Journal of Empirical Finance最新文献

英文中文

Jump tail risk exposure and the cross-section of stock returns 跳跃尾部风险暴露与股票收益截面

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-11-02 DOI: 10.1016/j.jempfin.2024.101565

Lykourgos Alexiou , Leonidas S. Rompolis

We introduce a new jump tail risk measure retrieved from option prices. We examine the cross-sectional pricing of stocks according to their sensitivities to jump tail risk. We find a negative market price of jump tail risk. A high-low portfolio sorted by jump tail risk betas delivers a statistically and economically significant negative premium of -9.95% per year. Risk-adjusted returns are also negative and highly significant. We document that the negative jump tail risk premium is mainly driven by its downside jump tail risk component. On the contrary, the premium of the high-low portfolio sorted by upside jump tail risk betas is insignificant. The negative premium of downside jump tail risk is significant when controlling for various risk factor loadings and firm characteristics, and remains strong for large firms. Our results carry over to a predictive setting, in which we compare subsequent realized returns of the quintile portfolios sorted by downside jump tail risk betas estimated over the previous period.

我们从期权价格中引入了一种新的跳跃尾部风险度量。我们根据股票对跳空尾部风险的敏感性来研究股票的横截面定价。我们发现跳尾风险的市场价格为负值。按跳跃尾部风险押注排序的高低组合每年产生-9.95%的负溢价，这在统计和经济学上都是显著的。风险调整后的回报也是负的，而且非常显著。我们发现，负的跳跃尾部风险溢价主要是由其下行跳跃尾部风险部分驱动的。相反，按上行跳空尾部风险押注排序的高低组合的溢价并不显著。在控制了各种风险因素负载和公司特征后，下行跳空尾部风险的负溢价是显著的，而且对大型公司来说仍然很强。我们的结果还可以用于预测环境，即比较按上期估计的下行跳跃尾部风险押注排序的五分位投资组合的后续实现回报。

引用次数: 0

High-frequency realized stochastic volatility model 高频实现随机波动模型

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-11-02 DOI: 10.1016/j.jempfin.2024.101559

Toshiaki Watanabe , Jouchi Nakajima

A new high-frequency realized stochastic volatility model is proposed. Apart from the standard daily-frequency stochastic volatility model, the high-frequency stochastic volatility model is fit to intraday returns by extensively incorporating intraday volatility patterns. The daily realized volatility calculated using intraday returns is incorporated into the high-frequency stochastic volatility model by considering the bias in the daily realized volatility caused by microstructure noise. The volatility of intraday returns is assumed to consist of the autoregressive process, the seasonal component of the intraday volatility pattern, and the announcement component responding to macroeconomic announcements. A Bayesian method via Markov chain Monte Carlo is developed for the analysis of the proposed model. The empirical analysis using the 5-minute returns of E-mini S&P 500 futures provides evidence that our high-frequency realized stochastic volatility model improves in-sample model fit and volatility forecasting over the high-frequency stochastic volatility model.

本文提出了一种新的高频实现随机波动率模型。除了标准的日频随机波动率模型之外，高频随机波动率模型还通过广泛纳入日内波动率模式来拟合日内收益率。考虑到微观结构噪声对每日已实现波动率造成的偏差，利用盘中收益率计算的每日已实现波动率被纳入高频随机波动率模型。假定日内收益率的波动率由自回归过程、日内波动率模式的季节性成分和响应宏观经济公告的公告成分组成。通过马尔科夫链蒙特卡罗开发了一种贝叶斯方法，用于分析所提出的模型。利用 E-mini S&P 500 期货的 5 分钟收益率进行的实证分析证明，与高频随机波动率模型相比，我们的高频实现随机波动率模型提高了样本内模型拟合度和波动率预测能力。

引用次数: 0

Time-varying variance decomposition of macro-finance term structure models 宏观金融期限结构模型的时变方差分解

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-10-30 DOI: 10.1016/j.jempfin.2024.101563

Anne Lundgaard Hansen

This paper studies time-series patterns in the contribution of macroeconomic shocks to the variation in U.S. Treasury bond yields. I consider a term structure model with time-varying conditional volatility, which implies time variation in the decomposition of forecast error variances. Based on the model, I show that the macroeconomic contribution to the variation in short-term yields has increased since the 1970s. A similar pattern characterizes the variation in the expectations on future interest rates. This trend is not reflected in long-term yields because macroeconomic shocks drive negative correlations between short-rate expectations and term premia. Finally, I show that accounting for time-varying volatility is important even for estimating the average macroeconomic contribution to yield curve volatility over a fixed sample.

