Finance Research Letters最新文献

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Does the impact of credit rating downgrade on bond returns vary by region: Empirical evidence from China 信用评级下调对债券收益的影响是否因地区而异？中国的经验证据

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106365

Junhui Shan , Guanhua Liu , Lin Zhang

Utilizing trading data from corporate and enterprise bonds that experienced credit rating downgrades between 2012 and 2022, this study employs event study methodology and regression analysis to examine the regional differences in the impact of credit rating downgrades on bond pricing and the mechanisms behind these effects. The study found that, during the window period when the bond credit rating is downgraded, there is a significant difference in the cumulative abnormal return of bonds between the eastern and non-eastern regions. Heterogeneity analysis indicates that bonds with higher credit ratings and those issued by non-state-owned enterprises are more significantly affected by credit rating downgrades. This study provides empirical evidence of regional disparities in the impact of credit rating downgrades, and proposes a theoretical mechanism whereby differences in the degree of marketization influence these effects through varying expectations of government implicit guarantees. The findings offer a theoretical foundation for optimizing decision-making by participants in the Chinese bond market.

本研究利用 2012 年至 2022 年间发生信用评级下调的公司债券和企业债券的交易数据，采用事件研究法和回归分析法，考察了信用评级下调对债券定价影响的地区差异及其背后的作用机制。研究发现，在债券信用评级下调的窗口期，东部地区和非东部地区的债券累计异常收益率存在显著差异。异质性分析表明，信用评级较高的债券和非国有企业发行的债券受信用评级下调的影响更为显著。本研究提供了信用评级下调影响的地区差异的经验证据，并提出了市场化程度差异通过对政府隐性担保的不同预期影响这些影响的理论机制。研究结果为中国债券市场参与者优化决策提供了理论基础。

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引用次数: 0

Who really cares? Climate change exposure and auditor conservatism: Evidence from China 谁真正关心？气候变化风险与审计保守主义：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.2024.106332

Chao Yang , Di Song

This study examines the association between climate change exposure and auditor conservatism, indicating that firms with high climate change exposure demonstrate a higher level of auditor conservatism. The mechanism analysis reveals that climate change exposure reinforces auditor conservatism partly through the combined effects of earnings management and investor sentiment. Multiple robustness checks confirm the validity of main results. Given the growing interest in climate change and its associated risks in both practice and research, as well as the expected increasing significance of these risks, our findings are timely to a broad audience, including investors, regulators, auditors, managers, and scholars.

本研究探讨了气候变化风险与审计师保守主义之间的关联，结果表明，气候变化风险高的公司表现出更高水平的审计师保守主义。机理分析表明，气候变化风险在一定程度上通过收益管理和投资者情绪的共同作用加强了审计师的保守主义。多重稳健性检验证实了主要结果的有效性。鉴于实践和研究领域对气候变化及其相关风险的兴趣与日俱增，以及这些风险的预期重要性不断增加，我们的研究结果对于包括投资者、监管者、审计师、管理者和学者在内的广大受众来说非常及时。

引用次数: 0

Debt maturity and the marginal value of cash holdings 债务期限和现金持有量的边际价值

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106352

Hail Jung , Sanghak Choi

This study investigates the impact of debt maturity on the marginal value of cash holdings. It posits that short-term debt acts as a crucial governance mechanism by reducing agency conflicts and aligning managerial actions with shareholder interests. Using a sample of U.S. public firms, the results indicate that firms with higher proportions of short-term debt have a greater marginal value of cash, reflecting more efficient resource allocation and reduced managerial opportunism. The necessity for frequent capital market interactions associated with short-term debt mitigates agency conflicts. Additionally, the study explores three potential mechanisms: financial constraints, managerial moral hazard, and information asymmetry.

本研究探讨了债务期限对现金持有边际价值的影响。研究认为，短期债务是一种重要的治理机制，它可以减少代理冲突，使管理者的行为与股东利益保持一致。以美国上市公司为样本，研究结果表明，短期债务比例较高的公司现金边际值更高，这反映了资源配置效率更高，管理者机会主义减少。与短期债务相关的资本市场频繁互动的必要性缓解了代理冲突。此外，研究还探讨了三种潜在机制：财务约束、管理道德风险和信息不对称。

引用次数: 0

Hedging downside risk in agricultural commodities: A novel nonparametric kernel method 对冲农产品下跌风险：一种新颖的非参数核方法

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-28 DOI: 10.1016/j.frl.2024.106340

Qi Jiang , Yawen Fan

Using a nonparametric kernel method, this paper develops a weighted conditional value-at-risk hedge model to hedge downside risks in agricultural commodities. The model exhibits convexity, ensuring the acquisition of its global optimal solution. Simulations show that the nonparametric kernel method enhances the accuracy of the weighted conditional value-at-risk and hedge ratio determination, outperforming traditional estimation methods. Using major agricultural commodities, empirical evidence shows the superiority of the proposed model in reducing downside risks, compared to the minimum variance, minimum value-at-risk, and minimum conditional value-at-risk hedge models.

