Pub Date : 2024-11-04DOI: 10.1016/j.frl.2024.106367
Weijuan Liang , Mu Tang , Yuanyuan Wang , Bo Ning , Jianing Chen
This study examines whether and how female local officials benefit female-led firms by focusing on the gender gap in bank credit. Using a sample of Chinese listed companies from 2007 to 2021, we find that female local officials can facilitate access to bank credit for female-led firms, particularly for long-term loans. Mechanism analysis reveals that female officials can reduce the impact of gender bias and provide greater policy support for female-led firms, thereby helping to narrow the gender gap in bank credit.
{"title":"Women helping women? Female local official and gender gap in bank credit","authors":"Weijuan Liang , Mu Tang , Yuanyuan Wang , Bo Ning , Jianing Chen","doi":"10.1016/j.frl.2024.106367","DOIUrl":"10.1016/j.frl.2024.106367","url":null,"abstract":"<div><div>This study examines whether and how female local officials benefit female-led firms by focusing on the gender gap in bank credit. Using a sample of Chinese listed companies from 2007 to 2021, we find that female local officials can facilitate access to bank credit for female-led firms, particularly for long-term loans. Mechanism analysis reveals that female officials can reduce the impact of gender bias and provide greater policy support for female-led firms, thereby helping to narrow the gender gap in bank credit.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106367"},"PeriodicalIF":7.4,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660569","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 : 2024-11-04DOI: 10.1016/j.frl.2024.106390
Yunsheng Ma , Jiaying Wang
Existing studies on the COVID-19 pandemic and vaccine development have primarily focused on national stock markets, with limited attention to international financial markets. This paper constructs a news-based index to measure public sentiment regarding the progress of COVID-19 vaccine development during the first year of the outbreak and examines its impact on international financial markets. We find that positive vaccine development sentiment decreases the CBOE Volatility Index (VIX) while boosting capital inflows and currency appreciation in emerging markets, as vaccine development leads to a greater reduction in public expectations of future risk in these markets. It also lowers the unit price of risk in the context of carry trade risk premiums, as favorable developments reduce expected future economic uncertainty.
{"title":"The effect of COVID-19 vaccine on the international financial markets","authors":"Yunsheng Ma , Jiaying Wang","doi":"10.1016/j.frl.2024.106390","DOIUrl":"10.1016/j.frl.2024.106390","url":null,"abstract":"<div><div>Existing studies on the COVID-19 pandemic and vaccine development have primarily focused on national stock markets, with limited attention to international financial markets. This paper constructs a news-based index to measure public sentiment regarding the progress of COVID-19 vaccine development during the first year of the outbreak and examines its impact on international financial markets. We find that positive vaccine development sentiment decreases the CBOE Volatility Index (VIX) while boosting capital inflows and currency appreciation in emerging markets, as vaccine development leads to a greater reduction in public expectations of future risk in these markets. It also lowers the unit price of risk in the context of carry trade risk premiums, as favorable developments reduce expected future economic uncertainty.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106390"},"PeriodicalIF":7.4,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660652","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 : 2024-11-04DOI: 10.1016/j.frl.2024.106374
Yan-Hong Yang , Ying-Hui Shao , Wei-Xing Zhou
In this paper, we examine the contemporaneous and lagged spillovers among the agricultural, crude oil, carbon emission allowance, and climate change markets. Adopting the decomposed connectedness approach, our empirical analysis reveals several key findings. First, the overall total connectedness index (TCI) dynamics have been mainly dominated by contemporaneous effects. Second, there are heterogeneous spillover effects among agricultural markets. Specially, corn, soybean meal, and wheat are the major risk transmitters to this system, while barley, cocoa, and lean hog are the main risk receivers of shocks. Third, we also find that climate change has significant spillovers to other markets.
