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What Drives the Regret Premium: Evidence from China 是什么推动了后悔溢价:来自中国的证据
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-12-20 DOI: 10.1016/j.intfin.2025.102277
Shujie Wang , Liyan Han , Xiaoguang Yang , Tongshuai Qiao
Although prior studies suggest that investor regret is a salient behavioral force in emerging markets, the factors driving the regret (REG) premium remain underexplored. This paper fills this gap by investigating the underlying drivers within China’s distinctive market and institutional context. Using portfolio sorts and Fama-MacBeth regressions from 1995 to 2024, we find that high-REG stocks earn significantly higher risk-adjusted returns. Further analyses reveal that the REG premium is stronger for non-state-owned enterprises, during periods of high market volatility, in low-information environments, and when investor sentiment is weak. Liquidity improvements, greater market openness, and higher institutional participation substantially attenuate the effect. Robustness checks using alternative benchmarks, extended estimation horizons, and an orthogonalized measure confirm that the REG premium is a robust and persistent market anomaly. Overall, our findings suggest that improvements in the market environment help reduce mispricing, providing broader insights into behavioral asset pricing and financial liberalization in emerging markets.
尽管先前的研究表明,投资者后悔是新兴市场中一个显著的行为力量,但驱动后悔(REG)溢价的因素仍未得到充分探讨。本文通过研究中国独特的市场和制度背景下的潜在驱动因素来填补这一空白。利用1995 - 2024年的投资组合排序和Fama-MacBeth回归,我们发现高reg股票的风险调整收益显著更高。进一步分析表明,非国有企业的REG溢价在市场高波动时期、低信息环境和投资者情绪较弱时更强。流动性的改善、更大的市场开放和更高的机构参与大大减弱了这种效应。鲁棒性检查使用替代基准,扩展的估计范围,和正交测量确认,REG溢价是一个稳健和持久的市场异常。总体而言,我们的研究结果表明,市场环境的改善有助于减少错误定价,为新兴市场的行为资产定价和金融自由化提供了更广泛的见解。
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引用次数: 0
Do GPs truly present fair value? The case of continuation funds 普通合伙人是否真实反映公允价值?延续基金的案例
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-12-18 DOI: 10.1016/j.intfin.2025.102265
Jinhyeong Jo , Doojin Ryu
We suggest a model in which General Partners (GPs) can have incentives to distort valuations in continuation funds, an increasingly common vehicle in private equity. GPs may inflate valuations to raise fees under asymmetric information and misaligned incentives between exit and rolling Limited Partners (LPs). Such distortion diminishes when the proportion of rolling LPs is higher and when the GP faces stronger prospects of raising follow-on funds. We characterize the model under Limited Partner Advisory Committee (LPAC) approval and investor participation. We propose governance measures to strengthen valuation integrity by capturing the bargaining dynamics between exit and rolling LPs.
我们提出了一个模型,在这个模型中,普通合伙人(gp)可能有动机扭曲延续基金的估值,延续基金是私募股权中越来越常见的工具。在信息不对称和退出与滚动有限合伙人(lp)之间激励不一致的情况下,普通合伙人可能会抬高估值以提高费用。当滚动有限合伙人的比例较高,以及普通合伙人面临更大的后续融资前景时,这种扭曲就会减弱。我们在有限合伙人咨询委员会(LPAC)批准和投资者参与的情况下描述该模型。我们建议采取治理措施,通过捕捉退出有限合伙人和滚动有限合伙人之间的议价动态来加强估值完整性。
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引用次数: 0
Opportunity or challenge? The impact of stock market liberalization on product market competitiveness 机遇还是挑战?股票市场自由化对产品市场竞争力的影响
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-12-15 DOI: 10.1016/j.intfin.2025.102274
Lu Jolly Zhou, Wanqing Zheng, Haotian Tang, Xinru Li
This paper examines how stock market liberalization affects product market competitiveness in emerging economies. Using the Mainland China-Hong Kong Stock Connect program as a quasi-natural experiment, we employ a staggered difference-in-differences approach. The empirical evidence shows that stock market liberalization, on average, is associated with an increase of 19.45% in firms’ market share relative to the sample mean. This effect operates through improving information disclosure and enhancing product quality. The effect is more pronounced for firms in growth and maturity lifecycle stages, with stronger corporate reputations, and better governance structures. The further evidence suggests while financial globalization generally enhances competitive positioning, it simultaneously intensifies short-term predation risks as increased transparency provides competitors with strategic insights.
