Journal of International Financial Markets Institutions & Money最新文献

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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

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-03-01 Epub 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

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

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-01-01 Epub 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。

引用次数: 0

ESG reputational risk and corporate dividend policy: International evidence ESG声誉风险与公司股利政策：国际证据

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-01-01 Epub Date: 2025-11-07 DOI: 10.1016/j.intfin.2025.102246

Anh-Tuan Le, Thao Phuong Tran, Phuong-Linh Vu

Using a large sample of 11,535 firms across 69 countries, this study finds that reputational risk induced by adverse environmental, social, and governance (ESG) exposure through media channels is associated with higher corporate dividend payout ratios. This result is robust to endogeneity concerns and alternative measures of key variables. The results of our channel analysis suggest that a higher level of free cash flow problems, greater agency costs, and higher corporate social responsibility (CSR) performance play a significant role in the association between reputational risk and dividend policy. We also find a stronger positive relationship between reputational risk and dividend payout ratios in countries with a weak rule of law, weak shareholder and creditor protections, and weak public enforcement. Overall, in a global context, our analysis highlights the significant reputational impact of media coverage of instances of corporate social irresponsibility on dividend policy.

通过对69个国家11535家公司的大样本研究，本研究发现，通过媒体渠道暴露在环境、社会和治理（ESG）方面的负面影响所引发的声誉风险与较高的公司股息支付率相关。这一结果是稳健的内生性问题和替代措施的关键变量。我们的渠道分析结果表明，较高水平的自由现金流问题、较高的代理成本和较高的企业社会责任（CSR）绩效在声誉风险与股息政策之间的关联中起着重要作用。我们还发现，在法治薄弱、股东和债权人保护薄弱、公共执法薄弱的国家，声誉风险与派息率之间存在更强的正相关关系。总体而言，在全球背景下，我们的分析强调了媒体对企业社会不负责任事件的报道对股息政策的重大声誉影响。

引用次数: 0

Stock-bond return correlation: Understanding the changing behaviour 股票-债券收益相关性：了解变化中的行为

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-01-01 Epub Date: 2025-10-30 DOI: 10.1016/j.intfin.2025.102242

David G. McMillan

The stock and bond return correlation remains important given its central role in portfolio behaviour. Previous, primarily US, evidence indicates sign switching, which implies that bonds change between diversifying and hedging behaviour. This paper considers time-variation in the stock–bond correlation for the G7 markets, including the nature of its economic drivers. Using monthly data over a period spanning 1980 to 2023 evidence demonstrates that the correlation switches from positive to negative in the late 1990s for six of the seven markets (the switch for Japan occurs in the first half of the 1990s). A switch back to positive is observed towards the end of the sample for most markets but earlier for France and Italy. Evidence of time-variation within the correlation drivers is also noted. Nonetheless, results suggest that inflation and interest rates typically exhibit a positive effect on the correlation, consistent with previous work and theoretical underpinnings. That is, higher inflation and interest rates depress stock and bond prices due to higher discount rates and lower real cash flows, moving them in the same direction. Growth also largely imparts a positive effect on the correlation, but this contrasts with the prevailing view. This arises through portfolio considerations where higher growth leads to an increase in demand for all assets. Of importance for investors, the switch in correlation implies that a portfolio manager will need to alter asset weights to maintain a target value for returns or risk. A portfolio variance decomposition reveals that while the bond contribution remains broadly constant over the sample, that from stocks increases as the correlation contribution shifts from positive to negative. The results are of importance to investors and those engaged in modelling market behaviour.

鉴于股票和债券收益的相关性在投资组合行为中的核心作用，它仍然很重要。之前的证据（主要是美国的）表明了信号转换，这意味着债券在多样化和对冲行为之间变化。本文考虑了七国集团市场股票债券相关性的时间变化，包括其经济驱动因素的性质。使用1980年至2023年期间的月度数据，证据表明，在20世纪90年代末，七个市场中的六个市场的相关性从正转向负（日本的相关性发生在20世纪90年代上半叶）。在大多数市场的样本接近尾声时，可以观察到回归正值的情况，但法国和意大利的情况更早。还注意到相关驱动因素中时间变化的证据。尽管如此，结果表明，通货膨胀和利率通常对相关性表现出积极的影响，这与之前的工作和理论基础一致。也就是说，由于更高的贴现率和更低的实际现金流，更高的通胀和利率压低了股票和债券的价格，使它们向同一方向移动。经济增长也在很大程度上对相关性产生了积极影响，但这与主流观点形成了对比。这是通过投资组合考虑而产生的，其中高增长导致对所有资产的需求增加。对投资者来说，重要的是，相关性的转换意味着投资组合经理将需要改变资产权重，以维持回报或风险的目标值。投资组合方差分解表明，虽然债券的贡献在样本中大致保持不变，但随着相关贡献从正变为负，股票的贡献增加。研究结果对投资者和那些从事市场行为建模的人很重要。

