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Creating value through ESG: Assessing, measuring, and managing risks and opportunities 通过环境、社会和公司治理创造价值：评估、衡量和管理风险与机遇
IF 1.2
Review of Financial Economics Pub Date : 2024-09-13 DOI: 10.1002/rfe.1217
Atreya Chakraborty
{"title":"Creating value through ESG: Assessing, measuring, and managing risks and opportunities","authors":"Atreya Chakraborty","doi":"10.1002/rfe.1217","DOIUrl":"https://doi.org/10.1002/rfe.1217","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"47 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142264687","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
Analyzing the energy markets and financial markets linkage: A bibliometric analysis and future research agenda 分析能源市场与金融市场的联系：文献计量分析和未来研究议程
IF 1.2
Review of Financial Economics Pub Date : 2024-09-10 DOI: 10.1002/rfe.1216
Ritesh Patel
{"title":"Analyzing the energy markets and financial markets linkage: A bibliometric analysis and future research agenda","authors":"Ritesh Patel","doi":"10.1002/rfe.1216","DOIUrl":"https://doi.org/10.1002/rfe.1216","url":null,"abstract":"This study has been conducted using 200 articles from 1984 to 2023, by undertaking a meta‐literature review on the subject of energy markets and financial markets linkage (EFML). Our study consists of content analysis of 200 articles along with other analyses such as (i) co‐citation analysis, (ii) co‐authorship analysis, and (iii) cartographic analysis. We have identified five research streams: (1) Oil, stock, commodities markets, crypto currency, real estate, exchange rate linkage; (2) Oil and stock market linkage; (3) Energy as a portfolio diversification tool; (4) Dynamic linkage between the oil‐commodity market and stock market; and (5) Oil and other market linkages with respect to the COVID‐19 pandemic, the subsequent financial crisis, and other events. We have performed a comprehensive review of the EFML literature and provided the influential aspects of top journals and authors, the characteristics of the most studied topics, past and current key research streams in the EFML literature. We have also suggested 63 future research questions. Looking at the widespread interest of finance scholarship in the area of energy market linkages, the assessment of energy market linkages, and possible portfolio diversification opportunities and benefits, is of great importance and interest to researchers, policy holders, and portfolio managers.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"26 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142223586","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
Stock return predictability and Taylor rules 股票回报可预测性和泰勒规则
IF 1.2
Review of Financial Economics Pub Date : 2024-09-06 DOI: 10.1002/rfe.1215
Onur Ince, Lei Jiang, Tanya Molodtsova
{"title":"Stock return predictability and Taylor rules","authors":"Onur Ince, Lei Jiang, Tanya Molodtsova","doi":"10.1002/rfe.1215","DOIUrl":"https://doi.org/10.1002/rfe.1215","url":null,"abstract":"This paper evaluates stock return predictability with inflation and output gap, which typically enter the Federal Reserve Bank's interest rate setting rule. We introduce Taylor rule fundamentals into the Fed model that relates stock returns to earnings and long‐term yields. Using real‐time data from 1970 to 2008, we find evidence that the Fed model with Taylor rule fundamentals performs better in‐sample and out‐of‐sample than the constant return and original Fed models. Economic significance tests indicate that the models with Taylor rule fundamentals consistently produce higher utility gains than the benchmark models. Though the performance of the Taylor rule model weakens when we extend the sample to include the post‐2008 period characterized by prolonged zero lower bound episodes, it still outperforms the benchmark models.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"4 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142223587","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
Tobin's Q and shareholder value: Does “shareholder return” impede investment? 托宾 Q 值与股东价值：股东回报 "是否会阻碍投资？
IF 1.2
Review of Financial Economics Pub Date : 2024-08-29 DOI: 10.1002/rfe.1214
Nicolas Piluso
{"title":"Tobin's Q and shareholder value: Does “shareholder return” impede investment?","authors":"Nicolas Piluso","doi":"10.1002/rfe.1214","DOIUrl":"https://doi.org/10.1002/rfe.1214","url":null,"abstract":"Many economists have demonstrated that shareholder return constraints can negatively affect investment managers' decisions. While most studies are empirical, their findings are mixed. The real options literature provides a theoretical foundation for why a simple net present value rule based on a firm's cost of capital could lead to either insufficient investment or excessive investment. This study analyzes how the pursuit of shareholder value impacts optimal investments using Tobin's Q model in perfect competition. The study demonstrates that Tobin's Q, modified by shareholder constraints, can either hinder or promote optimal investment, thereby explaining the divergent results of empirical studies on this issue.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"22 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142176308","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
