样式: 排序: IF: - GO 导出 标记为已读
-
Reexamining Information Asymmetry Related to Corporate Spin-offs The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2024-02-03 Han-Sheng Chen, Ying-Chou Lin, Yu-Chen Lin
Recent technological innovations and changes in governmental regulations both affect information dissemination; within this context, we use this paper to reassess the role of information asymmetry in corporate spin-off decisions. Analyzing spin-off deals from 1980 to 2017, we find that information asymmetry does not significantly influence spin-off decisions. Specifically, there is neither substantial
-
A method to measure bank output while excluding credit risk and retaining liquidity effects The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2024-02-01 Raphaël Chiappini, Bertrand Groslambert, Olivier Bruno
The current method of calculating nominal bank output in the national accounts has significant shortcomings. Discussions to remedy this have been ongoing for several years. We propose a new method that addresses the flaws of the current approach of the System of National Accounts. We implement a simple model-free method that removes the ’pure’ credit risk premium from the production of banks while
-
The sustainability factor in asset pricing: Empirical evidence from the Indian market The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2024-02-01 S. Mohanasundaram, R. Kasilingam
This study investigates the feasibility of including the sustainability performance of firms in the asset pricing problem. The data of 500 firms from the NIFTY 500 index are used for this study. The stock prices and financial data are downloaded from the CIME database. The sustainability factor is computed using the ESG scores from the Bloomberg database. In order to test the influence of the sustainability
-
State-contingent debt with lender risk aversion The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2024-01-28 Gonçalo Pina
State-contingent debt has the potential to eliminate costly debt crises. Yet, markets for this type of debt remain essentially closed. This paper uses a simple model to show conditions under which specialized risk-averse foreign lenders prefer non-contingent debt to state-contingent debt. Borrowers always prefer state-contingent debt as non-contingent debt increases the probability of default and reduces
-
Family ties and firm performance empirical evidence from East Asia The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2024-01-26 Christophe J. Godlewski, Hong Nhung Le
We investigate the impact of family ties on the performance of family firms in East Asia. To measure family ties, we used both objective and subjective indicators from the World Value Survey. Our findings indicate that family firms that are nurtured in a society with strong family ties tend to have better performance compared to family firms that operate in a culture with weak family ties. Furthermore
-
The transmission of targeted monetary policy to bank credit supply The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2024-01-22 Matjaž Volk
In this paper I estimate the impact of Targeted Longer-Term Refinancing Operations (TLTRO) on the evolution of lending amounts and rates in Slovenia, with a specific focus on distinct effects of TLTRO-I and II. I use a combination of difference-in-differences and instrumental variable approach, which together with detail credit register data enable the identification of supply side effects of the TLTRO
-
Economic policy uncertainty as an indicator of abrupt movements in the US stock market The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2024-01-15 Paraskevi Tzika, Theologos Pantelidis
A two regime switching model is developed in an attempt to relate expected US stock market returns to deviations from fundamentals and to Economic Policy Uncertainty (EPU). The analysis is based on monthly data that cover the period from January 1900 to October 2022 and the EPU index is used as an explanatory variable. The findings suggest that the US stock market spends most of the time in a low-volatility
-
Sukuk liquidity and creditworthiness during COVID-19 The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2024-01-10 Mariya Gubareva, Tatiana Sokolova, Zaghum Umar, Xuan Vinh Vo
This paper presents the empirical liquidity study of Islamic fixed-income securities during 2020–2021. Using bid-ask and Z-spread metrics we demonstrate that the apogee of both, liquidity and credit stresses in international sukuk market is reached in early April 2020. Contrasting results for non-Islamic fixed-income instruments, we show that sukuk credit spreads recover to pre-Covid levels faster
-
Systemic risk and financial networks The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2024-01-03 Bingqing Li, Xiaoyuan Zhang
