Annals of Finance最新文献

Assuming the validity of the Miller and Modigliani (1961) thesis arguing that investors can set their own dividend policies, two questions arise. The first asks, what are the levels of these investor determined dividend yields and the second asks what they should be. The dividend levels are addressed by employing put call parity relations in option markets to identify risk neutral dividend yields. Models for the reverse measure change back to the physical measure from the risk neutral one are then used to infer the physical dividend yields. Rational levels for the dividend yields are determined on demanding ex-dividend returns to be economically acceptable risky positions. Risk acceptability is defined using the principles of conic finance and in particular by measuring the degree of acceptability by the stress level of a distorted expectation. Estimates of dividend yields and their associated acceptability levels are evaluated for ten (ETF^{prime }s) and 35 stocks over the period 2015 through 2023 and observed to be consistent with those of the highly successful hedge funds.

We present a lattice-based algorithm to price both European and American-style derivatives under the same fractional Brownian motion environment in which Hu and Oksendal (2003), Necula (2004), and Zhuang and Song (2023) obtain explicit-form formulas for European options. To manage the path-dependency induced by the asset value process, we apply a procedure recalling the forward shooting grid method. Hence, we discretize the asset evolution by constructing a grid made up of a limited number of representative buckets at each time step. For each bucket in the grid, we establish a binomial dynamics to identify the successors at the next observation epoch. Since the grid is composed by representative buckets, it may occur that successors do not appear in the grid. In these cases, we invoke interpolation techniques to proceed backward on the grid and compute the derivative price at inception. Numerical investigations show the accuracy and efficiency of the proposed model.

This paper introduces an interval-valued extension of the internal rate of return (IRR). This extension is motivated by the inability to assign to an investment project a particular rate of return satisfying a set of reasonable axioms. We demonstrate that there exists an essentially unique extension consistent with a natural set of axioms. Notably, in the most significant case, the extension maps a project to an interval with the lower and upper bounds defined by the minimal and maximal roots of the IRR polynomial, respectively. This result effectively reconciles several existing generalizations of the IRR, all of which yield values within this interval. The interval-valued IRR preserves the essential properties of the conventional IRR, thereby enhancing the ranking of investment projects by their rate of return. Furthermore, it serves as a robust extension of the IRR for measuring portfolio performance and making accept/reject investment decisions.

This paper examines regional differences in gender parity regarding firms’ access to finance in developing countries. The study employs data from 133,525 firms across 113 developing countries and six regions from 2006 to 2023 to analyze whether female-owned businesses experience greater financial constraints than their male counterparts, with particular attention to regional heterogeneity. The gender gap among firms in Europe and Central Asia, East Asia and the Pacific, the Middle East and North Africa, Latin America and the Caribbean, and South Asia can be explained by observable firm characteristics. In contrast, there is a robust gender gap for businesses in Sub-Saharan Africa: all else equal, are approximately 3–4 percentage points more likely to experience a binding financial constraint. This gender gap persists even after controlling for a country’s level of development, the enforceability of contracts, and government involvement in credit markets. Furthermore, the gap remains consistent across various types of firms, including sole proprietorships, small firms, medium firms, manufacturing firms, and businesses in the service sector. We also investigate whether the gender gap narrows or disappears in countries with greater gender equality. We find that institutional gender equality does not close the financial access gap, indicating the presence of structural barriers to finance for female-owned businesses in SSA.

Small and medium enterprises (SMEs) play a central role in driving economic development and innovation. Access to finance is central for their growth and sustainability, particularly as they navigate the multifaceted challenges posed by climate change. Small and medium enterprise access to finance is challenging to quantify accurately. Utilizing composite indicators offers a potential solution, albeit one requiring meticulous design and implementation. Through this paper, we show how to improve the robustness to methodological assumptions of the European Investment Fund Small and Medium Enterprise Access to Finance Index, enhancing its reliability and depth of analysis. A robust index is central for conveying a clear message and standing up to scrutiny, because its results remain stable regardless of the specific formula used to compute it. The second aim of the paper is to design a robust index for SME green performance and support. The index aims at measuring both the performance of SMEs in adopting sustainable and green practices and the support they receive from public policies to facilitate these efforts. The third aim of the paper is to propose a new conceptual framework linking SME access to finance and green performance and support. We aim at offering a holistic approach to understand the interplay between financial access and green business practices and enhance SME competitiveness, sustainability, and economic resilience in EU27.

