Journal of Empirical Finance最新文献

英文中文

Momentum is still there conditional on volatility-amplified pessimism 动能仍在，但前提是波动性放大的悲观情绪

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-12-01 Epub Date: 2025-09-17 DOI: 10.1016/j.jempfin.2025.101653

Soroush Ghazi , Mark Schneider , Jack Strauss

We present a representative agent model with probability weighting that predicts expected momentum returns decrease in market volatility and pessimism, and predicts the opposite for the equity premium. Hence, the model predicts that the expected market and momentum returns move in opposite directions and can be used to form a dynamic hedging strategy that conditions on market volatility and market pessimism. Our asset pricing model motivates an index of volatility-amplified pessimism (VAP) that predicts both momentum and market returns as well as a real-time trading strategy that uses the index to switch between the market and momentum portfolios. In high VAP states, the market generates high returns and Sharpe ratios, while momentum generates high returns and Sharpe ratios in low VAP states. Although most momentum strategies have recently disappeared we find that momentum is still there, conditional on the interaction between market pessimism and market volatility.

我们提出了一个具有代表性的代理模型，该模型具有概率加权，可以预测市场波动和悲观情绪下的预期动量收益下降，而股票溢价则相反。因此，该模型预测市场预期收益和动量收益是反向运动的，可以用来形成以市场波动和市场悲观为条件的动态对冲策略。我们的资产定价模型激发了波动放大悲观指数（VAP），该指数预测动量和市场回报，以及使用指数在市场和动量投资组合之间切换的实时交易策略。在高VAP状态下，市场产生高回报和夏普比率，而在低VAP状态下，动量产生高回报和夏普比率。虽然大多数动量策略最近消失了，但我们发现动量仍然存在，条件是市场悲观情绪和市场波动之间的相互作用。

引用次数: 0

Insider trading and anomalies 内幕交易和异常情况

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-12-01 Epub Date: 2025-10-16 DOI: 10.1016/j.jempfin.2025.101666

Jiaxing Tian , Hong Xiang , Minghai Xu

We show that the insider trading pattern on anomaly long-short portfolio stocks can forecast anomaly returns. Specifically, we use the fraction of anomaly long-leg (short-leg) stocks being bought (sold) by insiders as a signal to extract insiders’ information on expected returns of the anomaly. Based on a composite anomaly measure that combines 11 prominent anomalies, we show that the insider trading signal significantly forecasts anomaly returns both in-sample and out-of-sample. These findings also help disentangle the risk-based and the mispricing-based explanations for anomaly returns.

我们证明了异常多空组合股票的内幕交易模式可以预测异常收益。具体而言，我们使用内幕人士买入（卖出）异常长腿（短腿）股票的比例作为信号，提取内幕人士对异常预期收益的信息。基于结合11个突出异常的复合异常度量，我们表明内幕交易信号可以显著预测样本内和样本外的异常回报。这些发现也有助于理清基于风险和基于错误定价的异常回报解释。

引用次数: 0

Bank dividends, interest expenses, and leverage 银行分红、利息支出和杠杆

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-12-01 Epub Date: 2025-11-01 DOI: 10.1016/j.jempfin.2025.101667

Pierluca Pannella

This paper documents that the dividend payout ratios of larger US banks rise when interest rates increase. To account for this pattern, I develop a model of optimal investment and deposit issuance under a risk-based constraint. Smaller banks primarily generate profits from the Fed funds-deposit spread, which typically widens with higher rates. Larger banks, by contrast, hold a greater share of risky assets and keep government bonds mainly as precautionary buffers. In high-interest-rate environments, these larger banks see only a modest increase in profitability. Consequently, they have weaker incentives to expand their investments and instead opt to reduce their buffer of safe assets to distribute higher dividends. Empirical evidence on payout behavior and leverage across banks that gain different shares of income from government bonds aligns with the prediction of the model. The findings highlight the importance of monitoring banks’ payout and leverage during periods of rising interest rates.

