Pub Date : 2026-02-01DOI: 10.1016/j.jempfin.2026.101686
Xuejun Jin , Yifan Chen , Xiaobin Liu , Tao Zeng
We investigate the cross-section of Chinese corporate bond returns using reduced-rank regression analysis (RRA) proposed by He et al. (2022). We collect 31 individual bond characteristics documented in the prior literature and construct 34 bond portfolios. Empirically, we find that an RRA three-factor model outperforms traditional factor models, and competing dimension-reduction methods (PCA and PLS) both in-sample and out-of-sample. The bond market factor is the dominant predictor, accounting for approximately 80% of the total explanatory power of RRA models, while other factors provide limited incremental pricing information, highlighting the need to find new bond factors. Furthermore, equity anomalies fail to improve the explanatory power of RRA models, only partially explaining the systematic component of bond returns within the RRA framework while providing negligible information for the idiosyncratic component.
{"title":"Factors in the cross-section of Chinese corporate bonds: Evidence from reduced-rank analysis","authors":"Xuejun Jin , Yifan Chen , Xiaobin Liu , Tao Zeng","doi":"10.1016/j.jempfin.2026.101686","DOIUrl":"10.1016/j.jempfin.2026.101686","url":null,"abstract":"<div><div>We investigate the cross-section of Chinese corporate bond returns using reduced-rank regression analysis (RRA) proposed by He et al. (2022). We collect 31 individual bond characteristics documented in the prior literature and construct 34 bond portfolios. Empirically, we find that an RRA three-factor model outperforms traditional factor models, and competing dimension-reduction methods (PCA and PLS) both in-sample and out-of-sample. The bond market factor is the dominant predictor, accounting for approximately 80% of the total explanatory power of RRA models, while other factors provide limited incremental pricing information, highlighting the need to find new bond factors. Furthermore, equity anomalies fail to improve the explanatory power of RRA models, only partially explaining the systematic component of bond returns within the RRA framework while providing negligible information for the idiosyncratic component.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101686"},"PeriodicalIF":2.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146073645","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 : 2026-01-29DOI: 10.1016/j.jempfin.2026.101694
Jingjing Chen , George J. Jiang , Chenye Liu , Dongming Zhu
We propose a simple momentum indicator positivity, defined as the percentage of days with non-negative returns, and show that it has a strong predictive power for stock returns over long horizons up to five years. The return-predictive power outlasts other conventional momentum indicators, including past stock returns and stock return consistency. We show that winners identified by positivity are young small-medium value firms, with relatively low sales growth but high earnings growth and robust fundamentals. Moreover, we show that in contrast to volatile “glamorous” growth stocks, these steady value stocks receive less attention of short-term speculative and noise traders and have modest valuation. Finally, we show that the long-lasting momentum of high positivity stocks is justified by persistent superior fundamental performance.
{"title":"Positivity and long-lasting momentum","authors":"Jingjing Chen , George J. Jiang , Chenye Liu , Dongming Zhu","doi":"10.1016/j.jempfin.2026.101694","DOIUrl":"10.1016/j.jempfin.2026.101694","url":null,"abstract":"<div><div>We propose a simple momentum indicator <em>positivity</em>, defined as the percentage of days with non-negative returns, and show that it has a strong predictive power for stock returns over long horizons up to five years. The return-predictive power outlasts other conventional momentum indicators, including past stock returns and stock return consistency. We show that winners identified by positivity are young small-medium value firms, with relatively low sales growth but high earnings growth and robust fundamentals. Moreover, we show that in contrast to volatile “glamorous” growth stocks, these steady value stocks receive less attention of short-term speculative and noise traders and have modest valuation. Finally, we show that the long-lasting momentum of high positivity stocks is justified by persistent superior fundamental performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"87 ","pages":"Article 101694"},"PeriodicalIF":2.4,"publicationDate":"2026-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146122635","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 : 2026-01-20DOI: 10.1016/j.jempfin.2026.101687
Jo Drienko, Chao Gao, Yifei Liu
The return cross-section of a mutual fund’s portfolio holdings is positively skewed on average. At the fund level, portfolio skewness varies substantially across funds but remains highly persistent over time. We show that actively managed mutual funds with high portfolio skewness outperform funds with low skewness by 2.88% ($7.35 million) on an annualized basis. This association is not driven by past performance of portfolio holdings and becomes stronger amid more investment opportunities in the market. Further stock-level analyses reveal that shares added or tilted to by high skewness funds relative to low skewness funds significantly outperform their counterparts, pointing to stock selection skill as an explanation for both the portfolio skewness and its predictability of fund performance. In addition, funds with higher skewness attract higher inflows.
