Pub Date : 2024-11-19DOI: 10.1016/j.frl.2024.106487
Gil Cohen, Avishay Aiche
This paper examines the effectiveness of Artificial Intelligence (AI) in predicting Bitcoin's price movements. To achieve this, we developed two distinct trading strategies and compared their performance against each other and the traditional Buy and Hold (B&H) strategy. Over the period from January 2018 to September 2023, we found that the strategy optimized by ChatGPT 01-Preview, which integrates multiple technical indicators and sentiment analysis into a weighted composite index, delivered an exceptional total return of 944.85 %. The second strategy, that is using Extreme Gradient Boosting (XGBoost) technique achieved a total return of 189.05 %. The AI strategy's excess return of 755.8 % over the XGBoost strategy highlights the significant advantage of AI particularly in utilizing diverse data sources, such as social media, to predict Bitcoin's price trends more effectively than relying solely on economic data. Both trading strategies significantly outperformed the traditional B&H strategy, which returned 73.08 % over the same period. Furthermore, we found that AI has an advantage during periods of high Bitcoin price volatility.
{"title":"Intelligent forecasting in bitcoin markets","authors":"Gil Cohen, Avishay Aiche","doi":"10.1016/j.frl.2024.106487","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106487","url":null,"abstract":"This paper examines the effectiveness of Artificial Intelligence (AI) in predicting Bitcoin's price movements. To achieve this, we developed two distinct trading strategies and compared their performance against each other and the traditional Buy and Hold (B&H) strategy. Over the period from January 2018 to September 2023, we found that the strategy optimized by ChatGPT 01-Preview, which integrates multiple technical indicators and sentiment analysis into a weighted composite index, delivered an exceptional total return of 944.85 %. The second strategy, that is using Extreme Gradient Boosting (XGBoost) technique achieved a total return of 189.05 %. The AI strategy's excess return of 755.8 % over the XGBoost strategy highlights the significant advantage of AI particularly in utilizing diverse data sources, such as social media, to predict Bitcoin's price trends more effectively than relying solely on economic data. Both trading strategies significantly outperformed the traditional B&H strategy, which returned 73.08 % over the same period. Furthermore, we found that AI has an advantage during periods of high Bitcoin price volatility.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"80 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142673155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-15DOI: 10.1016/j.frl.2024.106470
Paolo Capolupo , Angelo Natalicchio , Lorenzo Ardito , Antonio Messeni Petruzzelli , Manuela Cazzorla
Crowdfunding has arisen as a prominent alternative to more traditional forms of financing, with equity crowdfunding (EC) becoming increasingly significant for its economic relevance and unique dynamics. While previous research has explored various factors contributing to EC campaign success, the role of firm governance, particularly family governance – i.e., the involvement in management and/or ownership of members of the same family - remains underexplored. Therefore, this study tackles this gap by examining the influence of family governance on EC success. Family-governed businesses, known for their long-term orientation and more conservative risk behavior, may inspire greater trust from investors, hence enhancing their campaign success. Additionally, the growing importance of business and campaign sustainability orientation in investors’ decision-making suggests it could further strengthen the positive relationship between family-governed businesses and EC success. Using data collected on 500 EC campaigns from leading Italian platforms, we find support for our hypotheses. This study contributes to the EC literature and family business research and has important implications for family-governed businesses seeking to optimize their EC campaigns.
{"title":"Family-governed businesses and successful equity crowdfunding: The moderating role of sustainability orientation","authors":"Paolo Capolupo , Angelo Natalicchio , Lorenzo Ardito , Antonio Messeni Petruzzelli , Manuela Cazzorla","doi":"10.1016/j.frl.2024.106470","DOIUrl":"10.1016/j.frl.2024.106470","url":null,"abstract":"<div><div>Crowdfunding has arisen as a prominent alternative to more traditional forms of financing, with equity crowdfunding (EC) becoming increasingly significant for its economic relevance and unique dynamics. While previous research has explored various factors contributing to EC campaign success, the role of firm governance, particularly family governance – i.e., the involvement in management and/or ownership of members of the same family - remains underexplored. Therefore, this study tackles this gap by examining the influence of family governance on EC success. Family-governed businesses, known for their long-term orientation and more conservative risk behavior, may inspire greater trust from investors, hence enhancing their campaign success. Additionally, the growing importance of business and campaign sustainability orientation in investors’ decision-making suggests it could further strengthen the positive relationship between family-governed businesses and EC success. Using data collected on 500 EC campaigns from leading Italian platforms, we find support for our hypotheses. This study contributes to the EC literature and family business research and has important implications for family-governed businesses seeking to optimize their EC campaigns.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106470"},"PeriodicalIF":7.4,"publicationDate":"2024-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660392","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-15DOI: 10.1016/j.frl.2024.106448
Qifeng Zou , Yanliang Zhang
This paper meticulously examines the influence of financial technology (fintech) development on stock price crash risk. Utilizing a fixed-effects model, the analysis focuses on a comprehensive sample of China's A-share listed companies spanning the years 2012 to 2020. The findings reveal a significant insight: within China's capital markets, enhancements in regional fintech development act as a potent deterrent against the peril of corporate share price collapses. Notably, fintech exerts its influence on mitigating stock price crash risk by enhancing the degree of corporate information transparency.