本文考察了新兴经济体股票市场自由化对产品市场竞争力的影响。我们将中国内地与香港股票通计划作为准自然实验,采用了交错差中差方法。实证表明,股票市场自由化与企业市场份额相对于样本均值平均增长19.45%相关。这种效果是通过完善信息披露和提高产品质量来实现的。这种效应对于处于成长和成熟生命周期阶段的公司更为明显,这些公司拥有更强的企业声誉和更好的治理结构。进一步的证据表明,虽然金融全球化通常增强了竞争定位,但同时也加剧了短期捕食风险,因为透明度的提高为竞争对手提供了战略见解。
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引用次数: 0
Systemic risk under the radar: Evidence from building societies and challenger banks 雷达下的系统性风险:来自房屋互助协会和挑战者银行的证据
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-12-15 DOI: 10.1016/j.intfin.2025.102267
Alexandros Skouralis
This paper provides the first comprehensive quantification of the systemic risk posed by non-listed financial institutions in the UK, focusing on building societies, digital-only challenger banks, and foreign-owned retail banks. Using an indirect estimation approach, systemic risk is measured through balance sheet characteristics, calibrated against listed institutions’ SRISK values. The findings reveal that Nationwide ranks among the top ten systemically important institutions, while several other building societies contribute significantly to aggregate systemic risk. In contrast, digital-only challenger banks exhibit low systemic risk due to high equity ratios and limited interconnectedness, despite rapid growth and persistent financial losses. Santander, a foreign-owned retail bank, emerges as the ninth most systemically important institution, with risk levels comparable to systemically-important domestic banks. We conduct extensive robustness checks, including alternative predictors and SRISK specifications, out-of-sample forecasting, and Principal Component Analysis, which confirms the strong co-movement between building societies and the largest UK banks. Finally, we compare SRISK with traditional Z-score metrics to highlight their complementary nature. These findings underscore the need to extend systemic risk frameworks beyond listed entities and support calls to expand the stress testing perimeter to include large non-listed and foreign-owned firms.
本文首次对英国非上市金融机构构成的系统性风险进行了全面量化,重点关注建房互助会、纯数字挑战者银行和外资零售银行。采用间接估计方法,通过资产负债表特征来衡量系统性风险,并根据上市机构的SRISK值进行校准。调查结果显示,Nationwide位列十大具有系统重要性的机构之列,而其他几个建房互助会则对总体系统风险做出了重大贡献。相比之下,纯数字挑战者银行尽管增长迅速,财务损失持续存在,但由于高股本比率和有限的互联性,其系统性风险较低。外资零售银行桑坦德银行(Santander)在最具系统重要性的机构中排名第九,其风险水平与具有系统重要性的国内银行相当。我们进行了广泛的稳健性检查,包括替代预测指标和SRISK规范、样本外预测和主成分分析,这证实了建房互助会和英国最大银行之间的强烈联合。最后,我们将SRISK与传统Z-score指标进行比较,以突出它们的互补性。这些发现强调了将系统性风险框架扩展到上市实体之外的必要性,并支持将压力测试范围扩大到大型非上市公司和外资公司的呼吁。
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引用次数: 0
Financial market development and bank deposits 金融市场发展与银行存款
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-12-15 DOI: 10.1016/j.intfin.2025.102278
Nikhil Srivastava , David Tripe , Mamiza Haq , Mui Kuen Yuen
This paper studies the effects of financial market development on bank deposits in a cross-country setting. Our empirical evidence shows that investors in developed and developing economies engage with financial markets differently, leading to varying impacts on bank deposits. For instance, in financially developed economies, financial markets typically complement the banking sector by facilitating deposit growth. Conversely, in financially developing economies, financial markets and banks often compete for deposits, thereby constraining bank deposits growth. This dynamic, however, is shaped by country-specific factors such as market concentration and the level of deposit insurance. Moreover, we find that financial market development increases per capita savings, which in turn strengthens bank deposit growth. These findings remain consistent across a range of model specifications and robustness checks.
