Pub Date : 2025-03-08DOI: 10.1016/j.frl.2025.107127
Zhanli Li, Zichao Yang
This paper examines how ESG rating disagreement () affects corporate total factor productivity (TFP) in China based on data of A-share listed companies from 2015 to 2022. We find that reduces TFP, especially in state-owned, non-capital-intensive, low-pollution and high-tech firms, green innovation strengthens the dampening effect of on TFP, and that lowers corporate TFP by increasing financing constraints and weakening human capital. Furthermore, XGBoost regression demonstrates that plays a significant role in predicting TFP, with SHAP showing that the dampening effect of ESG rating disagreement on TFP is still pronounced in firms with large values.
{"title":"ESG rating disagreement and corporate Total Factor Productivity: Inference and prediction","authors":"Zhanli Li, Zichao Yang","doi":"10.1016/j.frl.2025.107127","DOIUrl":"10.1016/j.frl.2025.107127","url":null,"abstract":"<div><div>This paper examines how ESG rating disagreement (<span><math><mrow><mi>D</mi><mi>i</mi><mi>s</mi></mrow></math></span>) affects corporate total factor productivity (TFP) in China based on data of A-share listed companies from 2015 to 2022. We find that <span><math><mrow><mi>D</mi><mi>i</mi><mi>s</mi></mrow></math></span> reduces TFP, especially in state-owned, non-capital-intensive, low-pollution and high-tech firms, green innovation strengthens the dampening effect of <span><math><mrow><mi>D</mi><mi>i</mi><mi>s</mi></mrow></math></span> on TFP, and that <span><math><mrow><mi>D</mi><mi>i</mi><mi>s</mi></mrow></math></span> lowers corporate TFP by increasing financing constraints and weakening human capital. Furthermore, XGBoost regression demonstrates that <span><math><mrow><mi>D</mi><mi>i</mi><mi>s</mi></mrow></math></span> plays a significant role in predicting TFP, with SHAP showing that the dampening effect of ESG rating disagreement on TFP is still pronounced in firms with large <span><math><mrow><mi>D</mi><mi>i</mi><mi>s</mi></mrow></math></span> values.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107127"},"PeriodicalIF":7.4,"publicationDate":"2025-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593855","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 : 2025-03-08DOI: 10.1016/j.frl.2025.107133
Alain Coën , Philippe Guardiola
The aim of this study is to analyze the role played by leverage, introduced as a risk factor, on the dynamics of U.S. REIT sectors returns. Using CRSP/Ziman series and Compustat data bases, we build two leverage risk factors and test their contribution in linear conditional asset pricing models. Our robust results report that leverage risk factors are significantly priced, shedding new light on strategic and tactical securitized real estate investments.
{"title":"Leverage risk and REIT returns","authors":"Alain Coën , Philippe Guardiola","doi":"10.1016/j.frl.2025.107133","DOIUrl":"10.1016/j.frl.2025.107133","url":null,"abstract":"<div><div>The aim of this study is to analyze the role played by leverage, introduced as a risk factor, on the dynamics of U.S. REIT sectors returns. Using CRSP/Ziman series and Compustat data bases, we build two leverage risk factors and test their contribution in linear conditional asset pricing models. Our robust results report that leverage risk factors are significantly priced, shedding new light on strategic and tactical securitized real estate investments.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107133"},"PeriodicalIF":7.4,"publicationDate":"2025-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143611432","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 : 2025-03-08DOI: 10.1016/j.frl.2025.107177
Xiaorui Piao , Bin Mei
This study examines the corporate performance of green and brown asset issuers in China and the driving forces for the asset premium of green bonds, asset-backed securities (ABSs) and real estate investment trusts (REITs). Using quarterly data from 2016 to 2023 under a two-layered model structure, a significant positive impact is found on the corporate profitability of companies issuing green bonds and ABSs compared to brown securities, but insignificant results for green REITs. While green bonds help improve corporate performance, having green bonds and ABSs simultaneously is more conducive. A higher environmental, social, and governance (ESG) rating, an environmentally friendly issuer and an involvement in renewable energy or new energy vehicle businesses all have beneficial effects on the issuer's profitability regardless of the type of assets launched. Moreover, credit enhancement leads to a higher premium especially for corporate assets without a guarantee clause or frequent transactions. In summary, to boost the influence of green assets, companies should improve their ESG rating and green reputation, and the government should advance research and promotion of green financial instruments, improve information disclosure and risk evaluation, and advocate the renewable energy and new energy vehicle sectors.