We develop a network-based probabilistic model to analyze systemic risk within a network of interconnected institutions. Harnessing the power of economic connections, we construct a weighted network that effectively captures the extent of direct risk spillovers. Then the risk contagion probabilistic model is constructed with the aid of the risk orbit contagion idea and inter-institutional dependencies
-
Pricing and mispricing of accounting fundamentals: Global evidence The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-28 Siegfried Köstlmeier
This paper extends the fundamentals-based valuation model in Nichols et al. (2017) to global, developed equity markets. The model is able to explain, on average, 81% of the cross-sectional share price variation among global stocks. To be applicable among international markets, actual cash-flow streams instead of clean surplus accounting figures are used to reflect the different importance of dividends
-
The role of international currency spillovers in shaping exchange rate dynamics in Latin America The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-21 Nikolaos Kyriazis, Shaen Corbet
In this study, we explore the dynamic interconnectedness of major international currencies and select Latin American currencies utilising the advanced Quantile-VAR methodology. Our analysis includes periods of exceptional crises, including the COVID-19 pandemic and the Russia–Ukraine conflict. Our findings reveal that during such crises, the direct influence of major international currencies on Latin
-
Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-21 Amal Abricha, Amine Ben Amar, Makram Bellalah
Most of the academic literature on connectedness focuses on stock markets and commodity spot markets. However, there is still much to say about the connectedness among commodity futures markets at different expiration dates, as this part of the literature is as yet small and inconclusive. This paper builds on the existing literature by focusing on connectedness among a set of ten commodity futures
-
Centralization of trade agreements network and global value chain participation The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-19 Zhaobin Fan, Ying Zhou, Sajid Anwar
We argue that a country’s position in preferential trade agreements (PTAs) network affects its global value chain (GVC) participation level through two opposite effects: the resource allocation effect, which promotes the GVC participation level, and the market substitution effect, which decreases it. Using data from 43 countries over the 2000–2014 period, we find that the overall centrality of a country's
-
Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-19 Mahdi Ghaemi Asl, Muhammad Mahdi Rashidi, Hamid Raza Tavakkoli, Hichem Rezgui
This paper aims to assess the performance of Islamic portfolios vis-à-vis their conventional counterparts across two distinct periods: the pre-COVID-19 era and the COVID-19 era. Departing from prior studies, this study makes a novel contribution by employing an extensive array of 18 portfolio optimization techniques to construct optimal portfolios for conventional stock indices encompassing energy
-
Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-18 Mohammed Alomari, Refk Selmi, Walid Mensi, Hee-Un Ko, Sang Hoon Kang
Hedging is a particularly important tool in the Exchange Traded Fund (ETF) markets where market makers seek the best ways to mitigate the uncertainty of their exposures. This study relies on high frequency data to assess the spillover effects among ten US sector ETFs and various economic and financial uncertainty indexes based on realized volatility, realized higher moments as well as jumps under a
-
How credit unions affect the profitability of Brazilian commercial banks? The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-16 Alexandre Schwinden Garcia, André Lucas Moreira Gonzaga
We investigated the effects of the growth of credit unions, which by law are non-profit entities, on the return on assets and equity of Brazilian commercial banks. We also assess the impacts on commercial banks’ main revenue and expense lines. Data from 2000 to 2021 were used and dynamic panel models, System-GMM, were estimated. The results indicate that the greater the participation of credit unions
-
Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons? The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-10 Elie Bouri, Remzi Gök, Eray Gemi̇ci̇, Erkan Kara
This paper examines the impact of three global risk factors (geopolitical risk (GPR), economic policy uncertainty (EPU), and crude oil volatility (OVX)) on the returns and variance of commodity, Islamic stock, and green bond markets across quantile distributions and various time horizons. To this end, Granger causality tests in quantiles and distributions along with wavelet-based correlation and causality
-
Is the zero-leverage policy value-enhancing? The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-10 Wenwen Jiang, Jangkoo Kang, Hwa-Sung Kim