This paper develops a theoretical model incorporating return uncertainty to examine the interaction between monetary policy and capital regulation on bank risk-taking. Even without aggregate risk, uncoordinated policies can elevate systemic risk. Bank decisions depend on both monetary policy rates and capital requirements. The analysis shows that restrictive monetary policy, when not aligned with capital regulation, amplifies bank risk-taking through a risk appetite channel, where high interest rates and stringent capital thresholds jointly increase systemic risk. A numerical example with realistic parameters illustrates these effects. Aligning these policies mitigates excessive risk-taking and supports financial stability.

This paper investigates the implications for financial stability, social welfare, risk-taking incentives and expected profits of competition between banks that differ in their respective objective function. We differentiate between commercial banks (i.e., shareholders’ profit-maximizing banks) and stakeholder banks (i.e., stakeholders’ welfare-maximizing banks), showing that: (1) The presence of stakeholder banks increases systemic financial stability and social welfare. (2) Stakeholder banks are less risk-inclined and obtain a higher market share than commercial banks. (3) Any bank chooses a riskier portfolio and is less profitable when competing against a stakeholder bank compared to competing against a commercial bank. Our theoretical findings are consistent with the existing empirical evidence and yield important policy implications and new empirically testable predictions.

This paper distinguishes itself from previous studies and contributes to the literature by estimating a green premium using a factor model framework. Specifically, we propose a two-factor model, where bond returns are explained not only by a systemic market risk factor but also by a systemic green risk factor. Using the Fama and MacBeth regression approach on a sample of Euro-denominated green and conventional bonds over the period 06.11.2014–30.06.2021, we estimate the green premium disentangling its two components: the sensitivity to systemic greenness (i.e. magnitude of risk) and the price of green risk. Three main results emerge from our research. First, we find that the price of green risk is significant and positive albeit small. Second, the sign of the green premium is substantially driven by the issuer macro sector rather than by the green label, being on average negative for Financial bonds and positive for Government and Non-Financial ones, whereby this difference can be explained by a more direct exposure to green systemic risk in the latter two cases. Third, looking at the dynamics of the green risk price we find it decreases to almost zero as the bond market reaches a new normal, but it becomes negative during Covid-19 pandemic, suggesting greenness is considered a benefit in periods of financial distress caused by negative economic shocks.

The objectives of this study are fourfold. First, to outline, for the first time, a skewness index for each of the 12 European countries considered. The use of a country-specific measure is a way to deal with the limited availability of option-based data, which is the main obstacle for the construction of such indices in Europe. Second, to compute an alternative risk-asymmetry measure (RAX) based on corridor implied volatilities in order to determine whether it outperforms the standard skewness index in measuring tail risk. Third, to investigate the properties of our proposed index by casting light on the information content of skewness about future returns, which is the subject of intense debate in the literature. Finally, to propose two aggregate indices of asymmetry to monitor the risk of the European financial markets. We obtain several results potentially of interest to both investors and policy-makers. First, risk-neutral distribution is generally left-skewed for the markets under investigation. Second, the risk-neutral distribution for the 60-day maturity is, in general, more skewed to the left than the 30-day risk-neutral distribution, indicating that investors fear tail risk in the medium term to a greater extent than in the short term. Third, for most countries, very low values of the asymmetry indices are associated with positive future returns on the underlying market. Finally, the aggregate asymmetry index based on the RAX methodology is the only one able to forecast future negative returns for all the EU countries in our dataset when it reaches very high levels.

This paper introduces a novel voting-based approach to forecasting the equity premium, emphasizing directional consistency and robustness to structural change. Using a comprehensive dataset of 155 macroeconomic, financial, and technical predictors spanning January 1960 to December 2022, we develop a two-step framework that combines statistical screening with voting-based model weighting. Empirical results show that our method consistently outperforms traditional forecast combination techniques as well as several sophisticated alternatives-including LASSO, Elastic Net, and dynamic factor models. It nearly doubles out-of-sample forecast accuracy relative to standard benchmarks and delivers substantial economic gains for mean-variance investors, as measured by improvements in Certainty Equivalent Returns. Notably, the method excels during recessionary periods by adaptively emphasizing predictors-such as interest rates, volatility, and labor market indicators-whose importance rises in turbulent conditions. These results underscore the method’s advantages in high-noise, high-uncertainty environments, making it a valuable tool for asset allocation, risk management, and policy analysis.