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Does a co‐opted director affect a firm's financial distress risk? International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-03-21 Aitzaz Ahsan Alias Sarang, Asad Ali Rind, Riadh Manita, Asif Saeed
This study examines the relationship between co‐opted directors (CODIR), measured as the fraction of directors appointed after the Chief Executive Officer (CEO) assumes office to board size, and firms' financial distress risk (FFDR). Understanding the relationship between CODIR and FFDR is imperative due to the significant impact of high risk‐taking on financial crises and the heightened expectations
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Japanese stock market sectoral dynamics: A time and frequency analysis International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-03-19 Rim El Khoury, Muneer M. Alshater, Onur Polat
This study examines the Japanese stock market connectedness across different sectors, focusing on both the time and frequency dimensions. The dataset used spans from January 1999 to April 2022 and employs various methodologies, including time‐varying parameter vector autoregressions, TVP‐VAR frequency dependency, and Quantile coherency. The empirical findings reveal that cyclical or aggressive stocks
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Partial index tracking enhanced mean–variance portfolio International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-03-14 Zhaokun Cai, Zhenyu Cui, Majeed Simaan
Estimation constitutes a major challenge in the implementation of mean–variance portfolios. To overcome this, we propose a partial index‐tracking strategy that aims to mitigate estimation error ex‐ante. Theoretically, we minimize the mean‐squared error of the proposed strategy by shrinking the portfolio variance to its tracking error. Using an empirical design with over 50 years of data, our paper
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Determinants of the degree of fiscal sustainability International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-03-14 António Afonso, José Alves, José Carlos Coelho
We assess the link between fiscal sustainability coefficients, namely the responses of the primary government balance and the global government balance to the debt‐to‐GDP ratio, and the response of government revenues to government expenditures. For 22 OECD developed countries we use annual data between 1950 and 2019. Other determinants of fiscal responses are also studied in the context of quantile
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Effects of QE on sovereign bond spreads through the safe asset channel International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-03-13 Jan Willem van den End
We show that through the safe asset channel the excess liquidity created by large scale asset purchases (QE) can lead to higher sovereign bond spreads in the euro area. This unintended effect is most likely in volatile market conditions when excess liquidity spurs demand for tradeable safe assets, pushing down the interest rate of these assets, which widens risk spreads. Outcomes of a panel regression
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Credit risk modelling within the euro area in the COVID-19 period: Evidence from an ICAS framework International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-03-07 Georgios Chortareas, Apostolos G. Katsafados, Theodore Pelagidis, Chara Prassa
This paper develops a logistic regression model in an in-house credit assessment system (ICAS) framework for predicting corporate defaults in the Greek economy. We consider the impact of the COVID-19 pandemic and the associated government financial support schemes, aiming to protect against financial vulnerabilities, on the probability of default of non-financial firms, as well as the relevant sectoral
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How do the reserve currency and uncertainties in major markets affect the uncertainty of oil prices over time? International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-03-12 Baris Kocaarslan, Ugur Soytas
This research aims to understand how certain events, like the global financial crisis, the post‐global financial crisis period, the COVID‐19 pandemic, and the Russia‐Ukraine war, along with changes in the value of the US dollar and uncertainty in gold, currency, and stock markets, affect the uncertainty in oil prices. We are particularly interested in looking at positive and negative changes in these
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The tail connectedness among conventional, religious, and sustainable investments: An empirical evidence from neural network quantile regression approach International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-03-11 Xin Jin, Bisharat Hussain Chang, Chaosheng Han, Mohammed Ahmar Uddin
Financial markets are highly unpredictable and often associated with tail risks. This study examines the tail connectivity among three distinct markets—conventional, religious, and sustainable—and uses a new neural network quantile regression technique to quantify their risk exposure. The findings suggest that traditional and religious investments have the greatest tail risk exposure during crises
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The impact of dividend payout policies on real estate market diversification International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-29 Metin Ilbasmıs, Marc Gronwald, Yuan Zhao
