Quarterly Review of Economics and Finance最新文献

We investigate factors that affect debt renegotiation in an emerging economy, focusing on Brazil's publicly-listed non-financial firms. We manually collect novel data from more than three thousand notes to financial statements. The results show that the deterioration in the financial condition of companies - marked by declining profitability and increasing leverage - increases the probability of debt renegotiations. Furthermore, our findings reveal that the impairment in a firm's payment capacity, such as reduced profitability, cash flow, and interest coverage heighten the chances of renegotiations incorporating debtholder compensation mechanisms. Our results expand the knowledge about renegotiation to a context that has been scarcely addressed in previous studies: emerging markets. Additionally, it provides novel insights into the use of compensation mechanisms during renegotiations — an aspect little explored in the literature, although very present in renegotiations. We also innovate by addressing renegotiations with bondholders, an aspect largely overlooked in extant literature.

In this paper, we examine whether the currency carry trade hypothesis can consistently explain the forward premium bias (anomaly) across different regimes of interest rates differentials. To investigate this, we consider a nonlinear extension of the forward premium regression allowing for interest rates differentials threshold effects. Using the US dollar as home currency, we provide clear-cut evidence that the currency carry trade hypothesis can offer an explanation of the forward premium anomaly only when interest rates differentials are positive. When they are negative, or close to zero, the hypothesis fails to explain the forward premium anomaly. We show that the negative interest rates differentials regime covers periods of financial crises and distressed market conditions which may lead investors to seek safe-haven currencies and thus, adopt anti-carry trade strategies.

This study investigates the impact of soft shareholder activism, as reported in media narratives, on stock market performance using an EGARCH methodology. Focusing on US-listed firms, we analyse how news articles discussing shareholder activism, ranging from formal proposals to informal expressions of investor concern, affect stock market returns and volatility. Our findings reveal that approximately one-fourth of the companies highlighted in these reports experience significant stock market fluctuations coinciding with media coverage. These effects are notably pronounced in firms with higher market capitalisation and robust financial metrics (ROE and ROA) but lower ESG scores and negative leverage. The study also establishes a strong correlation between firm performance metrics, particularly ROE and ROA, and market reactions around news publication dates. This pattern suggests that the market responds more intensely to companies with higher performance levels. The research contributes to understanding shareholder activism’s indirect influence on market dynamics through media, offering insights for companies, investors, and policymakers in the evolving landscape of shareholder activism and the media’s role therein.

This paper investigates the relationship between domestic and export prices of rare earth elements (REEs) taking into account both, the time and the frequency domain using Granger causality tests and cross wavelet analysis. We find areas of significant comovement between both, returns and volatility of domestic and export prices, with the degree of connection being low at higher frequencies, increasing over medium frequencies and lower frequencies. Moreover, the lead-lag effects between the Chinese and the export market are time-varying and heterogenous, with no particular market as the leader. The analysis of volatility transmission shows that own-market volatility rather than spillover from the Chinese to the export market or vice versa accounts for the biggest share of volatility. While volatility transmission shows substantial variation over time, the Chinese market is generally a net giver of volatility to the export market, especially at the medium frequency band. Accordingly, market participants buying REEs in the export market might want to track Chinese prices as leading indicators of price fluctutations due to spillovers.

We study the effect of financial literacy on financial advice seeking. We test the relationship across different measures of the former and the latter, providing a contribution to the existing literature. Overall results suggest complementarity, but when considering product-specific financial literacy and financial advice seeking, a complementary effect emerges for investments and debt, while a substitution effect prevails for insurance and pension products. Financial advising services can therefore compensate for the lack of financial literacy in insurance and pension planning in the short run. Conversely, greater policy efforts are needed for investment and loans, where poor financial literacy translates into a scarce demand for financial advice.

In this paper, we examine the influence of ESG disclosure scores on firm performance of companies listed in the National Stock Exchange (NSE). The study uses 167 sample firms from 2010 to 2020. We capitalise overall ESG disclosure scores taken as a proxy to measure the effect of sustainability disclosure on firm performance. Further, we consider the return on assets (ROA), return on equity (ROE), Tobin’s Q, and Price Earnings ratio (P/E ratio) as firm performance measures. We employ dynamic panel data regression analysis to examine the influence of ESG disclosures on performance of the firm. In order, to address the endogeneity issues, we apply Generalised Method of Moments (GMM) model. The study results show a positive relationship between ESG disclosure and firm performance. It suggests that companies’ desire to enhance their performance need to pay more attention towards sustainability disclosures.

Using advanced econometric techniques of the Time-Varying Parameters Vector Autoregression model with stochastic volatility (TVP-SV-VAR) and the Quantile Vector Autoregression (QVAR) model, this research investigates the dynamics of the Consumer Price Index (CPI) across G7 and E7 countries from January 1993 to January 2023, aiming to comprehensively analyze the international transmission of inflation. The study yields several key findings. Firstly, we ascertain that approximately 64% of inflation volatility can be attributed to international transmission. Secondly, our analysis consistently identifies Turkey and Russia as net exporters of inflation over the study period, while G7 countries and Mexico emerge as persistent net importers. Thirdly, we note a gradual increase in China's inflation connectivity with developing countries following the Asian financial crisis, coupled with a diminishing impact of Chinese inflation transmission to developed nations. Fourthly, we observe a heightened complexity in the inflation transmission network during periods marked by high Total Connectivity Index (TCI) values, compared to those with low TCI values. Lastly, our study underscores that the transmission of international inflation intensifies during periods characterized by extremely high or low international inflation rates.

We investigate the market reaction to information shocks in the Chinese stock market and study the process of information diffusion among investors on the stock message board. We find that investors tend to overreact to information shocks and the communications on the stock message board facilitate this overreaction. Further analysis shows that stock market overreaction is more significant in response to small and medium-cap shocks, and the degree of overreaction decreass with increasing liquidity. Our empirical results provide significant evidence of how information spreads among retail investors from the perspective of investor overconfidence and information asymmetry.

We construct a new indicator of de facto financial integration for the EU. The resulting indicator is pro-cyclical as it evolves along the cyclical pattern of economic activity in the European Union. It is then appended to a set of relevant financial and macroeconomic variables, within a FAVAR framework, to allow us to separate the impact of cyclical boom-bust shocks from structural integration shocks. Increasing structural financial integration tends to improve risk absorption and reduce income disparities among European countries. However, our analysis suggests that most of the movements in the indicator reflect business cycle dynamics, not proper integration. Given the estimated beneficial effects of stronger structural financial integration, these results highlight the need to develop further policies to foster it in the EU.

This paper analyzes the influence of credit information sharing on how banks set the terms of bank loans and the ownership of the loans. Using a sample of 23,341 bank loans in 44 countries during the period 2005–2019 we examine how interest rates, collateral, maturity, amounts, and ownership of bank loans are influenced by the degree of penetration of credit bureaus and public credit registries. The results show that credit information sharing decreases interest rate spread for high-quality borrowers and decreases loan maturity. Moreover, the amount of credit is negatively affected by the degree of coverage by registries. Finally, we find evidence in line with credit information sharing increasing loan ownership concentration.