{"title":"A skew is a skill: Portfolio skewness of mutual fund holdings","authors":"Jo Drienko, Chao Gao, Yifei Liu","doi":"10.1016/j.jempfin.2026.101687","DOIUrl":"10.1016/j.jempfin.2026.101687","url":null,"abstract":"<div><div>The return cross-section of a mutual fund’s portfolio holdings is positively skewed on average. At the fund level, portfolio skewness varies substantially across funds but remains highly persistent over time. We show that actively managed mutual funds with high portfolio skewness outperform funds with low skewness by 2.88% ($7.35 million) on an annualized basis. This association is not driven by past performance of portfolio holdings and becomes stronger amid more investment opportunities in the market. Further stock-level analyses reveal that shares added or tilted to by high skewness funds relative to low skewness funds significantly outperform their counterparts, pointing to stock selection skill as an explanation for both the portfolio skewness and its predictability of fund performance. In addition, funds with higher skewness attract higher inflows.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101687"},"PeriodicalIF":2.4,"publicationDate":"2026-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146022310","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 : 2025-12-31DOI: 10.1016/j.jempfin.2025.101685
Zhenjie Qian , Dan Xi , Jia Xu , Lingrui Zhou
This study examines how tax policy reforms influence corporate capital structure by leveraging China’s business tax to value-added tax (B2V) Reform as a quasi-natural experiment. Using a staggered difference-in-differences design with listed firms’ data from 2009 to 2015, we find that firms affected by the B2V reform reduced leverage by an average of 1.8 percentage points compared to unaffected firms. Profitability gains—primarily from cost reductions made possible by value-added tax’s (VAT’s) deductibility—explain approximately 60% of this deleveraging effect. Heterogeneity analyses reveal that the effect is more pronounced among firms with stronger supply chain bargaining power, underscoring the importance of a firm’s ability to shift tax burdens in shaping financial decisions after the reform. Additional evidence shows declines in both dividend payouts and short-term liabilities during deleveraging, suggesting that the observed profitability improvements were temporary. Overall, these findings provide empirical support for the pecking order theory and underscore the broader capital structure implications of indirect tax reforms.
{"title":"Deleveraging driven by profitability improvement: Evidence from China’s business tax to value-added tax transition","authors":"Zhenjie Qian , Dan Xi , Jia Xu , Lingrui Zhou","doi":"10.1016/j.jempfin.2025.101685","DOIUrl":"10.1016/j.jempfin.2025.101685","url":null,"abstract":"<div><div>This study examines how tax policy reforms influence corporate capital structure by leveraging China’s business tax to value-added tax (B2V) Reform as a quasi-natural experiment. Using a staggered difference-in-differences design with listed firms’ data from 2009 to 2015, we find that firms affected by the B2V reform reduced leverage by an average of 1.8 percentage points compared to unaffected firms. Profitability gains—primarily from cost reductions made possible by value-added tax’s (VAT’s) deductibility—explain approximately 60% of this deleveraging effect. Heterogeneity analyses reveal that the effect is more pronounced among firms with stronger supply chain bargaining power, underscoring the importance of a firm’s ability to shift tax burdens in shaping financial decisions after the reform. Additional evidence shows declines in both dividend payouts and short-term liabilities during deleveraging, suggesting that the observed profitability improvements were temporary. Overall, these findings provide empirical support for the pecking order theory and underscore the broader capital structure implications of indirect tax reforms.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101685"},"PeriodicalIF":2.4,"publicationDate":"2025-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146023059","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 : 2025-12-29DOI: 10.1016/j.jempfin.2025.101684
Yong Kyu Gam
Can the introduction of a new global standard directly impact the operations of domestically regulated banks before it is enacted through national legislation? This paper explores this question by examining the effects of the Basel III liquidity standard on liquidity creation by U.S. banks. Following the Basel Committee’s endorsement of this standard in December 2010, banks with low liquidity immediately reduced their asset-side liquidity creation by holding more liquid assets. At the same time, these banks increased their liability-side liquidity creation by attracting more deposits through higher deposit interest rates—well before the standard was implemented as domestic regulation in the U.S. These findings provide empirical evidence that enhanced global regulatory cooperation can cause newly established international standards to act as direct and immediate regulatory shocks to domestically regulated financial institutions, even in the absence of national legislation.
