Pub Date : 2026-01-01DOI: 10.1016/j.qref.2025.102102
Dongwei He , Yumeng Wang , Siyao Wu , Xiaoyue Wang , Jiacai Zhang
Financial technology (FinTech) has significantly affected the financial sector. Using a sample of Chinese banks, this study investigates FinTech’s impact on bank performance. We find that FinTech use improves bank profitability and solvency but reduces liquidity. Examining the impact of FinTech heterogeneity on bank performance reveals that banks with FinTech subsidiaries or divisions are not only more likely to improve capital adequacy but also suffer from more non-performing loans. Next, small and medium-sized banks benefit from greater profitability but experience lower capital adequacy and loan quality improvement when using FinTech. Notably, FinTech has the greatest effect on profitability and risk in banks with the highest systemic importance. Banks with better managerial abilities are also more capable of effectively using FinTech. Finally, channel analysis reveals that FinTech affects banks’ performance by improving operational efficiency and business growth.
{"title":"Banking on technology: Does FinTech improve bank performance?","authors":"Dongwei He , Yumeng Wang , Siyao Wu , Xiaoyue Wang , Jiacai Zhang","doi":"10.1016/j.qref.2025.102102","DOIUrl":"10.1016/j.qref.2025.102102","url":null,"abstract":"<div><div>Financial technology (FinTech) has significantly affected the financial sector. Using a sample of Chinese banks, this study investigates FinTech’s impact on bank performance. We find that FinTech use improves bank profitability and solvency but reduces liquidity. Examining the impact of FinTech heterogeneity on bank performance reveals that banks with FinTech subsidiaries or divisions are not only more likely to improve capital adequacy but also suffer from more non-performing loans. Next, small and medium-sized banks benefit from greater profitability but experience lower capital adequacy and loan quality improvement when using FinTech. Notably, FinTech has the greatest effect on profitability and risk in banks with the highest systemic importance. Banks with better managerial abilities are also more capable of effectively using FinTech. Finally, channel analysis reveals that FinTech affects banks’ performance by improving operational efficiency and business growth.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102102"},"PeriodicalIF":3.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145883977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-01-01DOI: 10.1016/j.qref.2025.102105
Michael Waterson , Jian Xie
Does providing more information impact bidding structure in repeated procurement? We empirically examine the effects on a set of bidding outcomes after provision of increased information to participants in the London bus market, using an event study approach. We find that (i) The highest bid and the lowest bid move closer; (ii) There is a lesser tendency for the incumbent to win; (iii) Firms with a nearer garage that are not incumbents have a greater chance of winning, so more routes move to new operators; (iv) However, the tendency for incumbents to win does not change when their garages are some distance from the route; and (v) Winning prices rise, other things equal, with respect to the Transport for London inflation adjuster, a factor we investigate further. These results are consistent with more information release improving bidders’ decision making and mitigating incumbents’ advantage, but additionally they led to higher prices overall.
{"title":"Information disclosure and bidding structure: Evidence from the London bus market","authors":"Michael Waterson , Jian Xie","doi":"10.1016/j.qref.2025.102105","DOIUrl":"10.1016/j.qref.2025.102105","url":null,"abstract":"<div><div>Does providing more information impact bidding structure in repeated procurement? We empirically examine the effects on a set of bidding outcomes after provision of increased information to participants in the London bus market, using an event study approach. We find that (i) The highest bid and the lowest bid move closer; (ii) There is a lesser tendency for the incumbent to win; (iii) Firms with a nearer garage that are not incumbents have a greater chance of winning, so more routes move to new operators; (iv) However, the tendency for incumbents to win does not change when their garages are some distance from the route; and (v) Winning prices rise, other things equal, with respect to the Transport for London inflation adjuster, a factor we investigate further. These results are consistent with more information release improving bidders’ decision making and mitigating incumbents’ advantage, but additionally they led to higher prices overall.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102105"},"PeriodicalIF":3.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145883978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-01-01DOI: 10.1016/j.qref.2025.102104
Chandra S. Mishra
This study examines how CEO pay-performance sensitivity (PPS) influences firms' competitive strategy choices among differentiation, cost leadership, and best-cost differentiation strategies. Using a multinomial logit model and controlling for firm and CEO characteristics, we find that the relationship between PPS and strategic choice varies systematically across different levels of PPS. Specifically, low PPS is associated with a greater likelihood of best-cost differentiation strategies, moderate PPS is linked to differentiation strategies, and high PPS correlates with cost leadership strategies. The study makes a novel contribution by demonstrating that executive compensation design has a broad and strategic impact on firm performance, steering firms toward distinct competitive positioning. By linking PPS to strategic positioning, we extend behavioral agency theory and contribute to emerging conversations about the strategic consequences of incentive systems. The results highlight that compensation committees must consider not only the strength but also the strategic implications of CEO incentives when designing pay structures.
