Pub Date : 2024-10-16DOI: 10.1016/j.iref.2024.103692
Chin-Chong Lee , Sin-Huei Ng , Roy W.L. Khong
We examine two important views in the literature of warrants: the undervaluation signal of firm value associated with out-of-the-money warrants and the usage of warrants as multistage financing instruments. Based on our sample of Hong Kong standalone warrants from 1999 to 2022, our results show that stock prices of the issuers fall following warrant issuances and, without persuasive warrant attributes, the likelihood of warrant exercises is low. The two views are not supported. We argue that subscription price discounts reflect the cost of potential ownership dilution to existing shareholders, and we find that firms with greater financing needs set higher price discounts as a persuasive warrant attribute to increase the likelihood of warrant exercises.
{"title":"Subscription price discounts of stock warrants and cost of potential ownership dilution","authors":"Chin-Chong Lee , Sin-Huei Ng , Roy W.L. Khong","doi":"10.1016/j.iref.2024.103692","DOIUrl":"10.1016/j.iref.2024.103692","url":null,"abstract":"<div><div>We examine two important views in the literature of warrants: the undervaluation signal of firm value associated with out-of-the-money warrants and the usage of warrants as multistage financing instruments. Based on our sample of Hong Kong standalone warrants from 1999 to 2022, our results show that stock prices of the issuers fall following warrant issuances and, without persuasive warrant attributes, the likelihood of warrant exercises is low. The two views are not supported. We argue that subscription price discounts reflect the cost of potential ownership dilution to existing shareholders, and we find that firms with greater financing needs set higher price discounts as a persuasive warrant attribute to increase the likelihood of warrant exercises.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103692"},"PeriodicalIF":4.8,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142537105","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 : 2024-10-16DOI: 10.1016/j.iref.2024.103687
Yi He , Haixin Chen , Tingyu Zhang
As the main body of economic activity and technological innovation, enterprises’ investment motivation and efficiency in environmental protection directly affect the process of national green development. Based on data from A-share listed firms from 2012 to 2021, this study investigates the impact of economic and environmental targets set by local governments on the green investment efficiency of firms and the moderating role of anti-corruption. Our findings suggest that economic growth target constraints inhibit the green investment efficiency of firms and that environmental target constraints facilitate the green investment efficiency of firms. Anti-corruption weakens the negative relationship between economic growth target constraints and the green investment efficiency of firms, and strengthens positive relationship between environmental target constraints and the green investment efficiency of firms. In the heterogeneity tests, we find that these relationships are influenced by the region and intensity of the target constraints. The results are consistent with a series of robustness checks. This study is helpful for understanding how government policies and the political environment affect the green investment behavior of enterprises.
企业作为经济活动和技术创新的主体，其环保投资动机和效率直接影响着国家绿色发展的进程。本研究基于 2012 年至 2021 年 A 股上市公司的数据，考察了地方政府设定的经济和环保目标对企业绿色投资效率的影响以及反腐败的调节作用。研究结果表明，经济增长目标约束会抑制企业的绿色投资效率，而环境目标约束会促进企业的绿色投资效率。反腐败削弱了经济增长目标约束与企业绿色投资效率之间的负相关关系，加强了环境目标约束与企业绿色投资效率之间的正相关关系。在异质性检验中，我们发现这些关系受到目标约束的地区和强度的影响。这些结果与一系列稳健性检验结果一致。本研究有助于理解政府政策和政治环境如何影响企业的绿色投资行为。
{"title":"Exploring the impact of economic and environmental target constraints on and the green investment efficiency of firms: The moderating role of anti-corruption","authors":"Yi He , Haixin Chen , Tingyu Zhang","doi":"10.1016/j.iref.2024.103687","DOIUrl":"10.1016/j.iref.2024.103687","url":null,"abstract":"<div><div>As the main body of economic activity and technological innovation, enterprises’ investment motivation and efficiency in environmental protection directly affect the process of national green development. Based on data from A-share listed firms from 2012 to 2021, this study investigates the impact of economic and environmental targets set by local governments on the green investment efficiency of firms and the moderating role of anti-corruption. Our findings suggest that economic growth target constraints inhibit the green investment efficiency of firms and that environmental target constraints facilitate the green investment efficiency of firms. Anti-corruption weakens the negative relationship between economic growth target constraints and the green investment efficiency of firms, and strengthens positive relationship between environmental target constraints and the green investment efficiency of firms. In the heterogeneity tests, we find that these relationships are influenced by the region and intensity of the target constraints. The results are consistent with a series of robustness checks. This study is helpful for understanding how government policies and the political environment affect the green investment behavior of enterprises.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103687"},"PeriodicalIF":4.8,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142537115","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 : 2024-10-16DOI: 10.1016/j.iref.2024.103685
Ruizeng Zhao , Jiasen Sun , Xinyue Wang
This study employs a sample of 283 Chinese cities in 2005–2021 to investigate how digital finance (DIF) promotes low-carbon development from an urban agglomeration (UA) perspective. The moderated mediation and multiperiod difference-in-differences models are utilized to explore DIF's potential carbon emission reduction paths and the moderation mechanism of UA policies. This research yields some valuable and robust conclusions. First, DIF and UA policies promote carbon emission reduction with noticeable regional variations. Second, green technology innovation (GTI) and industrial structure upgrading (ISU) play a crucial negative mediating role in the impact of DIF on carbon intensity. Third, UA policies have further enhanced the carbon emission reduction capabilities of DIF, GTI, and ISU. Fourth, UA policies enhance their role when DIF positively fosters GTI but does not exhibit a moderating effect when DIF positively facilitates ISU.
