Pub Date : 2024-12-10DOI: 10.1016/j.frl.2024.106628
Qi Liu
The diversity of ETF products and their trading adaptability provide an effective means to optimize investment portfolios and enhance capital allocation efficiency, thereby better promoting corporate investment efficiency. This paper conducts an empirical analysis based on data from listed companies between 2008 and 2022, leading to the following conclusions: ETFs have a positive effect on improving corporate investment efficiency. They help alleviate financing constraints, which in turn boosts investment efficiency. The impact of ETFs is stronger on companies in the eastern regions, and the effect is greater on non-state-owned enterprises than on state-owned ones. Moreover, when equity incentive policies are well-implemented, the positive influence of ETFs on investment efficiency is further amplified.
{"title":"ETFs, financing constraints and corporate investment efficiency: An analysis of the regulatory effect based on equity incentive policies","authors":"Qi Liu","doi":"10.1016/j.frl.2024.106628","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106628","url":null,"abstract":"The diversity of ETF products and their trading adaptability provide an effective means to optimize investment portfolios and enhance capital allocation efficiency, thereby better promoting corporate investment efficiency. This paper conducts an empirical analysis based on data from listed companies between 2008 and 2022, leading to the following conclusions: ETFs have a positive effect on improving corporate investment efficiency. They help alleviate financing constraints, which in turn boosts investment efficiency. The impact of ETFs is stronger on companies in the eastern regions, and the effect is greater on non-state-owned enterprises than on state-owned ones. Moreover, when equity incentive policies are well-implemented, the positive influence of ETFs on investment efficiency is further amplified.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142884066","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 : 2024-12-10DOI: 10.1016/j.frl.2024.106627
Dandan Ma, Qiang Ji, Dayong Zhang, Wanli Zhao
This paper investigates the spillover effects among global climate policy uncertainty (GCPU), global biodiversity attention (GBA) and the stock markets of the G7 and BRICS nations. In the static network, GBA's spillover effects towards stock markets are mild, with the US market experiencing the highest net spillover, while GCPU shows a large and widespread effect on various stock markets. In the dynamic network, the results show the spillovers from GBA towards the US stock market and from GCPU towards various stock markets both increasing during international conferences related to climate change and biodiversity.
{"title":"Spillover among biodiversity attention, climate policy uncertainty and global stock markets","authors":"Dandan Ma, Qiang Ji, Dayong Zhang, Wanli Zhao","doi":"10.1016/j.frl.2024.106627","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106627","url":null,"abstract":"This paper investigates the spillover effects among global climate policy uncertainty (GCPU), global biodiversity attention (GBA) and the stock markets of the G7 and BRICS nations. In the static network, GBA's spillover effects towards stock markets are mild, with the US market experiencing the highest net spillover, while GCPU shows a large and widespread effect on various stock markets. In the dynamic network, the results show the spillovers from GBA towards the US stock market and from GCPU towards various stock markets both increasing during international conferences related to climate change and biodiversity.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"60 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841988","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 : 2024-12-10DOI: 10.1016/j.frl.2024.106521
Ana Yun, Geonwoo Kim
In this paper, we study the valuation of options with hybrid default risk when the underlying assets are driven by a two-factor stochastic volatility model. The hybrid default model is developed by integrating the reduced-form and structural models, and the correlation between the underlying asset and default risk is considered. In the proposed framework, we adopt the probabilistic approach based on the measure-change technique to obtain an explicit pricing formula for the option. Finally, we present several numerical examples including discussions.
{"title":"Valuing options with hybrid default risk under the stochastic volatility model","authors":"Ana Yun, Geonwoo Kim","doi":"10.1016/j.frl.2024.106521","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106521","url":null,"abstract":"In this paper, we study the valuation of options with hybrid default risk when the underlying assets are driven by a two-factor stochastic volatility model. The hybrid default model is developed by integrating the reduced-form and structural models, and the correlation between the underlying asset and default risk is considered. In the proposed framework, we adopt the probabilistic approach based on the measure-change technique to obtain an explicit pricing formula for the option. Finally, we present several numerical examples including discussions.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"86 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841952","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 : 2024-12-10DOI: 10.1016/j.frl.2024.106638
Zhiling Cao, Meng Chen, Lili Zhao, Guozheng Yang
Our study examines the impact of corporate site visits on the speed of leverage adjustment. We demonstrate that the visits significantly accelerate leverage adjustment, especially in firms with high analyst forecast dispersion and severe financial constraints. Additionally, corporate site visits act as a catalyst, aiding firms in moving toward their target leverage by reducing information asymmetry and easing financial constraints. However, excessive leverage can hinder the speed of adjustment, even when site visits are involved. These findings provide valuable insights for policymakers to formulate effective policy, enhancing the understanding of corporate financial positions and leverage dynamics.
