":"Time horizon and corporate investment: Evidence from private and public firms around the world","authors":"","doi":"10.1016/j.ribaf.2024.102577","DOIUrl":"10.1016/j.ribaf.2024.102577","url":null,"abstract":"<div><p>Despite their economic importance, private firms are under-researched. We examine the relationship between the country-level time horizon and corporate investment for private and public firms using a unique dataset including 75 countries from 2003 to 2017. We show that private, unlisted firms invest more in countries where the national culture is more long-term oriented. Compared to public firms, private firms are characterized by close monitoring of operations and investments by fewer owners, fewer agency costs due to more concentrated ownership structures, and the absence of short-term pressures from capital markets on investment decisions. This structure of private firms, in turn, lends itself to an informal institution like culture having relatively more influence on key private firm decisions than on those of public firms.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0275531924003702/pdfft?md5=29b67b2c2c0f04caffa581128976269e&pid=1-s2.0-S0275531924003702-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142241270","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
Are stock markets efficient with respect to the Google search volume index? A robustness check of the literature studies 股票市场对谷歌搜索量指数有效吗？文献研究的稳健性检验
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-11 DOI: 10.1016/j.ribaf.2024.102574
{"title":"Are stock markets efficient with respect to the Google search volume index? A robustness check of the literature studies","authors":"","doi":"10.1016/j.ribaf.2024.102574","DOIUrl":"10.1016/j.ribaf.2024.102574","url":null,"abstract":"<div><p>The Efficient Market Hypothesis (EMH) is still a debated subject in the financial area. Particularly, no conclusions are drawn to date in link with the Google Search Volume Index (GSVI). To conclude on this question, our paper takes up the work of Škrinjarić (2019) by proposing robustness tests, various econometric improvements and the inclusion of additional explanatory variables. On a database of ten emerging European indices studied by Škrinjarić (2019), a dynamic panel model was applied. Unlike Škrinjarić (2019) who modeled the time-series separately and thus neglected any possible dependence or homogeneity between countries, our study operates within the framework of panel data. Drawing from a robust estimation approach, our findings indicate that the GSVI has no impact on market returns. In essence, this suggests that internet search queries fail to provide avenues for investors to seize arbitrage opportunities. Such findings support the EMH in the studied markets and underline the exposure of prior studies to robustness challenges.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142241264","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
Commercial bank NSFR adjustment and risk: Evidence from China 商业银行 NSFR 调整与风险：来自中国的证据
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-07 DOI: 10.1016/j.ribaf.2024.102559
{"title":"Commercial bank NSFR adjustment and risk: Evidence from China","authors":"","doi":"10.1016/j.ribaf.2024.102559","DOIUrl":"10.1016/j.ribaf.2024.102559","url":null,"abstract":"<div><p>The net stable funding ratio (NSFR) is a critical monitoring indicator of bank liquidity risk introduced under the Basel III accord in 2009. This study used the partial adjustment model to analyze the NSFR adjustment behavior of Chinese commercial banks, leading to the following four findings. First, banks have been undertaking active liquidity adjustment while exceeding global and Chinese minimum standards. Second, the NSFR’s target level and adjustment speed are significantly higher than those of foreign banks. Third, the target NSFR gap is essential to the NSFR’s positive adjustment. Fourth, a higher target level and steady adjustment speed help reduce loss from systemic risk. This paper suggests establishing three liquidity risk firewalls, providing an essential reference for understanding NSFR adjustment in Chinese commercial banks. The study also provides practical significance for policy-level assessments regarding the impact of implementing NSFR supervision and establishing liquidity risk firewalls.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142233049","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
Towards sustainability: Examining financial, economic, and societal determinants of environmental degradation 实现可持续性：研究环境退化的金融、经济和社会决定因素
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-06 DOI: 10.1016/j.ribaf.2024.102557
