Finance Research Letters最新文献

We investigate the return spillover between firms with environmental, social and governance (ESG) and non-ESG disclosure. Using a sample of Chinese firms from 2010 to 2022, we find that the ESG portfolio return has a stronger spillover effect on the non-ESG portfolio return. Moreover, the spillover effect between the two portfolios has decreased significantly in recent years, indicating that investors recognise ESG's unique advantage. Important global events, such as stock market crashes, the Sino–US trade wars and epidemics, increase ESG spillover into non-ESG portfolios.

This study employs the SV-TVP-SVAR model to investigate the dynamic interactions between northbound capital and stock market performance in China, highlighting the time-varying statistical relationships. The findings reveal that the influence of market returns on northbound capital is predominantly short-term, exhibiting negative feedback, which helps stabilize the market during periods of extreme volatility. However, during market reversals, northbound capital shows positive feedback, correlating with improving stock returns. Regarding predictability, while northbound capital provides some predictive power for stock returns, this influence diminishes quickly. The study further notes that retail investors tend to imitate the high-frequency trading patterns of northbound capital.

Corporate social responsibility and trade credit financing are increasingly emphasized by investors and management. Using data from Chinese A-share private listed companies from 2010 to 2021, this paper finds that CSR practices significantly enhance trade credit financing capacity, with this effect being more pronounced in enterprises located in regions with favorable commercial credit environments and samples of firms with high-quality disclosure. Furthermore, we identify three potential mechanisms: improving internal control quality, reducing operational risk, and enhancing supplier relationship stability. The findings underscore the important role of CSR in improving corporate financing ability and provide valuable insights for management practices.

Using the listed company datasets from 2010 – 2022, this paper explores how environment, society, and governance (ESG) performance affects enterprises’ investment expansion. By employing a series of forefront empirical methods, our study finds that enterprises with better ESG performance have higher propensity of investment expansion. The conclusion shows robustness when considering the endogeneity problem and in robustness tests. Additionally, we explore the dynamics of ESG's effects on investment expansion and the impacts from different pillars. Finally, we discuss the mechanism from the perspective of financing sources. This study provides insights for promoting the structural transformation of China's economy.

We introduce a measure to quantify shared information within household financial portfolios under extreme events. We employ mutual information and copula entropy to capture tail dependencies among investment assets. We then study the impact of socio-economic factors on proactive financial behaviors using data from the 2022 Survey of Consumer Finances and highlight the necessity for tail-informed diversification strategies. Our findings underscore the importance of accounting for nonlinear dependencies to safeguard against unanticipated risks in extreme market scenarios.

Using data from Chinese A-share listed companies from 2012 to 2022, this study examines the influence of supply chain voice on firms’ investment preferences. Results reveal a notable increase in this influence, demonstrating how improving communication throughout the supply chain can encourage companies to participate actively in financial investments. Although increasing the supply chain's influence can boost actual investment levels, it cannot stop the process of corporate financialization, as demonstrated by the mechanism test results. Furthermore, the favorable impacts of the supply chain voice on companies’ investment preferences are attained through the cash flow mechanism.

This study uses data from Chinese manufacturing enterprises from 2013 to 2021, employing a panel fixed effects model to examine the relationship between digital technology application (DTA) and enterprises’ green innovation (GT), and how differing platforms influence and shape this relationship. The study focuses on enterprise technology innovation platforms (TIP), industry–university–research collaboration platforms (IURCP) and regional big data trading platforms (BDTP). The findings reveal that TIP and IURCP strengthen the relationship between DTA and GT, while the impact of BDTP is minimal. Under the influence of TIPs and IURCPs, DTA will promote GT by improving resource allocation efficiency and collaborative green innovation.

This paper explores the effect of digital transformation on firm technical efficiency. The results show that digital transformation significantly promotes firm technical efficiency by enhancing firm technological progress, improving firm capital allocation efficiency, and optimizing firm human capital structure. In addition, the efficiency improvement effect of firm digital transformation is particularly pronounced in regions with advanced levels of digital economy or digital finance development. Consequently, this study extends the research on the economic effects of firm digital transformation and provides policy insights for governmental promotion of firm digital transformation initiatives.

This paper examines which VIX maturity to use in affine GARCH model estimation, when the objective is to do option pricing. Utilizing the Model Confidence Set approach repeatedly, we rank the best VIXs across different dynamic models. Our results highlight the importance of estimating with VIXs and show that with the appropriate VIX a reduction of up to 38% in option pricing errors can be obtained. Our results also show that the 1-year VIX is the worst to use, that the 1-month VIX is an overall favourite, and that the choice of VIX maturity matters mostly for more flexible models.

This paper selects data from A-share listed companies in Shanghai and Shenzhen from 2010 to 2022 for empirical analysis. The empirical findings show that pay stickiness has a significant negative impact on the innovation ability of enterprises. There is a difference in the impact of pay stickiness on the innovation ability of state-owned enterprises and non-state-owned enterprises; the independence of the board of directors can inhibit the negative effect of the stickiness of the executives' pay on the innovation ability of the enterprise. The research results of this paper provide valuable insights for enterprises in formulating compensation strategies.