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引用次数: 0

The consequences of hypocrisy: how ESG greenwashing undermines green total factor productivity 虚伪的后果：ESG洗绿如何破坏绿色全要素生产率

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-01-01 Epub Date: 2025-10-27 DOI: 10.1016/j.intfin.2025.102241

Qi Gong , Zhaoyang Kong , Liang Li , Xiucheng Dong , Yang Li

Hypocrisy in environmental, social and governance (ESG) has become a growing concern in global capital markets. In the context of sustainable development, we examine whether and how corporate ESG greenwashing affects green total factor productivity (GTFP), a comprehensive indicator that captures both economic efficiency and environmental performance. Based on panel data comprising 7,755 firm-year observations from 705 Chinese listed firms over the period 2012–2022, we find that ESG greenwashing significantly undermines GTFP. Mechanism analysis reveals that this effect operates through tightened financing constraints and increased inefficient investment. The heterogeneity analysis reveals that the negative impact of ESG greenwashing on GTFP is particularly pronounced among cross-listed firms, highlighting the sustainability risks associated with symbolic ESG practices under multiple regulatory environments and underscoring the need for internationally harmonized ESG regulatory frameworks. Moreover, the detrimental effect is more severe among non-state-owned enterprises and firms with a higher proportion of negative media coverage. By linking ESG greenwashing with green productivity, this study contributes to the literature at the intersection of sustainability, corporate governance, and international securities markets. It offers practical implications for global investors, regulators, and firms, particularly in emerging markets, aiming to strengthen ESG accountability and reduce the sustainable development risks associated with superficial compliance.

环境、社会和治理（ESG）中的虚伪已成为全球资本市场日益关注的问题。在可持续发展的背景下，我们研究了企业ESG“漂绿”是否以及如何影响绿色全要素生产率（GTFP），这是一个既能反映经济效率又能反映环境绩效的综合指标。基于对705家中国上市公司2012-2022年期间7755家公司年度观察的面板数据，我们发现ESG洗绿显著破坏了GTFP。机制分析表明，这种效应是通过融资约束收紧和低效投资增加来实现的。异质性分析表明，在交叉上市公司中，ESG洗绿对GTFP的负面影响尤为明显，这凸显了在多种监管环境下，象征性ESG实践所带来的可持续性风险，并强调了建立国际统一的ESG监管框架的必要性。此外，这种不利影响在非国有企业和媒体负面报道比例较高的企业中更为严重。通过将ESG洗绿与绿色生产力联系起来，本研究为可持续发展、公司治理和国际证券市场交叉领域的文献做出了贡献。它为全球投资者、监管机构和公司，特别是新兴市场的投资者、监管机构和公司提供了实际意义，旨在加强ESG问责制，减少与表面合规相关的可持续发展风险。

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引用次数: 0

Political leaders’ absences and equity market returns: Evidence from a novel uncertainty in China 政治领导人缺席与股市回报：来自中国新不确定性的证据

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-01-01 Epub Date: 2025-11-03 DOI: 10.1016/j.intfin.2025.102247

Maoyong Cheng , Huiqin Duan , Liuchuang Li

We investigate how political uncertainty influences equity market performance by leveraging the temporary absences of municipal political leaders in China, which serve as plausibly exogenous variations in political uncertainty. We find that the absence of Secretaries of Municipal Party Committees (SMPCs) and Mayors is largely uncorrelated with local economic and social development indicators, supporting their exogeneity. Our results show that stock returns decline significantly following SMPC absences, particularly in the first month. Further analysis suggests that this effect does not stem from changes in cash flows, consistent with a discount rate channel. Cross-sectional analysis shows that the decline in stock returns is more pronounced among firms in economically advanced cities, with greater political or international exposure, and among non-state-owned enterprises (non-SOEs). Overall, our findings underscore the role of unexpected political disruptions in financial markets.

