Journal of Empirical Finance最新文献

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Short-term institutional investors and the diffusion of supply chain information 短期机构投资者与供应链信息扩散

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-01-23 DOI: 10.1016/j.jempfin.2025.101581

Rui Duan , Yelena Larkin

What informational advantage do short-term investors have? This paper demonstrates that short-term investors can benefit from the ability to process public, but slowly diffusing, supply chain information ahead of other market participants. In support of this argument, we find that short-term investors establish larger long and short positions in firms with high customer concentration. In addition, an increase in short-term institutional ownership is associated with higher stock returns in firms with high customer concentration, supporting the informational advantage hypothesis. Finally, the relationship between customer concentration and short-term institutional ownership strengthens in high information asymmetry environment. In contrast, we do not find preference towards high customer concentration firms among long-term institutions, who are less positioned to exploit short-lived informational benefits.

短期投资者有什么信息优势？本文表明，短期投资者可以从处理公开但缓慢扩散的供应链信息的能力中受益于其他市场参与者。为了支持这一论点，我们发现短期投资者在客户集中度高的公司中建立了更大的多头和空头头寸。此外，在客户集中度高的公司中，短期机构所有权的增加与更高的股票回报有关，这支持了信息优势假说。最后，在高度信息不对称的环境下，客户集中度与短期机构所有权之间的关系增强。相比之下，我们没有发现长期机构对客户集中度高的公司的偏好，这些公司不太可能利用短期信息利益。

引用次数: 0

Social connectedness and cross-border mergers and acquisitions 社会联系和跨国并购

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-01-16 DOI: 10.1016/j.jempfin.2025.101582

Zhonghao Jiang , Yukun Shi , Lu Xing

We investigate the role of social connectedness in cross-border mergers and acquisitions (M&As) using the Facebook social connectedness index. We show that stronger social connectedness between countries leads to higher announcement returns for acquirers in cross-border M&As. This effect is attributed to improved information dissemination, which reduces target premiums, increases deal completion likelihood, and supports acquirers to achieve long-term success. Furthermore, social connectedness increases the frequency and dollar value of cross-border M&As between countries. This relation is weaker for countries in the same customs union, but stronger in the presence of greater political disagreement or significant time zone differences. Extending our analysis to domestic M&As in the U.S., we find that social connectedness between the headquarters’ cities of acquirers and targets improves acquirers’ announcement returns.

我们使用Facebook社交连通性指数来研究社交连通性在跨境并购中的作用。我们的研究表明，国家之间更强的社会联系导致收购方在跨境并购中获得更高的公告回报。这种效应归因于信息传播的改善，这降低了目标溢价，增加了交易完成的可能性，并支持收购方取得长期成功。此外，社会联系增加了国家间跨境并购的频率和美元价值。这种关系在同一关税同盟的国家中较弱，但在存在较大政治分歧或重大时区差异的情况下更强。将我们的分析扩展到美国国内的并购，我们发现收购方和被收购方的总部城市之间的社会联系提高了收购方的公告回报。

引用次数: 0

Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects 预测使用表明结构性断裂和不对称风险效应的预测因子来实现贝塔

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101575

Jiawen Luo , Zhenbiao Chen , Mingmian Cheng

This paper studies the importance of structural breaks and asymmetric risk effects for accurate forecasts of the realized beta. Specifically, structural breaks in the realized beta are detected by Iterated Cumulative Sum of Square (ICSS) algorithm and asymmetric risk effects are captured by decomposing the realized beta further into various components following Ang et al. (2006) and Bollerslev et al. (2021). We propose a set of Heterogeneous Autoregressive (HAR) model variants by incorporating these new predictors. To achieve model parsimony and to keep only the predictors with significant power, we employ Least Absolute Shrinkage and Selection Operator (LASSO) method for variable selection. Our proposed LASSOHAR model with estimators of structural breaks and asymmetric risk effects is found to yield more accurate out-of-sample beta forecasts than a variety of alternative models in terms of both statistical and economic criteria. In particular, our model successfully achieves the long-memory feature of realized betas in a tractable and parsimonious way. These empirical findings are robust across different data sampling frequencies, different estimation windows, different sub-samples, different quantiles of the beta distribution and different industrial sectors.