本文研究宏观经济冲击对美国国债收益率变化的贡献的时间序列模式。我考虑了一个具有时变条件波动性的期限结构模型，这意味着预测误差方差分解的时间变化。根据该模型，我发现自 20 世纪 70 年代以来，宏观经济对短期收益率变化的影响越来越大。对未来利率预期的变化也呈现出类似的模式。这一趋势并没有反映在长期收益率上，因为宏观经济冲击导致短期利率预期与期限溢价之间出现负相关。最后，我证明了考虑时变波动性即使对于估计固定样本中宏观经济对收益率曲线波动性的平均贡献也很重要。

引用次数: 0

Technological shocks and stock market volatility over a century 一个世纪以来的技术冲击和股市波动

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-10-25 DOI: 10.1016/j.jempfin.2024.101561

Afees A. Salisu , Riza Demirer , Rangan Gupta

This paper provides a novel perspective on the innovation-stock market nexus by examining the predictive relationship between technological shocks and stock market volatility using data over a period of more than 140 years. Utilizing annual patent data for the U.S. and a large set of economies to create proxies for local and global technological shocks and a mixed-sampling data (MIDAS) framework, we present robust evidence that technological shocks capture significant predictive information regarding future realizations of stock market volatility, both in- and out-of-sample and at both the short and long forecast horizons. Further economic analysis shows that investment portfolios created by the volatility forecasts obtained from the forecasting models that incorporate technological shocks as predictors in volatility models experience significantly lower return volatility in the out-of-sample horizons, which in turn helps to improve the risk-return profile of those portfolios. Our findings present a novel take on the nexus between technological innovations and stock market dynamics and pave the way for several interesting avenues for future research regarding the role of technological innovations on asset pricing tests and portfolio models.

本文利用 140 多年的数据研究了技术冲击与股市波动之间的预测关系，为创新与股市之间的关系提供了一个新的视角。我们利用美国和一大批经济体的年度专利数据创建了本地和全球技术冲击的代理变量，并利用混合抽样数据（MIDAS）框架，提出了强有力的证据，证明技术冲击在样本内和样本外，以及在短期和长期预测视角下，都能捕捉到有关股市波动性未来变现的重要预测信息。进一步的经济分析表明，通过预测模型获得的波动率预测所创建的投资组合，如果在波动率模型中将技术冲击作为预测因子，则在样本外水平上的收益波动率会显著降低，这反过来又有助于改善这些投资组合的风险收益状况。我们的研究结果为技术创新与股票市场动态之间的关系提供了新的视角，并为今后研究技术创新对资产定价测试和投资组合模型的作用铺平了道路。

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引用次数: 0

Is firm-level political risk priced in the corporate bond market? 公司层面的政治风险是否已在公司债券市场上定价？

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-10-24 DOI: 10.1016/j.jempfin.2024.101562

Luis Ceballos , Vanja Piljak , Laurens Swinkels

We investigate whether political risk is priced in the cross-section of corporate bond returns by using a text-based measure of firm-level political risk. We document a positive and significant political risk premium after controlling for bond and firm characteristics, conventional risk factors, and exposure to aggregate economic policy uncertainty. Bonds with higher political and credit risk, as well as smaller, more illiquid, and longer maturity corporate bonds exhibit a larger political risk premium. Time-series analysis indicates that monetary policy shocks and common shocks in the equity and bond market exhibit a statistically significant and positive association with the political risk premium. Our findings reveal the importance of idiosyncratic political risk beyond common risk factors and aggregate economic policy uncertainty.