本文证明，当利率上升时，美国大型银行的股息支付率上升。为了解释这种模式，我开发了一个基于风险约束下的最优投资和存款发行模型。较小的银行主要从联邦基金-存款利差中获得利润，这一利差通常会随着利率上升而扩大。相比之下，大银行持有的风险资产份额更大，持有政府债券主要是作为预防性缓冲。在高利率环境下，这些大银行的盈利能力只会小幅增长。因此，他们扩大投资的动力较弱，而是选择减少安全资产的缓冲来分配更高的股息。从政府债券中获得不同收入份额的银行的支付行为和杠杆率的实证证据与该模型的预测一致。调查结果突显了在利率上升期间监控银行支出和杠杆率的重要性。

引用次数: 0

A unified duration-based explanation of the value, profitability, and investment anomalies 对价值、盈利能力和投资异常进行统一的基于持续时间的解释

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-12-01 Epub Date: 2025-09-13 DOI: 10.1016/j.jempfin.2025.101645

Shan Chen , Tao Li

Two duration factors that arise from the downward-sloping term structure of equity returns explain the value, profitability, and investment premiums. One factor captures the spread of returns between short and long durations, and the other measures the difference in risk premiums associated with duration transitions. These duration effects jointly subsume the explanatory power of the value, profitability, and investment in the cross-section of equity returns. Our study shows that these three and other related anomalies can be unified in a risk-based framework. These anomalies may arise from the dynamic relations between firms’ durations and their fundamentals.

两个源于股权回报向下倾斜的期限结构的持续时间因素解释了价值、盈利能力和投资溢价。一个因素反映了短期和长期存续期之间的收益差，另一个因素衡量了与存续期转换相关的风险溢价差异。这些持续时间效应共同包含了价值、盈利能力和投资在股权回报横截面上的解释力。我们的研究表明，这三种和其他相关的异常可以统一在一个基于风险的框架中。这些异常现象可能源于公司存续期与其基本面之间的动态关系。

引用次数: 0

The stock return predictability of treasury bond yield in China 中国国债收益率的股票收益可预测性

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-12-01 Epub Date: 2025-09-16 DOI: 10.1016/j.jempfin.2025.101654

Han Zhang , Xiong Xiong , Bin Guo

We provide empirical evidence that the average treasury bond yield across one- to ten-year maturities can negatively predict stock returns in the Chinese stock market. The substantial predictive power of bond yield underscores that the flight-to-safety effect associated with treasury bonds plays a predominant role in driving this predictive relationship. However, we find that bond yield does not operate as a systematic risk factor that explains cross-sectional variations in average stock returns, suggesting that it does not qualify as a state variable within the intertemporal capital asset pricing model framework proposed by Merton (1973). Using an affine market price of risk model, we demonstrate that the average bond yield serves as a pivotal determinant of the time-varying pattern of market prices for the market excess return factor, thereby establishing the theoretical foundation for its predictive power regarding stock returns.

我们提供了经验证据，证明一年期至十年期国债平均收益率可以负向预测中国股市的股票收益。债券收益率的强大预测能力表明，与国债相关的避险效应在推动这种预测关系方面起着主导作用。然而，我们发现债券收益率并不作为解释平均股票收益横截面变化的系统风险因素，这表明它不符合Merton（1973）提出的跨期资本资产定价模型框架中的状态变量。利用仿射市场风险价格模型，我们证明了债券平均收益率是市场超额收益因子的市场价格时变模式的关键决定因素，从而为其对股票收益的预测能力奠定了理论基础。

引用次数: 0

Managerial job security and firm diversification 管理工作保障与企业多元化

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-12-01 Epub Date: 2025-09-02 DOI: 10.1016/j.jempfin.2025.101646

Ziwen Bu , Suyang Li , Rongbing Xiao

We analyze the effects of managerial job security on firm diversification. Our results indicate that enacting legal protection for managers’ employment is conducive to less corporate diversification. Our findings suggest that, in relation to managerial entrenchment and empire-building theories, hedging against employment risk is more likely to be the primary factor for managers when deciding to conduct firm diversification. Consistent with the explanation of agency theory in relation to firm diversification, we also document that refocusing firms increase firm value after enacting the implied-contract exception. The incremental firm value likely reflects the improved efficiency of capital allocation across divisions, as we find that firms increase the efficiency of their capital allocation after the adoption of the law.

