North American Journal of Economics and Finance最新文献

We estimate aggregate, time-varying risk aversion inferred from options, stock returns and macroeconomic data for a panel of 8 countries. We document that, for most countries, the estimated risk aversion measure is counter-cyclical. Moreover, we show that estimated risk aversion forecasts monthly stock index returns up to 12 months ahead. This effect is statistically significant in panel regressions, and it survives the inclusion of additional control variables, such as an estimated of the variance risk premium, an investors’ sentiment index, and a measure of economic uncertainty. Finally, we show that risk aversion provides useful information to an investor who aims at timing the market. An investment strategy that uses the estimated time-varying risk aversion measure to solve a mean–variance asset allocation problem, delivers significantly positive returns.

We introduce finance in a neo-classical general equilibrium model of production and international trade to integrate the core microeconomic theory with the theory of finance. The stock of credit, as past savings, finances employment and the acquisition of machines or capital goods. The availability of finance or international financial flows does not affect production or trade patterns, except for nominal factor prices, in undistorted competitive structures. However, distortions such as unemployment, imperfect credit markets, and factor mobility do affect real outcomes and trade. Our results are consistent with contemporary empirical evidence and have policy implications for financial development and institutional quality. Numerical illustrations provide further insights.

This paper presents analytical solutions for options on the maximum or the minimum of several assets with counterparty default risk before maturity, including derivations of several specific Greeks. To derive the solutions, we provide the joint distribution of the minimum value of one Brownian motion and the terminal values of all Brownian motions for correlated multidimensional Brownian motion. We then conduct a numerical analysis to examine the effects of counterparty risk on option prices.

This study investigates the asymmetric time–frequency risk spillovers between Chinese new energy futures and carbon-intensive assets by using a time-varying parameter vector autoregressive connectedness approach. The results reveal that, in both the return and volatility spillover cases, industrial silicon futures and lithium carbonate futures generally are the net receivers of risk spillovers as regards the relationships with carbon-intensive sectoral stocks and fossil energy futures. In addition, there exists an asymmetric spillover effect, where spillovers based on bad news are higher than those based on good news. Meanwhile, return and volatility spillovers are extremely intensive in the short term as compared to the medium the long term. Finally, this study develops portfolio strategies by constructing bivariate and multivariate portfolios comprised of new energy futures and carbon-intensive assets. The bivariate portfolio analysis indicates that industrial silicon futures and lithium carbonate futures can well hedge against carbon-intensive sectoral stocks. The multivariate portfolio analysis shows that allocating the smallest share of petrochemical stocks and steel stocks can mitigate investment risks. These findings have important implications for investors and policymakers.

This study examines the impact of confirmed COVID-19 cases on Taiwan’s stock market returns from January 30, 2020, to April 14, 2023, incorporating factors including interest rates, crude oil prices, and exchange rates. Results show significant short and medium-term cross-quantile dependence between COVID-19 cases and stock returns, weakening the relationship over extended lag periods. The findings highlight the Taiwanese stock market’s sensitivity to daily case increases, with varying correlations over time, especially in lower and medium quantiles, indicating changing dependency structures.

In this study, we investigate the relationship between economic policy uncertainty [EPU] and the economic conditions of the 50 US states, as well as the role of interest rates. We use a semi-parametric smooth varying coefficient model (SVCM) to examine how interest rate affects the nexus of EPU-economic conditions. Our findings suggest a negative relationship between EPU and economic conditions and that when the interest rate is around 3 %, the negative impact of EPU on economic conditions decreases in more than 60 % of US states. Furthermore, we find that the rate of change in the interest rate between 2 % and 3 % helps mitigate the negative effects of EPU and improves economic conditions in several states. Our results remain consistent across different interest rate periods, regardless of whether the uncertainty is of internal or external origin.

This study examines the relationship between organizational capital (OC) and stock performance during the two recent crisis periods, namely the GFC and COVID-19. Economic crises highlight the sustainable competitiveness of firms, providing an opportunity to identify the role of OC. OC is intangible capital that encompasses intrinsic business processes and expertise, facilitating more efficient resource utilization than competitors. Results show that a greater OC is significantly associated with higher stock returns during both crisis periods. The association is robust to the models with firm-fixed effects and instrumental variables. In addition, we find evidence that generalist CEOs strengthen this relationship while specialist CEOs do not. This study emphasizes the pivotal role of OC as a protective buffer against external shocks, particularly during periods when the market pays more attention to corporate sustainability.

This study investigates whether and how firms’ engagement in ESG decoupling leads to changes in R&D investment. Using a sample of U.S. listed firms from 2012 to 2023, we discover a consistent negative effect of ESG decoupling on R&D investment, indicating opposite effects from ESG brown-washing versus green-washing. Brown-washing firms exhibit a significant increase in R&D investment. Cross-sectional tests support the strategic incentive that a more pronounced positive effect observed in smaller firms, firms facing greater financial constraints and market competition, and among high-tech firms. In contrast, we find that green-washing firms experience a significant decrease in R&D investment. The decrease in R&D investment among green-washing firms is mitigated by more stringent corporate governance enforced by institutional investors, but is further amplified among firms facing greater market competition and high-tech firms, suggesting that green-washing firms with decreased R&D investment are subject to managerial opportunism. Our findings remain robust to different subsets of benchmarking normal firms and alternative measurement. In addition, we find that the capital market responds positively to ESG green-washing and negatively towards brown-washing, which implies a favorable attitude toward floated ESG disclosure from the investors. Overall, our study unveils the important role of ESG decoupling in reshaping corporate investment decision and contribute to the growing literature on ESG decoupling.

This paper examines the role of Confucian culture characterized by traditional virtues such as benevolence, righteousness, propriety, wisdom, and trust in audit firms and corporate ESG disclosure. Using data from Chinese A-share listed companies from 2008 to 2021, we found that Confucian culture in audit firms significantly promotes the level of corporate ESG disclosure. We also tested the moderating effect of regional culture and corporate culture, and found that in regions with stronger merchant guild culture and higher levels of social trust, as well as in companies with a stronger culture of integrity and cooperation, the promotion effect of Confucian culture in audit firms on corporate ESG disclosure is more pronounced. Furthermore, we discovered that the closer the geographical distance between audit firms and client companies, the greater the positive impact of Confucian culture in audit firms on corporate ESG disclosure. Overall, this study reveals the modern value of Confucian traditional culture for the improvement of enterprises’ environmental friendly behaviors from the perspective of external audit, and highlighted the relevance of informal institutions in corporate governance.

This study investigates whether Environmental, Social, and Governance (ESG) performance influences stock idiosyncratic and extreme risks. We find that listed companies’ ESG performance significantly reduces stock idiosyncratic and extreme risks. Furthermore, we find that this mitigating effect is shaped by the nature of enterprise ownership and the firm life cycle. Through an additional mechanistic analysis, we confirm that ESG performance affects the stock price volatility risk of listed companies by reducing the levels of corporate earnings management and bolstering corporate reputation, thereby alleviating both idiosyncratic and extreme risk in stock prices.