本文研究了在跨国背景下金融市场发展对银行存款的影响。我们的经验证据表明,发达经济体和发展中经济体的投资者参与金融市场的方式不同,导致对银行存款的影响不同。例如,在金融发达的经济体中,金融市场通常通过促进存款增长来补充银行业。相反,在金融发展中经济体,金融市场和银行经常争夺存款,从而限制了银行存款的增长。然而,这种动态受到市场集中度和存款保险水平等国家具体因素的影响。此外,我们发现金融市场的发展增加了人均储蓄,这反过来又促进了银行存款的增长。这些发现在一系列模型规范和稳健性检查中保持一致。
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引用次数: 0
Institutional risk and wage premia 制度风险与工资溢价
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-12-09 DOI: 10.1016/j.intfin.2025.102266
Wei Wang , Yun Wen , Haoxi Yang , Jiaohui Yang
This study draws on individual-level data from the global football market to examine compensating wage premia for national institutional risk. Using a large panel dataset comprising 243,099 football players across 150 economies from 2010 to 2023, we demonstrate that players employed in economies with high institutional risk receive higher wages as compensation. The main findings remain robust across a series of tests, including alternative measures of institutional risk, additional control variables, different clustering methods, and various subsample analyses. Further analysis reveals that cross-border mobility and institutional adaptability significantly influence the wage premia. Players of higher capability and those from home economies with advanced football development generally possess greater bargaining power and hence secure higher compensation for institutional risk. Likewise, foreign players, particularly those facing larger institutional distance between their home and host economies, command higher wage premia to offset adaptation costs in unfamiliar institutional environments.
本研究利用来自全球足球市场的个人层面数据来检验补偿工资溢价对国家制度风险的影响。我们使用了一个大型面板数据集,其中包括2010年至2023年150个经济体的243,099名足球运动员,我们证明了在高制度风险经济体中工作的球员获得更高的工资作为补偿。通过一系列测试,包括机构风险的替代措施、额外的控制变量、不同的聚类方法和各种子样本分析,主要发现仍然是稳健的。进一步分析发现,跨境流动性和制度适应性对工资溢价有显著影响。能力较高的球员和足球发展较发达的本土球员通常具有更大的议价能力,因此可以获得更高的制度风险补偿。同样,外国参与者,特别是那些在母国和东道国之间面临较大制度距离的参与者,要求更高的工资溢价,以抵消在不熟悉的制度环境中的适应成本。
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引用次数: 0
Climate change exposure and global sovereign credit risk 气候变化风险与全球主权信用风险
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-12-01 DOI: 10.1016/j.intfin.2025.102238
Chu Pan , Chentong Sun , Yue Zhang , Yanshuang Li , Muhammad Abubakr Naeem
This study examines the relationship between climate change exposure and the sovereign credit risk of 51 countries from 2010 to 2020. The findings suggest that countries with higher climate change exposure tend to exhibit greater sovereign credit risk. Additionally, GDP per capita and the growth of government debt act as mediating factors, suggesting that climate change exposure is linked to sovereign creditworthiness through economic and fiscal channels. Furthermore, developing countries tend to bear higher credit costs under climate change exposure, whereas sovereign credit risk in developed countries appears more sensitive to such exposure. Lastly, the negative association between climate change exposure and sovereign credit risk appears weaker in countries with stronger governance. This study underscores the significant association between climate change exposure and sovereign credit risk, offering new insights for research on climate-related financial risks.
本研究考察了2010 - 2020年51个国家的气候变化风险与主权信用风险之间的关系。研究结果表明,气候变化风险较高的国家往往表现出更大的主权信用风险。此外,人均GDP和政府债务增长作为中介因素,表明气候变化风险通过经济和财政渠道与主权信用挂钩。此外,发展中国家在气候变化风险下往往承担更高的信贷成本,而发达国家的主权信用风险似乎对气候变化风险更为敏感。最后,在治理能力较强的国家,气候变化风险与主权信用风险之间的负相关关系似乎较弱。本研究强调了气候变化风险与主权信用风险之间的重要关联,为气候相关金融风险的研究提供了新的见解。
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引用次数: 0
Geopolitical risks and firm export product quality 地缘政治风险与企业出口产品质量
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-11-29 DOI: 10.1016/j.intfin.2025.102264
Mengxu Xiong , Dongmin Kong
Drawing upon the real-time bilateral conflict data reported in GDELT, we construct a novel index to gauge the geopolitical risk confronted by firms. Utilizing this index, we obtain reliable evidence that geopolitical risks significantly undermine firms’ export product quality, which is plausibly attributable to the reduction in imports of intermediate inputs, the curtailment of R&D investment, the compositional shifts in firms’ export portfolio, and the alteration of demand-side preferences. The findings remain valid across a series of robustness checks and endogeneity tests. Moreover, the adverse impact is more prominent for non-state-owned enterprises (non-SOEs), financially-constrained firms, less productive firms, firms with fewer skilled workers, firms exporting less to OECD countries, and firms operating in less competitive markets. By elucidating the unfavorable consequences of geopolitical risks from a micro perspective, our study may offer suggestions for policymakers and firm managers striving for long-term and stable development in an uncertain environment.
