Global Finance Journal最新文献

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Beyond the green facade: Evidence of a nonlinear link between greenwashing and financing efficiency 超越绿色门面：洗绿与融资效率之间非线性联系的证据

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-09-08 DOI: 10.1016/j.gfj.2025.101183

Morong Xu , Yaopeng Wang

This study examines the nonlinear relationship between corporate greenwashing and financing efficiency using panel data from Chinese listed firms between 2009 and 2023. We identify an inverted U-shaped relationship grounded in signaling theory and the peer effect perspective. At low levels, greenwashing allows firms to gain legitimacy by signaling environmental responsibility and encouraging peer imitation, thereby improving financing efficiency. However, as greenwashing intensifies, stakeholder skepticism increases, leading to higher financing costs and reduced efficiency. We also explore contextual factors that moderate this relationship. Media coverage amplifies stakeholder reactions to both credible and exaggerated environmental, social, and governance (ESG) claims, while board interlocks facilitate the spread of greenwashing practices and heighten reputational risks within corporate networks. Collectively, these elements reinforce the nonlinear connection between greenwashing and financing efficiency. The results highlight the complex dynamics linking greenwashing with financing conditions and demonstrate the contingent roles of media visibility and governance networks in shaping market perceptions of ESG behavior.

本文利用2009 - 2023年中国上市公司的面板数据，考察了企业漂绿与融资效率之间的非线性关系。我们在信号理论和同伴效应视角下发现了一种倒u型关系。在低层次上，“洗绿”可以让企业通过发出环境责任信号和鼓励同行模仿来获得合法性，从而提高融资效率。然而，随着“漂绿”的加剧，利益相关者的怀疑情绪也在增加，导致融资成本上升，效率下降。我们还探讨了调节这种关系的环境因素。媒体的报道放大了利益相关者对可信和夸大的环境、社会和治理（ESG）主张的反应，而董事会的连锁反应促进了“漂绿”行为的传播，并加剧了企业网络中的声誉风险。总的来说，这些因素强化了漂绿与融资效率之间的非线性联系。研究结果强调了将“漂绿”与融资条件联系起来的复杂动态，并展示了媒体知名度和治理网络在塑造市场对ESG行为的看法方面的偶然作用。

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引用次数: 0

Political turnover and related party transactions in Chinese state-owned enterprises 中国国有企业的政治更替与关联交易

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-09-05 DOI: 10.1016/j.gfj.2025.101182

Mingfa Ding , Yikai Han , Mi Shen , Sandy Suardi

This paper investigates the dual role of government involvement in Chinese firms, acting as both a “helping hand” and a “grabbing hand”, with a focus on state-owned enterprises (SOEs). We examine how political turnover influences related party transactions (RPTs), which may serve to prop up distressed firms or facilitate tunnelling at the expense of minority shareholders. We find that political turnover is associated with a significant decline in RPTs, a causal relationship supported by multiple analyses addressing endogeneity concerns. Further evidence suggests that SOEs reduce tunnelling when local governments face fiscal constraints and curb propping activities when firms are at risk of delisting or losing rights to issue new shares. The reduction in RPTs is more pronounced in firms with high initial RPTs, weak governance, or exposure to local corruption, and is amplified when new provincial leaders are outsiders. These findings suggest that political turnover acts as an external governance mechanism, disrupting entrenched rent-seeking practices and reshaping firm-level resource allocation.

