Global Finance Journal最新文献

英文中文

Unbundling institutions for corporations 为企业拆分机构

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-08-19 DOI: 10.1016/j.gfj.2025.101171

Dong Wook Lee , Jee Eun Lee , Lingxia Sun

This paper proposes that a country's institutions for corporations—especially their roles—can be divided into the supporting for corporate growth and the policing of corporate wrongdoing. We identify the two roles of institutions indirectly yet more effectively through their respective targets. Companies with negative free cash flows (FCF) are the main target of the institutional supporting, while companies with positive FCF are subject primarily to the institutional policing. Using firm-level data from 43 countries for the period of 2000–2018, we find evidence for the possibility and usefulness of this unbundling. Specifically, the cross-country difference in corporate performance is concentrated in negative-FCF firms. To the extent that the corporate performance we examine is a direct outcome of the surrounding institutions, our results suggest that a meaningful cross-country difference in institutional interventions—that is, the ones that create a difference in economic outcome across countries—lies in those for negative-FCF firms. They are the institutional supports that discover and finance corporate growth opportunities so that companies can invest beyond their own means, thereby running negative FCF.

本文提出，一个国家的企业制度——尤其是它们的角色——可以分为支持企业成长和监管企业不法行为。我们间接地确定了机构的两种作用，但通过各自的目标更有效地确定了它们的作用。自由现金流为负的公司是制度支持的主要对象，而自由现金流为正的公司主要受到制度监管。利用2000年至2018年期间来自43个国家的企业层面数据，我们发现了这种分拆的可能性和有效性的证据。具体而言，跨国公司绩效差异集中在负fcf公司。在某种程度上，我们研究的公司绩效是周围制度的直接结果，我们的结果表明，制度干预的有意义的跨国差异-即那些在各国之间产生经济结果差异的因素-在于那些负fcf公司。它们是发现和资助企业增长机会的制度支持，使企业能够进行超出自身能力的投资，从而运行负FCF。

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引用次数: 0

The stock market effects of committing and setting GHG targets: evidence from the science-based targets initiative 承诺和设定温室气体目标的股票市场效应：来自科学目标倡议的证据

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-08-13 DOI: 10.1016/j.gfj.2025.101165

Santiago Guerrero-Escobar , Gerardo Hernández-del-Valle , Marco Hernández-Vega

Many companies are adopting ambitious greenhouse gas (GHG) emission-reduction targets that align with the Paris Agreement, regarding broader climate strategies. Despite this trend, empirical evidence on the implications to the financial market remains limited. This paper examines how committing to and setting GHG targets affect stock returns and volatility, using a daily panel of publicly listed companies from January 2015 to October 2024. We employ an event study framework, supplemented by a generalized autoregressive conditional heteroskedasticity model with a novel trend component. Our findings show that neither committing to nor setting a GHG target has a statistically significant impact on stock returns. However, both actions are associated with reductions in stock price volatility in a few countries, like Australia, Japan, South Africa, Taiwan, and New Zealand. This suggests that market responses to climate commitments can vary across regional and policy contexts.

许多公司正在制定雄心勃勃的温室气体（GHG）减排目标，这些目标与《巴黎协定》（Paris Agreement）一致，涉及更广泛的气候战略。尽管有这种趋势，但有关其对金融市场影响的实证证据仍然有限。本文通过对2015年1月至2024年10月期间上市公司的日常调查，研究了承诺和设定温室气体排放目标如何影响股票回报和波动性。我们采用一个事件研究框架，辅以一个具有新趋势成分的广义自回归条件异方差模型。我们的研究结果表明，无论是承诺还是设定温室气体排放目标，都不会对股票收益产生统计学上显著的影响。这表明，市场对气候承诺的反应可能因区域和政策背景而异。

引用次数: 0

Regulatory enforcement actions and bank liquidity creation: Evidence from China 监管执法行动与银行流动性创造：来自中国的证据

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-08-10 DOI: 10.1016/j.gfj.2025.101169