我们分析了管理职位保障对企业多元化的影响。我们的研究结果表明，制定法律保护管理人员的就业有利于减少公司多元化。我们的研究结果表明，与管理堑壕和帝国建设理论相关，对冲就业风险更有可能成为管理者决定进行公司多元化的主要因素。与代理理论对企业多元化的解释一致，我们也证明了重新聚焦的企业在制定隐含契约例外后增加了企业价值。企业价值的增加可能反映了跨部门资本配置效率的提高，因为我们发现企业在采用法律后提高了资本配置效率。

引用次数: 0

Mutual fund performance and flow-performance relationship under ambiguity 歧义下的共同基金绩效与流量绩效关系

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-12-01 Epub Date: 2025-09-04 DOI: 10.1016/j.jempfin.2025.101655

Ariel Gu , Hong Il Yoo

Since the exact probability distribution of asset returns is often unknown, the type of uncertainty affecting financial assets may be better characterized as ambiguity rather than risk. Using data from the U.S. mutual fund market, we examine the relationships between mutual funds’ ambiguity exposure, risk-adjusted performance, and investment flows. We introduce a novel measure of ambiguity exposure based on the smooth ambiguity model, which provides insight into how funds are priced in the presence of ambiguity. We find that risk-adjusted fund returns include a positive premium that compensates for greater ambiguity exposure in the fund’s asset holdings. The flow analysis, however, suggests that fund investors pursue positive risk-adjusted returns overall, regardless of whether seemingly superior returns are driven by the ambiguity premium. This behavior indicates that fund investors are primarily attracted to performance outcomes and less concerned with whether these reflect managerial expertise or increased ambiguity exposure.

由于资产收益的确切概率分布往往是未知的，影响金融资产的不确定性类型可能更适合用模糊性而不是风险来描述。利用美国共同基金市场的数据，我们研究了共同基金的模糊性暴露、风险调整绩效和投资流量之间的关系。我们引入了一种基于平滑模糊模型的新的模糊暴露度量，该模型提供了在存在模糊性的情况下基金如何定价的见解。我们发现，风险调整后的基金回报包括一个正溢价，补偿了基金资产持有中更大的模糊性敞口。然而，流量分析表明，基金投资者总体上追求正的风险调整回报，而不管表面上的高回报是否受到模糊性溢价的驱动。这种行为表明，基金投资者主要被业绩结果所吸引，而不太关心这些结果是否反映了管理专长或增加的模糊性风险。

引用次数: 0

Does a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China 公共信息搜索的突然中断是否会损害分析师预测的准确性？来自中国的证据

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-09-01 Epub Date: 2025-08-06 DOI: 10.1016/j.jempfin.2025.101643

Zihui Li , Lijun Ma , Min Zhang

We examine the effect of the sudden breakdown of public information search capability caused by Google’s withdrawal from mainland China on Chinese analysts’ earnings forecasts. We observe a decrease in analysts’ forecast accuracy regarding firms with foreign trade relative to those without foreign trade post-withdrawal. This decrease suggests that Google’s withdrawal has hindered analysts’ acquisition of information about firms with foreign trade, thus decreasing the quality of their earnings forecasts. We also find that the effect of this withdrawal on forecast accuracy is stronger for firms with higher business complexity and more opaque financial reporting and for analysts with weaker information processing capacity and more attention constraints. Additionally, we identify corporate site visits as an alternative information source that can compensate for the information loss caused by Google’s withdrawal and find that decreasing forecast accuracy has partially contributed to the deterioration of capital market conditions in the post-withdrawal era.