{"title":"Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change","authors":"Yan-Hong Yang , Ying-Hui Shao , Wei-Xing Zhou","doi":"10.1016/j.frl.2024.106374","DOIUrl":"10.1016/j.frl.2024.106374","url":null,"abstract":"<div><div>In this paper, we examine the contemporaneous and lagged spillovers among the agricultural, crude oil, carbon emission allowance, and climate change markets. Adopting the <span><math><msup><mrow><mi>R</mi></mrow><mrow><mn>2</mn></mrow></msup></math></span> decomposed connectedness approach, our empirical analysis reveals several key findings. First, the overall total connectedness index (TCI) dynamics have been mainly dominated by contemporaneous effects. Second, there are heterogeneous spillover effects among agricultural markets. Specially, corn, soybean meal, and wheat are the major risk transmitters to this system, while barley, cocoa, and lean hog are the main risk receivers of shocks. Third, we also find that climate change has significant spillovers to other markets.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106374"},"PeriodicalIF":7.4,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660484","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 : 2024-11-03DOI: 10.1016/j.frl.2024.106415
Tanja Artiga Gonzalez, Laura Capera Romero, Egle Karmaziene, Xin Yuan
This paper examines the relationship between environmental performance and the use of sustainability-linked loans (SLLs) by U.S. real estate investment trusts (REITs). We find that a 1 % reduction in past carbon emissions increases the REITs' likelihood of taking an SLL by 29.6 %, while a 1 % slower growth in past emissions reduces the interest spread by 1.6 basis points. Our results reveal that banks reward REITs' previous environmental record through SLLs, whereas non-SLL interest spreads remain unaffected. These findings underscore the importance of explicit sustainability-linked financial instruments in incentivizing decarbonization efforts within the real estate sector.
{"title":"Green gains: The impact of REITs' environmental performance on sustainability-linked loan interest rates","authors":"Tanja Artiga Gonzalez, Laura Capera Romero, Egle Karmaziene, Xin Yuan","doi":"10.1016/j.frl.2024.106415","DOIUrl":"10.1016/j.frl.2024.106415","url":null,"abstract":"<div><div>This paper examines the relationship between environmental performance and the use of sustainability-linked loans (SLLs) by U.S. real estate investment trusts (REITs). We find that a 1 % reduction in past carbon emissions increases the REITs' likelihood of taking an SLL by 29.6 %, while a 1 % slower growth in past emissions reduces the interest spread by 1.6 basis points. Our results reveal that banks reward REITs' previous environmental record through SLLs, whereas non-SLL interest spreads remain unaffected. These findings underscore the importance of explicit sustainability-linked financial instruments in incentivizing decarbonization efforts within the real estate sector.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106415"},"PeriodicalIF":7.4,"publicationDate":"2024-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660568","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 : 2024-11-02DOI: 10.1016/j.frl.2024.106364
Weiwei Guo , Silvia Intini , Hossein Jahanshahloo
We investigate how exchange default risk and liquidity affect Bitcoin cross-exchange arbitrage opportunities. Analysing minute-level data from 16 cryptocurrency exchanges (April 2013–April 2024), we find arbitrage opportunities last longer when higher-risk exchanges have higher prices, as traders are cautious of default risks. There is a strong positive relation between capital flows from high-risk to low-risk exchanges and arbitrage opportunities, showing a preference for safer exchanges. Liquidity accelerates arbitrage by enabling faster execution, but high transaction fees and blockchain congestion slow capital transfers. The paper highlights exchange risk, liquidity, and transaction costs as key factors in Bitcoin market efficiency.