本文利用非参数核方法，建立了一个加权条件风险价值对冲模型，以对冲农产品的下跌风险。该模型具有凸性，可确保获得全局最优解。模拟表明，非参数核方法提高了加权条件风险价值和对冲比率确定的准确性，优于传统的估计方法。利用主要农产品的经验证据表明，与最小方差、最小风险价值和最小条件风险价值对冲模型相比，所提出的模型在降低下行风险方面更具优势。

引用次数: 0

Social proximity to capital and mortgage lending 社会接近资本和抵押贷款

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-26 DOI: 10.1016/j.frl.2024.106333

Jennifer Zhang

This study investigates the impact of social proximity to capital on the U.S. mortgage markets. The results show that mortgage loans in counties with stronger social connectedness to capital are associated with significantly larger loan amounts and lower interest rates. The endogeneity concern is mitigated by employing a propensity score matched sample. Channel analysis reveals that the potential mechanisms operate through borrowers’ higher income and improved credit conditions. The cross-sectional analyses indicate that first-time homebuyers in counties with closer social proximity to capital secure larger loans and lower rates, whereas minorities in these areas face adverse outcomes.

本研究调查了与资本的社会接近性对美国抵押贷款市场的影响。结果表明，在与资本的社会联系更紧密的县，抵押贷款与更大的贷款额度和更低的利率相关。采用倾向得分匹配样本减轻了内生性问题。渠道分析表明，潜在的机制是通过借款人的高收入和信贷条件的改善来运作的。横截面分析表明，在社会距离资本较近的县，首次购房者可以获得较大的贷款额度和较低的利率，而这些地区的少数民族则面临不利的结果。

引用次数: 0

The relationship between ESG ratings and digital technological innovation in manufacturing: Insights via dual machine learning models 制造业 ESG 评级与数字技术创新之间的关系：双重机器学习模型的启示

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-26 DOI: 10.1016/j.frl.2024.106362

Bai Yang , Jingfeng Huang , Yinzhong Chen

In the era of the current scientific and technological revolution and industrial transformation, digital technology innovation serves as a critical driver for the high-quality development of manufacturing enterprises. The dual attributes of ESG (Environmental, Social, and Governance) ratings, encompassing "internal governance" and "external support," play a pivotal role in propelling digital technology innovation within these enterprises. This study utilizes a dual machine learning approach to empirically investigate the influence of ESG ratings on the digital technology innovation of manufacturing enterprises and explores the underlying mechanisms. Findings indicate that ESG ratings significantly boost digital technology innovation by alleviating financial market constraints, enhancing customer stability in the product market, elevating human resource levels, and increasing innovation awareness and efficiency. These improvements occur through the mechanisms of "external support" and "internal governance." Moreover, the study reveals that ESG ratings substantially enhance digital technology innovation in state-owned and high-tech manufacturing enterprises, in contrast to their limited impact on non-state-owned and non-high-tech counterparts. Conclusively, the paper proposes policy recommendations focused on heightening enterprise and societal awareness of ESG importance, intensifying supervision and enforcement, and refining the ESG rating system.

在当前科技革命和产业变革的时代背景下，数字技术创新成为制造业企业高质量发展的关键驱动力。ESG（环境、社会和治理）评级包含 "内部治理 "和 "外部支持 "双重属性，在推动这些企业的数字技术创新方面发挥着举足轻重的作用。本研究利用双重机器学习方法，实证研究了ESG评级对制造业企业数字技术创新的影响，并探讨了其背后的机制。研究结果表明，ESG评级通过缓解金融市场约束、增强产品市场的客户稳定性、提升人力资源水平、提高创新意识和效率，显著促进了数字技术创新。这些改善是通过 "外部支持 "和 "内部治理 "机制实现的。此外，研究还发现，ESG 评级对国有企业和高科技制造企业的数字技术创新有显著促进作用，而对非国有企业和非高科技制造企业的影响有限。最后，本文从提高企业和社会对环境、社会和治理重要性的认识、加强监督和执法、完善环境、社会和治理评级体系等方面提出了政策建议。

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引用次数: 0

Exploring digital green convergence for firm competitiveness 探索数字绿色融合，提高企业竞争力

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-26 DOI: 10.1016/j.frl.2024.106363

Yanyun Zhang , Shujing Yue , Xiaobing Lai

Promoting digital green convergence is critical toward high-quality development. Sampling with 17,814 digital green patents of listed firms in China from 2009 to 2021, we find that digital green convergence significantly improves firm competitiveness. The dependability and relevance of our findings are further confirmed by several robustness tests. Our mechanism analysis shows that digital green convergence enhances firm competitiveness by reducing agency costs and increasing Environmental, Social, and Governance (ESG) performance. This paper provides theoretical and practical implications for uncovering the value of digital green convergence to improve firm competitiveness.