An asymmetric DCC – GJR – GARCH model is applied to the Turkish and US REIT markets in order to estimate the time-varying correlations between the REIT and stock markets. Using these estimated correlations, we investigate the impact of dividend payouts on the diversification potential of REITs for stock market investors. Our choice of the Turkish REIT market is based on its unique REIT dividend policy
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Mediating effect of financial inclusion on FinTech innovations and economic development in West Africa: Evidence from the Benin Republic International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-28 Guillaume Edou Tchidi, Wei Zhang
Studies from previous literature has exhausted the direct relationship between FinTech innovations and economic development with mixed findings. Thus, the current study investigates the mediating effect of financial inclusion on FinTech innovations and economic development in the Benin Republic. The study is survey research that used a questionnaire from bank customers and residents of suburb areas
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Looking in the rear-view mirror: Evidence from artificial intelligence investment, labour market conditions and firm growth International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-26 Ishmael Tingbani, Samuel Salia, Christopher A. Hartwell, Alhassan Yahaya
This paper presents evidence of the impact of AI investment on firm growth and how the relationship is sensitive to labour market conditions. Using the generalized method of moments (GMM) estimation on 1950 unique American firms over 1996–2016, we show that a 10% increase in AI investment leads to an increase in firm growth by 0.04%. However, this result is highly sensitive to labour market conditions
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Can Modern Monetary Theory fit the post‐Crisis US facts? Evidence from a full DSGE model International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-27 Chunping Liu, Patrick Minford, Zhirong Ou
Modern Monetary Theory (MMT) claims that a monetarily sovereign government like the US is never confronted by a real budget constraint since it can always monetise any deficit by printing money; and this need not be inflationary since it can always drain excess money from circulation by taxing. MMT economists claim that their theory is in line with the behaviour of the US data since the Financial Crisis
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Efficiency and financial risk management practices of microfinance institutions International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-27 Konstantinos N. Baltas, José M. Liñares‐Zegarra
Microfinance institutions (MFIs) have evolved in different and complex ways to solve various market frictions, with some of them providing a wide range of financial products and using different lending technologies to reach poor and underserved populations. As a result, some MFIs are more efficient than others, but are efficiency gains aligned with risk management practices? The specific characteristics
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Financialisation of the European Union Emissions Trading System European Union Emissions Trading System and its influencing factors in quantiles International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-19 Ping Wei, Jingzi Zhou, Xiaohang Ren, Luu Duc Toan Huynh
This study analyses the financialisation of the carbon market and its possible external shocks, with a focus on the European Union Emissions Trading System (EU ETS), by investigating its quantile dependence and influence paths from stage three onwards. To achieve this, we construct a theoretical model of five factors related to the financialisation of the carbon market and empirically investigate the
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The asymmetric role of temperature deviations in economic growth: Fresh evidence from global countries and panel quantile estimates International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-14 Nicholas Apergis, Mobeen Ur Rehman
This work explores the role of weather shocks, measured as temperature deviations from their normal, in affecting GDP growth through a panel of 148 countries, spanning the period 1960–2019 and a panel quantile approach. The findings show that GDP growth is negatively affected by such deviations at higher quantiles, with the results receiving robust support from three alternative methodologies. The
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Fundamental analysis of Initial Coin Offerings International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-12 Yunxia Bai, Bofu Zhang
This study endeavours to discern the pivotal factors contributing to the success of initial coin offerings (ICOs) on a global scale. Through a comprehensive analysis of ICO characteristics, we explore the intricate relationship between these attributes and the ultimate success of ICO projects. Our empirical findings show that projects that have secured presale funding, coupled with comprehensive token
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Governance, debt service, information technology and access to electricity in Africa International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-08 Simplice A. Asongu, Sara le Roux
The study investigates the role of governance (i.e., ‘voice and accountability,’ political stability/no violence, regulatory quality, government effectiveness, corruption-control and the rule of law) in the incidence of short-term debt services on infrastructure development in the perspective of telecommunication infrastructure and access to electricity. The focus of the study is on 52 African countries
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The nexus between bank efficiency and leverage International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-08 Konstantinos N. Baltas