我们通过使用基于文本的公司层面政治风险衡量标准，研究了政治风险是否在公司债券收益的横截面中被定价。在控制了债券和公司特征、常规风险因素以及总体经济政策不确定性风险敞口之后，我们发现政治风险溢价为正且显著。政治风险和信用风险较高的债券，以及规模较小、流动性较差和期限较长的公司债券表现出较大的政治风险溢价。时间序列分析表明，货币政策冲击以及股票和债券市场的共同冲击在统计上与政治风险溢价有显著的正相关关系。我们的研究结果揭示了除普通风险因素和总体经济政策不确定性之外，特异性政治风险的重要性。

引用次数: 0

Are stablecoins the money market mutual funds of the future? 稳定币是未来的货币市场共同基金吗？

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-10-22 DOI: 10.1016/j.jempfin.2024.101557

Nico Oefele, Dirk G. Baur, Lee A. Smales

This paper is the first to provide a comprehensive comparison of two financial instruments: stablecoins and money market mutual funds (MMFs). We observe similar reserve asset backing for fiat reserve backed (FRB) stablecoins and MMFs, similar importance of sponsor support, and the same negative association between macroeconomic indicators and peg deviations. Both instruments serve as short-term facilities for investors to park funds and their primary market microstructure is similar. However, FRB stablecoins exhibit larger dispersions from the dollar peg, significantly higher volatility, and a lack of transparency in their market infrastructure. Larger FRB stablecoins show reduced volatility compared to their smaller counterparts, with peg deviation drivers more closely resembling those of MMFs. We conclude that FRB stablecoins demonstrate remarkable similarities to MMFs and have the potential to become the MMFs of the future.

本文首次对稳定币和货币市场共同基金（MMF）这两种金融工具进行了全面比较。我们观察到，法币储备支持（FRB）的稳定币和货币市场共同基金的储备资产支持相似，赞助商支持的重要性相似，宏观经济指标和挂钩偏差之间的负相关关系相同。这两种工具都是投资者存放资金的短期工具，其一级市场的微观结构也相似。然而，联邦储备银行稳定币与美元挂钩的偏差更大，波动性明显更高，而且其市场基础设施缺乏透明度。与规模较小的稳定币相比，规模较大的 FRB 稳定币显示出较低的波动性，其盯住偏离驱动因素与 MMF 更为相似。我们的结论是，FRB 稳定币与 MMF 非常相似，有可能成为未来的 MMF。

引用次数: 0

Can existing corporate finance theories explain security offerings during the COVID-19 pandemic? 现有的公司财务理论能否解释 COVID-19 大流行期间的证券发行？

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-10-20 DOI: 10.1016/j.jempfin.2024.101558

Marie Dutordoir , Joshua Shemesh , Chris Veld , Qing Wang

We document substantial increases in corporate security offerings during the COVID pandemic. While the increase in seasoned equity offerings (SEOs) can be attributed to shifts in macroeconomic conditions, increases in convertible and straight bond offerings cannot be explained by standard security choice determinants. We furthermore find that COVID-period SEO announcements are often contaminated with Research and Development (R&D)-related news, with the SEO proceeds more likely to be hoarded as cash. Overall, COVID-period SEOs align with market timing behavior, but the increase in COVID-period convertibles and straight bonds cannot be reconciled with pre-pandemic corporate financing rationales or government interventions. We furthermore demonstrate that the COVID pandemic differs substantially from the Global Financial Crisis (GFC) in terms of security offering choices and announcement returns.

我们记录了 COVID 大流行期间公司证券发行的大幅增长。证券发行的增加可以归因于宏观经济条件的变化，而可转换债券和直接债券发行的增加则无法用标准的证券选择决定因素来解释。此外，我们还发现，COVID 期间的 SEO 公告往往被研发（R&D）相关新闻所污染，SEO 募集的资金更有可能被囤积为现金。总体而言，COVID 期 SEO 符合市场时机行为，但 COVID 期可转换债券和直接债券的增加与大流行前的企业融资理由或政府干预无法调和。我们还进一步证明，在证券发行选择和公告回报方面，COVID 大流行与全球金融危机（GFC）有很大不同。

引用次数: 0

Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio 短期动能和反转、换手率以及股价与 52 周最高价的比率

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-10-18 DOI: 10.1016/j.jempfin.2024.101556

Chen Chen , Chris Stivers , Licheng Sun

We show that short-term reversal behavior declines with a stock’s turnover and the prior month’s price-to-52-week-high ratio (PTH), shifting to momentum for stocks with both a relatively high turnover and PTH. This behavior of consecutive one-month individual stock returns is robust to subperiod analysis, risk adjustments, and alternative methodologies. Our findings suggest opposing channels. First, promoting short-term momentum, our evidence implies a PTH-anchoring underreaction to recent news, consistent with the short-term contrarian price-dampening channel of Atmaz et al. (2024) with higher turnover implying a stronger contrarian-induced underreaction. Second, promoting short-term reversals, our evidence reinforces the importance of the well-known liquidity-provision-compensation channel. Reversals are especially strong for low-PTH, low-turnover stocks, where the lower PTH implies a generally smaller-cap, less-liquid stock and the lower turnover implies a weaker contrarian-induced underreaction. We also find that the return behaviors vary with dispersion in analysts’ earnings forecasts and with market-wide sentiment, in a manner consistent with these channels.