Incompatible with standard capital structure theories, zero-leverage (ZL) firms are becoming increasingly common in recent decades. In this study, we examine whether shareholders consider a firm’s ZL policy value-enhancing or value-reducing. Using Faulkender and Wang’s (2006) methodology, we find that shareholders place a positive value on the event of a firm switching to zero debt. Furthermore, this
-
Heterogeneity and time-varying efficiency in the Ecuadorian banking sector. An output distance stochastic frontier approach The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-08 J. Salvador Cortés-García, Jorge V. Pérez-Rodríguez
This paper estimates the efficiency of Ecuadorian commercial banks from 2007 to 2017, considering multiple inputs and outputs, several factors explaining inefficiency, technological unobserved heterogeneity, and time-varying efficiency. To do this, we used an output distance function stochastic frontier model in a Bayesian framework and considered the profitability approach. In general, the results
-
Economic policy uncertainty and bank stability: Size, capital, and liquidity matter The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-02 Gamze Ozturk Danisman, Amine Tarazi
We examine the impact of economic policy uncertainty on bank stability post-2007–2008 global financial crisis and how bank size, capital, and liquidity mitigate this relationship. We use 176,477 quarterly observations for US commercial banks over the period from 2011Q1 to 2020Q3 and find consistent and robust evidence that bank stability decreases as the level of economic policy uncertainty increases
-
Dissecting value-growth strategies conditioned on expectation errors The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-12-02 HALIL I. MEMIS, ULRICH WESSELS
We examine the previously documented effect between a firm’s FSCORE and book-to-market ratio proposed by Piotroski and So (2012) and analyze the authors’ expectation errors hypothesis from a present value perspective. We find a strong value premium which is concentrated among firms where book-to-market implied expectations are incongruent with underlying fundamental strength. Using the decomposition
-
Asymmetric nexus between economic policy uncertainty and the Indian stock market: Evidence using NARDL approach The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-11-25 , Anil Kumar Sharma
This study examines linkages between the stock market and uncertainty in the real economy generated by unpredictability of economic policies. We investigate the asymmetric effect of economic policy uncertainty (EPU) on India’s stock market performance through the non-linear autoregressive distributed lag (NARDL) approach for the period ranging from 2003 to 2022. A sub-sample analysis of the pre-covid
-
Navigating the storm: Time-frequency quantile dependence and non-linear causality between crypto-currency market volatility and financial instability The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-11-24 Brahim Gaies, Najeh Chaâbane, Nesrine Bouzouita
In this study, we conduct a novel exploration of the time-frequency quantile dynamics between global crypto-currency market volatility and financial instability, using the recently introduced Cryptocurrency VIX indicator from a macro perspective. Taking into account the impact of Covid-19 and the Russian-Ukrainian war shocks, the results from the wavelet coherence analysis, the novel quantile wavelet
-
Optimal chonsei to monthly rent conversion choice given borrowing constraints The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-11-23 Seryoong Ahn, Doojin Ryu
Chonsei, an exceptional but prevalent housing rental system in the Republic of Korea, functions as private loans between individuals, and its implicit interest rate is called the “chonsei to monthly rent conversion rate”. Although the chonsei to monthly rent conversion rate is much higher than the interest rate of savings accounts or mortgage loans, making chonsei a more expensive channel of financing
-
Quantile time-frequency connectedness among G7 stock markets and clean energy markets The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-11-21 Rim El Khoury, Muneer M. Alshater, Yanshuang Li, Xiong Xiong
The rapid growth of clean energy markets as a distinct asset class has attracted significant investor attention. This study examines the interdependence between G7 stock markets and clean energy indices, specifically Renewable Energy Generation (REG), Energy Efficiency (EE), Advanced Materials (AM), and Clean Fuels (CF). Using a state-of-the-art volatility connectedness network and Maximum Overlaps
-
Editorial Board The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-11-16
Abstract not available
-
Robust investment for insurers with correlation ambiguity The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-11-13 Bingqian Cheng, Hao Wang, Lihong Zhang
