Quarterly Review of Economics and Finance最新文献

英文中文

Board gender diversity and CEO compensation: Strengthening governance and pay-performance sensitivity 董事会性别多元化与CEO薪酬：强化治理和薪酬绩效敏感性

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-05-08 DOI: 10.1016/j.qref.2025.102009

Chandra S. Mishra

This study examines the relationship between female directorship and CEO compensation, focusing on pay-performance sensitivity, total compensation, and equity-based pay. We address endogeneity issues, CEO compensation persistence, and unobserved heterogeneity using a multi-level fixed effects estimator, dynamic panel models, system GMM, cross-lagged structural panel models, and instrumental variables models. Our findings indicate that female directorship is positively associated with CEO pay-performance sensitivity and equity-based compensation but negatively associated with total CEO compensation. This suggests that female directors emphasize performance-based incentives over fixed pay, reinforcing a stronger alignment between CEO pay and shareholder value. Further, CEO power and managerial ability significantly moderate this relationship. When the CEO is the board chairman, female directorship is positively associated with total and equity compensation. Similarly, higher managerial ability strengthens the relation between female directorship and equity-based pay while weakening its negative association with total compensation. Our findings contribute to corporate governance, agency theory, and resource dependence theory by demonstrating that board gender diversity enhances monitoring effectiveness and alters executive compensation structures to improve firm accountability and performance alignment. These insights are important for board composition policies, gender diversity mandates, and executive pay design.

本研究考察了女性董事和CEO薪酬之间的关系，重点关注薪酬绩效敏感性、总薪酬和基于股权的薪酬。我们使用多层固定效应估计器、动态面板模型、系统GMM、交叉滞后结构面板模型和工具变量模型来解决内生性问题、CEO薪酬持久性和未观察到的异质性。研究结果表明，女性董事与CEO薪酬绩效敏感性和股权薪酬呈正相关，但与CEO总薪酬呈负相关。这表明，女性董事强调基于绩效的激励，而不是固定薪酬，从而强化了CEO薪酬与股东价值之间的更强一致性。此外，CEO权力和管理能力显著调节了这一关系。当CEO担任董事会主席时，女性董事比例与总薪酬和股权薪酬呈正相关。同样，较高的管理能力加强了女性董事与股权薪酬之间的关系，削弱了其与总薪酬之间的负相关关系。我们的研究结果有助于公司治理、代理理论和资源依赖理论，证明董事会性别多样性提高了监督有效性，改变了高管薪酬结构，从而改善了公司问责制和绩效一致性。这些洞见对于董事会构成政策、性别多元化要求和高管薪酬设计都很重要。

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引用次数: 0

Cross-border mergers and acquisitions: The interplay of cultural differences and prior M&A activity 跨国并购：文化差异与先前并购活动的相互作用

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-05-05 DOI: 10.1016/j.qref.2025.102008

Fatos Radoniqi, Roger White

We examine the extent to which cross-border mergers and acquisitions (M&A) are affected by national cultural differences (i.e., cultural distance) and prior M&A activity. Our empirical specification follows the standard gravity framework. Estimating a series of Tobit models using bilateral data that represent 9389 mergers involving firms in 30 countries over three periods (1995–1998, 2005–2008, and 2017–2020), we find a negative but declining influence of cultural distance on cross-border M&A activity. We also find merger activity involving firms in a particular country pair is positively related to subsequent M&A activity and that this experience counteracts the hindering influence of cultural differences, which becomes insignificant after approximately ten prior mergers. Our findings are robust to sample composition, choice of periods examined, model specification, estimation technique, and alternative measurements of both cultural distance and prior M&A activity.

我们考察了跨国并购在多大程度上受到国家文化差异（即文化距离）和先前并购活动的影响。我们的经验规范遵循标准重力框架。我们利用代表30个国家9389起企业并购的双边数据，在三个时期（1995-1998年、2005-2008年和2017-2020年）对一系列Tobit模型进行了估计，发现文化距离对跨国并购活动的影响呈负向下降趋势。我们还发现，涉及特定国家对公司的合并活动与随后的并购活动呈正相关，并且这种经验抵消了文化差异的阻碍影响，文化差异在大约十次之前的合并后变得微不足道。我们的研究结果对于样本组成、检验周期的选择、模型规格、估计技术以及文化距离和先前的M&；A活动的替代测量都是稳健的。

引用次数: 0

Asset association and dynamic risk contagion under climate policy uncertainty 气候政策不确定性下的资产关联与动态风险传染

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-04-24 DOI: 10.1016/j.qref.2025.101994