{"title":"Synergistic impact of digital finance and urban agglomeration policy on carbon emission reduction","authors":"Ruizeng Zhao , Jiasen Sun , Xinyue Wang","doi":"10.1016/j.iref.2024.103685","DOIUrl":"10.1016/j.iref.2024.103685","url":null,"abstract":"<div><div>This study employs a sample of 283 Chinese cities in 2005–2021 to investigate how digital finance (DIF) promotes low-carbon development from an urban agglomeration (UA) perspective. The moderated mediation and multiperiod difference-in-differences models are utilized to explore DIF's potential carbon emission reduction paths and the moderation mechanism of UA policies. This research yields some valuable and robust conclusions. First, DIF and UA policies promote carbon emission reduction with noticeable regional variations. Second, green technology innovation (GTI) and industrial structure upgrading (ISU) play a crucial negative mediating role in the impact of DIF on carbon intensity. Third, UA policies have further enhanced the carbon emission reduction capabilities of DIF, GTI, and ISU. Fourth, UA policies enhance their role when DIF positively fosters GTI but does not exhibit a moderating effect when DIF positively facilitates ISU.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103685"},"PeriodicalIF":4.8,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142537116","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 : 2024-10-16DOI: 10.1016/j.iref.2024.103683
Bo Zhu, Yiwei Wang
This study examines whether and how green governance affects stock price crash risk using a large sample of Chinese listed firms from 2010 to 2021. The results show that stock price crash risk is negatively affected by corporate green governance level. Cross-sectional analyses suggest that the decreasing impact of green governance on crash risk is more pronounced for firms with weak external supervision, high risk-taking degree, fewer female directors, and facing stronger environmental regulation. Moreover, information transparency and corporate reputation are two underlying channels through which green governance impacts crash risk. Our findings also hold after several robustness checks including sample intervals change, and alternative variable measurement, propensity score matching, instrumental variables, and Heckman two-step method.
{"title":"Green governance and stock price crash risk: Evidence from China","authors":"Bo Zhu, Yiwei Wang","doi":"10.1016/j.iref.2024.103683","DOIUrl":"10.1016/j.iref.2024.103683","url":null,"abstract":"<div><div>This study examines whether and how green governance affects stock price crash risk using a large sample of Chinese listed firms from 2010 to 2021. The results show that stock price crash risk is negatively affected by corporate green governance level. Cross-sectional analyses suggest that the decreasing impact of green governance on crash risk is more pronounced for firms with weak external supervision, high risk-taking degree, fewer female directors, and facing stronger environmental regulation. Moreover, information transparency and corporate reputation are two underlying channels through which green governance impacts crash risk. Our findings also hold after several robustness checks including sample intervals change, and alternative variable measurement, propensity score matching, instrumental variables, and Heckman two-step method.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103683"},"PeriodicalIF":4.8,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142537117","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 : 2024-10-15DOI: 10.1016/j.iref.2024.103688
Yuqing Zhan, Wanhong Li
As environmental uncertainty and market competition intensify, the impact of digital transformation on the survival and development of enterprises has garnered increasing attention. This paper empirically examines the influence of digital transformation on the resilience of manufacturing firms, based on data from Chinese-listed manufacturing companies from 2013 to 2022. Additionally, the study also analyzes the role of dynamic capabilities in this process. It is found that digital transformation significantly enhances the resilience of manufacturing enterprises, primarily through improving their stability and growth. Extended regression results indicate that the breadth of digitalization significantly boosts firm resilience, while the impact of the depth of digitalization on resilience varies with the type of technology implemented. Mechanism tests from the perspective of dynamic capabilities reveal that digital transformation enhances organizational resilience by improving adaptive and absorptive capacities. Further analysis shows that in the face of significant unexpected shocks, enterprises that have implemented digital transformation exhibit significantly greater resilience compared to those that have not. These findings provide theoretical insights and practical references for leveraging digital potential, enhancing organizational resilience, and achieving high-quality economic and social development.