This paper investigates the investment decision of insurers when there is ambiguous correlation between the financial market and the insurance business. The robust decision model that accommodates correlation ambiguity between a risky financial asset and the insurer’s non-tradable surplus is solved under the G-expectation framework. We find that correlation ambiguity leads to a more conservative investment
-
Frequency connectedness between DeFi and cryptocurrency markets The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-11-07 Walid Mensi, Mariya Gubareva, Sang Hoon Kang
This study investigates the time-frequency spillovers across main DeFi (AVA, POWR, DOGE, MED, BAT, Link, Maker, and SNX) and four leading cryptocurrency markets (Bitcoin, Ethereum, Litecoin, and Ripple). The results show using the time-domain spillover index of Diebold and Yilmaz (2012) high connectedness across markets, underlying forecasting opportunities. Ethereum and Litecoin are the largest contributors
-
Executive and non-executive employee ownership and bank risk: Evidence from European banks The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-11-03 Laetitia Lepetit, Phan Huy Hieu Tran, Thu Ha Tran
Our study investigates how executive and non-executive employee ownership affects the risk-taking behavior of European banks, which has become an important issue for regulators as supportive policies promoting employee ownership are implemented. The extant literature on banking firms provides mixed results, focusing exclusively on executive ownership. We investigate channels that could shed light on
-
Pathways to self-sufficiency in the microfinance ecosystem The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-10-26 Carlos Serrano-Cinca, Beatriz Cuellar-Fernández, Yolanda Fuertes-Callén
We used latent class growth analysis to study the trajectories followed by microfinance institutions for 10 years. This technique can detect groups of firms that follow different patterns of change over time. We identified groups of institutions that followed the same strategy and iso-performance groups of institutions with the same outcome trajectory. The trajectories were analyzed with categorical
-
The Longer-term Impact of TARP on Banks’ Default Risk The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-10-24 Jieqiong Gao, Chinmoy Ghoshn
This paper analyzes the longer-term effect of Troubled Asset Relief Program (TARP) funding through the default risk angle to further the understanding of the TARP program’s benefits and costs. Our subsample analyses show that both the treatment group (i.e., TARP recipients) and the control group (i.e., banks not receiving TARP funds) increased their default risk in the post-TARP stage lasting for almost
-
Attention-driven reaction to extreme earnings surprises The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-10-13 Tomas Reyes, Julian A. Batista, Alvaro Chacon, Diego Martinez, Edgar E. Kausel
We investigate the relationship between investor attention and stock returns in the context of extreme earnings surprises. We propose a novel mechanism that describes this interaction: high attention to very positive and very negative earnings news results in faster incorporation of information into stock prices, an overreaction effect, and a subsequent partial reversal. We test this mechanism using
-
Applications of fixed effect models to managerial risk-taking incentives The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-10-12 Yin-Siang Huang, Cheng-Few Lee, Chih-Yung Lin
In this paper, we first review the finance literature on managerial risk-taking incentives that is based on various fixed effect models (FEs). Second, we discuss the differences between industry and firm FEs with overall-, between-, and within-variations in corporate policies. Third, we investigate the effect of managerial risk-taking incentives on the values and decisions of firms as examples to support
-
Is there a risk premium? Evidence from thirteen measures The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-10-07 Laís Martins Fracasso, Fernanda Maria Müller, Henrique Pinto Ramos, Marcelo Brutti Righi
We studied the relationship between expected returns and thirteen risk measures, namely Expected Loss, Value at Risk, Expected Shortfall, Expectile Value at Risk, Entropic, Maximum Loss, Standard Deviation, Negative Semi-Deviation, Shortfall Deviation, Expected Loss Deviation, Shortfall Deviation Risk, Deviation Expectile Value at Risk, and Deviation Entropic. We consider measures that assess the loss
-
COVID-19, bank risk, and capital regulation: The aggregate shock and social distancing The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-09-26 Wen-Chung Guo, Ping-Lun Tseng
In this study, we introduce a novel spatial framework to examine the impact of the aggregate shock and social distancing policies stemming from the COVID-19 pandemic on banks' incentives to monitor entrepreneurs. Our findings reveal that banks raise their loan rates to compensate for losses caused by the aggregate shock, which, in turn, enhances their monitoring efforts. However, the default probability