{"title":"Incentives that shape strategy: How CEO pay-for-performance steers competitive advantage","authors":"Chandra S. Mishra","doi":"10.1016/j.qref.2025.102104","DOIUrl":"10.1016/j.qref.2025.102104","url":null,"abstract":"<div><div>This study examines how CEO pay-performance sensitivity (PPS) influences firms' competitive strategy choices among differentiation, cost leadership, and best-cost differentiation strategies. Using a multinomial logit model and controlling for firm and CEO characteristics, we find that the relationship between PPS and strategic choice varies systematically across different levels of PPS. Specifically, low PPS is associated with a greater likelihood of best-cost differentiation strategies, moderate PPS is linked to differentiation strategies, and high PPS correlates with cost leadership strategies. The study makes a novel contribution by demonstrating that executive compensation design has a broad and strategic impact on firm performance, steering firms toward distinct competitive positioning. By linking PPS to strategic positioning, we extend behavioral agency theory and contribute to emerging conversations about the strategic consequences of incentive systems. The results highlight that compensation committees must consider not only the strength but also the strategic implications of CEO incentives when designing pay structures.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102104"},"PeriodicalIF":3.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145883979","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-21DOI: 10.1016/j.qref.2025.102103
Ran Huang, Qi Zhou, Yingxin Chang, Die Hu, Yongmin Wang
This study examines credit-risk contagion across China’s real-estate industrial chain and investigates how state transitions in external economic variables reshape the structural features of risk contagion. Results show that upper-midstream and midstream industries are the primary risk-transmission layers, while real-estate development, cement, glass and household-appliance industries act as the main contagion hubs. Furthermore, as economic-policy uncertainty rises from low to high, or as external financing conditions move from tight to loose, or as real-estate market activity shifts from high to low, the contagion network becomes denser and more bidirectional, amplifying both the speed and complexity of credit-risk propagation. Notably, the real-estate development industry remains a pivotal multi-path multi-directional transmitter regardless of the state transitions of these external economic variables. These findings provide regulators with a crucial reference for targeted oversight of credit risk contagion across industries and offer investors guidance for the dynamic optimization of real-estate-linked portfolio risk.
{"title":"Credit risk contagion across China’s real-estate industrial chain","authors":"Ran Huang, Qi Zhou, Yingxin Chang, Die Hu, Yongmin Wang","doi":"10.1016/j.qref.2025.102103","DOIUrl":"10.1016/j.qref.2025.102103","url":null,"abstract":"<div><div>This study examines credit-risk contagion across China’s real-estate industrial chain and investigates how state transitions in external economic variables reshape the structural features of risk contagion. Results show that upper-midstream and midstream industries are the primary risk-transmission layers, while real-estate development, cement, glass and household-appliance industries act as the main contagion hubs. Furthermore, as economic-policy uncertainty rises from low to high, or as external financing conditions move from tight to loose, or as real-estate market activity shifts from high to low, the contagion network becomes denser and more bidirectional, amplifying both the speed and complexity of credit-risk propagation. Notably, the real-estate development industry remains a pivotal multi-path multi-directional transmitter regardless of the state transitions of these external economic variables. These findings provide regulators with a crucial reference for targeted oversight of credit risk contagion across industries and offer investors guidance for the dynamic optimization of real-estate-linked portfolio risk.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102103"},"PeriodicalIF":3.1,"publicationDate":"2025-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145840604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-18DOI: 10.1016/j.qref.2025.102098
Stephen Agnew , Patrick Roger , Tristan Roger
This paper examines how cognitive abilities explain variation in financial literacy among teenagers. We consider three dimensions of cognition: cognitive reflection, fluid intelligence, and approximate numeracy. Together, these measures account for nearly half of the variance in financial literacy scores and help explain the observed gender gap. While we find that the gender gap in financial literacy is entirely accounted for by differences in cognitive reflection, we do not find a similar result for approximate numeracy or fluid intelligence. These findings suggest that the gap is not driven by general cognitive differences across gender but by specific features that are shared by the Cognitive Reflection Test (CRT) and the financial literacy test and that disproportionately penalize girls.
