International Journal of Finance & Economics最新文献

Speakers of weak future time reference (FTR) languages (e.g., Chinese) do not need to grammatically mark future events, whereas speakers of strong FTR languages (e.g., English) do. We conjectured that weak FTR languages lead speakers to hold less precise beliefs about timing and, hence, are associated with higher stock price crash risk. Accordingly, using a comprehensive sample of firms in 36 countries (regions) with 221,414 observations from 1988 to 2017, we found that stock price crash risk was significantly higher in regions dominated by speakers of weak FTR languages. Furthermore, the effect of FTR on stock price crash risk was weakened in countries with stronger formal and informal institutions (e.g., high disclosure quality, greater transparency, and less corruption). Our results gave a new explanation for the heterogeneity in stock price crash risk, provided insights into whether language is an economic institution, and added to the research on the effects of languages on economic and financial outcomes.

Retraction: Zhu, B., Wang, P., Chevallier, J., & Wei, Y.-M. (2021). Enriching the value-at-risk framework to ensemble empirical mode decomposition with an application to the European carbon market. International Journal of Finance & Economics, 2023; 28: 2975–2988. https://doi.org/10.1002/ijfe.2578

The above article from the International Journal of Finance & Economics, published online on 21 September, 2021 in Wiley Online Library (wileyonlinelibrary.com), has been retracted by agreement between the journal's editor-in-chief, Keith Pilbeam, the authors, and John Wiley & Sons Ltd. This action has been agreed due to an error at the publishers which caused this duplicate of the article below to be published on 21 September, 2021. The correct version of the article is to be found at: Zhu, B, Wang, P, Chevallier, J, Wei, Y-M, Xie, R. Enriching the VaR framework to EEMD with an application to the European carbon market. International Journal of Finance & Economics. 2018; 23: 315–328. https://doi.org/10.1002/ijfe.1618.

This study examines the influence of risk disclosure (RD) in the annual reports on Firm Value (FV) in the UK context. Furthermore, it addresses the moderating role of the analyst information environment in shaping this relation. Our study distinguishes between favourable and unfavourable information and examines whether the different nature of risk information could affect the FV differently. Our study contributes to the existing literature by providing empirical evidence on the value relevance of the narrative risk information. In particular, using a sample of UK listed firms, we find a positive relation between risk information and FV. We also contribute to the dilemma of risk disclosure measurement by using four different RD proxies. Our study has important implications for academics, standard setters, investors and managers.

The debate on whether central banks should consider climate change risks in their mandate could reach some informed consensus given it is explicit how monetary policy, directly and indirectly, interacts with environmental sustainability. To unriddle this issue, we touch upon a novel perspective by exploring how monetary policy moderates the influence of economic complexity and technological innovation on energy productivity and carbon productivity in the presence of the labour force participation ratio, trade openness, financial inclusion, and GDP. Our study builds upon the Stochastic Impacts by Regression on Population, Affluence, and Technology (STIRPAT) structure, considering the Group of Seven (G7) countries as the analytical laboratory over the 1995–2019 period. The principal outcomes based on the novel Method of Moments Quantile Regression (MMQR) are as follows: A higher level of economic complexity is associated with enhanced environmental sustainability. In addition, technological innovation is beneficial to environmental sustainability, especially across countries reporting moderate levels of environmental sustainability. Considering the direct impact, contractionary monetary policy deteriorates environmental sustainability, while expansionary monetary policy promotes it for green central banking in place. Regarding the moderating impacts, expansionary monetary policy is unveiled to manifest beneficial environmental impacts of economic complexity and technological innovation, provided that inflationary pressures remain under control. Based on our findings, it is recommended to formulate a monetary policy inclusive of climate-related risks to capitalize on the environmentally favourable impacts of economic complexity and technological innovation. Finally, the monetary expansions keeping the inflationary pressures under control would benefit environmental sustainability.

Investors cannot anticipate a return reversal in the stock market. Therefore, choosing the optimal time to buy and hold a stock is vital. This paper formulates a disorder problem using the optimal stopping theory to study the optimal time to buy and hold a stock when a downward trend is about to reverse. The results show that investors should buy a stock when the conditional probability of a return reversal hits an optimal boundary for the first time. The optimal boundary is uniquely determined by the stock return, volatility, and the intensity of return reversal. Moreover, the optimal boundary decreases as the stock volatility and the intensity of return reversal increase. We use the China Securities Index 300 (CSI 300), Standard & Poor's 500 (S&P 500), Dow Jones Industrial Average (DJIA), and Russell 2000 indexes to estimate the parameters and the related optimal boundary. We find that the estimated optimal boundary can be used to time stock buying.