Xiaoyuan Zhang , Hang You , Ze Zhang , Wangchun Wu

In the context of climate policy uncertainty, we introduce a novel discrete-time nonlinear dynamic risk contagion model. This model captures the dynamics of credit risk as it propagates among firms via a multi-path contagion mechanism, spreading risks along diverse pathways between interconnected nodes. Utilizing the Single-Index Model, the LASSO techniques, and the CoVaR method, we map out the industrial chain network and develop systemic risk indicators for firms within this network. Using these indicators, we empirically analyze the impact of climate policy uncertainty on systemic risk. Our theoretical findings underscore the presence of a steady state in networks under climate policy uncertainty. We derive the analytical expressions for the steady state in complete networks. Empirical evidence reveals that climate policy uncertainty significantly amplifies systemic risk in the industrial chain, with upstream firms contributing more to systemic risk and downstream firms experiencing greater risk exposure.

在气候政策不确定性的背景下，我们引入了一种新的离散时间非线性动态风险传染模型。该模型捕捉了信用风险的动态，因为它通过多路径传染机制在公司之间传播，在相互关联的节点之间沿着不同的路径传播风险。利用单指数模型、LASSO技术和CoVaR方法，我们绘制了产业链网络，并为该网络中的企业制定了系统风险指标。利用这些指标，实证分析了气候政策不确定性对系统性风险的影响。我们的理论发现强调了气候政策不确定性下网络中稳态的存在。导出了完全网络稳态的解析表达式。实证表明，气候政策的不确定性显著放大了产业链上的系统性风险，上游企业对系统性风险的贡献更大，下游企业面临的风险敞口更大。

引用次数: 0

Sentiment-return relation and stock price synchronicity: Firm-level versus market-level sentiment 情绪回报关系与股价同步性：公司层面与市场层面的情绪

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-04-20 DOI: 10.1016/j.qref.2025.102007

Karam Kim , Jonathan A. Batten , Doojin Ryu

This study examines how investor sentiment affects stock returns under different levels of stock price synchronicity. Firm-level (market-level) sentiment has a stronger impact on low- (high-) synchronicity stocks. While firm-level sentiment effects remain stable over time, market-level sentiment effects intensify across all stocks during the pandemic. Uninformed investors consistently rely more on firm-level sentiment when trading low-synchronicity stocks but shift to market-level sentiment when deciding on their participation during the pandemic. These results remain robust after controlling firm size and calendar effects, and applying an alternative market-level sentiment measure.

本研究考察了不同股价同步性水平下投资者情绪对股票收益的影响。公司层面（市场层面）的情绪对低（高）同步性股票的影响更大。虽然企业层面的情绪影响随着时间的推移保持稳定，但在疫情期间，所有股票的市场层面情绪影响都会加剧。不知情的投资者在交易低同步性股票时，一贯更多地依赖于公司层面的情绪，但在疫情期间决定是否参与时，则转向市场层面的情绪。在控制了公司规模和日历效应，并采用另一种市场层面的情绪衡量标准后，这些结果仍然稳健。

引用次数: 0

Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies? 美国现货比特币etf的推出是否会影响主要加密货币的现货回报和波动性？

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-04-15 DOI: 10.1016/j.qref.2025.102006

Babalos Vassilios , Elie Bouri , Rangan Gupta

This paper provides the first empirical evidence of whether the introduction of US spot Bitcoin ETFs affected the returns and volatility of major cryptocurrencies. Using data from December 18, 2017 to March 15, 2024, we apply an event-study methodology within a GARCH-based framework. Our results reveal a significant effect of the introduction of spot Bitcoin ETFs on cryptocurrency returns and volatility. The analysis shows a positive impact for Bitcoin, Ethereum, and Litecoin spot price returns around the event date. The volatility of Bitcoin and Ripple spot markets decreased following the introduction of spot Bitcoin ETFs, which supports the stabilization hypothesis for these two cases. We also examine the volatility spillovers using a wavelet coherence approach, and reveal significant volatility spillovers from Grayscale Bitcoin ETF to Bitcoin futures and to a lesser extend to the Bitcoin spot market. Our findings enhance the limited understanding of the price discovery and functioning of the cryptocurrency markets, which could be useful for investors, regulators, and policymakers.