{"title":"Has digital transformation enhanced the resilience of manufacturing enterprises?","authors":"Yuqing Zhan, Wanhong Li","doi":"10.1016/j.iref.2024.103688","DOIUrl":"10.1016/j.iref.2024.103688","url":null,"abstract":"<div><div>As environmental uncertainty and market competition intensify, the impact of digital transformation on the survival and development of enterprises has garnered increasing attention. This paper empirically examines the influence of digital transformation on the resilience of manufacturing firms, based on data from Chinese-listed manufacturing companies from 2013 to 2022. Additionally, the study also analyzes the role of dynamic capabilities in this process. It is found that digital transformation significantly enhances the resilience of manufacturing enterprises, primarily through improving their stability and growth. Extended regression results indicate that the breadth of digitalization significantly boosts firm resilience, while the impact of the depth of digitalization on resilience varies with the type of technology implemented. Mechanism tests from the perspective of dynamic capabilities reveal that digital transformation enhances organizational resilience by improving adaptive and absorptive capacities. Further analysis shows that in the face of significant unexpected shocks, enterprises that have implemented digital transformation exhibit significantly greater resilience compared to those that have not. These findings provide theoretical insights and practical references for leveraging digital potential, enhancing organizational resilience, and achieving high-quality economic and social development.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103688"},"PeriodicalIF":4.8,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142536983","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 : 2024-10-15DOI: 10.1016/j.iref.2024.103670
Xiaojian Yu , Zhiyong Li , Donald Lien , Jinqiang Hu
With the increasing openness of China's financial markets, it is important to address cross-border capital risks. This paper first calculates the stress indicators of financial markets by 24 variables, and then utilizes the Diebold-Yilmaz connectedness approach to examine the spillover effects among the volatility of cross-border capital and the stress indicators of various financial markets. We show both the real estate and stock market are crucial for cross-border capital flow. Using the rolling window method, we find significant time-varying spillovers between cross-border capital and financial markets, which peak during the periods with significant events such as the global financial crisis, the COVID-19 epidemic, and the shift in currency regime. This paper further applies the Markov-switching autoregressive model to identify three different states for the synthetic financial stress. After re-analyzing the subsample data, we observe that stock and real estate markets play significant roles in the low-stress state, foreign exchange and real estate markets in the medium-stress state, and stock and money markets in the high-stress state.
{"title":"Identifying crucial financial markets in the flows of cross-border capital – evidence from China's financial risk network","authors":"Xiaojian Yu , Zhiyong Li , Donald Lien , Jinqiang Hu","doi":"10.1016/j.iref.2024.103670","DOIUrl":"10.1016/j.iref.2024.103670","url":null,"abstract":"<div><div>With the increasing openness of China's financial markets, it is important to address cross-border capital risks. This paper first calculates the stress indicators of financial markets by 24 variables, and then utilizes the Diebold-Yilmaz connectedness approach to examine the spillover effects among the volatility of cross-border capital and the stress indicators of various financial markets. We show both the real estate and stock market are crucial for cross-border capital flow. Using the rolling window method, we find significant time-varying spillovers between cross-border capital and financial markets, which peak during the periods with significant events such as the global financial crisis, the COVID-19 epidemic, and the shift in currency regime. This paper further applies the Markov-switching autoregressive model to identify three different states for the synthetic financial stress. After re-analyzing the subsample data, we observe that stock and real estate markets play significant roles in the low-stress state, foreign exchange and real estate markets in the medium-stress state, and stock and money markets in the high-stress state.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103670"},"PeriodicalIF":4.8,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142537114","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 : 2024-10-12DOI: 10.1016/j.iref.2024.103669
Ge Yang , Ximing Yin
We examine how individual stock price reacts to intraday and overnight market information. By examining stock betas, we document a stark gap between day beta and night beta and nontrivial asynchronous beta, which captures the slow diffusion of information. We provide evidence that this information delay can predict future stock returns over a one-month period. Long-short portfolios sorted on the gap between day beta and night beta and asynchronous beta generate raw returns of 0.8% and 0.39% and risk-adjusted alphas of 0.77% and 0.28% per month. These results are robust to alternative asset pricing models and when controlling for firm characteristics, such as size, book-to-market ratios, liquidity, investor recognition and limits-to-arbitrage characteristics. We also explore the heterogeneity of the information delay premium and find that the predictive power of information delay for future return is stronger among small, value firms, less visible firms, illiquid firms and firms with higher limit-to-arbitrage. We further provide evidence that our measure of price delay indeed offers incremental information for cross-section return prediction after we explicitly control for the conventional measure of Hou and Moskowitz (2005)'s price delay.