We examine whether the stock return performance of 620 Eurozone companies based on their environmental, social and governance (ESG) ratings both before and during the Covid-19 pandemic on both a nominal and risk adjusted basis. We also look at how country level governance indicators interact with our samples of ESG_High and ESG_Low companies to affect both nominal and risk adjusted investment returns. We use both panel data and cross-sectional regressions as well as the difference-in-differences approach to derive the empirical results. We generally find some evidence that highly rated ESG firms performed slightly worse than lower rated ESG both overall and during the pandemic. However, once we control for governance at the country level, we find that in high governance scoring countries ESG_High companies perform better than ESG_Low companies. Finally, when we examine the relative performance of EU companies compared to companies in economies less impacted by the Covid-19 pandemic, namely South Korea and Australia, we find that during the pandemic, the South Korean and Australian companies performed much better than their counterparts in Europe.

This study assesses the effects of CEO power on green innovation and, more importantly, explores how different performance feedback affects this relationship by considering the positive and negative aspects of financial and environmental performance feedback. We further discuss how institutional investors respond to the decision-making of powerful CEOs on green innovation. By using Chinese manufacturing observations, we find that although powerful CEOs positively promote firms' green innovation, this positive effect does not apply to all conditions. The impacts of CEO power on green innovation are different under the positive and negative aspects of performance feedback, and under financial and environmental performance feedback. Accordingly, heterogeneous institutional investors respond differently to these various situations. Specifically, pressure-resistant institutional investors serve as ‘supervisors’ under the positive aspects of financial and environmental performance feedback and shift to ‘bystanders’ under the negative aspects of financial and environmental performance feedback. Pressure-sensitive institutional investors always act as ‘bystanders’ under different performance feedback.

Financial integration in the Association of Southeast Asian Nations (ASEAN) region is a key focus of the ASEAN Economic Community. Whereas many studies focus on modelling corporate default, this paper identifies early warning indicators of financial distress before a default, using multiple discriminant analysis (MDA) models with a sample of listed and delisted companies in the ASEAN region. The analysis examines 720 companies in 10 different industries across six ASEAN countries from 1997 to 2016. The study constructs individual models for each country as well as an overall model for the entire region, using both in-sample and out-of-sample approaches. This overall model could be useful for an integrated banking system. To ensure robustness, the study also separately examines the predictive performance of the MDA models across different economic crises: the Asian financial crisis (AFC) from 1997 to 2000, the global financial crisis (GFC) from 2007 to 2009 and their pre- and post-crisis periods. We find that profitability ratios are the best indicators of financial distress in the ASEAN region, followed by liquidity and leverage ratios. In addition, our findings reveal common indicators that can be used to predict financial distress across ASEAN countries. The single model performs reasonably well in predicting financial distress 1 year ahead. In addition, the model is extended to incorporate a market-based indicator into the MDA models, the distance to default. However, the inclusion of this indicator does not significantly improve the accuracy of the models in predicting financial distress at listed firms in the ASEAN region.

Amidst increased climatic disasters, persisting social evils, and governance concerns, sustainable finance and its new and innovative financial instruments have gained prominence across stakeholders globally. Green, social sustainability, sustainability-linked, and transition (collectively GSS+) debt have a market worth USD 3.9 trillion since 2007 (Climate Bonds Initiative, 2018). We provide a comprehensive review of the evolution and future research directions of the sustainable finance research field by analysing overall publication trends, subject categories, co-authorship networks, keywords, countries and institutions, journal co-citation, and cluster analysis. Findings include the emergent need for greater collaboration among authors globally. Future research directions include research questions for themes such as carbon emission trading, financial inclusion, reporting of proceeds related to sustainable finance to prevent greenwashing, the impact of climate change and climate finance on sustainable finance, mobilisation of sustainable finance through green bonds, and technological interactions between sustainable finance and blockchain and artificial intelligence. The study also provides implications for the stakeholders.