In this paper, we shed light on the impact of leverage on efficiency by introducing a new banking efficiency indicator that includes efficiency and stability conditions. This indicator relies on the leverage as a proxy of a bank's risk and stability. Banks' leverage played an important role in the last financial crash as well as in the Basel III regulatory rules. The results of the econometric investigation
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War-associated geopolitical risks and uncertainty: Implications for real wages International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-02-02 Muhammad Ali Nasir, David Spencer
This paper studies the effects of geopolitical risks and uncertainty on real wages. Employing UK data from 2000: Q1 to 2022: Q2 and a partial Nonlinear-Autoregressive Distributed Lag (NARDL) framework, we find that war-associated geopolitical risks and uncertainty have a statistically significant though mild positive impact on real wages. We find that domestic factors including economic policy uncertainty
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Banking uncertainty and corporate financial constraints International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-01-27 Japan Huynh
This article investigates an essential channel through which uncertainty may harm the economy—firms' financing constraints. Unlike prior literature focusing on the aspect of aggregate economic policy uncertainty, we look into the dimension of disaggregate uncertainty in the banking system. Examining financial data of commercial banks and listed companies in Vietnam during 2008–2022, we document that
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Exchange rate misalignment and financial development in Africa International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-01-19 Tii N. Nchofoung, Nathanael Ojong, Ladifatou Ndi Gbambie Gachili
We examine the effect of misaligned exchange rates on financial development in Africa. Results from quantile regression techniques and the IV Lewbel estimator reveal that exchange rate misalignment significantly hampers financial development on that continent. This result is robust across financial institutions and financial markets. We also show that while the effects of misaligned exchange rates
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Risk spillover measurement of carbon trading market considering susceptible factors: A network perspective International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-01-10 Qingli Dong, Lanlan Lian, Qichuan Jiang
An objective and robust network-based data-driven strategy is proposed to analyze risk spillovers in carbon markets. First, we characterize the causality network between the carbon market and potential associated markets using a data-driven fuzzy cognitive map approach. Second, network-based community detection is conducted to explore community structures that include carbon trading markets, and five
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Does institutional quality matter for renewable energy promotion in OECD economies? International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-01-10 Shuddhasattwa Rafiq, Sudharshan Reddy Paramati, Md. Samsul Alam, Khalid Hafeez, Muhammad Shafiullah
This study examines the effect of institutional quality on renewable energy promotion in OECD economies. The study employs annual data from 1980 to 2014 on 18 OECD economies. The robust panel unit root tests show that all the considered variables have a similar order of integration, indicating that they are nonstationary at their levels but stationary at the first-order differences. The panel cointegration
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Cross-border buyout exit success International Journal of Finance and Economics (IF 1.634) Pub Date : 2024-01-03 Siyang Tian
This paper examines the importance of institutional contexts in cross-border buyout exit success. After tracking 2639 cross-border buyout investments during 1998–2007 in 38 countries and regions as of 2016, I find that the higher the institutional quality of the country where the portfolio company is located, the higher the probability of a successful exit via IPO or M&A. The larger the institutional
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Your gender identity is who you are: Female chief executive officers and corporate debt structure International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-12-20 Yuxuan Huang, Qi Zhu, Cheng Yan, Yeqin Zeng
Using a large sample of S&P 1500 firms during 1993–2021, we empirically examine the implications of CEO gender on corporate debt structure. We find that after controlling for endogeneity, firms managed by female CEOs issue less debt than those managed by male CEOs. Female CEOs being more risk averse than male CEOs is the underlying mechanism which drives the negative relation between female CEOs and
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U.S. economic uncertainty shocks and extreme capital flows episodes: An empirical analysis of emerging and developing economies International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-12-10 Xinqian Du, Tian Pu
We use the two-way fixed-effect panel logit model to examine the impact of U.S. economic uncertainty shocks on the probability of extreme capital flow episodes based on quarterly data from 71 emerging and developing economies from 1998Q1 to 2022Q4. According to the findings, U.S. economic uncertainty shocks has a negative effect on the probability of gross capital surges, gross capital flight, and
