首页 > 最新文献

Finance Research Letters最新文献

英文 中文
Does uncertainty affect the relationship between green bond and carbon markets? 不确定性是否会影响绿色债券与碳市场之间的关系？
IF 7.4 2区 经济学 Q1 BUSINESS, FINANCE
Finance Research Letters
Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106370
BuKwon Kim , Xiyong Dong , Seong-Min Yoon
Sustainable financing and regulations to achieve carbon neutrality are important global issues for achieving the Sustainable Development Goals. This study investigates the effects of various global uncertainties on the relationship between green bonds and carbon markets using GARCH-MIDAS-X and DCC-MIDAS-X models. We find that temporary shock-related uncertainty, such as infectious disease risk or geopolitical risk, weakens this relationship, whereas policy-related uncertainty, including uncertainty in climate, economics, and monetary policy, strengthens it. These findings highlight the complex dynamics between sustainable finance mechanisms and the importance of managing uncertainty to facilitate a gradual transition to a sustainable economy.
可持续融资和实现碳中和的法规是实现可持续发展目标的重要全球性问题。本研究使用 GARCH-MIDAS-X 和 DCC-MIDAS-X 模型研究了各种全球不确定性对绿色债券和碳市场之间关系的影响。我们发现，传染病风险或地缘政治风险等暂时性冲击相关的不确定性会削弱这种关系，而气候、经济和货币政策等政策相关的不确定性则会加强这种关系。这些发现凸显了可持续融资机制之间复杂的动态关系，以及管理不确定性以促进逐步过渡到可持续经济的重要性。
{"title":"Does uncertainty affect the relationship between green bond and carbon markets?","authors":"BuKwon Kim ,&nbsp;Xiyong Dong ,&nbsp;Seong-Min Yoon","doi":"10.1016/j.frl.2024.106370","DOIUrl":"10.1016/j.frl.2024.106370","url":null,"abstract":"<div><div>Sustainable financing and regulations to achieve carbon neutrality are important global issues for achieving the Sustainable Development Goals. This study investigates the effects of various global uncertainties on the relationship between green bonds and carbon markets using GARCH-MIDAS-X and DCC-MIDAS-X models. We find that temporary shock-related uncertainty, such as infectious disease risk or geopolitical risk, weakens this relationship, whereas policy-related uncertainty, including uncertainty in climate, economics, and monetary policy, strengthens it. These findings highlight the complex dynamics between sustainable finance mechanisms and the importance of managing uncertainty to facilitate a gradual transition to a sustainable economy.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106370"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572784","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}
引用次数: 0
Tax incentives for human capital accumulation and enterprise innovation quality: Evidence of a quasi-natural experiment in China 对人力资本积累和企业创新质量的税收激励：中国准自然实验的证据
IF 7.4 2区 经济学 Q1 BUSINESS, FINANCE
Finance Research Letters
Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106342
Cuilan Li , Hailin Chen , Weilin Xie , Ping Wang
This study analyzes the impact of human capital tax incentives on enterprise innovation quality. For this purpose, it designs as a quasi-natural experiment, using China's pre-tax deduction policy for employee education and training expenses. The results confirm that tax incentives for human capital accumulation significantly enhance corporate innovation quality. The primary mechanisms driving this effect are the alleviation of financial constraints and the promotion of human capital accumulation. Moreover, this effect is stronger in regions with higher levels of financial development and greater human capital density.