{"title":"Corporate site visits and the speed of leverage adjustment","authors":"Zhiling Cao, Meng Chen, Lili Zhao, Guozheng Yang","doi":"10.1016/j.frl.2024.106638","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106638","url":null,"abstract":"Our study examines the impact of corporate site visits on the speed of leverage adjustment. We demonstrate that the visits significantly accelerate leverage adjustment, especially in firms with high analyst forecast dispersion and severe financial constraints. Additionally, corporate site visits act as a catalyst, aiding firms in moving toward their target leverage by reducing information asymmetry and easing financial constraints. However, excessive leverage can hinder the speed of adjustment, even when site visits are involved. These findings provide valuable insights for policymakers to formulate effective policy, enhancing the understanding of corporate financial positions and leverage dynamics.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"148 5 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841962","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 : 2024-12-10DOI: 10.1016/j.frl.2024.106637
Natalie Kyung Won Kim, Sewon Kwon, Jae Yong Shin
The Compensation Discussion and Analysis section in proxy statements provides narrative data on how Compensation Committees define and apply their Compensation Philosophy. However, the extent to which these philosophies—pay-for-performance and the attraction and retention of talented executives—translate into executive compensation practices remains unclear. To address this, we conduct a textual analysis of proxy statements from 2007 to 2016 to examine whether Compensation Committees align executive compensation with their stated philosophies. The findings show a stronger focus on pay-for-performance is linked to higher excess compensation, especially in firms lacking a general counsel among top officers and not employing a compensation consultant.
{"title":"Do compensation committees do what they say they do? Evidence from narrative disclosure in proxy statements","authors":"Natalie Kyung Won Kim, Sewon Kwon, Jae Yong Shin","doi":"10.1016/j.frl.2024.106637","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106637","url":null,"abstract":"The Compensation Discussion and Analysis section in proxy statements provides narrative data on how Compensation Committees define and apply their Compensation Philosophy. However, the extent to which these philosophies—pay-for-performance and the attraction and retention of talented executives—translate into executive compensation practices remains unclear. To address this, we conduct a textual analysis of proxy statements from 2007 to 2016 to examine whether Compensation Committees align executive compensation with their stated philosophies. The findings show a stronger focus on pay-for-performance is linked to higher excess compensation, especially in firms lacking a general counsel among top officers and not employing a compensation consultant.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"293 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142884065","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 : 2024-12-10DOI: 10.1016/j.frl.2024.106644
Aniss Louchez
This study analyzes the impact of an event on November 11, 2022, when a fake “certified” Twitter account falsely claimed that Eli Lilly's insulin would be provided for free. We examine spillover effects on competitors within the insulin market oligopoly. Our findings reveal that while competitors experienced short-term impacts, these were weaker and of shorter duration compared to Eli Lilly. Spillovers within the broader pharmaceutical sector were limited to the immediate aftermath. No anticipatory behavior was detected. The effects were confined to American stock exchanges, suggesting an absence of spillovers in European markets.
{"title":"How fake news effects spread in an oligopolistic market — Evidence from the insulin market","authors":"Aniss Louchez","doi":"10.1016/j.frl.2024.106644","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106644","url":null,"abstract":"This study analyzes the impact of an event on November 11, 2022, when a fake “certified” Twitter account falsely claimed that Eli Lilly's insulin would be provided for free. We examine spillover effects on competitors within the insulin market oligopoly. Our findings reveal that while competitors experienced short-term impacts, these were weaker and of shorter duration compared to Eli Lilly. Spillovers within the broader pharmaceutical sector were limited to the immediate aftermath. No anticipatory behavior was detected. The effects were confined to American stock exchanges, suggesting an absence of spillovers in European markets.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"23 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841960","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 : 2024-12-10DOI: 10.1016/j.frl.2024.106606
Masayo Shikimi
Climate risks influence banks' lending behavior during the COVID-19 pandemic. Our study uses Japanese data to show that banks reduced lending to high CO2 intensity firms at the start of the crisis and the following year. However, banks that previously invested heavily in these firms increased their lending, especially to firms with significant declines in sales. Our results also reveal that banks' lending to high CO2 intensity firms varies according to their capital buffers. These findings hold even when considering zombie lending and bank relationships, indicating that banks took climate risks into account when reallocating funds during a liquidity shock.