推动数字绿色融合是实现高质量发展的关键。通过对 2009 年至 2021 年中国上市公司的 17814 项数字绿色专利进行抽样调查，我们发现数字绿色融合能显著提高企业竞争力。多个稳健性检验进一步证实了我们研究结果的可靠性和相关性。我们的机理分析表明，数字绿色融合通过降低代理成本和提高环境、社会和治理（ESG）绩效来增强企业竞争力。本文为揭示数字绿色融合对提高企业竞争力的价值提供了理论和实践意义。

引用次数: 0

Supply chain network centrality and corporate greenwashing behavior 供应链网络中心性与企业 "洗绿 "行为

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-25 DOI: 10.1016/j.frl.2024.106357

Kunkun Xue , Xiaoxiao Chen , Peipei Sun , Yongqing Li

This paper examines the impact of supply chain network centrality on corporate greenwashing behavior. Using data from Chinese listed companies, we find that supply chain network centrality suppresses corporate greenwashing behavior, and the impact mechanism is that supply chain network centrality alleviates corporate financing constraints and inhibits managerial myopia. We also find that relationship between supply chain network centrality and corporate greenwashing behavior is more significant among corporations in heavily polluting industries, weaker industry competition, and higher transaction costs. This paper extends the governance factors of corporate greenwashing behavior to the level of supply chain network relationships.

本文研究了供应链网络中心性对企业绿色清洗行为的影响。利用中国上市公司的数据，我们发现供应链网络中心性抑制了企业的 "洗绿 "行为，其影响机制是供应链网络中心性缓解了企业融资约束，抑制了管理近视。我们还发现，在污染严重、行业竞争较弱、交易成本较高的行业中，供应链网络中心性与企业绿色清洗行为之间的关系更为显著。本文将企业 "洗绿 "行为的治理因素扩展到供应链网络关系层面。

引用次数: 0

Digital finance’s impact on household portfolio diversity: Evidence from Chinese households 数字金融对家庭投资组合多样性的影响：来自中国家庭的证据

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-25 DOI: 10.1016/j.frl.2024.106347

Jingxuan Dong

Herein, we investigate the connection between digital finance and household portfolio diversity using data from the China Household Finance Survey, conducted in 2017 and 2019. Results indicate that digital finance enhances portfolio diversification, particularly among households with urban registration, higher education and higher income levels. The mechanism analysis reveals that digital finance boosts a household’s portfolio diversification by enhancing financial literacy and easing liquidity constraints. Our findings underscore the importance of promoting digital finance and financial innovation by government agencies, which can improve a household’s investment income and well-being.

在此，我们利用2017年和2019年进行的中国家庭金融调查数据，研究了数字金融与家庭投资组合多样化之间的联系。结果表明，数字金融能提高投资组合的多样化，尤其是在城市户籍、受过高等教育和收入水平较高的家庭中。机理分析表明，数字金融通过提高金融素养和缓解流动性约束来促进家庭投资组合多样化。我们的研究结果强调了政府机构推动数字金融和金融创新的重要性，这可以提高家庭的投资收益和福利。

引用次数: 0

The tone of earnings communication conferences and trade credit financing of listed companies 上市公司财报沟通会基调与贸易信贷融资

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2024-10-24 DOI: 10.1016/j.frl.2024.106354

Shen Luo, Yuanhui Li

Earnings communication conference serves as a key channel for information disclosure in China, providing incremental information to the capital market. Using data from Chinese A-share listed firms from 2007 to 2021, this research reveals that management's tone at the earnings communication conference significantly promotes trade credit financing. Mechanism tests suggest that management's tone facilitates trade credit financing by enhancing information transparency. Further analyses demonstrate that the aforementioned effect is more pronounced for firms facing higher market competition and supplier concentration while lower level of attention from analysts.

盈利沟通会是中国信息披露的重要渠道，为资本市场提供了增量信息。本研究利用 2007 年至 2021 年中国 A 股上市公司的数据，揭示了管理层在盈利沟通会上的语气对贸易信贷融资的显著促进作用。机制检验表明，管理层的语气通过提高信息透明度促进了贸易信贷融资。进一步的分析表明，上述效应对于面临较高市场竞争和供应商集中度，同时分析师关注度较低的企业更为明显。

引用次数: 0

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