-
Interoperability of the revolutionary blockchain architectures and Islamic and conventional technology markets: Case of Metaverse, HPB, and Bloknet The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-09-15 Xin Zhao, Mahdi Ghaemi Asl, Muhammad Mahdi Rashidi, László Vasa, Umer Shahzad
This study examines how Islamic and conventional technology stock indices interact with blockchain technology assets including Metaverse, High-Performance Blockchain, and Blocknet, throughout different market conditions and horizons. A three-pronged approach is employed, namely the quantile cross-spectral coherency approach, the time-varying parameter vector autoregressions (TVP-VAR), and the Causality
-
Islamic bank procyclicality in an emerging market economy: Do bank size and financing contracts matter? The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-09-14 Wahyoe Soedarmono, Inka Yusgiantoro
Using a sample of Islamic banks in Indonesia, our empirical findings demonstrate a positive relationship between economic growth and financing growth in Islamic banks, indicating procyclical behavior. However, the degree of procyclicality varies depending on bank size, with small banks exhibiting a more pronounced procyclical behavior compared to large banks, which display a countercyclical pattern
-
Genetic diversity and income inequality: The case for Y-chromosome DNA diversity The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-09-07 Amirhossein Amini, Chitra Jogani
This paper examines how patrilineal genetic diversity affects income inequality. We create a new measure of genetic diversity by implementing the notion of Y chromosome diversity. Using a cross section of more than 120 countries and controlling for other geographic and economic variations, we find that countries with higher genetic diversity also have higher income inequality. We show that this measure
-
Sports Mood Index and sell-side analysts The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-08-31 Runze Wu
This paper explores how sports-induced bad mood affects the sentiment and behavior of sell-side financial analysts. I construct the Sports Mood Index (SMI) of metropolitan areas in the U.S. based on the performance of Big 4 professional sports teams. In sports-induced bad mood settings, sell-side analysts tend to issue more pessimistic forecasts in both earnings forecast and price target samples. Sports-induced
-
Does CEO general managerial ability matter in M&A voting? The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-08-24 Sheng-Syan Chen, Chia-Wei Huang, Chih-Yen Lin
In this study, we examine the influence of CEO general managerial ability on M&A voting events. The results indicate that CEO general managerial ability relates positively to M&A voting outcomes. Furthermore, firms run by CEOs with high levels of general managerial skill tend to enjoy better short-term and long-term stock performances. In addition, we find active funds to be more (less) likely to vote
-
Volatility feedback effect and risk-return tradeoff The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-08-28 Surya Chelikani, Joseph M. Marks, Kiseok Nam
Using the two alternative measures of the ex-ante unexpected volatility shock, we show that the volatility feedback effect plays an important role in the intertemporal risk-return tradeoff. The empirical results indicate that the volatility feedback effect reinforces the positive risk-return relation conditional on bad market news but attenuates the relation under good market news. The results provide
-
Signaling through tests The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-08-25 Nicolás Figueroa, Carla Guadalupi
A firm (sender), privately informed about product quality, chooses a public test. Tests vary in informativeness and return a binary result. The market (receiver) forms interim beliefs based on test informativeness and posteriors based on test results. We show that standard single-crossing does not hold everywhere. A more informative test is less costly to the high type, who fails it less often, while
-
Investment decisions and passive portfolio construction utilizing patent analytics: A multi-case study on COVID-19 treatment technologies The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-08-25 Carsten C. Guderian, Jan-Alexander Posth, Linus Grob
The question of which stocks to buy remains at the heart of every investment decision. New, non-priced information sources and rationales linking such information to financial theory are constantly investigated. Patent metrics are often relied upon to capture technological change. Prior research detected positive corporate performance implications when relating corporate patent metrics to corporate
-
Systemic risk in European banks: Does ownership structure matter? The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-08-21 Nadia Saghi, Zainab Srour, Jean-Laurent Viviani, Mohamad Jezzini
