Review of Financial Economics最新文献

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Higher moments matter! Cross‐sectional (higher) moments and the predictability of stock returns 更高的时刻很重要!横截面(较高)矩和股票回报的可预测性
IF 1.2
Review of Financial Economics Pub Date : 2020-10-25 DOI: 10.1002/rfe.1121
S. Stöckl, L. Kaiser
{"title":"Higher moments matter! Cross‐sectional (higher) moments and the predictability of stock returns","authors":"S. Stöckl, L. Kaiser","doi":"10.1002/rfe.1121","DOIUrl":"https://doi.org/10.1002/rfe.1121","url":null,"abstract":"In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2015), who finds cross-sectional volatility to forecast a decline in the equity premium with high predictive power in-sample as well as out-of-sample, we highlight the additional role of cross-sectional skewness and cross-sectional kurtosis. We find cross-sectional skewness to deliver a significant contribution to the performance of cross-sectional volatility in the short run (less than 12 months forecasts), while cross-sectional skewness and cross-sectional kurtosis contribute significantly to the performance of cross-sectional volatility at horizons greater than 12 months. Furthermore, we document a clear benefit of including higher moments when disaggregating excess market returns along the value and size dimension. In this case, both cross-sectional skewness and cross-sectional kurtosis span the predictive quality towards large-cap and growth stocks. Overall, the addition of higher order cross-sectional moments significantly improves the predictive performance of cross-sectional volatility, a variable that is already regarded as having high predictive power with respect to the equity premium.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2020-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1121","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47905802","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: 3
From phase transitions to Modern Monetary Theory: A framework for analyzing the pandemic of 2020 从相变到现代货币理论:分析2020年大流行的框架
IF 1.2
Review of Financial Economics Pub Date : 2020-10-22 DOI: 10.1002/rfe.1122
Bluford H. Putnam
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引用次数: 3
Conflicts of Interest in Asset Management and Advising 资产管理和咨询中的利益冲突
IF 1.2
Review of Financial Economics Pub Date : 2020-10-21 DOI: 10.1146/annurev-financial-110118-123113
Chester Spatt
{"title":"Conflicts of Interest in Asset Management and Advising","authors":"Chester Spatt","doi":"10.1146/annurev-financial-110118-123113","DOIUrl":"https://doi.org/10.1146/annurev-financial-110118-123113","url":null,"abstract":"This review addresses, from a unified perspective, the important role of conflicts of interest in various facets of asset management and advising, including managing individual portfolios, institut...","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"12 1","pages":"217-235"},"PeriodicalIF":1.2,"publicationDate":"2020-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48685870","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: 3
The 2020 Pandemic: Economic repercussions and policy responses 2020年大流行:经济影响和政策应对
IF 1.2
Review of Financial Economics Pub Date : 2020-10-13 DOI: 10.1002/rfe.1123
Lucjan T. Orłowski
{"title":"The 2020 Pandemic: Economic repercussions and policy responses","authors":"Lucjan T. Orłowski","doi":"10.1002/rfe.1123","DOIUrl":"https://doi.org/10.1002/rfe.1123","url":null,"abstract":"Abstract This paper analyses the economic and financial repercussions of the 2020 COVID‐19 pandemic. It argues that the pandemic has inflicted serious injuries to the labor force but has not damaged the physical capital stock. Therefore, the resolution policies of this crisis ought to be carefully tailored to supporting structural adjustments to the labor market. The analysis asserts that the impact of the pandemic crisis is exacerbated by the identification gap between the unobserved and the officially reported cases of COVID‐19. The gap increases financial risks, including market‐, credit‐, default‐, and foreign exchange risks.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"39 1","pages":"20 - 26"},"PeriodicalIF":1.2,"publicationDate":"2020-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1123","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42711748","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: 8
Issue Information 问题信息
IF 1.2
Review of Financial Economics Pub Date : 2020-10-01 DOI: 10.1002/rfe.1068
{"title":"Issue Information","authors":"","doi":"10.1002/rfe.1068","DOIUrl":"https://doi.org/10.1002/rfe.1068","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1068","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45171335","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