本文细致研究了金融科技发展对股价暴跌风险的影响。本文采用固定效应模型，以 2012 年至 2020 年中国 A 股上市公司为综合样本进行分析。研究结果揭示了一个重要观点：在中国的资本市场中，地区金融科技发展的提升对企业股价崩盘的危险起到了有力的威慑作用。值得注意的是，金融科技是通过提高企业信息透明度来降低股价暴跌风险的。
{"title":"The impact of financial technology advancement on stock crash risk: An Analysis of the mediating effect of information transparency","authors":"Qifeng Zou , Yanliang Zhang","doi":"10.1016/j.frl.2024.106448","DOIUrl":"10.1016/j.frl.2024.106448","url":null,"abstract":"<div><div>This paper meticulously examines the influence of financial technology (fintech) development on stock price crash risk. Utilizing a fixed-effects model, the analysis focuses on a comprehensive sample of China's A-share listed companies spanning the years 2012 to 2020. The findings reveal a significant insight: within China's capital markets, enhancements in regional fintech development act as a potent deterrent against the peril of corporate share price collapses. Notably, fintech exerts its influence on mitigating stock price crash risk by enhancing the degree of corporate information transparency.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106448"},"PeriodicalIF":7.4,"publicationDate":"2024-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660468","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-14DOI: 10.1016/j.frl.2024.106472
Huan Chen, Xin Liu, Quoc Phan, Steven Xiaofan Zheng
Consistent with the funding-horizon theory, we find that cash shortfalls are important determinants of external financing in both the US and Japan. Japanese firms seem less likely to raise external financing compared with US firms. However, after we control for cash shortfalls and other factors known to affect external financing decisions, Japanese firms are as likely to issue debt and equity as US firms.
{"title":"Corporate cash shortfalls and external financing: US vs Japan","authors":"Huan Chen, Xin Liu, Quoc Phan, Steven Xiaofan Zheng","doi":"10.1016/j.frl.2024.106472","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106472","url":null,"abstract":"Consistent with the funding-horizon theory, we find that cash shortfalls are important determinants of external financing in both the US and Japan. Japanese firms seem less likely to raise external financing compared with US firms. However, after we control for cash shortfalls and other factors known to affect external financing decisions, Japanese firms are as likely to issue debt and equity as US firms.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"18 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142673158","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The integration of robots and advanced technology in firm-level production processes represents a transformative shift in modern industrial practices. However, there is a lack of cumulative knowledge about the advancement of technology in the production processes affects mitigating the gender gap. Through the lens of financial accessibility, the study investigates how technological advancements influence firms' capacity to secure external financing and get large loans. Using the 2020 WorldBank Enterprises Survey data and a probit model for the analysis, our results suggest that industry robots and a high level of technology in production have the potential to reduce the gender gap in loan approvals. The findings of this have implications for decision-makers and policymakers, seeking to navigate the evolving landscape of technology-driven production and finance to enhance productivity and inclusivity.