本文以国有企业为研究对象，考察了政府介入中国企业的双重角色，既充当“援助之手”，又充当“掠夺之手”。我们研究了政治更替如何影响关联交易（RPTs），这可能有助于支持陷入困境的公司或以牺牲少数股东为代价促进隧道挖掘。我们发现，政治更替与rpt的显著下降有关，这种因果关系得到了解决内生性问题的多重分析的支持。进一步的证据表明，当地方政府面临财政约束时，国有企业会减少挖洞活动，当企业面临退市或失去新股发行权的风险时，国有企业会抑制支持活动。在初始生产效率较高、治理薄弱或暴露于地方腐败的企业中，生产效率的降低更为明显，当新的省级领导人是外来者时，这种降低会被放大。这些发现表明，政治更替作为一种外部治理机制，破坏了根深蒂固的寻租行为，重塑了企业层面的资源配置。

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引用次数: 0

Seeing is believing: Forecasting oil market returns with artificial intelligence-powered visual climate change perception 眼见为实：利用人工智能驱动的视觉气候变化感知预测石油市场回报

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-09-04 DOI: 10.1016/j.gfj.2025.101174

Dan Liu

This study proposes a novel framework for forecasting oil market returns by quantifying climate change perception based on visual media. A vision-language model processes 746,435 news images from The New York Times between May 2006 and December 2023 to construct the Visual Climate Change Perception Index (VCCP), along with two sub-indices. The VCCP exhibits significant predictive power for one-month-ahead WTI spot returns, outperforming text-based climate sentiment and macroeconomic benchmarks. The Physical Climate Impact Visual Index contributes to short-term return predictability, while the Transitional Climate Policy Visual Index captures longer-horizon dynamics. Out-of-sample analyses confirm the robustness and economic relevance of VCCP-based models, enhancing forecast accuracy and improving asset allocation performance. These findings underscore the role of emotionally salient visual cues in shaping market expectations and highlight the importance of multimodal climate signals in the pricing of high-carbon assets.

本研究提出了一种基于视觉媒体的量化气候变化感知预测石油市场回报的新框架。一个视觉语言模型处理了2006年5月至2023年12月期间来自《纽约时报》的746,435张新闻图像，以构建视觉气候变化感知指数（VCCP）以及两个子指数。VCCP对未来一个月WTI现货收益表现出显著的预测能力，优于基于文本的气候情绪和宏观经济基准。物理气候影响目视指数有助于短期回报的可预测性，而过渡性气候政策目视指数则捕捉长期动态。样本外分析证实了基于vccp模型的稳健性和经济相关性，提高了预测准确性并改善了资产配置绩效。这些发现强调了情感上显著的视觉线索在塑造市场预期中的作用，并强调了多式联运气候信号在高碳资产定价中的重要性。

引用次数: 0

Nonparametric identification of factors for the cross-section of Latin American stock returns 拉丁美洲股票收益横截面因素的非参数识别

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-09-03 DOI: 10.1016/j.gfj.2025.101172

Simón Zuluaga-Rendón , Diego A. Agudelo

Factor Investing, a widely recognized investment approach, remains relatively underexplored in Latin American stock markets. This study investigates the determinants of stock returns in Latin America employing the Group Adaptive Elastic Net within a nonparametric framework from 2000 to 2020. Initially assessing 34 widely recognized financial factors, our analysis identifies that a set of six factors captures most of the variance in cross-sectional returns in the proposed model: Volatility, Assets-to-Market ratio, Cash Flow to Price, Earnings to Price, Intermediate Momentum, and Turnover. Furthermore, an active Factor Investing strategy derived from this framework demonstrates substantial outperformance relative to a benchmark index in out-of-sample testing. Overall, we find evidence of short-term predictability of returns in Latin American stocks based on nonlinear and dynamic factor effects.

