European Financial Management最新文献

We conduct an in-depth analysis of basis momentum (BM) in currency markets and examine its relationship with key market anomalies. We find that BM strategies generate significant excess returns across various formation periods. These abnormal returns are not fully explained by the closely related carry and momentum factors. By decomposing the BM signal, we show that both carry- and momentum-related components contribute to the returns of BM strategies. Compared to carry trade, BM strategies exhibit significantly lower risk, leading to superior risk-adjusted performance.

This study examines the predictive power of incident-based Environmental, Social and Governance (ESG) risk on the Eurozone stock market returns using a forecast combination method. We find that our constructed indicator shows significant return predictability from both a statistical and economic perspective, with an out-of-sample CER gain of 4.55% and a Sharpe ratio of 0.43, consistently outperforming the mean benchmark. Moreover, we find that the predictive power is concentrated during non-expansion periods. We attribute this mechanism to the firm's fundamentals, cash flow and discount rate channels. Our findings highlight the value of ESG information for investors.

Using data for almost 360,000 European firms covered in Orbis Historical, I reconstruct the portfolios of shareholders who hold equity stakes in private and publicly traded firms between 2007 and 2020. I document a novel link between large shareholders' diversification and firms' cash holdings. Firms controlled by more diversified shareholders hold significantly less cash than those with less-diversified shareholders. The impact is both economically and statistically significant. Firms with nondiversified shareholders hold on average, more than double the cash of those with diversified shareholders. Results remain robust against tests for endogeneity and possible confounding effects.

We investigate whether the herding behaviour of bond funds influences corporate bond issuance. Using quarterly data from 1998 to 2018, we find that only buy herding significantly increases bond issuance activity. Further analysis supports an informational channel, suggesting that ‘investigative herding’ among funds enhances credit information efficiency more significantly than demand-driven price impacts. Our main identification strategy employs an instrumental variable approach based on the share of inexperienced managers among fund bondholders.

Debt mitigates agency problems between managers and stockholders by reducing free cashflows; yet, why managers voluntarily adopt debt discipline remains unclear. This paper examines how chief executive officers' (CEOs') managerial traits, shaped by national culture, influence leverage decisions. Analysing 3338 CEOs from 41 nationalities in 2280 US firms in Bloomberg 3000 index (from 2007 to 2024), we find that cultural values impact CEOs' perceptions of debt's costs/benefits. High-mastery CEOs reduce debt regardless of current leverage, while highly embedded CEOs inadvertently pursue target capital structures. A non-US CEO sample shows that cultural values are portable. Our findings are robust to sensitivity and endogeneity tests.

Advancements in high-speed Internet and mobile technology in the 2000s accelerated global digital trade growth. However, financial development in European transition economies remains low, and its connection to digital trade remains largely unexplored. This study analyzes how digital trade influences financial development, focusing on Information and Communication Technology (ICT) services exports, goods trade, internet penetration, and key financial metrics, including development, institution, and market indices. The results reveal an inverted U-shaped relationship, where initially digital trade growth strengthens financial depth, access, and efficiency, but benefits decline beyond a threshold. Current digital trade levels remain below the optimal point for maximizing financial development, highlighting the need for further growth.

This study investigates whether differences in investors' time zones affect stocks' price efficiency post-earnings announcements on the Australian Securities Exchange. We examine how stocks heavily held by investors in a time zone significantly behind the exchange time zone respond to earnings announcements, compared to stocks that are not. This study finds that stocks associated with a later time zone are less price-efficient post announcement. The pricing efficiency difference is pronounced for early announcements and announcements with a positive tone. Our results are robust to alternative price efficiency measures, post announcement time frames, and benchmark periods.

This study introduces a new metric to evaluate a firm's intangible asset intensity, focusing on its ability to generate revenue from nonphysical assets. It finds a strong positive correlation between firm performance and both internally generated and externally acquired intangible assets. Firms with high intangible intensity outperform peers by 3% annually. The oversight of intangible assets is identified as a factor in value stocks' underperformance. Rigorous tests, including endogeneity checks, confirm these firms exhibit superior accounting quality, labour investment efficiency and acquisition returns. A framework highlights how managerial attributes enhance firm value through decision-making.