本研究分析了人力资本税收优惠政策对企业创新质量的影响。为此，研究利用中国的职工教育培训费用税前扣除政策，设计了一个准自然实验。结果证实，针对人力资本积累的税收激励措施能显著提高企业的创新质量。推动这一效应的主要机制是缓解财务约束和促进人力资本积累。此外，在金融发展水平较高、人力资本密度较大的地区，这种效应更强。
{"title":"Tax incentives for human capital accumulation and enterprise innovation quality: Evidence of a quasi-natural experiment in China","authors":"Cuilan Li ,&nbsp;Hailin Chen ,&nbsp;Weilin Xie ,&nbsp;Ping Wang","doi":"10.1016/j.frl.2024.106342","DOIUrl":"10.1016/j.frl.2024.106342","url":null,"abstract":"<div><div>This study analyzes the impact of human capital tax incentives on enterprise innovation quality. For this purpose, it designs as a quasi-natural experiment, using China's pre-tax deduction policy for employee education and training expenses. The results confirm that tax incentives for human capital accumulation significantly enhance corporate innovation quality. The primary mechanisms driving this effect are the alleviation of financial constraints and the promotion of human capital accumulation. Moreover, this effect is stronger in regions with higher levels of financial development and greater human capital density.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106342"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572673","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}
引用次数: 0
Impact of environmental information disclosure on green technology innovation:Evidence from China's Listed Companies 环境信息披露对绿色技术创新的影响：来自中国上市公司的证据
IF 7.4 2区 经济学 Q1 BUSINESS, FINANCE
Finance Research Letters
Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106375
Nan Wang , Gang Yang , Jin Wu , Lv Wenya
This study investigates the effect of environmental information disclosure on corporate green technology innovation. Based on environmental information disclosure data and green technology innovation, we find that the environmental quantity and quality of disclosure have a significant positive impact on corporate green technology innovation, but the effect is mainly effective in non-state-owned enterprises. Further analysis shows that the enhanced green technology innovation could be attributed to alleviating financing constraints and improving business performance. The results of this study provide evidence that further deepening the environmental information disclosure system will contribute to the green transformation and development of enterprises.
本研究探讨了环境信息披露对企业绿色技术创新的影响。基于环境信息披露数据和绿色技术创新，我们发现环境信息披露的数量和质量对企业绿色技术创新有显著的正向影响，但这种影响主要在非国有企业中有效。进一步分析表明，绿色技术创新的增强可归因于融资约束的缓解和经营绩效的改善。研究结果证明，进一步深化环境信息披露制度将有助于企业的绿色转型和发展。
{"title":"Impact of environmental information disclosure on green technology innovation:Evidence from China's Listed Companies","authors":"Nan Wang ,&nbsp;Gang Yang ,&nbsp;Jin Wu ,&nbsp;Lv Wenya","doi":"10.1016/j.frl.2024.106375","DOIUrl":"10.1016/j.frl.2024.106375","url":null,"abstract":"<div><div>This study investigates the effect of environmental information disclosure on corporate green technology innovation. Based on environmental information disclosure data and green technology innovation, we find that the environmental quantity and quality of disclosure have a significant positive impact on corporate green technology innovation, but the effect is mainly effective in non-state-owned enterprises. Further analysis shows that the enhanced green technology innovation could be attributed to alleviating financing constraints and improving business performance. The results of this study provide evidence that further deepening the environmental information disclosure system will contribute to the green transformation and development of enterprises.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106375"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660485","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}
引用次数: 0
Social credit improvement and enterprise investment 社会信用改善和企业投资
IF 7.4 2区 经济学 Q1 BUSINESS, FINANCE
Finance Research Letters
Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106355
Fei Ji , Weiming Liang , Xi Chen , Dongmin Kong
This research explores the effects of enhancing social credit on corporate investment, utilizing China's model city pilots for the Social Credit System Construction(SCSC) as a quasi-natural experiment. Our findings demonstrate that social credit improvement significantly increases enterprise investment levels, a conclusion supported by robustness tests. Mechanism analysis reveals that mitigating agency cost and enhancing debt financing are key factors driving increased corporate investment after the implementation of the SCSC. Heterogeneity results suggest that SCSC implementation is more effective for firms without political affiliation and with high institutional shareholding.