要素投资是一种被广泛认可的投资方法，但在拉丁美洲股票市场仍未得到充分探索。本研究在2000年至2020年的非参数框架内，采用集团自适应弹性网研究了拉丁美洲股票收益的决定因素。首先评估了34个公认的金融因素，我们的分析发现，在建议的模型中，一组六个因素捕捉了横截面回报的大部分差异：波动性、资产与市场比率、现金流量与价格、收益与价格、中间动量和周转率。此外，在样本外测试中，源自该框架的主动因子投资策略相对于基准指数表现出显著的优异表现。总体而言，我们发现基于非线性和动态因素效应的拉丁美洲股票收益的短期可预测性的证据。

引用次数: 0

Watchdogs of greenwashing: The role of long-term institutional cross-ownership 漂绿的监督者：长期机构交叉所有制的作用

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-09-01 DOI: 10.1016/j.gfj.2025.101177

Wenjing Yin, Gaomiao Wang, Yumiao Yu

A growing number of institutional investors are showing interest in “green” firms, highlighting the increasing importance of environmental, social, and governance (ESG) information. However, as the use of mainstream ESG data expands, the prevalence of greenwashing is also rising. This paper investigates how long-term institutional cross-ownership influences corporate responses to this critical stakeholder concern. We hypothesize that long-term institutional cross-ownership mitigates corporate greenwashing by enabling investors to acquire in-depth information and directly monitor firms in the context of systematic risk management. Our findings indicate that firms with long-term cross-ownership exhibit significantly lower levels of greenwashing. Supporting the information-gathering hypothesis, the effect is more pronounced in firms operating in hard-to-value industries. Supporting the direct monitoring hypothesis, the effect is less evident among firms subject to heightened external scrutiny. Overall, our study suggests that longer investment horizons lead institutional cross-owners to enhance the transparency of stakeholder-related activities, driven primarily by financial motivations.

越来越多的机构投资者对“绿色”公司表现出兴趣，突显出环境、社会和治理（ESG）信息日益重要。然而，随着主流ESG数据使用的扩大，“漂绿”现象也越来越普遍。本文研究了长期制度交叉持股如何影响企业对这一关键利益相关者关注的反应。我们假设，在系统性风险管理的背景下，长期的机构交叉持股使投资者能够获得深入的信息并直接监督公司，从而减轻了公司的“漂绿”。我们的研究结果表明，长期交叉持股的公司表现出明显较低的绿色洗涤水平。为了支持信息收集假说，这种效应在难以估值的行业中更为明显。支持直接监督假说的是，这种效应在受到高度外部审查的公司中不那么明显。总体而言，我们的研究表明，较长的投资期限会导致机构交叉所有者提高利益相关者相关活动的透明度，这主要是由财务动机驱动的。

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引用次数: 0

Do ESG rating changes matter? Evidence from Chinese stock market ESG评级的变化重要吗？证据来自中国股市

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-09-01 DOI: 10.1016/j.gfj.2025.101180

Dianhao Liu, Jun Zhou

Investors will change their trading behavior in response to ESG rating changes, which in turn influence stock returns. In this paper, we examine the impact of ESG rating changes on stock returns in Chinese stock market. We find that ESG rating upgrades (downgrades) lead to higher (lower) short-term stock returns. A long-short portfolio constructed from upgraded firms versus downgraded firms generates monthly abnormal returns of 1.80 % on average. The main driver is institutional investors' buying (selling) shares of companies with upgraded (downgraded) ESG ratings. The disagreement about ESG rating changes can undermine this impact.

投资者会因ESG评级变化而改变交易行为，进而影响股票收益。本文考察了ESG评级变动对中国股市股票收益的影响。我们发现，ESG评级调高（调降）会导致股票的短期回报更高（更低）。由评级上调的公司和评级下调的公司组成的多空组合每月平均产生1.80%的异常回报。主要驱动力是机构投资者买入（卖出）ESG评级上调（下调）的公司股票。关于ESG评级变化的分歧可能会削弱这种影响。

引用次数: 0

Effects of domestic and foreign financial stress on stock returns in Asia-Pacific countries 国内外金融压力对亚太国家股票收益的影响

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-09-01 DOI: 10.1016/j.gfj.2025.101178