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Time-varying causality between investor sentiment an oil price: Does uncertainty matter? International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-12-10 Mohamed Sahbi Nakhli, Khaled Mokni, Manel Youssef
While the oil market-investors sentiment (IS) has been considerably investigated, almost all studies have focused on the assumption of a constant relationship, and no attention has been given to the causality analysis in a time-varying approach. To fill this gap, this study investigates the predictive power between IS and oil price based on a time-varying Granger causality test. Using data over the
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How do credit ratings affect corporate investment efficiency? International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-12-07 Di Xiao, Xinyu Yu
This study examines the impact of credit ratings on the efficiency of firms' investments. Using a large sample of US firms, we find a positive relationship between the existence of credit ratings and investment efficiency. The cross-sectional analyses show the positive relationship is more pronounced for firms with greater information asymmetry and weaker corporate governance. Our results are robust
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How do intangible assets and financial constraints affect stock returns in Vietnam before and during the COVID-19 pandemic? International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-12-06 Khoa Dang Duong, Tran Ngoc Huynh, Linh Thi Diem Truong
We are the first to determine the effect of intangible intensity (INTANG) on cross-sectional stock returns after controlling financial constraints in the Vietnam stock market. Our sample includes 37,938 firm-month observations from 488 non-financial firms from October 2008 to February 2021. We employ Fama and MacBeth regressions and portfolio analysis methodologies to estimate the impact of intangible
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Correction to “Outward foreign direct investment and economic growth in Romania: Evidence from non-linear ARDL approach” International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-12-10
Amin, A., Anwar, S., & Liu, X. H. (2022). Outward foreign direct investment and economic growth in Romania: Evidence from non-linear ARDL approach. International Journal of Finance & Economics, 27(1), 665–677. Page 665 – In abstract section, 1990–2019 was incorrect. The correct years are 1990–2017. This was a typo Page 667 – Figure 1 Notes. The correct years are 1990–2019 not 1990–2017 This was a typo
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An empirical investigation of the relationship between brand value and firm value: Evidence from Turkey International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-11-30 Serhat Konuk, Ömer Tuğsal Doruk, Yıldırım Beyazıt Önal
This paper aims to investigate the relationship between brand value and firm value by using a two-step approach. In the first step, we use the financial-based brand valuation model (FBVEM) to obtain the brand value of firms that operated in the Turkish manufacturing industry during the period between 2014 and 2018. In the second step, we examine the effect of brand value on Tobin's Q. In doing so,
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Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust IV International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-11-30 François-Eric Racicot, William F. Rentz, Raymond Théoret
In the setting of a dynamic panel data framework, we investigate the international five-factor Fama–French (2017) model augmented with traditional illiquidity factors (Amihud, Journal of Financial Markets, 2002, 5, 31–56; Amihud, Critical Finance Review, 2019, 8, 203–221; Pástor and Stambaugh, Journal of Political Economy, 2003, 111, 642–685; Pástor and Stambaugh, Critical Finance Review, 2019, 8,
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The impact of conventional and unconventional monetary policies on loan default risk—Evidence from UK peer-to-peer lending platforms International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-11-27 Anh Nguyet Vu
This study investigates the effect of both conventional and unconventional monetary policies on loan default of UK personal and business peer-to-peer (P2P) loans. I employ loan book data of Zopa, Lending Works, and MarketFinance, which are three of the most popular UK P2P lending platforms. Survival analysis reveals consistent evidence for the existence of the risk-taking channel of monetary policy
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Unconventional monetary policy in the Euro area: Impacts on loans, employment, and investment International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-11-23 António Afonso, Francisco Gomes Pereira
Using a dataset of bank- and regional-level data, we study the effectiveness and heterogeneity of the transmission mechanism of the ECB's large scale asset purchases (LSAPs) to the real economy. Our results indicate that banks more exposed to government debt securities had higher growth of loans and loans relative to total assets than less exposed banks after the asset purchase programme (APP), but
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The influence of non-financial enterprises' financialization on total factor productivity of enterprises: Promotion or inhibition? International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-11-21 Yanwei Lyu, Jinning Zhang, Xinnian Qing, Yangyang Bai