{"title":"Bitcoin arbitrage and exchange default risk","authors":"Weiwei Guo , Silvia Intini , Hossein Jahanshahloo","doi":"10.1016/j.frl.2024.106364","DOIUrl":"10.1016/j.frl.2024.106364","url":null,"abstract":"<div><div>We investigate how exchange default risk and liquidity affect Bitcoin cross-exchange arbitrage opportunities. Analysing minute-level data from 16 cryptocurrency exchanges (April 2013–April 2024), we find arbitrage opportunities last longer when higher-risk exchanges have higher prices, as traders are cautious of default risks. There is a strong positive relation between capital flows from high-risk to low-risk exchanges and arbitrage opportunities, showing a preference for safer exchanges. Liquidity accelerates arbitrage by enabling faster execution, but high transaction fees and blockchain congestion slow capital transfers. The paper highlights exchange risk, liquidity, and transaction costs as key factors in Bitcoin market efficiency.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106364"},"PeriodicalIF":7.4,"publicationDate":"2024-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660654","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 : 2024-10-31DOI: 10.1016/j.frl.2024.106395
Yangsoo Jin
This study investigates the distinct effects of the environmental, social, and governance (ESG) pillars on corporate financial performance (CFP) measured by ROE and ROA. Using a random forest regression on a sample of Korean-listed firms, we address the positive correlations among these pillars and explore the nonlinear relationships between CFP and individual pillars without pre-specified functional forms. The findings indicate that both environmental and governance performances positively affect CFP, with environmental performance having a more substantial impact but diminishing returns at higher levels. Social performance negatively affects CFP. The environmental pillar emerges as the most reliable predictor of CFP.
{"title":"Distinctive impacts of ESG pillars on corporate financial performance: A random forest analysis of Korean listed firms","authors":"Yangsoo Jin","doi":"10.1016/j.frl.2024.106395","DOIUrl":"10.1016/j.frl.2024.106395","url":null,"abstract":"<div><div>This study investigates the distinct effects of the environmental, social, and governance (ESG) pillars on corporate financial performance (CFP) measured by ROE and ROA. Using a random forest regression on a sample of Korean-listed firms, we address the positive correlations among these pillars and explore the nonlinear relationships between CFP and individual pillars without pre-specified functional forms. The findings indicate that both environmental and governance performances positively affect CFP, with environmental performance having a more substantial impact but diminishing returns at higher levels. Social performance negatively affects CFP. The environmental pillar emerges as the most reliable predictor of CFP.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106395"},"PeriodicalIF":7.4,"publicationDate":"2024-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660567","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 : 2024-10-31DOI: 10.1016/j.frl.2024.106394
Wenyang Wu , Shenfeng Tang
This study demonstrates that digitalisation greatly facilitates the growth of credit, but does not result in rapid and unsustainable increase. The mechanism tests demonstrate that the influence of digitalisation on the growth of credit is accomplished by reducing the danger of bad debt after a loan and increasing the desire for risk before the loan. Upon further examination, it is evident that digitalisation has facilitated the growth of credit in the real economy while inhibiting the growth in the virtual economy. This study contributes to the existing literature on the nexus between digitalisation and loan allocation.
{"title":"Bank credit in the digital age: Expansion or excessive expansion?","authors":"Wenyang Wu , Shenfeng Tang","doi":"10.1016/j.frl.2024.106394","DOIUrl":"10.1016/j.frl.2024.106394","url":null,"abstract":"<div><div>This study demonstrates that digitalisation greatly facilitates the growth of credit, but does not result in rapid and unsustainable increase. The mechanism tests demonstrate that the influence of digitalisation on the growth of credit is accomplished by reducing the danger of bad debt after a loan and increasing the desire for risk before the loan. Upon further examination, it is evident that digitalisation has facilitated the growth of credit in the real economy while inhibiting the growth in the virtual economy. This study contributes to the existing literature on the nexus between digitalisation and loan allocation.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106394"},"PeriodicalIF":7.4,"publicationDate":"2024-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142586038","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 : 2024-10-31DOI: 10.1016/j.frl.2024.106344
Juan Chen, Zuoping Xiao
This study apply an asymmetric time-varying test to assess the impact of China's climate policy uncertainty (CCPU) on its business cycle (2000–2022) using currency supply indices (M2, M1, and M0) as economic proxies. Linear Granger tests indicate no causal relationship between CCPU and the currency supply in general. However, the time-varying analysis reveals a significant impact of CCPU on M2 after December 2020. In addition, M2 mainly responds to negative CCPU shocks whereas M1 and M0 respond to both positive and negative shocks. Therefore, policymakers should adopt stabilisation measures to mitigate M2 contraction during CCPU surges while monitoring M1 and M0 for comprehensive currency policy adjustments.