{"title":"Global standard and bank liquidity creation: A case study of Basel III liquidity regulation","authors":"Yong Kyu Gam","doi":"10.1016/j.jempfin.2025.101684","DOIUrl":"10.1016/j.jempfin.2025.101684","url":null,"abstract":"<div><div>Can the introduction of a new global standard directly impact the operations of domestically regulated banks before it is enacted through national legislation? This paper explores this question by examining the effects of the Basel III liquidity standard on liquidity creation by U.S. banks. Following the Basel Committee’s endorsement of this standard in December 2010, banks with low liquidity immediately reduced their asset-side liquidity creation by holding more liquid assets. At the same time, these banks increased their liability-side liquidity creation by attracting more deposits through higher deposit interest rates—well before the standard was implemented as domestic regulation in the U.S. These findings provide empirical evidence that enhanced global regulatory cooperation can cause newly established international standards to act as direct and immediate regulatory shocks to domestically regulated financial institutions, even in the absence of national legislation.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101684"},"PeriodicalIF":2.4,"publicationDate":"2025-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145880100","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 : 2025-12-08DOI: 10.1016/j.jempfin.2025.101683
Xiaolin Ye, Baibing Li, Kai-Hong Tee
A distinctive feature of hedge funds is their dynamic style of trading; hedge funds may shift the investment style in their lifetime. Style shifting is a strategic decision for funds which is beyond the more traditional stock-picking and market-timing carried out at the operational level. This paper tests and validates the performance implications of style-selection skill of hedge funds. Based on the trading style identification through Probabilistic Principal Component Analysis and the measure of style-selection skill developed in this paper, we find that such skill has predictive power for future fund performance, persisting for up to one year. In addition, our findings reveal that funds exhibiting greater style-selection skill enhance the probability of survival. Furthermore, we show that smaller, solo-managed funds operated by managers with longer tenure and higher management fees tend to have greater style-selection skill. Our findings support investors’ decisions when selecting hedge funds. It also opens a new perspective for managerial skills in active money management, reflecting managers’ expertise in data processing about micro and macro information and shocks to achieve success, when considering the investment style.
{"title":"On evaluating the style-selection skill of hedge funds","authors":"Xiaolin Ye, Baibing Li, Kai-Hong Tee","doi":"10.1016/j.jempfin.2025.101683","DOIUrl":"10.1016/j.jempfin.2025.101683","url":null,"abstract":"<div><div>A distinctive feature of hedge funds is their dynamic style of trading; hedge funds may shift the investment style in their lifetime. Style shifting is a strategic decision for funds which is beyond the more traditional stock-picking and market-timing carried out at the operational level. This paper tests and validates the performance implications of style-selection skill of hedge funds. Based on the trading style identification through Probabilistic Principal Component Analysis and the measure of style-selection skill developed in this paper, we find that such skill has predictive power for future fund performance, persisting for up to one year. In addition, our findings reveal that funds exhibiting greater style-selection skill enhance the probability of survival. Furthermore, we show that smaller, solo-managed funds operated by managers with longer tenure and higher management fees tend to have greater style-selection skill. Our findings support investors’ decisions when selecting hedge funds. It also opens a new perspective for managerial skills in active money management, reflecting managers’ expertise in data processing about micro and macro information and shocks to achieve success, when considering the investment style.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101683"},"PeriodicalIF":2.4,"publicationDate":"2025-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145733684","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 : 2025-11-28DOI: 10.1016/j.jempfin.2025.101668
Moritz Dauber, Jochen Lawrenz
We revisit the ability of the consumption–wealth ratio () to forecast stock market returns and document a substantial decline in predictability over the last two decades. This decay of goes along with a structural shift in the underlying cointegration relationship, which can be attributed to the fact that asset wealth evolves increasingly detached from aggregate consumption and labor income. We propose a new version of derived only from the top 10% richest households and show that among various other proposed improvements of , this appears as the most promising empirical proxy for the still appealing theory.