我们的研究表明，短期反转行为会随着股票换手率和上月价格与 52 周最高价之比（PTH）的下降而下降，对于换手率和 PTH 都相对较高的股票，短期反转行为会转向动量。连续一个月的个股收益率的这种行为对子周期分析、风险调整和替代方法都是稳健的。我们的研究结果表明了两种截然相反的渠道。首先，在促进短期动量方面，我们的证据意味着 PTH 锚定对近期新闻的反应不足，这与 Atmaz 等人（2024 年）的短期逆向价格抑制渠道一致，较高的换手率意味着逆向引起的反应不足更强。其次，在促进短期反转方面，我们的证据加强了众所周知的流动性供应补偿渠道的重要性。低 PTH、低换手率股票的反转尤其强烈，PTH 越低意味着股票市值越小、流动性越低，换手率越低意味着逆向投资引起的反应不足越弱。我们还发现，收益行为随分析师盈利预测的离散度和整个市场情绪的变化而变化，这与这些渠道是一致的。

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引用次数: 0

Financial statement disaggregation and bank loan pricing 财务报表分类和银行贷款定价

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-09-30 DOI: 10.1016/j.jempfin.2024.101555

Chien-Lin Lu , Chih-Yung Lin , Tse-Chun Lin , Bin Miao

We analyze whether the disaggregation quality (DQ) of a borrower's financial statement is associated with its bank loan pricing. We find that firms with high DQ have low spreads on their bank loans. This result is more pronounced for firms with positive financial prospects, higher risk, and no prior banking relationship with the lenders. Moreover, a high DQ is associated with a low total cost of borrowing, high credit rating, and low spreads on bond issues. Overall, our results show that disaggregated financial statements facilitate bank loan pricing by enabling lenders to make better predictions of their borrowers’ future performance.

我们分析了借款人财务报表的分类质量（DQ）是否与其银行贷款定价有关。我们发现，DQ 高的公司银行贷款利差低。对于财务前景看好、风险较高、之前与贷款人没有银行业务关系的企业来说，这一结果更为明显。此外，高 DQ 与低总借贷成本、高信用评级和低债券发行利差相关。总之，我们的研究结果表明，分类财务报表使贷款人能够更好地预测借款人的未来表现，从而有利于银行贷款定价。

引用次数: 0

Local labor market and corporate investment 当地劳动力市场和企业投资

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-09-24 DOI: 10.1016/j.jempfin.2024.101554

Yao Ge , Wei Huang , Zheng Qiao , Hao Zheng

To capture local labor market pooling in agglomeration economics, we employ segment information and occupation statistics to construct firm-pair labor force similarities. Our findings indicate a positive relation between local labor market thickness and corporate investment, influenced by both employer-driven labor demand and employee-driven labor supply. The findings are more pronounced in firms with more skilled labor, less routine-task labor, and higher product and technology competitions. Firms in thicker local labor markets also display higher investment efficiency, higher operating efficiency, and higher valuation. To mitigate the endogeneity concern, we employ an instrumental variable approach to show robustness. Overall, we uncover a specific linkage between the local labor market and corporate investment.

为了捕捉集聚经济学中的本地劳动力市场集聚，我们利用分部信息和职业统计来构建企业对劳动力的相似性。我们的研究结果表明，受雇主驱动的劳动力需求和雇员驱动的劳动力供给的影响，当地劳动力市场厚度与企业投资之间存在正相关关系。在拥有更多熟练劳动力、更少常规任务劳动力以及更高的产品和技术竞争力的企业中，这种关系更为明显。当地劳动力市场较发达的企业也显示出较高的投资效率、运营效率和估值。为了减少内生性问题，我们采用了工具变量法来显示稳健性。总体而言，我们发现了当地劳动力市场与企业投资之间的特定联系。

引用次数: 0

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Journal of Empirical Finance

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