我们通过利用中国城市政治领导人的暂时缺席来研究政治不确定性如何影响股票市场表现，这可能是政治不确定性的外生变化。我们发现，市委书记和市长的缺位与当地经济和社会发展指标在很大程度上不相关，支持其外生性。我们的研究结果表明，在SMPC缺席后，股票收益显著下降，特别是在第一个月。进一步的分析表明，这种影响不是源于现金流量的变化，与贴现率渠道一致。横断面分析表明，在经济发达城市的企业（政治或国际风险较大）和非国有企业（non-国企）中，股票收益下降更为明显。总体而言，我们的研究结果强调了意外的政治干扰在金融市场中的作用。

引用次数: 0

Is donation funding a dilemma for microfinance institutions? 捐赠资金是小额信贷机构的两难选择吗？

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-01-01 Epub Date: 2025-11-07 DOI: 10.1016/j.intfin.2025.102244

Md Hamid Uddin , Masnun Al Mahi , Shabiha Akter , Sabur Mollah , Jia Liu

Microfinance institutions (MFIs) play critical roles in providing financial access to low-income communities worldwide. Yet, reliance on donation funding in the operations poses fundamental challenges to their long-term sustainability. We argue that this dependence creates an unclear agency relationship between donors (principal) – providing cost-free funds – and the MFI managers (agent), heightening moral hazard concerns. Also, due to the nature of the business model, MFIs’ operating leverage increases as they increasingly expand lending operations with more cost-free donation funds. Based on a global dataset of 2653 MFIs across 119 countries over 20 years, we find that greater reliance on donations weakens MFIs’ financial stability and reduces their likelihood of survival in the long run. The destabilizing effect intensifies over time, confirming the ex-post inefficiency of donation-reliant models. Our findings are robust across multiple empirical techniques and consistent across various dimensions such as profit orientation, legal status, geography, and country characteristics. By jointly examining financial stability and institutional survival, the study provides a comprehensive assessment of the long-term risks of donation dependence. These findings have important implications for donor agencies and policymakers in re-evaluating the effectiveness of the donation-based microfinance and in designing measures to promote sustainable models.

小额信贷机构（mfi）在向全世界低收入社区提供金融服务方面发挥着关键作用。然而，对捐赠资金的依赖对其长期可持续性构成了根本性的挑战。我们认为，这种依赖在捐助者（委托人）——提供免费资金——和小额信贷机构管理者（代理人）之间造成了一种不明确的代理关系，加剧了道德风险问题。此外，由于商业模式的性质，小额信贷机构的经营杠杆随着他们越来越多地扩大贷款业务而增加，并提供更多的免费捐赠资金。基于119个国家2653家小额信贷机构20年来的全球数据集，我们发现，对捐赠的过度依赖削弱了小额信贷机构的财务稳定性，降低了它们长期生存的可能性。随着时间的推移，不稳定效应会加剧，这证实了依赖捐赠的模式的事后效率低下。我们的研究结果在多种实证技术中都是稳健的，在利润取向、法律地位、地理位置和国家特征等各个维度上都是一致的。通过联合检查财务稳定性和机构生存，该研究提供了捐赠依赖的长期风险的综合评估。这些发现对捐助机构和政策制定者重新评估以捐赠为基础的小额信贷的有效性和设计促进可持续模式的措施具有重要意义。

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引用次数: 0

Climate change news risk and advertising spending 气候变化新闻风险和广告支出

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-01-01 Epub Date: 2025-11-01 DOI: 10.1016/j.intfin.2025.102245

Olakunle Olaboopo , Evans O. Boamah

We examine the effect of climate change news risk on corporate advertising spending. Using a novel measure of media-driven climate risk matched to firm-level advertising data, we find a robust negative relationship between climate news risk and advertising spending. Mechanism tests show that financial constraints mediate this relationship. The effect is stronger for firms with low stock market liquidity and high cash-flow volatility. We also find that domestic firms reduce their advertising spending relative to their multinational counterparts, which aligns with the idea that international operations provide diversification and stronger cash flow benefits that enhance firms’ resilience to the effects of domestic climate risk shocks. The results remain consistent across different advertising measures, and after correcting for selection bias with a Heckman two-step method. We address endogeneity concerns through instrumental variable estimation. Our findings support the risk management hypothesis that firms proactively adjust their financial policies to mitigate the negative effects of rising climate risk exposure.

