Finance Research Letters最新文献

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The impact of corporate R&D on the transformation of intellectual property into intangible assets 企业研发对知识产权转化为无形资产的影响

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106337

This study explores how corporate R&D impacts the conversion of intellectual property into intangible assets. Analyzing data from 2009 to 2022 across 6,487 observations from Chinese A-share listed companies, regression models examine R&D's influence, with moderating variables considered. Results consistently show a significant positive correlation between R&D investment and innovation propensity (p < 0.001). The overhead rate positively moderates this relationship, while ownership balance and employee density negatively moderate it. These findings highlight the crucial role of R&D in fostering innovation and emphasize the impact of strategic resource allocation and organizational structures on innovative outcomes.

本研究探讨了企业研发如何影响知识产权向无形资产的转化。通过分析 2009 年至 2022 年中国 A 股上市公司 6487 个观测值的数据，并考虑调节变量，建立回归模型来研究研发的影响。结果显示，研发投资与创新倾向之间存在显著的正相关性（p <0.001）。管理费率对这一关系起到正向调节作用，而所有权平衡和员工密度则对其起到负向调节作用。这些研究结果突出了研发在促进创新方面的关键作用，并强调了战略资源分配和组织结构对创新成果的影响。

引用次数: 0

Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach 商品 ETF 的风险溢出效应和最优对冲：TVP-VAR 方法

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106372

Despite the growing popularity of commodity exchange traded funds (ETFs), research on their risk transmission dynamics is lacking. The study employs a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model to analyze volatility transmission among commodity ETFs during significant events like the COVID-19 pandemic and geopolitical conflicts. It aims to minimize interconnectedness among ETFs to reduce associated risk using the Mean Co-skewness optimal portfolio (MCoP) technique. The findings emphasize the importance of adaptability in portfolio management and provide actionable information for investors seeking to optimize allocation and manage risk exposure effectively in dynamic market environments.

尽管商品交易所交易基金（ETF）越来越受欢迎，但对其风险传递动态的研究却很缺乏。本研究采用时变参数向量自回归（TVP-VAR）模型，分析在 COVID-19 大流行病和地缘政治冲突等重大事件期间商品 ETF 之间的波动传递。其目的是利用均值同斜最优投资组合（MCoP）技术最大限度地减少 ETF 之间的相互关联性，从而降低相关风险。研究结果强调了投资组合管理中适应性的重要性，并为投资者在动态市场环境中寻求优化配置和有效管理风险敞口提供了可操作的信息。

引用次数: 0

The impact of CEO reputation on ESG performance in varying managerial discretion contexts 不同管理自由裁量权背景下首席执行官声誉对环境、社会和治理绩效的影响

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106368

Despite considerable attention being devoted to the antecedents of ESG, existing research has overlooked the pivotal role of CEO reputation in determining a firm's ESG performance. We propose that ESG performance is influenced by reputable CEOs’ impression management motive to maintain their status as celebrity. Utilizing a longitudinal data set of A-share listed firms from 2014 to 2020, we find that firms led by highly reputable CEOs demonstrate superior ESG performance compared to those led by less reputable counterparts, particularly in contexts featured by uncertainty and munificence. Heterogeneity analyses reveal that CEOs with political connections and those in state-owned enterprises (SOEs) are likely to place a higher value on their reputation. Our findings provide valuable insights for firms aiming to enhance ESG performance.

尽管人们对环境、社会和公司治理的先决条件给予了极大关注，但现有研究却忽视了首席执行官的声誉在决定公司环境、社会和公司治理绩效方面的关键作用。我们提出，ESG 表现受声誉卓著的首席执行官为保持其名人地位而进行的印象管理动机的影响。利用 2014 年至 2020 年 A 股上市公司的纵向数据集，我们发现，与声誉较低的首席执行官领导的公司相比，声誉较高的首席执行官领导的公司在环境、社会和公司治理方面表现更优，尤其是在不确定性和慷慨的背景下。异质性分析表明，有政治关系的首席执行官和国有企业的首席执行官可能更看重自己的声誉。我们的研究结果为旨在提高环境、社会和公司治理绩效的公司提供了宝贵的见解。

引用次数: 0

Does the impact of credit rating downgrade on bond returns vary by region: Empirical evidence from China 信用评级下调对债券收益的影响是否因地区而异？中国的经验证据