{"title":"Financial literacy, cognitive abilities and gender gap","authors":"Stephen Agnew , Patrick Roger , Tristan Roger","doi":"10.1016/j.qref.2025.102098","DOIUrl":"10.1016/j.qref.2025.102098","url":null,"abstract":"<div><div>This paper examines how cognitive abilities explain variation in financial literacy among teenagers. We consider three dimensions of cognition: cognitive reflection, fluid intelligence, and approximate numeracy. Together, these measures account for nearly half of the variance in financial literacy scores and help explain the observed gender gap. While we find that the gender gap in financial literacy is entirely accounted for by differences in cognitive reflection, we do not find a similar result for approximate numeracy or fluid intelligence. These findings suggest that the gap is not driven by general cognitive differences across gender but by specific features that are shared by the Cognitive Reflection Test (CRT) and the financial literacy test and that disproportionately penalize girls.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102098"},"PeriodicalIF":3.1,"publicationDate":"2025-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145798230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-15DOI: 10.1016/j.qref.2025.102099
Dan Luo
We construct a holdings-based measure, weight shift, to capture the trading intensity of bond mutual funds. This measure quantifies the extent to which a fund’s current portfolio weights deviate from those implied by a buy-and-hold strategy since the previous reporting period. We find that funds with higher weight shift underperform. This negative relationship between weight shift and fund performance is more pronounced in high-yield bond funds, where trading is more costly. Furthermore, weight shift positively predicts future fund inflows, suggesting that investors, particularly retail investors, are more responsive to changes in trading activity, which may further incentivize managers to trade. Lastly, we find that weight shift captures the inferior managerial skill.
{"title":"Trading activity and fund performance - Evidence from corporate bond mutual funds","authors":"Dan Luo","doi":"10.1016/j.qref.2025.102099","DOIUrl":"10.1016/j.qref.2025.102099","url":null,"abstract":"<div><div>We construct a holdings-based measure, weight shift, to capture the trading intensity of bond mutual funds. This measure quantifies the extent to which a fund’s current portfolio weights deviate from those implied by a buy-and-hold strategy since the previous reporting period. We find that funds with higher weight shift underperform. This negative relationship between weight shift and fund performance is more pronounced in high-yield bond funds, where trading is more costly. Furthermore, weight shift positively predicts future fund inflows, suggesting that investors, particularly retail investors, are more responsive to changes in trading activity, which may further incentivize managers to trade. Lastly, we find that weight shift captures the inferior managerial skill.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102099"},"PeriodicalIF":3.1,"publicationDate":"2025-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145840603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-10DOI: 10.1016/j.qref.2025.102089
Chen Fei , Liang Li , Renzhong Li , Weiyin Fei
Agency conflicts can affect a firm’s investment of short- and long-termism, while both the decision-making of the principal and the agent can be affected by Knightian uncertainty (KU). Thus, this paper constructs a dynamic contract model under KU and analyzes the influence of KU on the firm’s investment of short- and long-termism. First, the dynamic equations for cash flow and capital stock evolution are described based on the sublinear expectation theory, and the principal’s and agent’s expected return functions are defined. Second, using the first-order conditions, we derive the first-best () short- and long-term investment ( and ) as a benchmark scenario (without agency conflicts). Third, the -Hamilton–Jacobi-Bellman (-HJB) equation satisfied by the value function of optimization problem is derived by using the nonlinear dynamic programming principle, and the optimal short- and long-term investment ( and ) are solved. Then, the characteristics of the firm’s optimal investment of short- and long-termism (represented by and ) are analyzed by numerical simulation, and the corresponding economic explanation is given. Finally, this paper takes the A-share listed firms in Shanghai and Shenzhen from 2017 to 2022 as the research object for the empirical test, and the empirical results are consistent with the theoretical analysis. The results show that the optimal investment of short- and long-termism should be adjusted accordingly with the changes of KU and financial slack degree, so as to adapt to the realistic environment filled with uncertainty.