本文研究了结构断裂和不对称风险效应对准确预测已实现贝塔的重要性。具体而言，通过迭代累积平方和（ICSS）算法检测已实现贝塔的结构断裂，并根据Ang等人（2006）和Bollerslev等人（2021）将已实现贝塔进一步分解为各个分量来捕获不对称风险效应。我们提出了一组异质自回归（HAR）模型变体，结合这些新的预测因子。为了实现模型的简约性并只保留具有显著功率的预测因子，我们采用最小绝对收缩和选择算子（LASSO）方法进行变量选择。我们提出的LASSOHAR模型具有结构断裂和不对称风险效应的估计器，在统计和经济标准方面，比各种替代模型产生更准确的样本外beta预测。特别是，我们的模型以一种易于处理和简洁的方式成功地实现了已实现的beta的长记忆特征。这些实证结果在不同的数据采样频率、不同的估计窗口、不同的子样本、beta分布的不同分位数和不同的工业部门中都是稳健的。

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引用次数: 0

What drives robo-advice? 是什么驱动了机器人的建议？

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101574

Bernd Scherer , Sebastian Lehner

The promise of robo-advisory firms is to provide low-cost access to diversified portfolios built according to academic literature on normative portfolio choice. We investigate the extent to which robo-advice aligns with normative advice. Using web-scraped portfolio recommendations for 151,200 investor types from a major US robo-advisor, we find that investment goals and time horizons significantly influence recommended equity allocations, while Merton-type hedging demands are largely ignored. Our results suggest that commercial robo-advisors prioritize simplicity and client perceptions over complex, normative models. By integrating data from the NFCS survey, we further explore how demographic factors influence the likelihood of using robo-advisory services. This study provides empirical evidence on how closely robo-advisory services align with normative portfolio theory, highlighting the practical compromises made in the pursuit of broad market appeal and user-friendly solutions.

机器人咨询公司的承诺是提供低成本的多元化投资组合，这些投资组合是根据规范投资组合选择的学术文献建立的。我们调查了机器人建议与规范建议一致的程度。通过对美国一家大型机器人顾问提供的151,200种投资者类型的网上投资组合推荐，我们发现投资目标和时间范围显著影响了推荐的股票配置，而默顿型对冲需求在很大程度上被忽略了。我们的研究结果表明，商业机器人顾问优先考虑简单性和客户感知，而不是复杂的规范模型。通过整合来自NFCS调查的数据，我们进一步探讨了人口因素如何影响使用机器人咨询服务的可能性。本研究提供了关于机器人咨询服务与规范投资组合理论紧密结合的实证证据，突出了在追求广泛市场吸引力和用户友好解决方案时做出的实际妥协。

引用次数: 0

Market neutrality and beta crashes 市场中立和beta崩溃

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101577

Xia Xu

Market neutrality is a key feature of Frazzini and Pedersen (2014)’s betting-against-beta (BAB) factor. However, we find that BAB fails to remain market neutral in practice, and the deviations from market neutrality often arrive in the shape of crashes. BAB resembles momentum in terms of option-like payoffs, exhibiting significant exposure to large market movements. Particularly, BAB effectuates negative market timing and negative volatility timing amid volatile markets, promoting BAB crashes. The concern of imperfect market neutrality is shared by a broad range of beta arbitrage strategies that are aimed at being market neutral. The strategy’s vulnerability to bull markets is not fundamentally explained by the liquidity and leverage rationale. Managing beta crashes significantly improves investment performance.

市场中立性是Frazzini和Pedersen（2014）的押注反贝塔（BAB）因素的一个关键特征。然而，我们发现，在实践中，BAB未能保持市场中性，偏离市场中性往往以崩溃的形式出现。在期权类收益方面，BAB类似于动量，显示出对市场大幅波动的重大敞口。特别是，在波动的市场中，BAB会产生负市场时机和负波动时机，从而促进BAB崩溃。许多旨在保持市场中立的贝塔套利策略都对不完美的市场中立表示担忧。这一策略对牛市的脆弱性并不能从根本上用流动性和杠杆理论来解释。管理beta崩溃显著提高了投资绩效。

引用次数: 0

Geographical proximity, cultural familiarity and financial information production 地理邻近、文化熟悉和金融信息生产

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101576

Han Hao , Chun Liu , Shunzhi Pang

This paper examines the distinct impacts of geography and culture on financial information production. Utilizing data from LinkedIn, we categorize Chinese-concept stock analysts into two groups: those working in China and those with a Chinese cultural background. We identify two sources of local advantages: geographical proximity, stemming from the information-access channel, and cultural familiarity, originating from the information-process channel. Additionally, our findings indicate that local advantages reduce stock return synchronicity, and investors can recognize revisions made by geographically proximate analysts.

本文考察了地理和文化对金融信息生产的不同影响。利用LinkedIn的数据，我们将中国概念股分析师分为两组：在中国工作的和具有中国文化背景的。我们确定了本地优势的两个来源：地理上的接近性，源于信息获取渠道；文化上的熟悉性，源于信息处理渠道。此外，我们的研究结果表明，本地优势降低了股票回报的同步性，投资者可以识别地理上接近的分析师所做的修正。

引用次数: 0

A revisit to bias-adjusted predictive regression 对偏差调整预测回归的重新审视

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101578

Ke-Li Xu

We consider robust inference of predictive regression based on bias correction. We propose new variance estimators which can accommodate conditionally heteroskedastic and serially correlated errors, and predictors with unspecified dependence structure. We also present a previously overlooked robustness property of the existing variance estimator. Empirically we illustrate the methods with a classical application to stock return and dividend growth predictability.