Yuanbiao Huang , Jinlei Li

We investigate how regulatory enforcement shapes bank liquidity creation, using a manually-collected dataset of administrative penalties combined with panel data for 368 Chinese commercial banks from 2010 to 2023. Employing a bank-level fixed-effects model, we find that enforcement causally enhances liquidity creation. This effect is not transitory, persisting for a 3-year period after sanctions. This positive effect operates through three channels: a strategic reallocation of bank portfolios, a strengthening of capital buffers, and an improvement in information disclosure. Furthermore, the effect is more pronounced for larger banks, for banks in regions with stronger supervisory capacity, and for sanctions targeting institutions rather than individual employees. Our study contributes to the literature by reframing the role of regulatory enforcement. We show that, rather than solely acting as a disciplinary constraint, well-designed sanctions can serve as a catalyst for beneficial adjustments in bank strategy and governance. This offers new insights into how supervisory design in emerging markets can bolster financial stability without compromising banks' financial intermediation capacity.

我们使用人工收集的行政处罚数据集，结合2010年至2023年368家中国商业银行的面板数据，研究了监管执法如何影响银行流动性创造。采用银行层面的固定效应模型，我们发现强制执行会促进流动性创造。这种影响不是暂时的，在制裁后的3年时间内持续存在。这种积极效应通过三个渠道发挥作用：对银行投资组合进行战略性重新配置，加强资本缓冲，改善信息披露。此外，对于规模较大的银行、监管能力较强的地区的银行，以及针对机构而非个人员工的制裁，这种影响更为明显。我们的研究通过重构监管执法的角色对文献做出了贡献。我们的研究表明，精心设计的制裁措施不仅可以起到纪律约束的作用，还可以促进银行战略和治理方面的有益调整。这为新兴市场的监管设计如何在不损害银行金融中介能力的情况下促进金融稳定提供了新的见解。

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引用次数: 0

Ownership concentration and equity transactions: The ambivalent role of controlling shareholders in firm performance in Latin American contexts 所有权集中与股权交易：拉丁美洲背景下控股股东在公司绩效中的矛盾角色

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-08-08 DOI: 10.1016/j.gfj.2025.101168

Jimmy A. Saravia , Silvia Saravia-Matus , Cristhian J. Cachope , Paula M. Almonacid

This study aims to test a corporate governance mechanism described by Jensen and Meckling in their classic theory of the agency costs of outside equity, focusing on Latin American companies characterized by controlling shareholders who own a large percentage of their firms' shares. Our findings align with the theory: Ownership concentration gives controlling shareholders significant influence over their firms, enabling them to reduce agency costs when selling shares or issuing new equity, as their interests align with those of outside shareholders. Higher market valuations and better investment performance evidence this. However, we also find that this influence allows controlling shareholders to act opportunistically when increasing their ownership stakes or during stock repurchases, as interests are not aligned, leading to adverse effects on firm performance. Thus, high ownership stakes provide controlling shareholders with influence, but whether this influence positively or negatively impacts performance depends on the specific context of equity transactions. This paper sheds new light on the ambivalent role of ownership concentration, offering insights relevant to improving monitoring and regulation in markets with weak institutions.

本研究旨在检验Jensen和Meckling在其经典的外部股权代理成本理论中所描述的公司治理机制，研究对象为拥有大量公司股份的控股股东为特征的拉美公司。我们的发现与理论一致：股权集中度使控股股东对其公司具有重大影响力，使他们能够在出售股票或发行新股时降低代理成本，因为他们的利益与外部股东的利益一致。更高的市场估值和更好的投资业绩证明了这一点。然而，我们也发现，由于利益不一致，这种影响使得控股股东在增加持股或回购股票时采取机会主义行为，从而对公司绩效产生不利影响。因此，高持股为控股股东提供了影响力，但这种影响力对绩效的影响是积极的还是消极的，取决于股权交易的具体背景。本文对股权集中的矛盾作用有了新的认识，为在制度薄弱的市场中改善监督和监管提供了相关见解。

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引用次数: 0

Assessing dynamic connectedness in global supply chain infrastructure portfolios: The impact of risk factors and extreme events 评估全球供应链基础设施组合中的动态连通性：风险因素和极端事件的影响

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-08-07 DOI: 10.1016/j.gfj.2025.101166