{"title":"On the corporate performance of issuers of various green assets","authors":"Xiaorui Piao , Bin Mei","doi":"10.1016/j.frl.2025.107177","DOIUrl":"10.1016/j.frl.2025.107177","url":null,"abstract":"<div><div>This study examines the corporate performance of green and brown asset issuers in China and the driving forces for the asset premium of green bonds, asset-backed securities (ABSs) and real estate investment trusts (REITs). Using quarterly data from 2016 to 2023 under a two-layered model structure, a significant positive impact is found on the corporate profitability of companies issuing green bonds and ABSs compared to brown securities, but insignificant results for green REITs. While green bonds help improve corporate performance, having green bonds and ABSs simultaneously is more conducive. A higher environmental, social, and governance (ESG) rating, an environmentally friendly issuer and an involvement in renewable energy or new energy vehicle businesses all have beneficial effects on the issuer's profitability regardless of the type of assets launched. Moreover, credit enhancement leads to a higher premium especially for corporate assets without a guarantee clause or frequent transactions. In summary, to boost the influence of green assets, companies should improve their ESG rating and green reputation, and the government should advance research and promotion of green financial instruments, improve information disclosure and risk evaluation, and advocate the renewable energy and new energy vehicle sectors.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107177"},"PeriodicalIF":7.4,"publicationDate":"2025-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143611440","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}
This study combines the conditional autoregressive value at risk (CAViaR) model and the frequency time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach to investigate the downside risk transmission between green cryptocurrencies and carbon-efficient equity markets. The research spans from February 6, 2018 to January 10, 2024, and underscores significant risk transmission within groups of the same category. Meanwhile, weak connections are observed between green cryptocurrencies and carbon-efficient equity markets, particularly in the long term, providing opportunities for diversification. Furthermore, tail risk transmission between these markets intensifies during market downturns and shocks, particularly in the short term, diminishing the effectiveness of hedging against risk spillovers. The portfolio analysis between pairs of green cryptocurrencies and carbon-efficient equities provides valuable insights for crypto managers and investors.
{"title":"Downside risk transmission between green cryptocurrencies and carbon efficient equities: Evidence from a frequency connectedness approach","authors":"Saad Alshammari , Marouene Mbarek , Fatma Mrad , Badreddine Msolli","doi":"10.1016/j.frl.2025.107149","DOIUrl":"10.1016/j.frl.2025.107149","url":null,"abstract":"<div><div>This study combines the conditional autoregressive value at risk (CAViaR) model and the frequency time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach to investigate the downside risk transmission between green cryptocurrencies and carbon-efficient equity markets. The research spans from February 6, 2018 to January 10, 2024, and underscores significant risk transmission within groups of the same category. Meanwhile, weak connections are observed between green cryptocurrencies and carbon-efficient equity markets, particularly in the long term, providing opportunities for diversification. Furthermore, tail risk transmission between these markets intensifies during market downturns and shocks, particularly in the short term, diminishing the effectiveness of hedging against risk spillovers. The portfolio analysis between pairs of green cryptocurrencies and carbon-efficient equities provides valuable insights for crypto managers and investors.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107149"},"PeriodicalIF":7.4,"publicationDate":"2025-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143628485","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 : 2025-03-08DOI: 10.1016/j.frl.2025.107154
Jivendra K. Kale
We use the equilibrium between equity-index spot and options markets, investor preferences modeled with Power-Log utility functions, and utility indifference pricing to estimate the market's implied loss aversion, and test prospect theory's and cumulative prospect theory's decreasing marginal sensitivity to losses postulate at the aggregate market level. We find that the equilibrium downside power in the Power-Log utility function is consistently and significantly negative, implying increasing marginal sensitivity and a concave utility function for losses. That contradicts prospect theory's and cumulative prospect theory's S-shaped value function at the aggregate market level.
