Quarterly Review of Economics and Finance最新文献

The purpose of this paper is to examine the investors´ reaction to the largest ecological disasters –Samarco (2015) and Brumadinho (2019)– occurred in Minas Gerais (Brazil). Applying a short-term event study analysis, we test the stock and Credit Default Swap (CDS) market´s on the mining sector. Moreover, a cross-sectional analysis is performed testing the effect of ESG disclosures on the market reaction –in terms of Cumulative Abnormal Returns, CAR– on the competitors of Vale S.A., the company involved in such ecological catastrophes. Our findings show a statistically significant reaction in both events. Investors´ react negatively and immediately in the case of Vale for both events; CARs are statistically significant for the shorter windows. However, investors react differently in the mining sector sample –excluding Vale–. While CARs are negative in Samarco, investors do so positively in the case of Brumadinho. In that sense, investors seemed as if they switch their perceptions from this first event –Samarco–in comparison to the most recent one –Brumadinho– rewarding the increase of ESG disclosures in the meantime and mitigating a negative contagion effect in the mining sector. The impact on the CDS market is also found positive in mining sector.

Exploiting a unique measure of takeover vulnerability principally based on the staggered passage of anti-takeover state legislations, we investigate how customer concentration is influenced by the discipline of the market for corporate control, which is widely regarded as a crucial instrument of external corporate governance. Our results demonstrate that more takeover exposure raises customer concentration considerably. Specifically, a rise in takeover susceptibility by one standard deviation increases customer concentration by 8.10%− 9.16%. When insulated from the discipline of the takeover market, risk-averse managers prefer to live a quiet life, trying to reduce firm risk. Consequently, they seek to lower customer concentration as a high level of customer concentration is risky. Therefore, firms more exposed to hostile takeovers exhibit higher customer concentration. Further analysis including entropy balancing, propensity score matching, and instrumental-variable analysis validates the results. Our study is the first to link customer concentration to the market for corporate control.

Using the data from the 2013, 2015, and 2017 waves of the China Household Finance Survey, this paper explores the impact of participation in social pension insurance on household risky asset investment with the time-varying difference-in-difference model. The research findings indicate that, in urban areas, insured households are 2.3% more likely to invest in risky assets compared to uninsured households, and the share invested in risky assets is 0.8% higher. This positive effect is more pronounced for households with a higher level of risk preference. At the same time, there is no significant difference in the probability or proportion of risky assets allocation between insured and uninsured households in rural areas. These findings have important policy implications. When the government reforms the social pension insurance system or allocates public resources in the future, they can consider gradually breaking the dual urban-rural structure in the pension insurance system to alleviate concerns among rural households regarding uncertainties.

We examine the dynamics of long-short factor returns on FOMC announcement days and the role of sentiment. We find that factor returns are negative on FOMC announcement days. Moreover, on these days returns are significantly lower following low sentiment periods. Hence, investor sentiment is a key driver of factor returns on FOMC days and this effect emanates mainly from the short portfolio leg of each factor.

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 paper studies the tug of war between overnight noise trading and daytime arbitrage in the G7 stock markets. We confirm Akbas, Boehmer, Jiang, and Koch (2022) reporting that this tug of war predicts future returns in the US stock market. We verify this result also in the Canadian stock market. In contrast, for the stock markets of France, Germany, Italy, the UK, and Japan, this tug of war is not predictive for future returns. These country-wise findings are documented in average raw returns and prevail upon risk adjustment along both Carhart (1997) four factors and Fama and French (2018) six factors. A microstructure perspective on the tug of war suggests that the split evidence between the US and Canadian stock markets and the remaining G7 stock markets is due to institutional and regulatory differences which restrict daytime institutional arbitrage in the European stock markets and Japan.

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.