In recent years, the increasing trend of financialization of non-financial enterprises and the improvement of total factor productivity (TFP) have attracted extensive attention. The research sample for this study covers non-financial firms listed on the Shanghai and Shenzhen stock exchanges from 2008 to 2020. Then an econometric regression model is built to examine the impact of financialization of
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Language and private debt renegotiation International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-11-16 Christophe J. Godlewski
We study how language affects private debt renegotiation. We predict that stronger future time reference (FTR) languages alter the importance of renegotiation risk by lowering the perceived value of loan renegotiation. We test this hypothesis on a sample of 6500 loans issued to European firms between 1999 and 2017. We find that the use of a stronger FTR language decreases the likelihood of renegotiation
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Does democracy matter in banking performance? Exploring the linkage between democracy, economic freedom and banking performance in the European Union member states International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-11-10 Adela Socol, Iulia Cristina Iuga
Literature on the effects of socio-political factors and the quality of political-economic institutions on banking performance is scarce and mixed. To contribute to this literature, this study analyzes whether democracy and economic freedom affect the banking sector in European Union member countries. We provide empirical evidence of the influence of democracy and economic freedom on banking performance
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Behavioural explanations of Expectile VaR forecasting and dynamic hedging strategies for downside risk during the COVID-19 pandemic: Insights from financial markets International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-11-06 Yousra Trichilli, Sahbi Gaadane, Mouna Boujelbène Abbes, Afif Masmoudi
In this paper, we investigate the influence of confirmation bias on Expectile Value at Risk (EVaR) forecasting among fundamentalist, optimistic, and pessimistic investors in cryptocurrency, commodity, and stock markets before and during the COVID-19 pandemic. Utilizing the DCC-range GARCH model, we also explore the conditional minimum downside risk hedge ratios. Our findings demonstrate that confirmation
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Attracting institutional investments to emerging markets: The case of Turkiye International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-11-02 S. Burcu Avci
Understanding institutional investors' investment criteria in emerging markets is essential because they typically make large investments without control rights or protection of the rule of law. This study undertakes an investment criteria investigation of institutional investors in Turkiye. The sample covers real and financial sector companies to investigate sectoral differences in Borsa Istanbul-listed
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Dependency and causal relationship between ‘Bitcoin’ and financial asset classes: A Bayesian network approach International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-10-30 Mourad Mroua, Nada Souissi, Mrabet Donia
This study employs the Bayesian Networks (BN) and the wavelet coherence approaches to invest the relationship between Bitcoin volatility and financial asset classes (MSCI world equity index, S&P Goldman Sachs Commodity Index [GSCI], US index and Investment Grade Corporate Bond Index ETF [PIMCO]) using daily data for the period from August 2011 to October 2021. The results show that the causal relationship
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Economic policy uncertainty and access to finance: An international evidence International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-10-26 Mohammed Benlemlih, Çiğdem Vural Yavaş, Cynthia Assaf
In this study, we provide the first attempt to relate economic policy uncertainty (EPU) to firms' access to finance. Using data from 26 countries and the news-based index from Baker et al. (2016), we provide evidence that EPU significantly increases financial constraints and decreases firms' access to finance. Our main inference is robust to alternative measures of financial constraints, alternative
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Dual-board governance and board independence: Conglomerate affiliate versus standalone firms International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-10-26 Md Hamid Uddin, Khakan Najaf, M. Kabir Hassan, Nor Shaipah Abdul Wahab
We argue that the corporate board of an exchange-listed firm cannot make an independent business decision if it has an affiliation with a conglomerate group. This is because the corporate board of a conglomerate-affiliated firm (CAF) has high moral hazard exposure due to its accountability to the superior parent board at the apex of the conglomerate structure. Based on a sample of 304 listed firms
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Foreign exchange hedging using regime-switching models: The case of pound sterling International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-10-26 Taehyun Lee, Ioannis C. Moutzouris, Nikos C. Papapostolou, Mahmoud Fatouh
We develop a four-state regime-switching model for optimal foreign exchange (FX) hedging using forward contracts. The states correspond to four distinct market conditions, each defined by the direction and magnitude of deviation of the prevailing FX spot rate from its long-term trends. The model's performance is evaluated for five currencies against the pound sterling for various horizons. Our examination