{"title":"The market's implied loss aversion under power-log utility investor preferences","authors":"Jivendra K. Kale","doi":"10.1016/j.frl.2025.107154","DOIUrl":"https://doi.org/10.1016/j.frl.2025.107154","url":null,"abstract":"We use the equilibrium between equity-index spot and options markets, investor preferences modeled with Power-Log utility functions, and utility indifference pricing to estimate the market's implied loss aversion, and test prospect theory's and cumulative prospect theory's decreasing marginal sensitivity to losses postulate at the aggregate market level. We find that the equilibrium downside power in the Power-Log utility function is consistently and significantly negative, implying increasing marginal sensitivity and a concave utility function for losses. That contradicts prospect theory's and cumulative prospect theory's S-shaped value function at the aggregate market level.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"58 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143666327","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 : 2025-03-07DOI: 10.1016/j.frl.2025.107116
Robinson Kruse-Becher
Econometric tests for bubbles suffer from mis-specified and mis-measured fundamentals. However, such tests can be carried out without using any unobservable fundamental, but relying on financial market expectations instead. We revisit the case of oil price bubbles and investigate the role of expectations. While we still find no evidence for speculative bubbles when using rotated expectations, striking differences arise regarding implied risk premia. Using raw market expectations leads to explosive risk premia which are implausible, both theoretically and empirically, while the opposite is found for rotated market expectations.
{"title":"Let’s switch again! Testing for speculative oil price bubbles based on rotated market expectations","authors":"Robinson Kruse-Becher","doi":"10.1016/j.frl.2025.107116","DOIUrl":"10.1016/j.frl.2025.107116","url":null,"abstract":"<div><div>Econometric tests for bubbles suffer from mis-specified and mis-measured fundamentals. However, such tests can be carried out without using any unobservable fundamental, but relying on financial market expectations instead. We revisit the case of oil price bubbles and investigate the role of expectations. While we still find no evidence for speculative bubbles when using rotated expectations, striking differences arise regarding implied risk premia. Using raw market expectations leads to explosive risk premia which are implausible, both theoretically and empirically, while the opposite is found for rotated market expectations.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107116"},"PeriodicalIF":7.4,"publicationDate":"2025-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143579369","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 : 2025-03-07DOI: 10.1016/j.frl.2025.107114
Eunmi Ko , Alphaeus Dmonte , Marcos Zampieri
We compare the performance of financial sentiment analysis on Fed chair speeches between a domain-specific model (finBERT) and a general-purpose model (flan-T5) with few-shot learning. Specifically, we implement an out-of-sample yield forecast of an affine term structure model using two different sets of sentiment factor values for Fed chair speeches and compare the root mean squared error (RMSE) and the mean absolute deviation (MAD) of the yield forecasts between two sentiment analysis models. The performance of the general-purpose model with few-shot learning seems comparable to the domain-specific model. Considering the computational costs of pre-training and fine-tuning a domain-specific model, it seems cost-efficient to use general-purpose models with few-shot learning for the sentiment analysis of the Fed chair speeches.
{"title":"Comparison of an affine term structure model with Fed chair speeches in large language models","authors":"Eunmi Ko , Alphaeus Dmonte , Marcos Zampieri","doi":"10.1016/j.frl.2025.107114","DOIUrl":"10.1016/j.frl.2025.107114","url":null,"abstract":"<div><div>We compare the performance of financial sentiment analysis on Fed chair speeches between a domain-specific model (finBERT) and a general-purpose model (flan-T5) with few-shot learning. Specifically, we implement an out-of-sample yield forecast of an affine term structure model using two different sets of sentiment factor values for Fed chair speeches and compare the root mean squared error (RMSE) and the mean absolute deviation (MAD) of the yield forecasts between two sentiment analysis models. The performance of the general-purpose model with few-shot learning seems comparable to the domain-specific model. Considering the computational costs of pre-training and fine-tuning a domain-specific model, it seems cost-efficient to use general-purpose models with few-shot learning for the sentiment analysis of the Fed chair speeches.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107114"},"PeriodicalIF":7.4,"publicationDate":"2025-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143620036","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 : 2025-03-07DOI: 10.1016/j.frl.2025.107173
Volkan Sezgin (Lecturer) , Ömer Tuğsal Doruk (Associate Professor) , Ahmet Yasir Barak , Hasan Murat Ertuğrul (Professor)
In this empirical study, the relationship between idiosyncratic volatility and international sales of a sample of non-financial firms traded in the S&P 500, over 40 years is investigated by means of regression analysis and local projections method in a dynamic framework based on panel fixed effects. The results show that idiosyncratic volatility discourages international sales significantly. Moreover, according to the results of the local projections method, idiosyncratic volatility gradually reduces international sales and has a long-term effect. The results are robust to various robustness checks.
