European Financial Management最新文献

Using a data set of US manufacturing firms with sales from foreign operations, we find that firms' currency hedging activities vary with their warranty obligations. The positive link of warranty obligations to currency hedging policies prevails in financially more constrained firms, companies facing fiercer product market competition and corporations producing more unique products. Our results suggest that firms are likely to incorporate their contractual commitments to customers into their currency hedging activities, especially when their failures to honor these commitments are more likely or costly.

I use the staggered adoption of mandatory environmental, social, and governance (ESG) disclosure regulations around the world to explore the impact of ESG disclosure on initial public offering (IPO) underpricing. I find robust evidence that underpricing is substantially lower in countries with ESG disclosure mandates. High-quality disclosure environments moderate and tougher liability standards amplify the negative association between ESG disclosure mandates and underpricing, which suggests that ESG disclosure mandates reduce information asymmetry and litigation risk. The impact of ESG disclosure mandates on underpricing is stronger in countries with more pronounced environmental, social, and governance concerns.

We study firms' return and volatility connectedness in the stock and corporate bond markets. Our approach to capturing firm-specific return and volatility time series in the corporate bond market is based on a repeat-sales index at the firm level. Measuring the pairwise connectedness of firms, we show that the two markets share similar dynamics in the connectedness of their firms. Firms tend to cluster within their own sectors and ties between firms in the corporate bond market are proportionally weaker. Financial firms play a critical role in the propagation of shocks, but this role differs markedly in the two markets.

We investigate a potential primary effect of leveraged buyouts (LBOs) by private equity (PE) on peers in the same industry using data on US public-to-private LBO transactions between 1985 and 2016. We use a network-based instrumental variable approach to account for potential endogeneity concerns. Our findings indicate that the LBOs by PEs matter for peer firms' performance and corporate strategy relative to nonpeer firms. Our study supports a learning factor hypothesis, but we find no evidence to support the conjecture that peers lose due to the increased competitiveness of the LBO target.

We are examining the impact of benefit corporation certification on the profitability of UK companies, taking into account their capital structure. We contribute to the literature that scrutinizes the financial ramifications of Benefit Corporation Certification. Analyzing UK Certified Benefit Corporations (CBCs) and their noncertified counterparts using a difference-in-differences analysis, we find that the performance of CBCs with a capital structure heavily weighted towards debt declines in comparison to non-CBCs, using Return on Assets as a measure of financial performance. Conversely, the performance of CBCs with a capital structure primarily composed of equity is comparable to that of non-CBCs.

What happens to companies that file for an initial public offering (IPO), but withdraw and do not list? How long does the post-IPO outcome take? These questions are investigated by analysing market, firm and offer characteristics of 334 withdrawn IPOs in Europe between 2001 and 2015. The majority of withdrawn IPOs is engaged in M&A, only few file for a second time IPO. These post-IPO withdrawal outcomes happen shortly after the IPO filing. Private equity and venture capital-backed firms are more frequently engaging in M&A or trading. The evidence suggests that the IPO may be used as a marketing mechanism, being one of several alternatives of exit.

In the 1990s, securitised subprime loans supported the growth of mortgage lending. We study the evolution of initial mortgage rates as a function of loan and borrower characteristics during 1992–2015. We compare the evolution of initial rates on securitised subprime mortgages with rates of prime privately securitised mortgages, mortgages securitised by government-sponsored enterprises, and nonsecuritised mortgages. Starting in 2003 the risk premium on subprime loans decreases until it disappears at the onset of the Global Financial Crisis. We find that loading factors on subprime rates are cointegrated with delinquencies and house price movements, providing evidence of the important role of the subprime market.

We investigate the impact of quantitative investment on market efficiency in China. We provide an illustrative model to show that quantitative investment enhances market efficiency. Empirically, we conduct both time-series and cross-sectional analysis. Regarding the time series dimension, we construct QuantDegree to measure the level of quantitative investment. We find that the performance of most anomalies decreases as QuantDegree increases. In the cross-sectional dimension, we sort stocks into portfolios based on quant fund holdings and traditional anomalies. We find the anomaly return is lower within the groups with higher quant fund holdings, a result further confirmed by Fama–MacBeth regressions.

Using individual transaction data, we investigate how geopolitical risk influences green bond issuance across 73 countries during 2008–2021. We consider deal characteristics, as well as economic and institutional factors. We find a positive association between geopolitical risk and green bond issuance. The effect shows nonlinearity and time delays. Our findings remain robust after conducting sensitivity and endogeneity analysis. After decomposing the geopolitical risk index, we discover that all its components have positive correlations with green bond issuance. Lastly, our study highlights the crucial role of the underwriters' network and specific geopolitical jurisdictions as drivers for global green bond market expansion.

We investigate the impact of macroeconomic variables on bond risk premia prediction via machine learning techniques. On the basis of Chinese treasury bonds from March 2006 to December 2022, we show that adding macroeconomic factors improves bond return forecasts and generates higher economic benefits to investors. This is achieved when the nonlinear relationship between macroeconomic variables and bond returns is modelled via machine learning methods. Furthermore, the importance of macroeconomic determinants changes along the yield curve. Our study sheds new light on the information contained in macroeconomic variables for treasury bond valuation and highlights the importance of utilizing appropriate machine learning methods.