{"title":"Influence of Knightian uncertainty on short- and long-termism of firm investment: From the perspective of dynamic financial contract","authors":"Chen Fei , Liang Li , Renzhong Li , Weiyin Fei","doi":"10.1016/j.qref.2025.102089","DOIUrl":"10.1016/j.qref.2025.102089","url":null,"abstract":"<div><div>Agency conflicts can affect a firm’s investment of short- and long-termism, while both the decision-making of the principal and the agent can be affected by Knightian uncertainty (KU). Thus, this paper constructs a dynamic contract model under KU and analyzes the influence of KU on the firm’s investment of short- and long-termism. First, the dynamic equations for cash flow and capital stock evolution are described based on the sublinear expectation theory, and the principal’s and agent’s expected return functions are defined. Second, using the first-order conditions, we derive the first-best (<span><math><mrow><mi>F</mi><mi>B</mi></mrow></math></span>) short- and long-term investment (<span><math><msup><mrow><mi>s</mi></mrow><mrow><mi>F</mi><mi>B</mi></mrow></msup></math></span> and <span><math><msup><mrow><mi>l</mi></mrow><mrow><mi>F</mi><mi>B</mi></mrow></msup></math></span>) as a benchmark scenario (without agency conflicts). Third, the <span><math><mi>G</mi></math></span>-Hamilton–Jacobi-Bellman (<span><math><mi>G</mi></math></span>-HJB) equation satisfied by the value function of optimization problem is derived by using the nonlinear dynamic programming principle, and the optimal short- and long-term investment (<span><math><msup><mrow><mi>s</mi></mrow><mrow><mo>∗</mo></mrow></msup></math></span> and <span><math><msup><mrow><mi>l</mi></mrow><mrow><mo>∗</mo></mrow></msup></math></span>) are solved. Then, the characteristics of the firm’s optimal investment of short- and long-termism (represented by <span><math><mrow><msup><mrow><mi>s</mi></mrow><mrow><mo>∗</mo></mrow></msup><mo>/</mo><msup><mrow><mi>s</mi></mrow><mrow><mi>F</mi><mi>B</mi></mrow></msup></mrow></math></span> and <span><math><mrow><msup><mrow><mi>l</mi></mrow><mrow><mo>∗</mo></mrow></msup><mo>/</mo><msup><mrow><mi>l</mi></mrow><mrow><mi>F</mi><mi>B</mi></mrow></msup></mrow></math></span>) are analyzed by numerical simulation, and the corresponding economic explanation is given. Finally, this paper takes the A-share listed firms in Shanghai and Shenzhen from 2017 to 2022 as the research object for the empirical test, and the empirical results are consistent with the theoretical analysis. The results show that the optimal investment of short- and long-termism should be adjusted accordingly with the changes of KU and financial slack degree, so as to adapt to the realistic environment filled with uncertainty.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102089"},"PeriodicalIF":3.1,"publicationDate":"2025-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145798126","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study introduces the concept of the forking effect, a measurable financial response to technological changes, while focusing on the impact of these events on the parent coin.
Design/Methodology/Approach:
We use a modified exponential GARCH framework to assess how the parent coin responds to these events in both their return dynamics and volatility structure.
Findings:
Our findings reveal that forks do not significantly affect the parent coin’s returns but have a strong positive impact on its volatility, especially when considering market dynamics. Our model accounts for key features like volatility clustering and fat-tailed distributions. Additionally, we observe that following a fork event, volatility remains elevated for the next three days. This heightened volatility is not amplified when multiple forks coincide on the same calendar day, suggesting that the incremental risk of overlapping fork events is negligible.
Originality/Value:
This paper extends the crypto-related literature by formally defining and measuring the forking effect, a subject rarely addressed in finance research. By demonstrating that forks materially elevate short-run volatility without altering expected returns, the analysis supplies investors with a clearer basis for portfolio risk management and offers regulators insights into a distinct source of market instability in Blockchain-based asset markets.
{"title":"The forking effect","authors":"Florentina șoiman , Mathis Mourey , Jean-Guillaume Dumas , Sonia Jimenez-Garces","doi":"10.1016/j.qref.2025.102090","DOIUrl":"10.1016/j.qref.2025.102090","url":null,"abstract":"<div><h3>Purpose:</h3><div>This study introduces the concept of the <em>forking effect</em>, a measurable financial response to technological changes, while focusing on the impact of these events on the parent coin.</div></div><div><h3>Design/Methodology/Approach:</h3><div>We use a modified exponential GARCH framework to assess how the parent coin responds to these events in both their return dynamics and volatility structure.</div></div><div><h3>Findings:</h3><div>Our findings reveal that forks do not significantly affect the parent coin’s returns but have a strong positive impact on its volatility, especially when considering market dynamics. Our model accounts for key features like volatility clustering and fat-tailed distributions. Additionally, we observe that following a fork event, volatility remains elevated for the next three days. This heightened volatility is not amplified when multiple forks coincide on the same calendar day, suggesting that the incremental risk of overlapping fork events is negligible.</div></div><div><h3>Originality/Value:</h3><div>This paper extends the crypto-related literature by formally defining and measuring the forking effect, a subject rarely addressed in finance research. By demonstrating that forks materially elevate short-run volatility without altering expected returns, the analysis supplies investors with a clearer basis for portfolio risk management and offers regulators insights into a distinct source of market instability in Blockchain-based asset markets.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102090"},"PeriodicalIF":3.1,"publicationDate":"2025-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145749921","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-08DOI: 10.1016/j.qref.2025.102084
Xin Li , Zhenzhen Sun
We examine how peer firm valuations influence corporate cash holdings. Our analysis shows that firms hold more cash when their industry peers are highly valued. Specifically, a one-standard deviation increase in peer valuation is associated with a 3.35% rise in a firm’s cash holdings, corresponding to approximately 13.51% of the sample’s average cash ratio. This relationship remains robust after accounting for firm-level determinants of cash policy. The effect is particularly pronounced among financially constrained firms with strong governance. We argue that financially constrained firms respond more strongly to peer valuations because of their higher cost of external financing, while well-governed firms are more inclined to adjust their cash policies in response to market signals, reflecting stronger oversight and a greater capacity for forward-looking decisions. Overall, these findings suggest that managers incorporate peer valuation information into cash policy decisions, consistent with learning or benchmarking behavior.