{"title":"Firms’ climate risks and bank lending: Evidence from the COVID-19 crisis","authors":"Masayo Shikimi","doi":"10.1016/j.frl.2024.106606","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106606","url":null,"abstract":"Climate risks influence banks' lending behavior during the COVID-19 pandemic. Our study uses Japanese data to show that banks reduced lending to high CO2 intensity firms at the start of the crisis and the following year. However, banks that previously invested heavily in these firms increased their lending, especially to firms with significant declines in sales. Our results also reveal that banks' lending to high CO2 intensity firms varies according to their capital buffers. These findings hold even when considering zombie lending and bank relationships, indicating that banks took climate risks into account when reallocating funds during a liquidity shock.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"12 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142884068","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 : 2024-12-10DOI: 10.1016/j.frl.2024.106639
Adrian Gawęda
The impact of a company's environmental, social, and governance performance (ESGP) on firm value is a widely discussed question; however, findings are not conclusive. Using panel analysis on 5,540 listed companies from 43 countries between 2018 and 2022, we explore the impact of composite ESGP and its pillars on firm value. We investigate how country level of economic and sustainability development moderates this relationship. Our findings reveal (i) negative association between ESGP and firm value, and (ii) it is more pronounced in more developed countries. We contribute by incorporating country development into the debate on ESGP and firm value relationship.
{"title":"Does environmental, social, and governance performance elevate firm value? International evidence","authors":"Adrian Gawęda","doi":"10.1016/j.frl.2024.106639","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106639","url":null,"abstract":"The impact of a company's environmental, social, and governance performance (ESGP) on firm value is a widely discussed question; however, findings are not conclusive. Using panel analysis on 5,540 listed companies from 43 countries between 2018 and 2022, we explore the impact of composite ESGP and its pillars on firm value. We investigate how country level of economic and sustainability development moderates this relationship. Our findings reveal (i) negative association between ESGP and firm value, and (ii) it is more pronounced in more developed countries. We contribute by incorporating country development into the debate on ESGP and firm value relationship.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"11 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841961","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 : 2024-12-10DOI: 10.1016/j.frl.2024.106611
Keishi Fujiyama, Yusuke Fukaya, Philip Keejae Hong, Toshio Moriwaki
This study investigates whether employee decisions on downsizing program applications convey private information in Japan. We find that the stock market reacts negatively to downsizing announcements with both substantial excess and shortfall outcomes. Additional analyses reveal that the negative market reactions for shortfall announcements are driven by those with a positive market reaction to the initial announcement and that firms with a shortfall in downsizing initially propose larger downsizing targets. These findings suggest that employee decisions during downsizing processes convey private information to stock investors and that managers may strategically set higher downsizing expectations to meet a desired downsizing target.
{"title":"Are employee decisions informative in the stock market? Evidence from employee downsizing in Japan","authors":"Keishi Fujiyama, Yusuke Fukaya, Philip Keejae Hong, Toshio Moriwaki","doi":"10.1016/j.frl.2024.106611","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106611","url":null,"abstract":"This study investigates whether employee decisions on downsizing program applications convey private information in Japan. We find that the stock market reacts negatively to downsizing announcements with both substantial excess and shortfall outcomes. Additional analyses reveal that the negative market reactions for shortfall announcements are driven by those with a positive market reaction to the initial announcement and that firms with a shortfall in downsizing initially propose larger downsizing targets. These findings suggest that employee decisions during downsizing processes convey private information to stock investors and that managers may strategically set higher downsizing expectations to meet a desired downsizing target.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"32 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142884067","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 : 2024-12-09DOI: 10.1016/j.frl.2024.106609
Christopher Kolling, Timo Busch
We investigate whether funds holding a sustainability label, exhibit better sustainability performance compared to unlabeled funds. Using a sample of over 150 public equity funds awarded the FNG-Label, we assess their performance regarding carbon emissions, SDG scores, and ESG ratings. We use matching methods to compare labeled funds with different control groups, namely conventional as well as with sustainable peers without a label. The results show that labeled funds have superior sustainability attributes, particularly in terms of carbon emissions and SDG contributions. However, the differences in classical ESG scores, which in our case focus on financial materiality, are less pronounced.
{"title":"Sustainability labels matter","authors":"Christopher Kolling, Timo Busch","doi":"10.1016/j.frl.2024.106609","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106609","url":null,"abstract":"We investigate whether funds holding a sustainability label, exhibit better sustainability performance compared to unlabeled funds. Using a sample of over 150 public equity funds awarded the FNG-Label, we assess their performance regarding carbon emissions, SDG scores, and ESG ratings. We use matching methods to compare labeled funds with different control groups, namely conventional as well as with sustainable peers without a label. The results show that labeled funds have superior sustainability attributes, particularly in terms of carbon emissions and SDG contributions. However, the differences in classical ESG scores, which in our case focus on financial materiality, are less pronounced.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"28 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142884100","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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