Haibo Wang

This paper analyzes global supply chain investment risk factors (i.e., energy market, investor sentiment, and global shipping costs). It then presents portfolio strategies responsive to dynamic risks. We employ a time-varying vector autoregression model to examine the spillovers and interconnectedness among these factors from January 5, 2010, to June 29, 2023, using a set of environmental, social, and governance (ESG) indexes. Hedge ratios (HRs) and hedging effectiveness (HE) are calculated to determine optimal long and short positions for these portfolios. We then assess the impact of extreme events on risk spillovers and investment strategies by comparing periods before and after COVID-19. Our results show that risk shocks drive dynamic connectedness among infrastructure portfolios, and we highlight how extreme events affect spillovers and investment outcomes. Portfolios with higher ESG scores exhibit stronger connectedness with other portfolios and factors. Net total directional connectedness indicates that West Texas Intermediate (WTI), the Baltic Exchange Dry Index, and the investor sentiment volatility index (VIX) are consistent net receivers of spillover shocks, while the GLFOX portfolio alternates as a time-varying receiver and transmitter. Pairwise connectedness analysis reveals that WTI and VIX are predominantly receivers, whereas CSUAX, GII, and FGIAX portfolios act as net transmitters. COVID-19 altered the structure of dynamic connectedness across portfolios: shifts in mean HR and HE suggest that long/short position weights underwent structural changes post-outbreak, and portfolios with higher ESG scores demonstrated superior hedging ability. These findings offer valuable insights for investors adjusting hedging strategies in global supply chain infrastructure investments.

本文分析了全球供应链投资风险因素（即能源市场、投资者情绪和全球运输成本）。然后给出响应动态风险的投资组合策略。我们使用一套环境、社会和治理（ESG）指数，采用时变向量自回归模型考察了2010年1月5日至2023年6月29日期间这些因素之间的溢出效应和相互关联性。计算对冲比率（hr）和对冲有效性（HE），以确定这些投资组合的最佳多头和空头头寸。然后，我们通过比较COVID-19之前和之后的时期，评估极端事件对风险溢出和投资策略的影响。我们的研究结果表明，风险冲击推动了基础设施投资组合之间的动态连通性，我们强调了极端事件如何影响溢出效应和投资结果。ESG得分较高的投资组合与其他投资组合和因素的联系更强。净总定向连通性表明，西德克萨斯中质原油（WTI）、波罗的海干油交易所指数（Baltic Exchange Dry Index）和投资者情绪波动指数（VIX）是外溢冲击的一致净接收方，而GLFOX投资组合交替充当时变接收方和发送方。两两连通性分析表明，WTI和VIX主要是接收器，而CSUAX、GII和FGIAX组合则是净发射器。COVID-19改变了投资组合的动态连通性结构：平均人力资源和HE的变化表明，多/空头寸权重在疫情爆发后发生了结构性变化，ESG得分较高的投资组合表现出更强的对冲能力。这些发现为投资者调整全球供应链基础设施投资的对冲策略提供了有价值的见解。

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引用次数: 0

ESG fund performance and fund manager trading strategy: Evidence from China ESG基金绩效与基金经理交易策略：来自中国的证据

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-08-07 DOI: 10.1016/j.gfj.2025.101167

Tiantian Tang , Jiahui Guo , Liping Zou , Lu Luo

This study investigates the performance of environmental, social, and governance (ESG) funds compared with their conventional counterparts in China's financial market, using quarterly stockholding data from 2018 to 2021. The findings show that ESG funds consistently outperform conventional ones in generating risk-adjusted excess returns. ESG funds also exhibit lower tendencies toward window dressing and maintain longer investment horizons, reflecting their commitment to long-term objectives and reduced focus on short-term gains. Probit model results reveal that fund managers' personal characteristics—particularly gender and investment style—significantly influence the likelihood of a fund being classified as an ESG fund. Additionally, a trading strategy that mimics ESG principles by investing in high-ESG-rated stocks and divesting from low-rated ones generates positive returns, underscoring the profitability of ESG-based investment strategies. This research provides valuable insights into China's ESG fund landscape and emphasizes its growing role in promoting sustainable development within the global financial ecosystem.