{"title":"The decay of cay","authors":"Moritz Dauber, Jochen Lawrenz","doi":"10.1016/j.jempfin.2025.101668","DOIUrl":"10.1016/j.jempfin.2025.101668","url":null,"abstract":"<div><div>We revisit the ability of the consumption–wealth ratio (<span><math><mrow><mi>c</mi><mi>a</mi><mi>y</mi></mrow></math></span>) to forecast stock market returns and document a substantial decline in predictability over the last two decades. This decay of <span><math><mrow><mi>c</mi><mi>a</mi><mi>y</mi></mrow></math></span> goes along with a structural shift in the underlying cointegration relationship, which can be attributed to the fact that asset wealth evolves increasingly detached from aggregate consumption and labor income. We propose a new version of <span><math><mrow><mi>c</mi><mi>a</mi><mi>y</mi></mrow></math></span> derived only from the top 10% richest households and show that among various other proposed improvements of <span><math><mrow><mi>c</mi><mi>a</mi><mi>y</mi></mrow></math></span>, this appears as the most promising empirical proxy for the still appealing theory.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101668"},"PeriodicalIF":2.4,"publicationDate":"2025-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145682651","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 : 2025-11-27DOI: 10.1016/j.jempfin.2025.101671
Luca Vincenzo Ballestra , Enzo D’Innocenzo , Christian Tezza
We introduce a novel GARCH model that integrates two sources of uncertainty to better capture the rich, multi-component dynamics often observed in the volatility of financial assets. This model provides a quasi closed-form representation of the characteristic function for future log-returns, from which semi-analytical formulas for option pricing can be derived. A theoretical analysis is conducted to establish sufficient conditions for strict stationarity and geometric ergodicity, while also obtaining the continuous-time diffusion limit of the model. Empirical evaluations, conducted both in-sample and out-of-sample using S&P500 time series data, show that our model outperforms widely used single-factor models in predicting returns and option prices. The code for estimating the model, as well as for computing option prices, is made accessible in MATLAB language.1
{"title":"A GARCH model with two volatility components and two driving factors","authors":"Luca Vincenzo Ballestra , Enzo D’Innocenzo , Christian Tezza","doi":"10.1016/j.jempfin.2025.101671","DOIUrl":"10.1016/j.jempfin.2025.101671","url":null,"abstract":"<div><div>We introduce a novel GARCH model that integrates two sources of uncertainty to better capture the rich, multi-component dynamics often observed in the volatility of financial assets. This model provides a quasi closed-form representation of the characteristic function for future log-returns, from which semi-analytical formulas for option pricing can be derived. A theoretical analysis is conducted to establish sufficient conditions for strict stationarity and geometric ergodicity, while also obtaining the continuous-time diffusion limit of the model. Empirical evaluations, conducted both in-sample and out-of-sample using S&P500 time series data, show that our model outperforms widely used single-factor models in predicting returns and option prices. The code for estimating the model, as well as for computing option prices, is made accessible in MATLAB language.<span><span><sup>1</sup></span></span></div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101671"},"PeriodicalIF":2.4,"publicationDate":"2025-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145617262","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 : 2025-11-25DOI: 10.1016/j.jempfin.2025.101673
Ulrich Hounyo , Jiahao Lin
This paper identifies the issue of “duplicate observations” in existing methods for analyzing mutual fund performance and proposes a solution using a novel wild bootstrap-based approach. Our proposed method preserves various characteristics of mutual fund databases, including entry/exit points for each fund (i.e., missing data) and cross-sectional information. We show that our proposed bootstrap tests have a near-optimal size and exhibit greater power compared to widely used standard bootstrap methods for evaluating mutual fund performance. Additionally, we present a new approach to picking the top-performing mutual funds. Our empirical results indicate that a measurable fraction of funds outperform the market.