A rational finance explanation of the stock predictability puzzle 股票可预测性之谜的理性金融学解释
IF 1.2
Review of Financial Economics Pub Date : 2024-07-04 DOI: 10.1002/rfe.1210
Abootaleb Shirvani, Svetlozar T. Rachev, Frank J. Fabozzi
{"title":"A rational finance explanation of the stock predictability puzzle","authors":"Abootaleb Shirvani, Svetlozar T. Rachev, Frank J. Fabozzi","doi":"10.1002/rfe.1210","DOIUrl":"https://doi.org/10.1002/rfe.1210","url":null,"abstract":"We address the stock predictability puzzle, a challenge in the stock market often discussed in behavioral finance. Our approach formulates a statistical model within rational finance, avoiding reliance on behavioral finance assumptions, and integrates stock return predictability into the Black–Scholes option pricing framework. Empirical analysis focuses on the predictability of stock prices by option and spot traders, introducing a forward‐looking measure we term “implied excess predictability.” Results show that option traders' predictability of stock returns positively correlates with moneyness, whereas for spot traders, this relationship is inverse. These findings suggest a potential asymmetry in stock price predictability between spot and option traders. Additionally, we demonstrate the importance of incorporating stock return predictability into option pricing formulas, particularly for options with strike prices significantly different from the stock price. Conversely, when moneyness is close to unity, predictability is not integrated into option pricing, indicating equal information among spot and option traders. Comparison of volatility measures reveals the difference between implied and realized variances or variance risk premia as potential predictors of stock returns.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"2015 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552643","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
Firm value and the use of financial derivatives: Evidence from developed countries 公司价值与金融衍生品的使用：发达国家的证据
IF 1.2
Review of Financial Economics Pub Date : 2024-05-28 DOI: 10.1002/rfe.1206
Mohamed A. Ayadi, Donald A. Cyr, Skander Lazrak, Zhangwei Lu
{"title":"Firm value and the use of financial derivatives: Evidence from developed countries","authors":"Mohamed A. Ayadi, Donald A. Cyr, Skander Lazrak, Zhangwei Lu","doi":"10.1002/rfe.1206","DOIUrl":"https://doi.org/10.1002/rfe.1206","url":null,"abstract":"This paper examines whether financial derivatives usage impacts firm value in seven developed countries from 2007 to 2016. We rely on textual analysis to identify derivatives users and address the potential reverse causality problem through propensity score matching and the difference‐in‐differences approach. Empirical findings suggest that the use of derivatives has a negative effect on firm value. Interestingly, we observe asymmetric valuation effects for specific countries when comparing firms that adopt derivatives with those that abandon them. US, UK, and Australian firms adopting derivatives experience a significant decrease in their valuation. Contrary to expectations, this adverse effect diminishes and may become insignificant at best when firms choose to abandon derivatives. Furthermore, most of the significant value effects disappear when using the industry relative valuation measure.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"34 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141195314","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
A bibliometric analysis of the review papers in finance: Evidence from the last two decades 金融学评论论文的文献计量分析：过去二十年的证据
IF 1.2
Review of Financial Economics Pub Date : 2024-04-29 DOI: 10.1002/rfe.1197
Mustafa Raza Rabbani, M. Kabir Hassan, Austin Dejan, Abu Bashar, Md. Bokhtiar Hasan
{"title":"A bibliometric analysis of the review papers in finance: Evidence from the last two decades","authors":"Mustafa Raza Rabbani, M. Kabir Hassan, Austin Dejan, Abu Bashar, Md. Bokhtiar Hasan","doi":"10.1002/rfe.1197","DOIUrl":"https://doi.org/10.1002/rfe.1197","url":null,"abstract":"We apply bibliometric analysis to the review papers published in the finance domain, considering 264 review and qualitative studies. The approach applied in this study involves using review studies published in finance literature from 2000 to 2022, predominantly aiming at the pedigree of such papers and unfolding the renaissance experienced by such papers in recent years. We apply bibliometric analysis to know the most influential countries, authors, institutions, and journals publishing review papers. Results of the study identified four literature review clusters: The first cluster is related to ‘corporate finance and financial markets’, the second cluster combines the studies related to ‘financial innovations and Fintech’, the third cluster is related to ‘social finance and financial inclusion’, and finally, the fourth cluster combines the studies related to ‘CSR and corporate governance’. We conclude that the bibliometric analysis and literature review papers are critical for identifying and highlighting the emerging problems in finance and motivating future academics to pursue further investigations and provide solutions.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"30 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140827295","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