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106365

Utilizing trading data from corporate and enterprise bonds that experienced credit rating downgrades between 2012 and 2022, this study employs event study methodology and regression analysis to examine the regional differences in the impact of credit rating downgrades on bond pricing and the mechanisms behind these effects. The study found that, during the window period when the bond credit rating is downgraded, there is a significant difference in the cumulative abnormal return of bonds between the eastern and non-eastern regions. Heterogeneity analysis indicates that bonds with higher credit ratings and those issued by non-state-owned enterprises are more significantly affected by credit rating downgrades. This study provides empirical evidence of regional disparities in the impact of credit rating downgrades, and proposes a theoretical mechanism whereby differences in the degree of marketization influence these effects through varying expectations of government implicit guarantees. The findings offer a theoretical foundation for optimizing decision-making by participants in the Chinese bond market.

本研究利用 2012 年至 2022 年间发生信用评级下调的公司债券和企业债券的交易数据，采用事件研究法和回归分析法，考察了信用评级下调对债券定价影响的地区差异及其背后的作用机制。研究发现，在债券信用评级下调的窗口期，东部地区和非东部地区的债券累计异常收益率存在显著差异。异质性分析表明，信用评级较高的债券和非国有企业发行的债券受信用评级下调的影响更为显著。本研究提供了信用评级下调影响的地区差异的经验证据，并提出了市场化程度差异通过对政府隐性担保的不同预期影响这些影响的理论机制。研究结果为中国债券市场参与者优化决策提供了理论基础。

引用次数: 0

Who really cares? Climate change exposure and auditor conservatism: Evidence from China 谁真正关心？气候变化风险与审计保守主义：来自中国的证据

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106332

This study examines the association between climate change exposure and auditor conservatism, indicating that firms with high climate change exposure demonstrate a higher level of auditor conservatism. The mechanism analysis reveals that climate change exposure reinforces auditor conservatism partly through the combined effects of earnings management and investor sentiment. Multiple robustness checks confirm the validity of main results. Given the growing interest in climate change and its associated risks in both practice and research, as well as the expected increasing significance of these risks, our findings are timely to a broad audience, including investors, regulators, auditors, managers, and scholars.

本研究探讨了气候变化风险与审计师保守主义之间的关联，结果表明，气候变化风险高的公司表现出更高水平的审计师保守主义。机理分析表明，气候变化风险在一定程度上通过收益管理和投资者情绪的共同作用加强了审计师的保守主义。多重稳健性检验证实了主要结果的有效性。鉴于实践和研究领域对气候变化及其相关风险的兴趣与日俱增，以及这些风险的预期重要性不断增加，我们的研究结果对于包括投资者、监管者、审计师、管理者和学者在内的广大受众来说非常及时。

引用次数: 0

Debt maturity and the marginal value of cash holdings 债务期限和现金持有量的边际价值

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106352

This study investigates the impact of debt maturity on the marginal value of cash holdings. It posits that short-term debt acts as a crucial governance mechanism by reducing agency conflicts and aligning managerial actions with shareholder interests. Using a sample of U.S. public firms, the results indicate that firms with higher proportions of short-term debt have a greater marginal value of cash, reflecting more efficient resource allocation and reduced managerial opportunism. The necessity for frequent capital market interactions associated with short-term debt mitigates agency conflicts. Additionally, the study explores three potential mechanisms: financial constraints, managerial moral hazard, and information asymmetry.

本研究探讨了债务期限对现金持有边际价值的影响。研究认为，短期债务是一种重要的治理机制，它可以减少代理冲突，使管理者的行为与股东利益保持一致。以美国上市公司为样本，研究结果表明，短期债务比例较高的公司现金边际值更高，这反映了资源配置效率更高，管理者机会主义减少。与短期债务相关的资本市场频繁互动的必要性缓解了代理冲突。此外，研究还探讨了三种潜在机制：财务约束、管理道德风险和信息不对称。

引用次数: 0

Hedging downside risk in agricultural commodities: A novel nonparametric kernel method 对冲农产品下跌风险：一种新颖的非参数核方法

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106340

Using a nonparametric kernel method, this paper develops a weighted conditional value-at-risk hedge model to hedge downside risks in agricultural commodities. The model exhibits convexity, ensuring the acquisition of its global optimal solution. Simulations show that the nonparametric kernel method enhances the accuracy of the weighted conditional value-at-risk and hedge ratio determination, outperforming traditional estimation methods. Using major agricultural commodities, empirical evidence shows the superiority of the proposed model in reducing downside risks, compared to the minimum variance, minimum value-at-risk, and minimum conditional value-at-risk hedge models.