本研究使用2018年至2021年的季度持股数据，调查了中国金融市场中环境、社会和治理（ESG）基金与传统基金的表现。研究结果显示，ESG基金在产生经风险调整后的超额回报方面一直优于传统基金。ESG基金也表现出较低的粉饰帐面的倾向，并保持较长的投资期限，反映出它们致力于长期目标，减少了对短期收益的关注。Probit模型结果显示，基金经理的个人特征——尤其是性别和投资风格——显著影响基金被归类为ESG基金的可能性。此外，一种模仿ESG原则的交易策略，通过投资ESG评级高的股票并从评级低的股票中撤资，可以产生正回报，强调了基于ESG的投资策略的盈利能力。本研究为中国ESG基金格局提供了有价值的见解，并强调了其在促进全球金融生态系统可持续发展方面日益重要的作用。

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引用次数: 0

How do voting powers matter in equity finance? Evidence from chinese private placements 投票权对股权融资有何影响？来自中国私募的证据

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-07-30 DOI: 10.1016/j.gfj.2025.101163

Peiyuan Zhu

In prevailing theories of capital structure, the role of voting power is often neglected. However, voting mechanisms are critical in financing decisions, as shareholders typically place high value on maintaining control, and voting power is central to that control. This study introduces a financing theory that posits companies are more likely to pursue equity financing when incoming shareholders are unable to challenge the voting power of incumbent shareholders. The theory suggests that in certain ownership structures, newly entering large shareholders cannot meaningfully influence voting outcomes, prompting existing shareholders to favor equity financing. In contrast, when ownership structures allow new shareholders to significantly affect voting results, firms tend to prefer internal or debt financing. To evaluate this theory, the study conducts an empirical analysis using data from Chinese listed companies. The findings support the model's predictions and further reveal that this effect also impacts firm growth and dividend policies.

在主流的资本结构理论中，投票权的作用往往被忽视。然而，投票机制在融资决策中至关重要，因为股东通常高度重视保持控制权，而投票权是这种控制权的核心。本研究引入了一种融资理论，该理论认为，当新股东无法挑战现任股东的投票权时，公司更有可能寻求股权融资。该理论认为，在一定的股权结构下，新进入的大股东不能对投票结果产生有意义的影响，从而促使现有股东倾向于股权融资。相反，当所有权结构允许新股东显著影响投票结果时，公司倾向于内部融资或债务融资。为了验证这一理论，本研究利用中国上市公司的数据进行了实证分析。研究结果支持了模型的预测，并进一步揭示了这种效应也会影响企业增长和股息政策。

引用次数: 0

Green dreams, risky assets? A study of high-yield green bonds 绿色梦想，风险资产？高收益绿色债券的研究

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-07-26 DOI: 10.1016/j.gfj.2025.101158

Sang Baum Kang , Satwik Sinha , Jiyong Eom

High-yield green bonds are corporate bonds rated BB+ or below, specifically designated to finance environmentally friendly projects. The market for these bonds is approximately one-fifth the size of the investment-grade green bond market and has been steadily growing. However, this segment has received little attention in the literature. In this study, we make the first attempt to examine the pricing of high-yield green bonds, both theoretically and empirically. We propose a novel economic model in which the credit spread of high-yield green bonds depends not only on the probability of financial success, but also on the environmental success probability of the projects financed by the bond and the investor’s willingness to trade financial return for environmental return. The credit spread of a high-yield green bond can be lower than that of a conventional (or brown) bond only if some investors have confidence in the issuer’s ability to deliver environmental value by successfully implementing green projects. Empirically, we investigate whether such a negative wedge between green and brown credit spreads exists in the high-yield bond market, using a standard matching methodology. We find that the mean credit spread of high-yield green bonds is lower than that of their brown counterparts, although the difference is not statistically significant.