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Revisiting corporate governance and financial risk-taking International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-10-24 Noora Alzayed, Rasol Eskandari, Arman Eshraghi, Hassan Yazdifar
Corporate governance attributes have varying effects on risk taking when variables are examined separately. We study the effects of a large range of corporate governance attributes on risk taking using a comprehensive US sample. Our findings confirm that although there are certain characteristics that drive this positive effect such as compensation structure, there are those which have the opposite
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Life insurance consumption across generations: The roles of financial knowledge, planning horizon, and self-control International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-10-23 Lucía Rey-Ares, Sara Fernández-López, Sandra Castro-González
Life insurance enhances households' capacity to absorb financial shocks and protects against personal risks that no one likes to contemplate. This is even more important in times of economic hardship such as now, when many Europe countries and particularly Spain are going through difficult times due to rising inflation, the war in Ukraine, and the ongoing COVID-19 pandemic. Although previous studies
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The pass-through effects of oil price shocks on sovereign credit risks of GCC countries: Evidence from the TVP-SVAR-SV framework International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-10-15 Aktham Maghyereh, Salem Adel Ziadat, Abdel Razzaq A. Al Rababa'a
We implement a two-stage methodology based on the structural vector autoregressive and time-varying parameter vector autoregressive models to examine the time-varying effect of distinct types of oil-price shocks on sovereign credit risks measured by credit default swap (CDS) spreads in Gulf Cooperation Council countries. Using monthly data for the period from May 2011 to February 2022, our results
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Corporate price dynamics during and after the COVID-19 pandemic: Insights from a partial equilibrium model International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-10-11 Antonio Sánchez Serrano
The COVID-19 pandemic created an unprecedented demand and supply shock to the world economies. To understand its impact on corporate prices, we define a partial equilibrium model where non-financial corporations operating in three sectors (suppliers, end-producers and service providers) optimize their production under monopolistic competition and are subject to demand and supply shocks of different
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Does policy uncertainty affect non-financial disclosure? Evidence from climate change-related information International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-24 Cynthia Assaf, Mohammed Benlemlih, Imane El Ouadghiri, Jonathan Peillex
We examine the relationship between economic policy uncertainty and the release of climate change-related information as a representation of non-financial information. We argue that firms are likely to disclose their climate change-related information to gain ethical legitimacy, especially during uncertain times. Using the policy uncertainty measure from Baker, Bloom, and Davis (2016) and an extensive
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Exploring the nexus between Islamic financial institutions Shariah compliance disclosure and corporate governance: New insights from a cross-country analysis International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-22 Zunaiba Abdulrahman, Tahera Ebrahimi, Basil Al-Najjar
We address the scarcity of empirical research on Shariah Compliance Disclosure (hereafter referred to as SCD) by presenting new evidence on the levels and range of SCD, of 807 bank-year observation of Islamic Financial Institutions (hereafter referred to as IFIs) in 19 countries for the period from 2010 to 2020 and its determinants. Using an unweighted disclosure index measured by manual content analysis
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Russia-Ukraine war and G7 debt markets: Evidence from public sentiment towards economic sanctions during the conflict International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-19 Zunaidah Sulong, Mohammad Abdullah, Emmanuel Joel Aikins Abakah, David Adeabah, Simplice Asongu
War-related expectations cause changes to investors' risks and returns preferences. In this study, we examine the implications of war and sanctions sentiment for the G7 countries' debt markets during the Russia-Ukraine war. We use behavioural indicators across social media, news media, and internet attention to reflect the public sentiment from 1st January 2022 to 20th April 2023. We apply the quantile-on-quantile
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Cultural proximity and cross-border banking flows International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-14 Doan Ngoc Thang
This paper disentangles the impacts of cultural proximity on cross-border banking flows, using large country-pair data from 1996 to 2019. On applying the gravity model with the Poisson Pseudo Maximum Likelihood estimator, our main findings show that cultural proximity is both a push and pull factor, which robustly anticipates increased outflows (cross-border lending) and inflows (cross-border borrowing)
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Behavioural implications of risk–return associations based on the adjusted thermal optimal path method: Large versus small banks International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-13 Yousra Trichilli, Hana Kharrat, Mouna Boujelbène