{"title":"Access to finance: The role of production level technology","authors":"Nirosha Wellalage , Damien Wallace , Krishna Reddy","doi":"10.1016/j.frl.2024.106460","DOIUrl":"10.1016/j.frl.2024.106460","url":null,"abstract":"<div><div>The integration of robots and advanced technology in firm-level production processes represents a transformative shift in modern industrial practices. However, there is a lack of cumulative knowledge about the advancement of technology in the production processes affects mitigating the gender gap. Through the lens of financial accessibility, the study investigates how technological advancements influence firms' capacity to secure external financing and get large loans. Using the 2020 WorldBank Enterprises Survey data and a probit model for the analysis, our results suggest that industry robots and a high level of technology in production have the potential to reduce the gender gap in loan approvals. The findings of this have implications for decision-makers and policymakers, seeking to navigate the evolving landscape of technology-driven production and finance to enhance productivity and inclusivity.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106460"},"PeriodicalIF":7.4,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660479","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-13DOI: 10.1016/j.frl.2024.106432
Fengming Liu, Yingda Song
Credit asset-backed security (ABS) is a crucial financial instrument that plays a significant role in enhancing financial market efficiency and optimizing the social credit structure. However, pricing and analyzing credit ABS is challenging as its valuation is influenced by complex factors with path-dependency. This study proposes a modeling approach using a dynamic asset pool and derives explicit expressions from continuous-time Markov chain approximation. The method avoids accessing underlying borrowers’ private information and effectively distinguishes between delinquency and default while extending the prepayment intensity form within a general Markov framework. Numerical experiments were conducted to examine the credit matrix of the underlying pool and the impact of prepayment on price, delta, and convexity. This approach demonstrates high flexibility and practicality and provides theoretical and computational support for modeling, pricing analysis, and risk management of credit ABS.
{"title":"Analysis of credit ABS based on Markov chain approaches","authors":"Fengming Liu, Yingda Song","doi":"10.1016/j.frl.2024.106432","DOIUrl":"10.1016/j.frl.2024.106432","url":null,"abstract":"<div><div>Credit asset-backed security (ABS) is a crucial financial instrument that plays a significant role in enhancing financial market efficiency and optimizing the social credit structure. However, pricing and analyzing credit ABS is challenging as its valuation is influenced by complex factors with path-dependency. This study proposes a modeling approach using a dynamic asset pool and derives explicit expressions from continuous-time Markov chain approximation. The method avoids accessing underlying borrowers’ private information and effectively distinguishes between delinquency and default while extending the prepayment intensity form within a general Markov framework. Numerical experiments were conducted to examine the credit matrix of the underlying pool and the impact of prepayment on price, delta, and convexity. This approach demonstrates high flexibility and practicality and provides theoretical and computational support for modeling, pricing analysis, and risk management of credit ABS.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106432"},"PeriodicalIF":7.4,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660483","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-13DOI: 10.1016/j.frl.2024.106453
Marco Bade , Felix Reichenbach
This study examines the impact of the framing of sustainable development goals (SDGs) in crowdfunding campaign descriptions on fundraising success. We compile a dataset of 25,799 Indiegogo campaigns and quantify their relative focus on the 17 United Nation's SDGs. We find that the amount raised and the number of backers increase by 17.3 % and 8.3 %, respectively, if the number of SDG-related sentences in the campaign description increases by one standard deviation. Additionally, focusing more on issues related to climate, energy, sustainable societies, and responsible consumption promotes whereas focusing on ending poverty or innovation, industry, and infrastructure reduces fundraising success.
{"title":"Which sustainable development goals favor crowdfunding success?","authors":"Marco Bade , Felix Reichenbach","doi":"10.1016/j.frl.2024.106453","DOIUrl":"10.1016/j.frl.2024.106453","url":null,"abstract":"<div><div>This study examines the impact of the framing of sustainable development goals (SDGs) in crowdfunding campaign descriptions on fundraising success. We compile a dataset of 25,799 Indiegogo campaigns and quantify their relative focus on the 17 United Nation's SDGs. We find that the amount raised and the number of backers increase by 17.3 % and 8.3 %, respectively, if the number of SDG-related sentences in the campaign description increases by one standard deviation. Additionally, focusing more on issues related to climate, energy, sustainable societies, and responsible consumption promotes whereas focusing on ending poverty or innovation, industry, and infrastructure reduces fundraising success.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106453"},"PeriodicalIF":7.4,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660473","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-13DOI: 10.1016/j.frl.2024.106462
Fangsu Dong , Huaichen Dong , Lei Zhang
This study investigates the impact of accountability on the quality of information disclosure of state-owned enterprises, with a particular focus on the Accountability System for Illegal Business Operations and Investments (ASIBOI) that has been progressively implemented in China. Utilizing A-share listed companies from 2012 to 2022 as the research sample, we used the staggered difference-in-differences approach to explore the relationship and mechanism between ASIBOI and the quality of information disclosure of state-owned enterprises. The results show that ASIBOI improves the quality of information disclosure of state-owned enterprises by improving the internal governance system of enterprises, and this finding still holds after a series of robustness tests.