We empirically test whether ownership concentration explains the cross-variation in systemic risk contribution for a sample of European banks over the 2004–2021 period and how this effect may vary depending on the category of the largest controlling shareholder. We explore two potential contagion channels: the risk-taking incentives and banks’ assets commonality. The results show that higher ownership
-
Do geopolitical risks and global market factors influence the dynamic dependence among regional sustainable investments and major commodities? The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-08-07 Christian Urom, Gideon Ndubuisi
This paper uses the Quantile Vector-Autoregressive (Q-VAR) technique to examine the connectedness between three regional (North America, Europe and Asia-Pacific) sustainability indices and major natural resource commodities including energy commodities (crude oil and natural gas), precious metals (gold, silver, and platinum), and industrial metals (steel, aluminium, and copper). It also uses a linear
-
The impact of political freedoms on cross-border M&A abandonment likelihood The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-08-01 Katsiaryna (Katherine) Myznikava, Jorge Farinha
This study aims to provide evidence of the impact of political factors of acquirer’s and target’s countries and their differences on cross-border merger and acquisition (M&A) abandonment likelihood, showing that political differences have a more pronounced impact on M&A abandonment likelihood compared with social or cultural differences. We analyse a large cross-border M&A data sample under a probit
-
Language barriers, corporate site visit, and analyst forecast accuracy The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-07-28 Lewis H.K. Tam, Shaohua Tian
This study examines the impact of language barriers on financial analysts’ decisions to perform corporate site visits and the extent to which corporate site visits help analysts overcome language barriers to improve earnings forecast accuracy. Using a sample of analysts’ visits to listed firms on the Shenzhen Stock Exchange, we find that analysts are more likely to visit firms headquartered in areas
-
Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-07-27 Ahmed Bouteska, Taimur Sharif, Mohammad Zoynul Abedin
On a univariate setting, this study aims to: (a) model the volatility of Bitcoin, Dash, Monero, and Stellar, (b) check the eventual existence of structural breaks in their volatility, and (c) investigate the interconnection amid the cryptocurrency volatilities, the US equity and bond markets’ volatility, and the COVID-19 impacts. To accomplish these objectives, we adopt a comparative approach to select
-
Who needs cash? Digital finance and income inequality The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-07-26 Claudio Oliveira de Moraes, Raphael Moses Roquete, Gustavo Gawryszewski
This article analyzes the role of access to digital and physical forms of finance on income inequality. The article develops a new measure of financial access that captures the relationship between digital finance and inequality, using a dynamic panel data analysis on 116 countries between 2001 and 2019. The results indicate that access to both financial institutions and digital access may reduce inequality
-
Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-07-20 Refk Selmi, Mark Wohar, Florent Deisting, Kamal Kasmaoui
Inflation has attained the highest level in decades, with the Russian/Ukrainian war adding upward pressure on prices of energy and food. The recent war has exacerbated the already growth of consumer prices resulting from the COVID-19 and disrupted supply-chains. In a high-inflation environment where investors face inflationary pressures during their investment decision-making, it becomes increasingly
-
Decomposing the yield curve with linear regressions and survey information The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-07-16 Arne Halberstadt
The decomposition of bond yields into term premiums and average expected future short rates is impaired by the limited availability of information about the dynamics of the expectations component. Therefore, many studies require the model-implied average expected future short rates to be close to short rate expectations from surveys. In this paper, I restrict the variance of changes in model-implied
-
Seasonal patterns of earnings releases and post-earnings announcement drift The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-07-13
In line with SEC regulations, U.S. firms tend to announce their earnings in specific weeks, resulting in clustered earnings releases. Our study examines whether this pattern of earnings releases leads to delayed market responses. We observe that firms announcing earnings in the two busy weeks of each season exhibit a stronger post-earnings announcement drift (PEAD) compared to those in non-busy weeks