我们考虑基于偏差校正的预测回归的稳健推理。我们提出了新的方差估计量，它可以适应条件异方差和序列相关误差，以及具有未指定依赖结构的预测量。我们还提出了先前忽略的现有方差估计器的鲁棒性。本文以典型的股票收益和股息增长可预见性应用实例说明了这些方法。

引用次数: 0

Implied local volatility models 隐含局部波动率模型

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-11-19 DOI: 10.1016/j.jempfin.2024.101567

Chen Xu Li , Chenxu Li , Chun Li

This paper proposes data-driven “implied local volatility models” that are designed to fit the observed level, slope, convexity, and term-structure slope of implied volatility surface at any maturity and strike. The method of construction hinges on the Taylor structure of implied volatility under generic local volatility models and the formula of Dupire (1994). An empirical application to the S&P 500 index options data validates the stable performance of our method in and out of sample and triggers several economic interpretations before, during, and in the aftermath of COVID-19 pandemic. The flexibility of our method is further consolidated by the case study on fitting (ultra) short-maturity implied volatilities and concave implied volatility curves.

本文提出了数据驱动的“隐含局部波动率模型”，该模型旨在拟合任意期限和走向下隐含波动率面的观测水平、斜率、凸度和期限结构斜率。构建方法依赖于一般局部波动率模型下隐含波动率的泰勒结构和Dupire（1994）的公式。对标准普尔500指数期权数据的实证应用验证了我们的方法在样本内外的稳定表现，并在COVID-19大流行之前、期间和之后引发了几种经济解释。通过拟合（超）短期隐含波动率和凹隐含波动率曲线的案例研究，进一步验证了该方法的灵活性。

引用次数: 0

On the performance of volatility-managed equity factors — International and further evidence 波动率管理股票因子的表现--国际证据和进一步证据

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-11-17 DOI: 10.1016/j.jempfin.2024.101560

Patrick Schwarz

I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability, and especially momentum portfolios. The performance of volatility-managed market and value portfolios can be further enhanced by applying downside volatility as a scaling factor. Nevertheless, only the managed market and momentum strategies are partially robust to transaction cost suggesting that the persistence of abnormal returns can largely be explained by the associated transaction costs. Cross-country analysis suggests that the slow trading hypothesis is partially able to explain cross-country performance differences of volatility-managed value and momentum portfolios. Finally, performance decomposition analysis reveals additional suggestive evidence in support of the slow trading hypothesis.

我研究了 45 个国际股票市场中九种（下行）波动率管理股票因子在考虑交易成本前后的表现。我的研究结果表明，波动率管理对市场、价值、盈利，尤其是动量投资组合最有前途。将下行波动率作为缩放因子，可以进一步提高波动率管理的市场和价值投资组合的表现。然而，只有市场和动量管理策略对交易成本具有部分稳健性，这表明异常回报的持续性在很大程度上可以用相关的交易成本来解释。跨国分析表明，缓慢交易假说能够部分解释波动率管理价值投资组合和动量投资组合的跨国表现差异。最后，业绩分解分析揭示了更多支持缓慢交易假说的暗示性证据。

引用次数: 0

CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets 首席执行官的神经质与公司现金持有量：来自首席执行官推文的证据

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance

Pub Date : 2024-11-10 DOI: 10.1016/j.jempfin.2024.101566

Dien Giau Bui , Robin K. Chou , Chih-Yung Lin , Chien-Lin Lu

We examine the effects of CEO neuroticism on corporate policies for cash holdings. After hand collecting tweets by CEOs to measure their neuroticism, we find that firms with relatively neurotic CEOs hold more cash than other firms. This positive effect is more pronounced when the firm has a higher precautionary motive to hold cash. The cash held by firms with neurotic CEOs leads to higher firm values and lower credit risks. Overall, neurotic CEOs maintain more conservative corporate policies on holding cash, resulting in a lower cost of financial distress and an improvement in the value of firms.

我们研究了 CEO 神经质对企业现金持有政策的影响。在人工收集首席执行官的推文以衡量其神经质程度后，我们发现首席执行官相对神经质的公司比其他公司持有更多现金。当公司持有现金的预防动机较高时，这种积极影响更为明显。拥有神经质首席执行官的公司持有的现金会带来更高的公司价值和更低的信贷风险。总体而言，神经质首席执行官在持有现金方面采取更保守的公司政策，从而降低了财务困境成本，提高了公司价值。

引用次数: 0

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