{"title":"Does peers’ valuation matter? Evidence from corporate cash holdings","authors":"Xin Li , Zhenzhen Sun","doi":"10.1016/j.qref.2025.102084","DOIUrl":"10.1016/j.qref.2025.102084","url":null,"abstract":"<div><div>We examine how peer firm valuations influence corporate cash holdings. Our analysis shows that firms hold more cash when their industry peers are highly valued. Specifically, a one-standard deviation increase in peer valuation is associated with a 3.35% rise in a firm’s cash holdings, corresponding to approximately 13.51% of the sample’s average cash ratio. This relationship remains robust after accounting for firm-level determinants of cash policy. The effect is particularly pronounced among financially constrained firms with strong governance. We argue that financially constrained firms respond more strongly to peer valuations because of their higher cost of external financing, while well-governed firms are more inclined to adjust their cash policies in response to market signals, reflecting stronger oversight and a greater capacity for forward-looking decisions. Overall, these findings suggest that managers incorporate peer valuation information into cash policy decisions, consistent with learning or benchmarking behavior.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102084"},"PeriodicalIF":3.1,"publicationDate":"2025-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145749923","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-04DOI: 10.1016/j.qref.2025.102087
Afees A. Salisu , Rangan Gupta , Oguzhan Cepni
This paper utilizes the generalized autoregressive conditional heteroscedasticity–mixed data sampling (GARCH‑MIDAS) approach to predict the daily volatility of state‑level stock returns in the United States (US) from monthly state and national housing price returns. We find that housing price returns generally have a negative effect on state‑level volatility. More importantly, the GARCH‑MIDAS model augmented with these predictors significantly outperforms the benchmark GARCH‑MIDAS model with realized volatility (GARCH‑MIDAS‑RV) over short‑, medium‑, and long‑term forecasting horizons for 90 % of the states; the performance of state and national housing returns is virtually indistinguishable. These superior forecasting results persist when housing price returns are replaced with housing permits and housing‑market media‑attention indexes, suggesting an overwhelming role for housing‑market variables—both traditional and behavioral—in forecasting state‑level stock‑return volatility. Our findings have important implications for investors and policymakers.
{"title":"Housing market variables and predictability of state-level stock market volatility of the United States: Fundamentals versus sentiments in a mixed-frequency framework","authors":"Afees A. Salisu , Rangan Gupta , Oguzhan Cepni","doi":"10.1016/j.qref.2025.102087","DOIUrl":"10.1016/j.qref.2025.102087","url":null,"abstract":"<div><div>This paper utilizes the generalized autoregressive conditional heteroscedasticity–mixed data sampling (GARCH‑MIDAS) approach to predict the daily volatility of state‑level stock returns in the United States (US) from monthly state and national housing price returns. We find that housing price returns generally have a negative effect on state‑level volatility. More importantly, the GARCH‑MIDAS model augmented with these predictors significantly outperforms the benchmark GARCH‑MIDAS model with realized volatility (GARCH‑MIDAS‑RV) over short‑, medium‑, and long‑term forecasting horizons for 90 % of the states; the performance of state and national housing returns is virtually indistinguishable. These superior forecasting results persist when housing price returns are replaced with housing permits and housing‑market media‑attention indexes, suggesting an overwhelming role for housing‑market variables—both traditional and behavioral—in forecasting state‑level stock‑return volatility. Our findings have important implications for investors and policymakers.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102087"},"PeriodicalIF":3.1,"publicationDate":"2025-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145749925","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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