Top management team optimism and its influence on firms' financing and investment decisions 高层管理团队乐观主义及其对企业融资和投资决策的影响
IF 1.2
Review of Financial Economics Pub Date : 2020-10-01 DOI: 10.1002/rfe.1092
Tobias Heizer, Laura R. Rettig
{"title":"Top management team optimism and its influence on firms' financing and investment decisions","authors":"Tobias Heizer, Laura R. Rettig","doi":"10.1002/rfe.1092","DOIUrl":"https://doi.org/10.1002/rfe.1092","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"38 1","pages":"601-622"},"PeriodicalIF":1.2,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1092","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49417365","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: 3
Moving average distance as a predictor of equity returns 作为股票收益预测指标的移动平均距离
IF 1.2
Review of Financial Economics Pub Date : 2020-09-18 DOI: 10.1002/rfe.1118
Doron Avramov, Guy Kaplanski, Avanidhar Subrahmanyam
{"title":"Moving average distance as a predictor of equity returns","authors":"Doron Avramov, Guy Kaplanski, Avanidhar Subrahmanyam","doi":"10.1002/rfe.1118","DOIUrl":"https://doi.org/10.1002/rfe.1118","url":null,"abstract":"The distance between short- and long-run moving averages of prices (MAD) predicts future equity returns in the cross-section. Annualized value-weighted alphas from the accompanying hedge portfolios are around 9%, and the predictability goes beyond momentum, 52-week highs, profitability, and other prominent anomalies. MAD-based investment payoffs survive reasonable trading costs faced by institutions, and are stronger on the long side relative to the short counterpart.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"25 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2020-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139553638","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
The impact of uncertainty shocks in South Africa: The role of financial regimes 不确定性冲击对南非的影响:金融制度的作用
IF 1.2
Review of Financial Economics Pub Date : 2020-09-15 DOI: 10.1002/RFE.1120
M. Balcılar, Rangan Gupta, T. Kisten
{"title":"The impact of uncertainty shocks in South Africa: The role of financial regimes","authors":"M. Balcılar, Rangan Gupta, T. Kisten","doi":"10.1002/RFE.1120","DOIUrl":"https://doi.org/10.1002/RFE.1120","url":null,"abstract":"This article examines the connection between economic uncertainty and financial market conditions in South Africa, documenting that the macroeconomic implications of an uncertainty shock differs across financial regimes. A non-linear VAR is estimated where uncertainty is captured by the average volatility of structural shocks in the economy, and the transmission mechanism is characterised by two distinct financial regimes (i.e. financially stressful versus normal periods). We find that while the deterioration of output following an uncertainty shock is much more prominent during normal periods than during stressful periods, it is much more persistent during stressful financial times. The share of output variance explained by the volatility shocks in good financial times is more than double the share in bad times. Uncertainty shocks are found to be inflationary in both regimes, with the impact being larger in the stress regime. While our estimates reveals that financial frictions do not amplify the impact of uncertainty on real output, it does increase the impact on prices.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2020-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42661968","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: 4
Active factor investing: Hedge funds versus the rest of us 主动因素投资:对冲基金与我们其他人
IF 1.2
Review of Financial Economics Pub Date : 2020-09-12 DOI: 10.1002/rfe.1119
Jun Duanmu, Yongjia Li, A. Malakhov
{"title":"Active factor investing: Hedge funds versus the rest of us","authors":"Jun Duanmu, Yongjia Li, A. Malakhov","doi":"10.1002/rfe.1119","DOIUrl":"https://doi.org/10.1002/rfe.1119","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2020-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1119","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45817203","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
Corporate cash holdings and monetary shocks: A test of the credit channel theory 企业现金持有与货币冲击:对信贷渠道理论的检验
IF 1.2
Review of Financial Economics Pub Date : 2020-08-19 DOI: 10.1002/rfe.1117
Yiling Deng, Haibo Yao
{"title":"Corporate cash holdings and monetary shocks: A test of the credit channel theory","authors":"Yiling Deng, Haibo Yao","doi":"10.1002/rfe.1117","DOIUrl":"https://doi.org/10.1002/rfe.1117","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2020-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/rfe.1117","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44964194","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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