{"title":"Towards sustainability: Examining financial, economic, and societal determinants of environmental degradation","authors":"","doi":"10.1016/j.ribaf.2024.102557","DOIUrl":"10.1016/j.ribaf.2024.102557","url":null,"abstract":"<div><p>We examine the determinants of environmental degradation, focusing on MENA economies from 1991 to 2020, with a particular focus on the role of sectoral composition. Specifically, we assess the contributions of the industrial, manufacturing, agricultural, and service sectors to GDP and their impact on environmental outcomes. Employing augmented mean group estimation, we evidence that technological advancements and renewable energy consumption significantly reduce environmental degradation, and that multinational corporations from developed countries transfer beneficial environmental practices to local firms in emerging regions. Results offer new insights into the impact of financial, economic, and societal factors on environmental outcomes.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0275531924003507/pdfft?md5=f0216bb467c4441787e31044270b0f4f&pid=1-s2.0-S0275531924003507-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142148348","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
The environmental and social performance of firms and the impact of different types of institutional ownership: A French perspective 企业的环境和社会绩效以及不同类型机构所有权的影响：法国视角
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-06 DOI: 10.1016/j.ribaf.2024.102558
{"title":"The environmental and social performance of firms and the impact of different types of institutional ownership: A French perspective","authors":"","doi":"10.1016/j.ribaf.2024.102558","DOIUrl":"10.1016/j.ribaf.2024.102558","url":null,"abstract":"<div><p>This study investigates how institutional ownership affects the social and environmental performance of firms in France. We specifically examine the impact of pressure-resistant and pressure-sensitive investors. We utilize the taxonomy created by Brickley et al. (1988) to categorize the various institutional investors, and we distinguish between environmental performance (EP) and social performance (SP). Our findings align with agency theory, and we utilize a paradigm that considers the diversity of institutional investors’ choices based on their investment goals, time horizons, and characteristics. Our findings indicate that various forms of institutional investor ownership are associated with distinct aspects of corporate social responsibility (CSR) performance—both environmental and social; having investors who are resistant to pressure is linked to improved EP; and corporate ownership by pressure-sensitive institutional investors has no significant impact on the assessed aspects of CSR.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142148350","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
Comparing the resilience of socially responsible and SIN investment during the COVID-19 pandemic 比较社会责任投资和 SIN 投资在 COVID-19 大流行期间的抗灾能力
IF 6.3 2区 经济学
Research in International Business and Finance Pub Date : 2024-09-06 DOI: 10.1016/j.ribaf.2024.102537
{"title":"Comparing the resilience of socially responsible and SIN investment during the COVID-19 pandemic","authors":"","doi":"10.1016/j.ribaf.2024.102537","DOIUrl":"10.1016/j.ribaf.2024.102537","url":null,"abstract":"<div><p>This study analyses the performance dynamics of socially responsible investment (SRI) and SIN investment exchange-traded funds (ETFs) during the COVID-19 pandemic in the United States. Utilising a GARCH methodology, the research examines ETF returns while considering significant COVID-19-related events to assess their impact. The study diverges from the conventional narrative of SIN stocks’ superiority by illustrating the resilience and outperformance of SRI ETFs in terms of returns and volatility stability during the pandemic. This finding challenges previous assertions in the literature and suggests a potential paradigm shift in investment strategies during periods of global crisis. The results underscore the importance of integrating Environmental, Social, and Governance (ESG) factors into investment decisions, especially in turbulent times. This study offers investors actionable insights into the benefits of SRI ETFs, demonstrating their ability to provide stable returns and reduced risk during economic downturns. Fund managers can leverage these findings to align their portfolios with ESG principles, enhancing resilience against future crises. Policymakers can also draw on this evidence to promote sustainable investment frameworks that support long-term financial stability. Overall, this study contributes to the evolving discourse on sustainable investing, positioning SRI as a viable approach that balances financial performance with societal impact.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0275531924003301/pdfft?md5=1dfecedb6514d1ffd4b1ce8d602eeef1&pid=1-s2.0-S0275531924003301-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142171661","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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