{"title":"Can mutual fund “stars” really pick stocks? New evidence from a wild bootstrap analysis","authors":"Ulrich Hounyo , Jiahao Lin","doi":"10.1016/j.jempfin.2025.101673","DOIUrl":"10.1016/j.jempfin.2025.101673","url":null,"abstract":"<div><div>This paper identifies the issue of “duplicate observations” in existing methods for analyzing mutual fund performance and proposes a solution using a novel wild bootstrap-based approach. Our proposed method preserves various characteristics of mutual fund databases, including entry/exit points for each fund (i.e., missing data) and cross-sectional information. We show that our proposed bootstrap tests have a near-optimal size and exhibit greater power compared to widely used standard bootstrap methods for evaluating mutual fund performance. Additionally, we present a new approach to picking the top-performing mutual funds. Our empirical results indicate that a measurable fraction of funds outperform the market.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101673"},"PeriodicalIF":2.4,"publicationDate":"2025-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145600329","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 : 2025-11-20DOI: 10.1016/j.jempfin.2025.101672
Nicola Bartolini, Silvia Romagnoli, Amia Santini
This study explores how climate-related risk factors influence the European equity and fixed-income markets. We examine the effect of specific physical risk drivers, including temperature fluctuations, drought, floods, wind, and wildfire risk, on both stocks and bonds. Additionally, we assess the impact of transition risk using two potential indicators: the log-returns of futures on European Carbon Allowances and a Transition Risk Index derived from credit default spreads. We also compare them to see if they carry the same information. Our findings reveal that climate risk variables have different effects on stocks and bonds, with stock returns appearing mostly unaffected by climate-related variables. In contrast, bond z-spreads show significant statistical relationships with both physical and transition climate risks. Physical risk, on average, rewards the green bonds in the sample, and penalizes the traditional bonds. As for transition risk, the two proxies are shown to capture different types of information and to affect different bonds. This suggests that credit default swaps are pricing a transition risk that goes beyond carbon emissions.
{"title":"Understanding climate risk in Europe: Are transition and physical risk priced in equity and fixed-income markets?","authors":"Nicola Bartolini, Silvia Romagnoli, Amia Santini","doi":"10.1016/j.jempfin.2025.101672","DOIUrl":"10.1016/j.jempfin.2025.101672","url":null,"abstract":"<div><div>This study explores how climate-related risk factors influence the European equity and fixed-income markets. We examine the effect of specific physical risk drivers, including temperature fluctuations, drought, floods, wind, and wildfire risk, on both stocks and bonds. Additionally, we assess the impact of transition risk using two potential indicators: the log-returns of futures on European Carbon Allowances and a Transition Risk Index derived from credit default spreads. We also compare them to see if they carry the same information. Our findings reveal that climate risk variables have different effects on stocks and bonds, with stock returns appearing mostly unaffected by climate-related variables. In contrast, bond z-spreads show significant statistical relationships with both physical and transition climate risks. Physical risk, on average, rewards the green bonds in the sample, and penalizes the traditional bonds. As for transition risk, the two proxies are shown to capture different types of information and to affect different bonds. This suggests that credit default swaps are pricing a transition risk that goes beyond carbon emissions.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101672"},"PeriodicalIF":2.4,"publicationDate":"2025-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145568541","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}
扫码关注我们
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号