本研究以中国社会信用体系建设示范城市试点作为准自然实验，探讨了提高社会信用对企业投资的影响。我们的研究结果表明，社会信用的改善能显著提高企业投资水平，这一结论得到了稳健性检验的支持。机制分析表明，降低代理成本和加强债务融资是推动社会信用体系建设试点后企业投资增加的关键因素。异质性结果表明，对于没有政治关联和机构持股比例较高的企业来说，实施 SCSC 更为有效。
{"title":"Social credit improvement and enterprise investment","authors":"Fei Ji ,&nbsp;Weiming Liang ,&nbsp;Xi Chen ,&nbsp;Dongmin Kong","doi":"10.1016/j.frl.2024.106355","DOIUrl":"10.1016/j.frl.2024.106355","url":null,"abstract":"<div><div>This research explores the effects of enhancing social credit on corporate investment, utilizing China's model city pilots for the Social Credit System Construction(SCSC) as a quasi-natural experiment. Our findings demonstrate that social credit improvement significantly increases enterprise investment levels, a conclusion supported by robustness tests. Mechanism analysis reveals that mitigating agency cost and enhancing debt financing are key factors driving increased corporate investment after the implementation of the SCSC. Heterogeneity results suggest that SCSC implementation is more effective for firms without political affiliation and with high institutional shareholding.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"71 ","pages":"Article 106355"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142660571","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}
引用次数: 0
Digital tax enforcement and shadow banking of non-financial firms: Evidence from China's Golden Tax Project III 数字税收执法与非金融企业的影子银行业务：来自中国金税工程 III 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.2024.106379
Xianhuan Huang , Yujia Zhang , Kam C. Chan , Yao Wang
Digital tax enforcement (DTE) is an important external monitoring and governance mechanism for firms. We leverage the pilot of China's Golden Tax Project III as a natural experiment of DTE to investigate its impact on non-financial firms’ shadow banking. Using a sample of Chinese firms from 2007 to 2022, we document that DTE restrains shadow banking activities of non-financial firms by improving corporate transparency and mitigating agency problems. Additional analyses suggest that the effect is more salient for firms in regions with weak financial supervision, low-quality media monitoring, low-quality auditor, or weak internal control.
数字税收执法（DTE）是企业重要的外部监督和治理机制。我们将中国金税三期工程试点作为数字税务执法的自然实验，研究其对非金融企业影子银行业务的影响。以 2007 年至 2022 年的中国企业为样本，我们发现 DTE 通过提高企业透明度和缓解代理问题，抑制了非金融企业的影子银行活动。其他分析表明，在金融监管薄弱、媒体监督质量不高、审计师质量不高或内部控制薄弱的地区，这种影响更为显著。
{"title":"Digital tax enforcement and shadow banking of non-financial firms: Evidence from China's Golden Tax Project III","authors":"Xianhuan Huang ,&nbsp;Yujia Zhang ,&nbsp;Kam C. Chan ,&nbsp;Yao Wang","doi":"10.1016/j.frl.2024.106379","DOIUrl":"10.1016/j.frl.2024.106379","url":null,"abstract":"<div><div>Digital tax enforcement (DTE) is an important external monitoring and governance mechanism for firms. We leverage the pilot of China's Golden Tax Project III as a natural experiment of DTE to investigate its impact on non-financial firms’ shadow banking. Using a sample of Chinese firms from 2007 to 2022, we document that DTE restrains shadow banking activities of non-financial firms by improving corporate transparency and mitigating agency problems. Additional analyses suggest that the effect is more salient for firms in regions with weak financial supervision, low-quality media monitoring, low-quality auditor, or weak internal control.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106379"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572611","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}
引用次数: 0
How does regional carbon transition affect loan pricing? Evidence from China 地区碳排放转型如何影响贷款定价？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.2024.106356
Xuanyi Hu, Lanbiao Liu, Daoping Wang
Existing research on carbon risks mainly focuses on firm-level transition risks and regional physical risks, while the impact of regional transition risks on banks has been neglected. This study fills this gap by revealing the pricing effect of regional carbon transition risk in bank lending. Using syndicated loan data, we find a significant premium in loans in high carbon emission areas after the Paris Agreement. Moreover, the regional carbon risk premium is relatively low in areas with higher product marketization, lower legalization, and higher forest coverage levels. Our evidence suggests that banks have considered regional carbon transition risk.