我们检验了百度退出中国大陆导致的公共信息搜索能力突然崩溃对中国分析师收益预测的影响。我们观察到，在退出后，分析师对有对外贸易的公司的预测准确性相对于没有对外贸易的公司有所下降。这一下降表明b谷歌的退出阻碍了分析师获取有关有对外贸易的公司的信息，从而降低了他们盈利预测的质量。我们还发现，对于业务复杂性较高、财务报告不透明的公司，以及信息处理能力较弱、注意力约束较多的分析师，这种退出对预测准确性的影响更强。此外，我们将企业网站访问确定为可替代的信息来源，可以弥补b谷歌退出造成的信息损失，并发现预测准确性的降低部分促成了后退出时代资本市场状况的恶化。

引用次数: 0

Do investors reach for yield? Evidence from corporate bond mutual fund flows 投资者追求收益吗？来自公司债券共同基金流动的证据

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-09-01 Epub Date: 2025-06-11 DOI: 10.1016/j.jempfin.2025.101625

Jing-Zhi Huang , Peipei Li , Ying Wang , Yuan Wang , Xiangkun Yao , Licheng Zhang

This paper investigates the reaching-for-yield behavior of corporate bond mutual fund investors by analyzing how fund flows respond to changes in interest rates. We find that investment-grade (IG) bond funds experience increased inflows following lower interest rates, while high-yield (HY) bond funds show no significant response. Bond fund investors tend to seek higher yields during periods of lower interest rates by assuming greater interest rate risk through the purchase of longer-maturity IG funds, rather than by taking on additional credit risk. Our findings are robust to potential endogeneity concerns and alternative explanations—including investors’ flight-to-safety behavior, liquidity considerations, and fund managers’ skill—indicating that fund flows are primarily driven by investors’ reaching-for-yield behavior in response to expansionary monetary policy. Overall, this study advances the understanding of monetary policy transmission and its implications for financial stability in the corporate bond market.

本文通过分析资金流对利率变化的响应，对公司债券共同基金投资者的收益率趋近行为进行了研究。我们发现，投资级（IG）债券基金在利率降低后资金流入增加，而高收益（HY）债券基金则没有明显的反应。债券基金投资者倾向于在利率较低的时期寻求更高的收益率，他们通过购买期限较长的债券基金来承担更大的利率风险，而不是承担额外的信用风险。我们的研究结果对潜在的内生性担忧和其他解释（包括投资者的避险行为、流动性考虑和基金经理的技能）是强有力的，表明资金流动主要是由投资者对扩张性货币政策的收益率行为所驱动的。总体而言，本研究促进了对货币政策传导及其对公司债券市场金融稳定影响的理解。

引用次数: 0

Public data openness and trade credit: Evidence from China 公共数据开放与贸易信用：来自中国的证据

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-09-01 Epub Date: 2025-06-24 DOI: 10.1016/j.jempfin.2025.101636

Xiao Li, Yuan Li, Xiaoxu Yu, Chun Yuan

Exploiting the setting of public data openness in China, we demonstrate a significant trade credit provision increase following the data platforms’ introduction. Our mechanism tests confirm that the rise is driven by enhanced suppliers’ willingness and capability. We document that suppliers with more substantial incentives to offer trade credit before establishing the data platforms experience a more pronounced increase in trade credit usage. Additionally, we examine the economic consequences of public data openness, demonstrating that it not only strengthens supply chain financing but also generates spillover benefits. The impact of public data openness on trade credit provision extends to firm sales, productivity, and supply chain efficiency, resulting in significant increases in revenues and total factor productivity, and leading to significant decreases in interest expense ratio and receivable turnover days. Our results reveal that public data openness substantially improves financial conditions and fosters growth throughout the supply chain.

利用中国公共数据开放的设置，我们证明了数据平台引入后贸易信贷提供的显着增加。我们的机制检验证实，价格上涨是由供应商意愿和能力增强所驱动的。我们的研究表明，在建立数据平台之前，有更大动机提供贸易信贷的供应商在贸易信贷使用方面的增长更为明显。此外，我们研究了公共数据开放的经济后果，证明它不仅加强了供应链融资，而且产生了溢出效益。公共数据开放对贸易信贷提供的影响延伸到企业销售额、生产率和供应链效率，导致收入和全要素生产率显著增加，并导致利息费用率和应收账款周转日显著降低。我们的研究结果表明，公共数据开放大大改善了财务状况，促进了整个供应链的增长。

引用次数: 0

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