利用GDELT报告的实时双边冲突数据,我们构建了一个新的指数来衡量企业面临的地缘政治风险。利用该指数,我们获得了可靠的证据,表明地缘政治风险显著降低了企业的出口产品质量,这可能是由于中间投入品进口的减少、研发投资的削减、企业出口组合的构成变化以及需求侧偏好的改变。研究结果在一系列稳健性检查和内生性检验中仍然有效。此外,对非国有企业(non-国企)、资金受限的企业、生产率较低的企业、技术工人较少的企业、向经合组织国家出口较少的企业以及在竞争较弱的市场上经营的企业的不利影响更为突出。通过从微观角度阐明地缘政治风险的不利后果,我们的研究可以为政策制定者和企业管理者在不确定的环境中争取长期稳定发展提供建议。
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引用次数: 0
CBDC demand simulation across high and low inflation regimes 高通胀和低通胀制度下的CBDC需求模拟
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-11-25 DOI: 10.1016/j.intfin.2025.102263
Hendrik Becker
This paper examines the effects of introducing a Central Bank Digital Currency (CBDC) as a direct central bank liability and payment instrument for the general public, using an empirically calibrated simulation model with a particular focus on the micro-foundation of convenience yield parameters. To account for different inflation regimes, we analyze the CBDC demand within a framework of persistently elevated inflation expectations. Specifically, we explore scenarios reflecting an increased target rate and assess how inflation affects cash holdings and the adoption of CBDCs. The model is calibrated using empirical data from the German economy and considers both deposit-like and cash-like CBDCs under varying remuneration structures. We further examine the implications of our findings in the context of commonly discussed holding limits and confirm model results with a representative survey for German households.
本文使用经验校准的模拟模型,特别关注便利收益参数的微观基础,研究了引入中央银行数字货币(CBDC)作为普通公众的直接中央银行负债和支付工具的影响。为了解释不同的通胀机制,我们在持续高通胀预期的框架内分析了CBDC需求。具体而言,我们探讨了反映目标利率上升的情景,并评估了通货膨胀如何影响现金持有量和cbdc的采用。该模型使用来自德国经济的经验数据进行校准,并考虑了不同薪酬结构下的存款型和现金型cbdc。我们进一步研究了我们的研究结果在通常讨论的持有限制的背景下的含义,并通过对德国家庭的代表性调查确认了模型结果。
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引用次数: 0
Controlling shareholders Abroad: How overseas residency rights influence the costs of corporate Leverage? 海外控股股东:海外居留权如何影响企业杠杆成本?
IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2025-11-23 DOI: 10.1016/j.intfin.2025.102262
Qian Li , Shihao Wang , Victor Song
This study examines how controlling shareholders’ overseas residency rights influence the costs of high leverage in China’s A-share market from 2007 to 2021. We find that privately owned firms with controllers holding overseas residency rights incur significantly higher costs of high leverage. The results are robust to alternative specifications, including two-stage least squares, propensity score matching, and alternative measures of both high leverage and residency rights. Mechanism analyses show that overseas residency rights exacerbate stakeholder-driven pressures—particularly from customers, competitors, employees, and suppliers—facing highly leveraged firms. At the same time, this adverse effect is mitigated by formal institutional mechanisms, such as extradition treaties and strong investor protections in the controller’s country of residence, as well as by informal institutions, including corporate integrity culture and political connections. Finally, we show that overseas residency rights amplify the negative impact of high leverage on firms’ investment and profitability.
本研究考察2007 - 2021年中国a股市场控股股东海外居留权对高杠杆成本的影响。研究发现,控制人持有海外居留权的民营企业高杠杆成本显著增加。结果是稳健的替代规范,包括两阶段最小二乘法,倾向得分匹配,以及高杠杆和居住权的替代措施。机制分析表明,海外居留权加剧了利益相关者驱动的压力,尤其是来自客户、竞争对手、员工和供应商的压力。与此同时,正式体制机制,如引渡条约和控制人居住国强有力的投资者保护,以及非正式体制,包括公司诚信文化和政治关系,可以减轻这种不利影响。最后,我们发现海外居留权放大了高杠杆对企业投资和盈利能力的负面影响。
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引用次数: 0
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Journal of International Financial Markets Institutions & Money
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