-
The role of environmental and financial motivations in the adoption of energy-saving technologies: Evidence from European Union data The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-07-07 Alessandra Canepa, Giulia Chersoni, Magda Fontana
This paper investigates whether households’ environmental and financial motivations affect their investments in energy-saving technologies. Exploiting a comprehensive dataset covering 30 European countries, we investigate whether financially motivated and environmentally minded households present different adoption paths. The results show that environmental and financial motivations play an essential
-
Do financial technology and financial development lessen shadow economy? Evidence from BRICST economies using heterogenous bootstrap panel causality The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-06-19 Sami Ur Rahman, Faisal FAISAL, Adnan Ali, Hamid Ghazi H Sulimany, Ayman Hassan Bazhair
This study examined the role of financial technology (FinTech) and financial development in determining the shadow economy in the BRICST countries, using data from 2004 to 2018. The study also analyzed the moderating impact of financial technology on the financial development and shadow economy nexus. The study employed Breusch-Pegan LM (1980) and Pesaran (2004) tests for investigating cross-sectional
-
Skewness in energy returns: Estimation, testing and retain-->implications for tail risk The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-06-17 M. Angeles Carnero, Angel León, Trino-Manuel Ñíguez
In this paper we estimate the skewness of the unconditional distribution of energy returns and test its statistical significance. We compare the performance of traditional and robust tests for skewness with those based on the implied unconditional skewness in a TGARCH model with Gram-Charlier (TGARCH-GC) innovations. We also analyze the implications of TGARCH-GC skewness for tail risk through evaluation
-
Nexus of Corporate Social Responsibility Expenditure (CSR) and financial performance: Indian banks The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-06-13 Ann K. George, Parthajit Kayal, Moinak Maiti
This paper investigates the influence of mandatory Corporate Social Responsibility (CSR) expenditure, as stipulated by the Indian Companies Act of 2013, on the financial performance of commercial banks in India. Employing Panel regression models, the study examines the association between CSR expenditure and the financial performance of 22 Indian banks from 2016 to 2022. To measure financial performance
-
Banking regulation and banks’ risk-taking behavior: The role of investors’ protection The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-06-07 Tiago M. Dutra, João C.A. Teixeira, José Carlos Dias
Using panel data from a sample of 535 banks from OECD countries for the 2004–2016 period, this paper examines whether the influence of banking regulation on banks’ risk is channeled through the level of investors’ protection. The banking regulatory factors we consider are activity restrictions, capital stringency and supervisory power. We find that the overall effect of banking regulation on banks’
-
CEO perquisite compensation and M&A performance The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-06-07 Chia-Ying Chan, Takeshi Nishikawa, Thomas C. Williams
This paper offers empirical evidence of the role that CEO perquisite compensations (perks) play in a firm’s M&A activities. Using hand-collected panel-data on CEO perks from S&P 500 firms between 2006 and 2014, we find that the M&A deals undertaken by CEOs with high levels of perquisite receive significantly worse market reactions around the announcement period. Further, these deals experience lower
-
Rivals risk-taking incentives and firm corporate policy The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-06-05 Hussein Abdoh
This study contributes to the literature on the sensitivity of executives' compensation to risk, or vega, by examining the impact of rivals’ compensation on the firm's vega and its associated risk-taking corporate policies. Using firms from Compustat, I find that the vega of executive compensation is significantly and positively influenced by two determinants: rivals’ vega and competition intensity
-
Asset redeployability and dividend payout policy The Quarterly Review of Economics and Finance (IF 4.324) Pub Date : 2023-05-26 Puman Ouyang, Ligang Zhong
This research examines the effects of real asset redeployability on dividend payout policy, showing that firms with higher real asset redeployability tend to pay more dividends. Our results hold after controlling for cash holdings, current assets, and other firm characteristics. We hypothesize that asset redeployability increases dividend payout through the financial constraint channel, the signaling