Oguzhan Ozcelebi , Rim El Khoury , R. Gopinathan , Seong-Min Yoon

This study employs advanced quantile-based methodologies to investigate the effects of domestic and foreign financial stress on stock market performance across 10 Asia–Pacific countries. Using wavelet quantile correlation and multivariate quantile-on-quantile regression models, we analyze the nonlinear, asymmetric, and time–frequency-dependent relationships under varying market conditions. Results show that foreign financial stress exerts a more consistent and pronounced negative impact on stock returns, particularly in export-dependent economies such as Thailand and Korea. In contrast, the effects of domestic financial stress vary by country. Persistent negative impacts are observed in structurally weaker economies like the Philippines, whereas markets such as China, India, and Australia display adaptability, with correlations shifting to neutral or positive under certain conditions. These findings underscore the significant heterogeneity shaped by differences in economic structure, trade exposure, and financial market characteristics. By comparing the effects of both global and domestic financial stress, this study fills an important gap in the literature. The results provide actionable insights for policymakers working to strengthen financial stability and for investors pursuing effective portfolio diversification strategies.

本研究采用先进的基于分位数的方法，研究了国内外金融压力对10个亚太国家股市表现的影响。利用小波分位数相关和多元分位数对分位数回归模型，分析了不同市场条件下的非线性、非对称和时频依赖关系。结果表明，外国金融压力对股票回报产生了更为一致和明显的负面影响，特别是在泰国和韩国等依赖出口的经济体。相比之下，国内金融压力的影响因国家而异。在菲律宾等结构较弱的经济体中观察到持续的负面影响，而中国、印度和澳大利亚等市场表现出适应性，在某些条件下相关性变为中性或正。这些发现强调了经济结构、贸易风险和金融市场特征差异所形成的显著异质性。通过比较全球和国内金融压力的影响，本研究填补了文献中的一个重要空白。研究结果为致力于加强金融稳定的政策制定者和寻求有效投资组合多样化策略的投资者提供了可操作的见解。

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引用次数: 0

Analytical fixed income pricing in discrete time: A new family of models 离散时间下的分析性固定收益定价：一类新模型

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-09-01 DOI: 10.1016/j.gfj.2025.101170

Marcos Escobar-Anel , Lars Stentoft , Xize Ye

This paper proposes a large class of discrete-time models for interest rates, with flexible distributions on innovations and multiple factors, filling two key gaps in the literature. First, the models are “affine”, and as a result, closed-form pricing for bonds and analytical representations for more general fixed-income products can be obtained. This is reminiscent of the continuous-time models studied in Duffie et al. (2003) and the discrete-time GARCH models for assets introduced by Heston and Nandi (2000). Secondly, the models allow for control of the lower bound of the interest rate, permitting bounded negative rates. This second contribution is absent even from the popular continuous-time literature. As an application, we study the properties and interpretation of our main proposal, a Gaussian-based model with a non-central Chi-square distribution. The model is estimated via maximum likelihood on daily time series of US interest rates for various maturities and monthly interest rates from the G7 countries. The empirical analysis confirms the superiority of our model in terms of likelihood, AIC, and BIC values compared to two benchmarks, an autoregressive model as a discrete-time version of the Vasicek model, and the popular CIR model. Our model also provides additional flexibility in accommodating the yield curve, with massive potential for richer structures while maintaining the key benefits.

本文提出了一大类利率离散时间模型，具有灵活的创新和多因素分布，填补了文献中的两个关键空白。首先，模型是“仿射”的，因此可以得到债券的封闭式定价和更一般的固定收益产品的分析表示。这让人想起Duffie等人（2003）研究的连续时间模型，以及Heston和Nandi（2000）引入的资产离散时间GARCH模型。其次，这些模型允许控制利率的下限，从而允许有界的负利率。这第二个贡献甚至在流行的连续时间文学中也没有。作为一个应用，我们研究了我们的主要建议的性质和解释，一个非中心卡方分布的基于高斯的模型。该模型是通过对美国不同期限利率的每日时间序列和G7国家的月度利率的最大似然来估计的。实证分析证实了我们的模型在似然、AIC和BIC值方面优于两个基准，一个是作为Vasicek模型的离散时间版本的自回归模型，另一个是流行的CIR模型。我们的模型还在适应收益率曲线方面提供了额外的灵活性，在保持关键优势的同时，具有更丰富结构的巨大潜力。