我们研究了气候变化新闻风险对企业广告支出的影响。通过将媒体驱动的气候风险与公司层面的广告数据相匹配，我们发现气候新闻风险与广告支出之间存在显著的负相关关系。机制测试表明，财政约束是这种关系的中介。对于股票市场流动性低、现金流波动率高的公司，这种效应更强。我们还发现，与跨国公司相比，国内公司减少了广告支出，这与国际运营提供多元化和更强的现金流效益，从而增强公司对国内气候风险冲击影响的抵御能力的观点一致。结果在不同的广告措施中保持一致，并且在用赫克曼两步法纠正了选择偏差之后。我们通过工具变量估计来解决内生性问题。我们的研究结果支持风险管理假设，即企业主动调整其财务政策以减轻气候风险暴露增加的负面影响。

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引用次数: 0

The effect of investor-driven information diffusion on excess comovement: Evidence from retail and institutional investors in China and the United States 投资者驱动的信息扩散对过度流动的影响：来自中美散户和机构投资者的证据

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-01-01 Epub Date: 2025-11-15 DOI: 10.1016/j.intfin.2025.102258

Fei REN , Miaomiao YI , Zhang-Hangjian CHEN , Xiang GAO

This study investigates how cross-stock information diffusion, driven by both retail and institutional investors, influences excess comovement in the Chinese retail-dominated market and the U.S. institution-dominated market. Using data from 4,533 Chinese stocks and 4,517 U.S. stocks from 2010 to 2022, we identify three key findings. First, the dominant investor group in each market significantly drives excess comovement. Specifically, in China, compared with institution-driven diffusion, retail-driven information diffusion has a notably stronger effect on excess comovement. In contrast, in the U.S., institution-driven diffusion is the primary driver of excess comovement, surpassing the influence of retail-driven diffusion. Second, we identify investors’ trading behavior as the underlying mechanism through which information diffusion affects excess comovement. Third, we observe a lead-lag relationship: stocks with faster retail-driven information diffusion exhibit comovement that precedes those with slower diffusion. Based on this finding, we further demonstrate that the predictive power of information diffusion varies across markets. In China, retail-driven diffusion shows strong and persistent predictability for excess comovement, whereas in the U.S., institution-driven diffusion exhibits similarly robust predictive capacity.

本研究探讨了在散户和机构投资者驱动下，中国散户主导市场和美国机构主导市场的跨股信息扩散是如何影响过度变动的。利用2010年至2022年期间4,533只中国股票和4,517只美国股票的数据，我们得出了三个关键发现。首先，在每个市场中占主导地位的投资者群体显著推动了过度波动。具体而言，在中国，与制度驱动的扩散相比，零售驱动的信息扩散对过度流动的影响明显更强。相比之下，在美国，制度驱动的扩散是过度流动的主要驱动因素，超过了零售驱动的扩散的影响。其次，我们认为投资者的交易行为是信息扩散影响超额变动的潜在机制。第三，我们观察到一个领先滞后的关系：零售驱动的信息传播更快的股票表现出先于传播较慢的股票的波动。基于这一发现，我们进一步证明了信息扩散的预测能力在不同市场之间存在差异。在中国，零售驱动的扩散对过度流动表现出强大而持久的可预测性，而在美国，制度驱动的扩散表现出同样强大的预测能力。

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引用次数: 0

The impact of investor attention to the federal reserve on jumps in China’s stock market 投资者对美联储的关注对中国股市跃升的影响

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2026-01-01 Epub Date: 2025-10-29 DOI: 10.1016/j.intfin.2025.102243

Xiaojun Chu , Haigang Zhou

We study whether and how investor attention to the U.S. Federal Reserve transmits to China’s A-share market through stock-price jumps. Using Baidu search volumes for Fed-related terms as an attention proxy, we show that greater attention is associated with both a higher probability and a larger magnitude of jumps. These effects are not confined to FOMC announcement days; they also arise on non-announcement days, consistent with the continuous flow of Fed communications and expectation updating. The impact is stronger for negative jumps and among smaller, riskier firms where retail investors are most active. Robustness checks that control for domestic monetary policy attention, U.S. macroeconomic news and equity market conditions, alternative jump-identification methods, and pre-announcement attention measures yield similar conclusions. Taken together, the findings highlight investor attention as a behavioral channel of U.S. monetary policy spillovers and indicate that attention amplifies – rather than resolves – market uncertainty.

我们研究投资者对美联储的关注是否以及如何通过股价上涨传导到中国a股市场。使用百度对美联储相关术语的搜索量作为关注代理，我们表明，更多的关注与更高的概率和更大的幅度相关。这些影响并不局限于FOMC发布公告的日子；它们也出现在非公告日，与美联储持续不断的沟通和预期更新一致。对于负跳涨以及散户投资者最为活跃的规模较小、风险较高的公司而言，这种影响更大。鲁棒性检查控制了国内货币政策关注、美国宏观经济新闻和股票市场状况、替代跳跃识别方法和公告前关注措施，得出类似的结论。综上所述，这些发现强调了投资者关注是美国货币政策溢出效应的一个行为渠道，并表明关注放大了——而不是消除——市场的不确定性。

引用次数: 0

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