本文利用非参数核方法，建立了一个加权条件风险价值对冲模型，以对冲农产品的下跌风险。该模型具有凸性，可确保获得全局最优解。模拟表明，非参数核方法提高了加权条件风险价值和对冲比率确定的准确性，优于传统的估计方法。利用主要农产品的经验证据表明，与最小方差、最小风险价值和最小条件风险价值对冲模型相比，所提出的模型在降低下行风险方面更具优势。

引用次数: 0

Social proximity to capital and mortgage lending 社会接近资本和抵押贷款

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-26 DOI: 10.1016/j.frl.2024.106333

This study investigates the impact of social proximity to capital on the U.S. mortgage markets. The results show that mortgage loans in counties with stronger social connectedness to capital are associated with significantly larger loan amounts and lower interest rates. The endogeneity concern is mitigated by employing a propensity score matched sample. Channel analysis reveals that the potential mechanisms operate through borrowers’ higher income and improved credit conditions. The cross-sectional analyses indicate that first-time homebuyers in counties with closer social proximity to capital secure larger loans and lower rates, whereas minorities in these areas face adverse outcomes.

本研究调查了与资本的社会接近性对美国抵押贷款市场的影响。结果表明，在与资本的社会联系更紧密的县，抵押贷款与更大的贷款额度和更低的利率相关。采用倾向得分匹配样本减轻了内生性问题。渠道分析表明，潜在的机制是通过借款人的高收入和信贷条件的改善来运作的。横截面分析表明，在社会距离资本较近的县，首次购房者可以获得较大的贷款额度和较低的利率，而这些地区的少数民族则面临不利的结果。

引用次数: 0

Exploring digital green convergence for firm competitiveness 探索数字绿色融合，提高企业竞争力

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-26 DOI: 10.1016/j.frl.2024.106363

Promoting digital green convergence is critical toward high-quality development. Sampling with 17,814 digital green patents of listed firms in China from 2009 to 2021, we find that digital green convergence significantly improves firm competitiveness. The dependability and relevance of our findings are further confirmed by several robustness tests. Our mechanism analysis shows that digital green convergence enhances firm competitiveness by reducing agency costs and increasing Environmental, Social, and Governance (ESG) performance. This paper provides theoretical and practical implications for uncovering the value of digital green convergence to improve firm competitiveness.

推动数字绿色融合是实现高质量发展的关键。通过对 2009 年至 2021 年中国上市公司的 17814 项数字绿色专利进行抽样调查，我们发现数字绿色融合能显著提高企业竞争力。多个稳健性检验进一步证实了我们研究结果的可靠性和相关性。我们的机理分析表明，数字绿色融合通过降低代理成本和提高环境、社会和治理（ESG）绩效来增强企业竞争力。本文为揭示数字绿色融合对提高企业竞争力的价值提供了理论和实践意义。

引用次数: 0

Supply chain network centrality and corporate greenwashing behavior 供应链网络中心性与企业 "洗绿 "行为

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-25 DOI: 10.1016/j.frl.2024.106357

This paper examines the impact of supply chain network centrality on corporate greenwashing behavior. Using data from Chinese listed companies, we find that supply chain network centrality suppresses corporate greenwashing behavior, and the impact mechanism is that supply chain network centrality alleviates corporate financing constraints and inhibits managerial myopia. We also find that relationship between supply chain network centrality and corporate greenwashing behavior is more significant among corporations in heavily polluting industries, weaker industry competition, and higher transaction costs. This paper extends the governance factors of corporate greenwashing behavior to the level of supply chain network relationships.

本文研究了供应链网络中心性对企业绿色清洗行为的影响。利用中国上市公司的数据，我们发现供应链网络中心性抑制了企业的 "洗绿 "行为，其影响机制是供应链网络中心性缓解了企业融资约束，抑制了管理近视。我们还发现，在污染严重、行业竞争较弱、交易成本较高的行业中，供应链网络中心性与企业绿色清洗行为之间的关系更为显著。本文将企业 "洗绿 "行为的治理因素扩展到供应链网络关系层面。

引用次数: 0

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