本文提供了第一个经验证据，证明美国现货比特币etf的引入是否影响了主要加密货币的回报和波动性。使用2017年12月18日至2024年3月15日的数据，我们在基于garch的框架内应用了事件研究方法。我们的研究结果揭示了现货比特币etf对加密货币回报和波动性的显著影响。分析显示，在活动日期前后，比特币、以太坊和莱特币的现货价格回报将受到积极影响。引入比特币现货etf后，比特币和瑞波币现货市场的波动性下降，这支持了这两种情况的稳定假设。我们还使用小波相干性方法研究了波动性溢出效应，并揭示了从灰度比特币ETF到比特币期货的显著波动性溢出效应，并在较小程度上扩展到比特币现货市场。我们的研究结果增强了对加密货币市场价格发现和功能的有限理解，这可能对投资者、监管机构和政策制定者有用。

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引用次数: 0

The anatomy of fiscal dynamics in a model with financial frictions 在一个有金融摩擦的模型中对财政动态的剖析

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-04-11 DOI: 10.1016/j.qref.2025.102003

Yoonseok Choi

This paper studies the role of financial frictions in generating different model dynamics in response to fiscal policy. I build financial-friction edifices on a canonical business-cycle model to quantitatively assess dynamics of macroeconomic aggregates and fiscal variables following various fiscal shocks. Models that are fit to U.S. data reveal that the presence of financial frictions is the linchpin of delivering markedly different outcomes. The model with financial frictions yields higher output multipliers and better fiscal health than the model without financial frictions for most fiscal instruments. Welfare analyses also show that welfare gains in the model with financial frictions are larger than the frictionless model. Various counterfactual analyses suggest that different financial frictions produce substantially different results. These analyses highlight the importance of accounting for financial frictions to better understand the impact of fiscal policy.

本文研究了金融摩擦在产生响应财政政策的不同模型动力学中的作用。我在一个规范的商业周期模型上建立了金融摩擦模型，以定量评估各种财政冲击后宏观经济总量和财政变量的动态。适合美国数据的模型显示，金融摩擦的存在是产生显著不同结果的关键。对于大多数财政工具而言，有金融摩擦的模型比没有金融摩擦的模型产生更高的产出乘数和更好的财政健康状况。福利分析也表明，有金融摩擦的模型中的福利收益大于无摩擦的模型。各种反事实分析表明，不同的金融摩擦会产生截然不同的结果。这些分析强调了考虑金融摩擦的重要性，以便更好地理解财政政策的影响。

引用次数: 0

Nurturing nature: The role of green finance in reviving urban biodiversity 培育自然：绿色金融在恢复城市生物多样性中的作用

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-04-10 DOI: 10.1016/j.qref.2025.102005

Zhiyuan Gao , Ying Zhao , Lianqing Li , Yu Hao

China's green finance (GF) policies have been progressively implemented and strengthened, positioning GF as a pivotal catalyst for biodiversity enhancement. This study employs the GF Innovation and Reform Zones as a quasi-experimental setting to examine the influence and underlying mechanisms of GF on biodiversity, utilizing data from 278 Chinese cities. The findings indicate that GF markedly improves urban biodiversity. Heterogeneity analysis reveals that GF positively impacts biodiversity in western cities, cities with advanced economic development, resource-centric cities, and small to medium-sized urban centers. Mechanism tests identify ecological value realization and climate change as key pathways through which GF augments biodiversity levels. Given the intricate nature and pressing need for biodiversity conservation, this study offers a theoretical framework for leveraging GF in biodiversity preservation efforts.

中国的绿色金融政策已逐步落实和加强，绿色金融已成为促进生物多样性的重要催化剂。本文利用278个中国城市的数据，以广域创新改革区为准实验环境，探讨了广域创新改革对生物多样性的影响及其机制。结果表明，GF显著改善了城市生物多样性。异质性分析表明，GF对西部城市、经济发达城市、资源中心城市和中小中心城市的生物多样性具有正向影响。机制测试表明，生态价值实现和气候变化是GF增加生物多样性水平的关键途径。鉴于生物多样性保护的复杂性和迫切需要，本研究为利用GF进行生物多样性保护工作提供了理论框架。

引用次数: 0

Time-variation in the persistence of carbon price uncertainty: The role of carbon policy uncertainty 碳价格不确定性持续的时间变化：碳政策不确定性的作用

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-04-09 DOI: 10.1016/j.qref.2025.102004

Oguzhan Cepni , Luis A. Gil-Alana , Rangan Gupta , Onur Polat

We estimate models of fractional integration to determine the degree of persistence for two recently developed metrics of carbon price uncertainty: the Carbon VIX and Carbon Implied Volatility (CIV) covering the period of the 1st week of September 2013 to the 4th week of December 2022. First, we find the two metrics to be highly persistent but depicting mean-reversion with long-memory. Second, time-varying (recursive) estimation revealed that the underlying persistence is on a downward trend. Third, we show that the recent reduction in persistence of carbon price uncertainties is a result of declining carbon policy uncertainty — a metric we develop using aggregate information on squared surprises of carbon futures price of various maturities. Given that carbon price uncertainty has been shown to negatively affect decarbonization investments, our findings have important implications for the European Union Emissions Trading System (EU-ETS).