{"title":"Idiosyncratic risk and international trade: New evidence","authors":"Volkan Sezgin (Lecturer) , Ömer Tuğsal Doruk (Associate Professor) , Ahmet Yasir Barak , Hasan Murat Ertuğrul (Professor)","doi":"10.1016/j.frl.2025.107173","DOIUrl":"10.1016/j.frl.2025.107173","url":null,"abstract":"<div><div>In this empirical study, the relationship between idiosyncratic volatility and international sales of a sample of non-financial firms traded in the S&P 500, over 40 years is investigated by means of regression analysis and local projections method in a dynamic framework based on panel fixed effects. The results show that idiosyncratic volatility discourages international sales significantly. Moreover, according to the results of the local projections method, idiosyncratic volatility gradually reduces international sales and has a long-term effect. The results are robust to various robustness checks.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107173"},"PeriodicalIF":7.4,"publicationDate":"2025-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143579370","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 : 2025-03-06DOI: 10.1016/j.frl.2025.107163
Xin Liu , Hua Nie , Ruofei Wang
This study investigates how consumer risk preferences affect financial credit participation in China, focusing on moderating roles of family size and regional differences. The data analysis of 19,248 households using generalized linear models shows that higher risk aversion significantly reduces the likelihood of obtaining financial credit. Family size exacerbates this effect, as larger households strengthen the negative link between risk preference and credit participation. Regional variations indicate that the impact of family size is strongest in Central China, where the economy is transitioning, weaker in economically advanced East China, and negligible in less developed West China.
{"title":"Consumer risk preference and financial credit: Moderating role of family factors in China","authors":"Xin Liu , Hua Nie , Ruofei Wang","doi":"10.1016/j.frl.2025.107163","DOIUrl":"10.1016/j.frl.2025.107163","url":null,"abstract":"<div><div>This study investigates how consumer risk preferences affect financial credit participation in China, focusing on moderating roles of family size and regional differences. The data analysis of 19,248 households using generalized linear models shows that higher risk aversion significantly reduces the likelihood of obtaining financial credit. Family size exacerbates this effect, as larger households strengthen the negative link between risk preference and credit participation. Regional variations indicate that the impact of family size is strongest in Central China, where the economy is transitioning, weaker in economically advanced East China, and negligible in less developed West China.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 ","pages":"Article 107163"},"PeriodicalIF":7.4,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143593858","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 : 2025-03-06DOI: 10.1016/j.frl.2025.107109
Ji Ge , Hairong Tang , Yuzhe Dong , Zongshang Yang , Chen Chen
This study employs a dataset encompassing 145 small- and medium-sized commercial banks (SMCBs) from 2012 to 2022 to explore how digital finance impacts their risk-assuming conduct. Results indicate that advancing digital finance significantly reduces banks’ risk-taking activities. Furthermore, a disparity exists in the impact of digital financial development on risk-taking levels between urban and rural commercial banks. Furthermore, management costs act as an intermediary factor in the relationship between digital financial development and the risk-taking levels of SMCBs.
{"title":"Digital financial effect on risk-taking of small- and medium-sized commercial banks: Mediation through management costs","authors":"Ji Ge , Hairong Tang , Yuzhe Dong , Zongshang Yang , Chen Chen","doi":"10.1016/j.frl.2025.107109","DOIUrl":"10.1016/j.frl.2025.107109","url":null,"abstract":"<div><div>This study employs a dataset encompassing 145 small- and medium-sized commercial banks (SMCBs) from 2012 to 2022 to explore how digital finance impacts their risk-assuming conduct. Results indicate that advancing digital finance significantly reduces banks’ risk-taking activities. Furthermore, a disparity exists in the impact of digital financial development on risk-taking levels between urban and rural commercial banks. Furthermore, management costs act as an intermediary factor in the relationship between digital financial development and the risk-taking levels of SMCBs.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"77 ","pages":"Article 107109"},"PeriodicalIF":7.4,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143562433","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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