本研究探讨了问责制对国有企业信息披露质量的影响，尤其关注了在中国逐步实施的《违规经营投资责任追究制度》（ASIBOI）。我们以 2012 年至 2022 年的 A 股上市公司为研究样本，采用交错差分法探讨了 ASIBOI 与国有企业信息披露质量之间的关系和机制。结果表明，ASIBOI 通过完善企业内部治理体系提高了国有企业的信息披露质量，并且这一结论在经过一系列稳健性检验后仍然成立。
{"title":"Accountability and the quality of information disclosure of state-owned enterprises","authors":"Fangsu Dong , Huaichen Dong , Lei Zhang","doi":"10.1016/j.frl.2024.106462","DOIUrl":"10.1016/j.frl.2024.106462","url":null,"abstract":"<div><div>This study investigates the impact of accountability on the quality of information disclosure of state-owned enterprises, with a particular focus on the Accountability System for Illegal Business Operations and Investments (ASIBOI) that has been progressively implemented in China. Utilizing A-share listed companies from 2012 to 2022 as the research sample, we used the staggered difference-in-differences approach to explore the relationship and mechanism between ASIBOI and the quality of information disclosure of state-owned enterprises. The results show that ASIBOI improves the quality of information disclosure of state-owned enterprises by improving the internal governance system of enterprises, and this finding still holds after a series of robustness tests.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106462"},"PeriodicalIF":7.4,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660482","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-13DOI: 10.1016/j.frl.2024.106429
Pablo Tapia-Griñen , Boris Pastén-Henríquez , Jorge Sepúlveda-Velásquez
A large earthquake is a devastating natural disaster affecting life and infrastructure. Copper, vital for combating climate change, sees over 40% production from Chile and Peru. An earthquake near these mines induces uncertainty, boosting copper prices. After analyzing copper returns after large-magnitude earthquakes (2005–2020) in Chile and Peru, event studies revealed positive abnormal returns. These are intensified by media coverage of the earthquake and available stock, which has a short-lived impact on other metals. This outlook will help investors to hedge and cope with such earthquakes.
{"title":"Earthquakes in Chile and Peru: How are they reflected in the copper financial market?","authors":"Pablo Tapia-Griñen , Boris Pastén-Henríquez , Jorge Sepúlveda-Velásquez","doi":"10.1016/j.frl.2024.106429","DOIUrl":"10.1016/j.frl.2024.106429","url":null,"abstract":"<div><div>A large earthquake is a devastating natural disaster affecting life and infrastructure. Copper, vital for combating climate change, sees over 40% production from Chile and Peru. An earthquake near these mines induces uncertainty, boosting copper prices. After analyzing copper returns after large-magnitude earthquakes (2005–2020) in Chile and Peru, event studies revealed positive abnormal returns. These are intensified by media coverage of the earthquake and available stock, which has a short-lived impact on other metals. This outlook will help investors to hedge and cope with such earthquakes.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106429"},"PeriodicalIF":7.4,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660478","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-13DOI: 10.1016/j.frl.2024.106451
Zsolt Darvas, Zoltán Schepp
This paper is the first to use an economic theory-based model—the monetary model of exchange rates within a rational expectations present value framework—to forecast the daily exchange rate of a major currency. Our out-of-sample forecast evaluation period, spanning from 1990 to 2024, is longer than that of any other exchange rate forecasting study. We find that our model's forecasts outperform the random walk across all forecasting horizons, ranging from one day to five years. Moreover, a trading strategy based on our model's forecasts yields economically and statistically significant excess returns, surpassing those of the carry trade strategy.
{"title":"Forecasting the daily exchange rate of the UK pound sterling against the US dollar","authors":"Zsolt Darvas, Zoltán Schepp","doi":"10.1016/j.frl.2024.106451","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106451","url":null,"abstract":"This paper is the first to use an economic theory-based model—the monetary model of exchange rates within a rational expectations present value framework—to forecast the daily exchange rate of a major currency. Our out-of-sample forecast evaluation period, spanning from 1990 to 2024, is longer than that of any other exchange rate forecasting study. We find that our model's forecasts outperform the random walk across all forecasting horizons, ranging from one day to five years. Moreover, a trading strategy based on our model's forecasts yields economically and statistically significant excess returns, surpassing those of the carry trade strategy.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"22 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142673159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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