我们对分数积分模型进行估算，以确定最近开发的两个碳价格不确定性指标的持续程度：碳波动率指数（VIX）和碳隐含波动率（CIV），涵盖2013年9月第一周至2022年12月第四周。首先，我们发现这两个指标具有高度持久性，但描绘了具有长记忆的均值回归。其次，时变（递归）估计表明，潜在的持久性呈下降趋势。第三，我们表明，最近碳价格不确定性持续时间的减少是碳政策不确定性下降的结果——碳政策不确定性是我们利用不同期限的碳期货价格的平方意外值的汇总信息开发的一个指标。鉴于碳价格的不确定性已被证明会对脱碳投资产生负面影响，我们的研究结果对欧盟排放交易体系（EU-ETS）具有重要意义。

引用次数: 0

Market Downturns and Asymmetric Tail Risk Transmission Speed in the US: Evaluating Macroeconomic Policy Effectiveness during and after the COVID-19 Pandemic 美国市场低迷和尾部风险传导速度不对称：评估新冠肺炎大流行期间和之后的宏观经济政策有效性

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-04-03 DOI: 10.1016/j.qref.2025.101993

Zinan Hu, Sumuya Borjigin

This study examines how US market downturns affect the asymmetry in tail risk information transmission speed. It also evaluates how monetary and fiscal policies help mitigate this asymmetry during and after the COVID-19 pandemic. Using model-free measures of bad (disaster risk) and good (swift recovery) tail risk derived from daily options data, we obtain forward-looking tail risk information. Based on the TENET model, we construct daily networks for bad and good tail risk spillovers. Empirical results show that market downturns increase the asymmetry in bad and good tail risk transmission speed. Rising market illiquidity in downturns causes negative tail risk information to transmit faster than positive signals, amplifying the asymmetry. Although fiscal and monetary policies show average mitigation effects across the sample, event analysis shows they consistently reduce this asymmetry during the early COVID-19 phase. This suggests that unconventional macroeconomic interventions during extreme downturns more effectively mitigate asymmetric information transmission.

本研究探讨美国市场低迷如何影响尾部风险信息传递速度的不对称性。它还评估了货币和财政政策如何在COVID-19大流行期间和之后帮助缓解这种不对称。利用每日期权数据衍生的坏（灾难风险）和好（快速恢复）尾部风险的无模型度量，我们获得前瞻性尾部风险信息。基于TENET模型，我们构建了坏尾风险溢出和好尾风险溢出的日常网络。实证结果表明，市场低迷增加了不良尾部风险和良好尾部风险传导速度的不对称性。低迷时期市场流动性不足加剧，导致负面尾部风险信息的传播速度快于正面信号，放大了不对称。尽管财政和货币政策在整个样本中显示出平均的缓解效果，但事件分析表明，它们在COVID-19早期阶段持续降低了这种不对称性。这表明，在极端经济低迷时期，非常规宏观经济干预更有效地缓解了信息传递的不对称。

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引用次数: 0

Investigation of the intentional and spurious herding effects in the cryptocurrency market with global events 利用全球事件调查加密货币市场的有意和虚假羊群效应

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-03-31 DOI: 10.1016/j.qref.2025.101992

Natalia Alves Tavares , Paulo Vitor Jordão da Gama Silva , Marcelo Cabus Klotzle

The study aims to investigate the intentional and spurious herd effects in the cryptocurrency market, considering the most popular events globally, according to Google Trends, from 2018 to 2022. Although the study of herd behavior is explored in the cryptocurrency market, there has not yet been a distinction between these factors' typology and real-world events. We use 100 cryptocurrencies to analyze the Absolute Transversal Deviation (CSAD). As an innovative way, we estimated the regressions considering both Premium CSAD and CRIX CSAD for the herd periods and with events using the Zivot-Andrew test. We observe the occurrence of herd behavior, spurious (rational) and intentional (irrational), in the period of total analysis and the events, with a higher prevalence of the intentional effect. We noted that the CSAD Spurious Premium model was more significant for events before and after the structural break than the CSAD models using the CRIX index.

本研究旨在研究加密货币市场中有意的和虚假的羊群效应，考虑到根据谷歌趋势，从 2018 年到 2022 年全球最流行的事件。虽然在加密货币市场中探索了羊群行为的研究，但尚未区分这些因素的类型和现实世界中的事件。我们使用 100 种加密货币来分析绝对横向偏差（CSAD）。作为一种创新方法，我们使用 Zivot-Andrew 检验对羊群行为时期的 Premium CSAD 和 CRIX CSAD 以及事件进行了回归估计。我们观察到，在总体分析期间和事件中，出现了虚假（理性）和故意（非理性）的牛群行为，其中故意效应更为普遍。我们注意到，与使用 CRIX 指数的 CSAD 模型相比，CSAD 虚假溢价模型在结构断裂前后的事件中更为显著。

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