高收益绿色债券是指评级为BB+或以下的公司债券，专门为环保项目融资。这些债券的市场规模约为投资级绿色债券市场的五分之一，并且一直在稳步增长。然而，这一部分在文献中很少受到关注。在本研究中，我们首次尝试从理论和实证两方面对高收益绿色债券定价进行检验。本文提出了一个新的经济模型，其中高收益绿色债券的信用利差不仅取决于融资项目的财务成功概率，还取决于债券融资项目的环境成功概率和投资者以财务回报换取环境回报的意愿。只有当一些投资者对发行人通过成功实施绿色项目实现环境价值的能力有信心时，高收益绿色债券的信用利差才能低于传统（或棕色）债券。在实证上，我们使用标准匹配方法研究了高收益债券市场中绿色和棕色信贷息差之间是否存在这种负楔形。我们发现高收益绿色债券的平均信用利差低于棕色债券的平均信用利差，尽管差异不具有统计学意义。

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引用次数: 0

Hydroclimatic risk mispricing: Evidence from China 水文气候风险错误定价：来自中国的证据

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-07-25 DOI: 10.1016/j.gfj.2025.101157

Jiaming Su, Yongqiao Wang

Hydroclimate can cause huge damage to human production and business activities. To evaluate whether stock markets efficiently price the hydroclimatic risk, the paper calculates the Hydroclimatic Sensitivity Score (HSS) for listed firms of China based on the Palmer Drought Severity Index (PDSI) in 1990 – 2022. HSS measures the firm-level physical risk associated with hydroclimate. Empirical results of the Fama–Macbeth regression indicate a significant relationship between HSS and stock return. Portfolios based on HSS exhibit significant positive

α

, which confirms the existence of hydroclimatic mispricing. Mechanism analysis shows that both the firm scale and the long-term debt tolerance can reduce a firm’s HSS, thus causing underpricing of hydroclimatic risk.

水文气候对人类生产经营活动造成巨大危害。为了评估股票市场是否有效地定价了水文气候风险，本文基于帕尔默干旱严重指数（PDSI）计算了1990 - 2022年中国上市公司的水文气候敏感性评分（HSS）。HSS测量与水文气候相关的企业层面的物理风险。Fama-Macbeth回归的实证结果表明，HSS与股票收益之间存在显著的关系。基于HSS的投资组合呈现显著的正α，证实了水文气候错误定价的存在。机制分析表明，企业规模和长期债务承受能力都会降低企业的HSS，从而导致水文气候风险的低估。

引用次数: 0

Sailing through uncertainty: Shipping's role in financial shock transmission and hedging strategies 航行不确定性：航运在金融冲击传导和对冲策略中的作用

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal

Pub Date : 2025-07-25 DOI: 10.1016/j.gfj.2025.101159

Spyros Papathanasiou, Theodore Syriopoulos, Dimitris Kenourgios, Drosos Koutsokostas

Given shipping's pivotal role in global trade, this study investigates interdependencies between the Baltic Dry Index and various financial and commodity markets, including equities, bonds, real estate, currency, bitcoin, crude oil, natural gas, gold, silver, copper, and zinc. Using the R² decomposed connectedness approach for the period 1/1/2012–1/31/2025, the analysis reveals moderate volatility spillovers, notably amplified by geopolitical conflict more than the health crisis. Key findings identify gold and equities as primary shock emitters, while currency and bonds function as major receivers. Shipping generally displays neutral behavior within the network. Portfolio analysis shows that most sampled assets significantly reduce risk for shipping investors. Conversely, shipping effectively minimizes risk for bitcoin and natural gas portfolios. Significant heterogeneity in hedging effectiveness is documented across distinct crisis episodes. These results underscore the imperative for shipping investors to employ tailored hedging strategies and offer policymakers insight into shipping's contained systemic footprint on contagion dynamics.

鉴于航运在全球贸易中的关键作用，本研究调查了波罗的海干散货运价指数与各种金融和大宗商品市场之间的相互依赖关系，包括股票、债券、房地产、货币、比特币、原油、天然气、黄金、白银、铜和锌。利用2012年1月1日至2025年1月31日期间的R2分解连通性方法，分析显示波动性溢出适度，地缘政治冲突比卫生危机更明显地放大了波动性溢出。主要研究发现，黄金和股票是主要的冲击发起者，而货币和债券则是主要的接受者。航运通常在网络中显示中立的行为。投资组合分析表明，大多数抽样资产显著降低了航运投资者的风险。相反，航运有效地降低了比特币和天然气投资组合的风险。在不同的危机事件中记录了对冲有效性的显著异质性。这些结果强调了航运投资者采用量身定制的对冲策略的必要性，并为政策制定者提供了深入了解航运对传染动态的系统性影响的见解。

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