{"title":"Stock price delay and the cross-section of expected returns: A story of night and day","authors":"Ge Yang , Ximing Yin","doi":"10.1016/j.iref.2024.103669","DOIUrl":"10.1016/j.iref.2024.103669","url":null,"abstract":"<div><div>We examine how individual stock price reacts to intraday and overnight market information. By examining stock betas, we document a stark gap between day beta and night beta and nontrivial asynchronous beta, which captures the slow diffusion of information. We provide evidence that this information delay can predict future stock returns over a one-month period. Long-short portfolios sorted on the gap between day beta and night beta and asynchronous beta generate raw returns of 0.8% and 0.39% and risk-adjusted alphas of 0.77% and 0.28% per month. These results are robust to alternative asset pricing models and when controlling for firm characteristics, such as size, book-to-market ratios, liquidity, investor recognition and limits-to-arbitrage characteristics. We also explore the heterogeneity of the information delay premium and find that the predictive power of information delay for future return is stronger among small, value firms, less visible firms, illiquid firms and firms with higher limit-to-arbitrage. We further provide evidence that our measure of price delay indeed offers incremental information for cross-section return prediction after we explicitly control for the conventional measure of Hou and Moskowitz (2005)'s price delay.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103669"},"PeriodicalIF":4.8,"publicationDate":"2024-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142537106","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 : 2024-10-11DOI: 10.1016/j.iref.2024.103677
Abbas Ali Chandio , Dicle Ozdemir , Samuel A. Vigne , Anna Min Du
The existing literature has extensively explored the role of financial development in boosting agricultural output. However, there is a lack of empirical research on the effects of broad money and banking credits on food production in East Asian countries. This study addresses this gap by examining the relationship between financial variables and agriculture in selected East Asian economies from 1995 to 2019, focusing on food security. Our findings indicate that increases in broad money and financial sector credit significantly enhance long-term food security by 0.216% and 0.846%, respectively. Additionally, we observed positive correlations between food security and agricultural inputs: a 1% increase in agricultural land, fertilizer use, and renewable energy adoption improves food security by 0.219%, 0.049%, and 0.146%, respectively. Robustness checks and Granger causality tests further validate these results. This study underscores the critical role of financial resources and agricultural inputs in food security and calls for a reassessment of credit systems to mitigate any adverse effects. These findings provide important insights for policymakers aiming to strengthen food security in East Asia.
{"title":"Towards sustainable agricultural development and food security in East Asia: The role of broad money and banking credits","authors":"Abbas Ali Chandio , Dicle Ozdemir , Samuel A. Vigne , Anna Min Du","doi":"10.1016/j.iref.2024.103677","DOIUrl":"10.1016/j.iref.2024.103677","url":null,"abstract":"<div><div>The existing literature has extensively explored the role of financial development in boosting agricultural output. However, there is a lack of empirical research on the effects of broad money and banking credits on food production in East Asian countries. This study addresses this gap by examining the relationship between financial variables and agriculture in selected East Asian economies from 1995 to 2019, focusing on food security. Our findings indicate that increases in broad money and financial sector credit significantly enhance long-term food security by 0.216% and 0.846%, respectively. Additionally, we observed positive correlations between food security and agricultural inputs: a 1% increase in agricultural land, fertilizer use, and renewable energy adoption improves food security by 0.219%, 0.049%, and 0.146%, respectively. Robustness checks and Granger causality tests further validate these results. This study underscores the critical role of financial resources and agricultural inputs in food security and calls for a reassessment of credit systems to mitigate any adverse effects. These findings provide important insights for policymakers aiming to strengthen food security in East Asia.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103677"},"PeriodicalIF":4.8,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142437709","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 : 2024-10-11DOI: 10.1016/j.iref.2024.103673
Shaner Chu , Limei Chen , Ye Liu
This paper investigates the impact of industrial agglomeration on corporate carbon emissions in China. We measure the extent of industrial agglomeration utilizing distance-based continuous spatial measurement, differentiating between the quantity and scale of agglomeration. Using a panel of 7895 firm-year observations from 2007 to 2019, our findings indicate that regional industrial agglomeration contributes to a reduction in carbon emissions for firms located within those regions. Specifically, this reduction is primarily achieved through the alleviation of corporate financial constraints. We demonstrate that industrial agglomeration facilitates firms in accessing informal finance (e.g., trade credit) more effectively than formal finance (e.g., bank loans). Additionally, we find that the effect of industrial agglomeration on reducing carbon emissions is more pronounced for firms with higher environmental responsibility, while it is diminished in regions with greater marketization. The carbon reduction effect is also more significant for heavily polluting firms and those situated in areas with stricter environmental regulations. Furthermore, our study reveals that the implementation of green credit policies may weaken the carbon reduction effect of agglomeration by limiting access to financial resources. The robustness of our main results is confirmed through the Bartik-IV test and other robustness checks. Taken together, our findings suggest that industrial agglomeration can effectively lower corporate carbon emissions by easing financial constraints, offering valuable insights into strategies for enhancing corporate environmental performance.