This article investigates the impact of bank size and business model on bank risk-taking within the framework of the prospect theory. To fulfil this objective, we use the adjusted thermal optimal path model. The results suggest that conventional banks adopt the same risk-taking behaviour for performance measures, regardless of their size. However, the size mainly influences the attitudes of managers
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Alternative measures for the global financial cycle: Do they make a difference? International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-13 Xin Tian, Jan P. A. M. Jacobs, Jakob de Haan
We developed several measures to analyze the global financial cycle employing dynamic factor models and data for 25 advanced and emerging countries spanning 1980 to 2019. These measures were assessed using the similarity and synchronicity metrics proposed by Mink et al. (Oxford Economic Papers 64, 217–236, 2012). The findings indicate a strong similarity and synchronization of global cycles in asset
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Does D&O insurance mislead creditors' lending decisions? Evidence from corporate debt maturity structure International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-12 Qingsong Ruan, Yuetian Jin, Dayong Lv, Xiaokun Wei
This study investigates whether directors' and officers' liability insurance (D&O insurance) misleads creditors' lending decisions by examining its effect on corporate debt maturity structure. We find that purchasing D&O insurance leads to increased corporate debt maturity, and this effect is more pronounced for firms with weaker corporate governance. These results suggest that creditors may view D&O
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Oil price shocks and financial stress: Who is the influencer? International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-07 Aktham Maghyereh, Salem Adel Ziadat
We contribute to the literature by being the first to examine the direction of causality between the different sources of oil price shocks and financial stress in the global financial markets (OFR), US, other advanced economies (OAE), and emerging markets (EM). Specifically, we aim to empirically answer a key question: Do global oil market shocks drive financial stress, or does financial stress spur
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The myth of business cycle sector rotation International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-06 Alexander Molchanov, Jeffrey Stangl
Conventional wisdom suggests that sectors/industries provide systematic performance and that business cycle rotation strategies generate excess market performance. However, we find no evidence of systematic sector performance where popular belief anticipates it will occur. At best, conventional sector rotation generates modest outperformance, which quickly diminishes after allowing for transaction
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Implications of bank competition, financial stability, and gender gap on access to finance: Evidence from Sub-Saharan Africa International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-05 Bijoy Rakshit, Samaresh Bardhan
Whether bank competition promotes access to finance is highly debated in economic literature and policy circles. Amidst this debate, this paper investigates the implications of bank competition, financial stability, and gender gap on access to finance for 40 Sub-Saharan African countries using 12,504 firm-level observations from the World Bank Enterprise Survey. In addition to structural measures,
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Joint elicitation of elasticity of intertemporal substitution, risk and time preferences International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-09-04 Luciano de Castro, Antonio F. Galvao, Gabriel Montes-Rojas, Jose Olmo
The elicitation of the elasticity of intertemporal substitution (EIS), discount factor and risk attitude parameters in dynamic models is of central importance to economics, finance and public policy. This paper suggests an alternative method to jointly elicit and estimate these three parameters using experimental data. We employ a new model based on dynamic quantile preferences, where individuals maximize
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US partisan polarization and households' portfolio decisions International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-08-24 Nicholas Apergis
This paper uses a panel survey (micro-level) dataset to explore the impact of US partisan polarization on households' portfolio decisions. The results document that households significantly reduce their market investments in risky assets due to stronger partisan polarization conditions. The findings survive certain robustness checks, while they clearly illustrate the rising effect of political uncertainty
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Corporate governance, Shari'ah governance and financial flexibility: Evidence from the MENA region International Journal of Finance and Economics (IF 1.634) Pub Date : 2023-08-21 Abdullah Aljughaiman, Aly Salama, Thanos Verousis
This article investigates the relationship between corporate governance structures and financial flexibility for conventional and Islamic banks in the Middle East and North Africa (MENA) region. We construct a novel financial flexibility index (FFI) for the banking sector and examine the impact of the Shari'ah supervisory board (SSB), board size, and risk governance on financial flexibility. We find