Liquidity provision and trading skill: Evidence from mutual funds' daily transactions 流动性供应与交易技巧：来自共同基金日常交易的证据
IF 1.2
Review of Financial Economics Pub Date : 2024-04-26 DOI: 10.1002/rfe.1196
René Weh, Peter Joakim Westerholm, Marco Wilkens, Juan Yao
{"title":"Liquidity provision and trading skill: Evidence from mutual funds' daily transactions","authors":"René Weh, Peter Joakim Westerholm, Marco Wilkens, Juan Yao","doi":"10.1002/rfe.1196","DOIUrl":"https://doi.org/10.1002/rfe.1196","url":null,"abstract":"Examining risk‐adjusted returns for executed trades over horizons of up to 1 year, we document strong evidence of short‐term trading skill using daily mutual fund transactions from Finland. We find that trading performance is highly persistent up to the 1 month horizon, with an annualized Carhart abnormal return of 5.03% observed for both buys and sells. Moreover, the returns observed for the first week account for almost 36% of a fund's 1 year trade return, underscoring the significance of short‐term trading in mutual funds. For the best‐performing funds, this short‐term performance also translates into sustained long‐term outperformance. Investigating possible sources, we find that liquidity provision, rather than price pressure, is a significant contributor. In addition, short‐term trading performance is significantly positively related to trade size, fund size, and expenses, depending on whether buys or sells are considered.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"1 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140802279","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 does equity derivative market affect economic growth? Evidence from the Asia‐Pacific region 股票衍生品市场如何影响经济增长？来自亚太地区的证据
IF 1.2
Review of Financial Economics Pub Date : 2024-04-16 DOI: 10.1002/rfe.1195
S. M. R. K. Samarakoon, Rudra P. Pradhan, Rana P. Maradana
{"title":"How does equity derivative market affect economic growth? Evidence from the Asia‐Pacific region","authors":"S. M. R. K. Samarakoon, Rudra P. Pradhan, Rana P. Maradana","doi":"10.1002/rfe.1195","DOIUrl":"https://doi.org/10.1002/rfe.1195","url":null,"abstract":"This research scans the association between economic growth and derivatives markets in the Asia‐Pacific region between 2001 and 2022. Using the autoregressive distributed lag model, we reveal a bidirectional linkage between derivative markets and economic growth. We further demonstrate that both derivatives and stock markets have a strong positive association with economic growth, underscoring the significance of financial markets in driving economic advancement. We suggest policies prioritizing sustainable economic development and regulation of financial markets, particularly derivatives and stock markets, to increase market transparency, reduce information asymmetry, and foster economic growth.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"47 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140613037","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
Liquidity risk and CMBX microstructure 流动性风险和 CMBX 微观结构
IF 1.2
Review of Financial Economics Pub Date : 2024-01-25 DOI: 10.1002/rfe.1193
Andreas D. Christopoulos, Joshua G. Barratt
{"title":"Liquidity risk and CMBX microstructure","authors":"Andreas D. Christopoulos, Joshua G. Barratt","doi":"10.1002/rfe.1193","DOIUrl":"https://doi.org/10.1002/rfe.1193","url":null,"abstract":"This is the first paper in the literature to focus on CMBX price formation with dual techniques of liquidity estimation. In this paper, we introduce a generalizable method using principal component analysis to estimate daily risk decompositions of default, interest rate, liquidity and excess liquidity from previously simulated reduced form monthly risk decompositions. Our method generates these measures for CMBX. To assess liquidity estimates, we compare our risk decomposition measures of liquidity to classical microstructure effective bid–ask spreads, daily. We find our measures to be significant in explaining effective bid–ask spreads over 12 years of daily history and in 20-day forecasts.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"48 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139578812","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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