现有的碳风险研究主要集中在企业层面的转型风险和地区性的物理风险，而地区性转型风险对银行的影响一直被忽视。本研究通过揭示区域碳转型风险在银行贷款中的定价效应，填补了这一空白。利用银团贷款数据，我们发现在《巴黎协定》签署后，高碳排放地区的贷款存在显著溢价。此外，在产品市场化程度较高、合法化程度较低和森林覆盖率较高的地区，地区碳风险溢价相对较低。我们的证据表明，银行已经考虑到了地区碳转型风险。
{"title":"How does regional carbon transition affect loan pricing? Evidence from China","authors":"Xuanyi Hu,&nbsp;Lanbiao Liu,&nbsp;Daoping Wang","doi":"10.1016/j.frl.2024.106356","DOIUrl":"10.1016/j.frl.2024.106356","url":null,"abstract":"<div><div>Existing research on carbon risks mainly focuses on firm-level transition risks and regional physical risks, while the impact of regional transition risks on banks has been neglected. This study fills this gap by revealing the pricing effect of regional carbon transition risk in bank lending. Using syndicated loan data, we find a significant premium in loans in high carbon emission areas after the Paris Agreement. Moreover, the regional carbon risk premium is relatively low in areas with higher product marketization, lower legalization, and higher forest coverage levels. Our evidence suggests that banks have considered regional carbon transition risk.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106356"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142554936","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}
引用次数: 0
Do markets pay attention to political disinformation? 市场会关注政治虚假信息吗？
IF 7.4 2区 经济学 Q1 BUSINESS, FINANCE
Finance Research Letters
Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106366
Christopher A. Hartwell , Elena Hubschmid-Vierheilig
They do, but not in ways one might think. Using an example from the 2016 Presidential election in the United States, we show that days with heavy doses of disinformation related to the candidates do not affect broad index stock returns. However, disinformation that was strongly pro-Hillary Clinton was associated with a substantial lowering of conditional volatility of stocks, even when controlling for other macroeconomic news and news sentiment.
确实如此，但并不是人们想象的那样。以 2016 年美国总统大选为例，我们发现，与候选人相关的大量虚假信息并不会影响广泛的指数股票回报。然而，强烈支持希拉里-克林顿的虚假信息与股票条件波动率的大幅降低有关，即使在控制了其他宏观经济新闻和新闻情绪的情况下也是如此。
{"title":"Do markets pay attention to political disinformation?","authors":"Christopher A. Hartwell ,&nbsp;Elena Hubschmid-Vierheilig","doi":"10.1016/j.frl.2024.106366","DOIUrl":"10.1016/j.frl.2024.106366","url":null,"abstract":"<div><div>They do, but not in ways one might think. Using an example from the 2016 Presidential election in the United States, we show that days with heavy doses of disinformation related to the candidates do not affect broad index stock returns. However, disinformation that was strongly pro-Hillary Clinton was associated with a substantial lowering of conditional volatility of stocks, even when controlling for other macroeconomic news and news sentiment.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106366"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572680","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}
引用次数: 0
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
Yinghua Lin , Jingjing Ye
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。
{"title":"The impact of corporate R&D on the transformation of intellectual property into intangible assets","authors":"Yinghua Lin ,&nbsp;Jingjing Ye","doi":"10.1016/j.frl.2024.106337","DOIUrl":"10.1016/j.frl.2024.106337","url":null,"abstract":"<div><div>This study explores how corporate R&amp;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&amp;D's influence, with moderating variables considered. Results consistently show a significant positive correlation between R&amp;D investment and innovation propensity (<em>p</em> &lt; 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&amp;D in fostering innovation and emphasize the impact of strategic resource allocation and organizational structures on innovative outcomes.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106337"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572613","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}
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
Elroi Hadad , Davinder Malhotra , Evangelos Vasileiou
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。
{"title":"Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach","authors":"Elroi Hadad ,&nbsp;Davinder Malhotra ,&nbsp;Evangelos Vasileiou","doi":"10.1016/j.frl.2024.106372","DOIUrl":"10.1016/j.frl.2024.106372","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106372"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572675","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}
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
Shiwei Lin , Yiru Zhang , Yanuo Wang , Haipeng Geng
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。
{"title":"The impact of CEO reputation on ESG performance in varying managerial discretion contexts","authors":"Shiwei Lin ,&nbsp;Yiru Zhang ,&nbsp;Yanuo Wang ,&nbsp;Haipeng Geng","doi":"10.1016/j.frl.2024.106368","DOIUrl":"10.1016/j.frl.2024.106368","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"70 ","pages":"Article 106368"},"PeriodicalIF":7.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142554932","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}
引用次数: 0
首页 上一页 下一页 尾页
类型
全部 化学•材料 生命科学 医学 物理 工程技术 环境•农林 材料科学 地球科学 法学 管理学 化学 环境科学与生态学 计算机科学 教育学 经济学 农林科学 人文科学 生物学 数学 物理与天体物理 心理学 综合性期刊 其他 工业工程 理学 历史学 农学 文学 信息工程
数据库
全部 ACS Publications Elsevier ieeexplore Springer The Royal Society of Chemistry Wiley
期刊
Finance Research Letters
全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.
﹀
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们：info@booksci.cn
Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1