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引用次数: 0

Social capital and leasing 社会资本与租赁

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-09-01 DOI: 10.1016/j.gfj.2025.101173

Joshua Zhang , Hasibul Chowdhury , Jacquelyn E. Humphrey , Mostafa Monzur Hasan

We examine the relationship between social capital and corporate leasing intensity. Using a large sample of publicly traded US firms, we find that firms headquartered in areas with high social capital lease less. The negative association is driven by both the social norms and social network components of social capital. Our channel analysis reveals that social capital has both a direct and an indirect effect on leasing, with the direct effect being significantly stronger. The indirect effect is due to social capital reducing financing constraints.

研究了社会资本与企业租赁强度之间的关系。通过对美国上市公司的大量样本分析，我们发现总部位于社会资本高的地区的公司租赁较少。社会规范和社会资本的社会网络成分共同驱动了这种负相关。我们的渠道分析表明，社会资本对租赁既有直接影响，也有间接影响，其中直接影响明显更强。间接效应是由于社会资本减少了融资约束。

引用次数: 0

From noise to signals: Investor attention as a catalyst for the momentum effect in the Chinese stock market 从噪音到信号：投资者关注是中国股市动量效应的催化剂

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-08-25 DOI: 10.1016/j.gfj.2025.101175

Zhi-Yu Zhang , Chi Xie , Gang-Jin Wang , You Zhu , Xiao-Xin Li

The momentum effect is a pricing anomaly that is widely observed in financial markets but not promised in the Chinese stock market. We explore the interaction between investor attention and momentum effects to strengthen momentum-based strategies' profitability by transforming the inherent noise of investor attention into valuable signals. Applying the conditional autoencoder (CAE) asset pricing model, we extract signals from noisy information to estimate stock returns that reflect the expected price adjustments driven by collective attention. Results yield four key conclusions. (i) The signal derived from investor attention acts as a catalyst that significantly enhances momentum strategies' performance, and the attention-based momentum (AttMOM) strategy consistently outperforms the conventional momentum (MOM) strategy in various formation periods. (ii) Although pricing anomalies, such as firm size, influence both strategies' returns, the attention-driven signal enables AttMOM to achieve higher and more stable returns. (iii) Investor attention helps AttMOM to maintain stable profits during market downturns. (iv) Investor attention reinforces the AttMOM strategy's resilience during turbulence, improving its hedging capabilities. Overall, our findings highlight the pivotal role of investor attention in boosting momentum returns, offering valuable insights for investment decision-making.

动量效应是一种定价异常现象，在金融市场中普遍存在，但在中国股市中并不存在。我们探讨了投资者注意力和动量效应之间的相互作用，通过将投资者注意力的固有噪声转化为有价值的信号来增强基于动量的策略的盈利能力。应用条件自编码器（CAE）资产定价模型，我们从噪声信息中提取信号来估计反映集体关注驱动的预期价格调整的股票收益。结果得出了四个关键结论。(1)投资者关注产生的信号作为催化剂，显著增强了动量策略的绩效，在不同的形成期，基于注意的动量（AttMOM）策略的绩效始终优于传统动量（MOM）策略。（ii）虽然定价异常，如公司规模，影响两种策略的回报，但注意力驱动的信号使AttMOM能够实现更高和更稳定的回报。（iii）投资者的关注有助于AttMOM在市场低迷时期保持稳定的利润。（iv）投资者的关注增强了AttMOM策略在动荡期间的弹性，提高了其对冲能力。总体而言，我们的研究结果强调了投资者关注在提高动量回报方面的关键作用，为投资决策提供了有价值的见解。

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