{"title":"Is the business cycle getting hit by climate policy uncertainty in China?","authors":"Juan Chen, Zuoping Xiao","doi":"10.1016/j.frl.2024.106344","DOIUrl":"10.1016/j.frl.2024.106344","url":null,"abstract":"<div><div>This study apply an asymmetric time-varying test to assess the impact of China's climate policy uncertainty (CCPU) on its business cycle (2000–2022) using currency supply indices (M2, M1, and M0) as economic proxies. Linear Granger tests indicate no causal relationship between CCPU and the currency supply in general. However, the time-varying analysis reveals a significant impact of CCPU on M2 after December 2020. In addition, M2 mainly responds to negative CCPU shocks whereas M1 and M0 respond to both positive and negative shocks. Therefore, policymakers should adopt stabilisation measures to mitigate M2 contraction during CCPU surges while monitoring M1 and M0 for comprehensive currency policy adjustments.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106344"},"PeriodicalIF":7.4,"publicationDate":"2024-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660575","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 : 2024-10-30DOI: 10.1016/j.frl.2024.106373
Sunan Ji , Dazhi Zheng , Kaiguo Zhou
Using an enhanced event study approach, we effectively take into account the impact of both the statistical and latent information associated with COVID-19 on financial markets. We also introduce CO2 emission data to investigate the indirect impact of the COVID-19. The results show that the money market, real estate market and bond market are the centers of risk contagion during COVID-19. The real estate and money markets are the most affected by COVID-19. While the real estate market was affected significantly by both statistical and latent information, the money market was mainly affected by latent information.
{"title":"Financial risk contagion across markets in China under the impact of the COVID-19 pandemic","authors":"Sunan Ji , Dazhi Zheng , Kaiguo Zhou","doi":"10.1016/j.frl.2024.106373","DOIUrl":"10.1016/j.frl.2024.106373","url":null,"abstract":"<div><div>Using an enhanced event study approach, we effectively take into account the impact of both the statistical and latent information associated with COVID-19 on financial markets. We also introduce CO<sub>2</sub> emission data to investigate the indirect impact of the COVID-19. The results show that the money market, real estate market and bond market are the centers of risk contagion during COVID-19. The real estate and money markets are the most affected by COVID-19. While the real estate market was affected significantly by both statistical and latent information, the money market was mainly affected by latent information.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106373"},"PeriodicalIF":7.4,"publicationDate":"2024-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660566","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 : 2024-10-30DOI: 10.1016/j.frl.2024.106369
Michele Bertoni , Paolo Candio , Valentino Pediroda
Earnings management practices may be implemented to unduly improve the company's credit score, and in voluntary settings, a company's choice of adopting IFRS can influence the company's credit profile. We conduct an empirical analysis on a representative sample (n = 10,389) of Italian private companies and find that earning management practices improve, whereas a voluntary IFRS adoption worsen a company's creditworthiness profile. We also find that IFRS adoption cancels out the former undue credit profile benefits, further penalising the credit score. Future studies should replicate these analyses for other contexts and using alternative financial measures to improve the generalisability of these findings.
{"title":"Moderating role of voluntary IFRS adoption on earnings management and credit score of private companies","authors":"Michele Bertoni , Paolo Candio , Valentino Pediroda","doi":"10.1016/j.frl.2024.106369","DOIUrl":"10.1016/j.frl.2024.106369","url":null,"abstract":"<div><div>Earnings management practices may be implemented to unduly improve the company's credit score, and in voluntary settings, a company's choice of adopting IFRS can influence the company's credit profile. We conduct an empirical analysis on a representative sample (<em>n</em> = 10,389) of Italian private companies and find that earning management practices improve, whereas a voluntary IFRS adoption worsen a company's creditworthiness profile. We also find that IFRS adoption cancels out the former undue credit profile benefits, further penalising the credit score. Future studies should replicate these analyses for other contexts and using alternative financial measures to improve the generalisability of these findings.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106369"},"PeriodicalIF":7.4,"publicationDate":"2024-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572610","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}
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