{"title":"Does industrial agglomeration curb corporate carbon emissions? A perspective of financial constraints","authors":"Shaner Chu , Limei Chen , Ye Liu","doi":"10.1016/j.iref.2024.103673","DOIUrl":"10.1016/j.iref.2024.103673","url":null,"abstract":"<div><div>This paper investigates the impact of industrial agglomeration on corporate carbon emissions in China. We measure the extent of industrial agglomeration utilizing distance-based continuous spatial measurement, differentiating between the quantity and scale of agglomeration. Using a panel of 7895 firm-year observations from 2007 to 2019, our findings indicate that regional industrial agglomeration contributes to a reduction in carbon emissions for firms located within those regions. Specifically, this reduction is primarily achieved through the alleviation of corporate financial constraints. We demonstrate that industrial agglomeration facilitates firms in accessing informal finance (e.g., trade credit) more effectively than formal finance (e.g., bank loans). Additionally, we find that the effect of industrial agglomeration on reducing carbon emissions is more pronounced for firms with higher environmental responsibility, while it is diminished in regions with greater marketization. The carbon reduction effect is also more significant for heavily polluting firms and those situated in areas with stricter environmental regulations. Furthermore, our study reveals that the implementation of green credit policies may weaken the carbon reduction effect of agglomeration by limiting access to financial resources. The robustness of our main results is confirmed through the Bartik-IV test and other robustness checks. Taken together, our findings suggest that industrial agglomeration can effectively lower corporate carbon emissions by easing financial constraints, offering valuable insights into strategies for enhancing corporate environmental performance.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103673"},"PeriodicalIF":4.8,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142442501","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 : 2024-10-11DOI: 10.1016/j.iref.2024.103668
Yanfeng Wang , Rui Ke , Dong Yang
This paper introduces a novel approach to estimating time-varying higher-order comoments from a theoretical standpoint. We present how to estimate the dynamic higher-order comoments of asset returns under the copula framework, which builds on the ARCD and copula-DCC models to capture the time variation in higher-order moments and correlations of asset returns. Additionally, the elements in the coskewness and cokurtosis matrices are calculated by the double, triple, and quadruple integrals associated with the joint density function of asset returns. The empirical application to five international market indexes shows that the portfolio with time-varying higher-order comoments estimated by the copula approach significantly outperforms equally weighted and mean–variance strategies in economic performance. The robustness analysis verifies the validity and robustness of the proposed estimation method. Our research offers fresh insights for portfolio analysis and risk management decision-making in practical scenarios.
{"title":"Modeling dynamic higher-order comoments for portfolio selection based on copula approach","authors":"Yanfeng Wang , Rui Ke , Dong Yang","doi":"10.1016/j.iref.2024.103668","DOIUrl":"10.1016/j.iref.2024.103668","url":null,"abstract":"<div><div>This paper introduces a novel approach to estimating time-varying higher-order comoments from a theoretical standpoint. We present how to estimate the dynamic higher-order comoments of asset returns under the copula framework, which builds on the ARCD and copula-DCC models to capture the time variation in higher-order moments and correlations of asset returns. Additionally, the elements in the coskewness and cokurtosis matrices are calculated by the double, triple, and quadruple integrals associated with the joint density function of asset returns. The empirical application to five international market indexes shows that the portfolio with time-varying higher-order comoments estimated by the copula approach significantly outperforms equally weighted and mean–variance strategies in economic performance. The robustness analysis verifies the validity and robustness of the proposed estimation method. Our research offers fresh insights for portfolio analysis and risk management decision-making in practical scenarios.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103668"},"PeriodicalIF":4.8,"publicationDate":"2024-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142537113","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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