Pub Date : 2025-07-26DOI: 10.1016/j.intfin.2025.102200
Harvey Nguyen , Mia Hang Pham , Van Hoang Vu
We show that the leadership style of veteran CEOs has important implications for their companies’ costs of bank loans. We find that banks charge, on average, 10.8 basis points lower for firms headed by veteran CEOs, compared to otherwise similar firms. Firms with veteran CEOs are also subject to lower collateral requirements and covenant restrictions. The effect of veteran CEOs on loan costs comes from an improvement in the firm’s information environment and a reduction in firm risk. Overall, our study highlights the increasing relevance of leadership background in lending decisions, suggesting that personal characteristics may influence access to capital in global credit markets.
{"title":"Executives’ early-life experience and corporate debt contracting: Evidence from CEO military experience","authors":"Harvey Nguyen , Mia Hang Pham , Van Hoang Vu","doi":"10.1016/j.intfin.2025.102200","DOIUrl":"10.1016/j.intfin.2025.102200","url":null,"abstract":"<div><div>We show that the leadership style of veteran CEOs has important implications for their companies’ costs of bank loans. We find that banks charge, on average, 10.8 basis points lower for firms headed by veteran CEOs, compared to otherwise similar firms. Firms with veteran CEOs are also subject to lower collateral requirements and covenant restrictions. The effect of veteran CEOs on loan costs comes from an improvement in the firm’s information environment and a reduction in firm risk. Overall, our study highlights the increasing relevance of leadership background in lending decisions, suggesting that personal characteristics may influence access to capital in global credit markets.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102200"},"PeriodicalIF":5.4,"publicationDate":"2025-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144711348","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-09DOI: 10.1016/j.intfin.2025.102197
Luca Agnello , Vítor Castro , Ricardo M. Sousa
We analyse how defaults, debt restructurings and resolution affect the duration of low sovereign rating cycles in a change-point Weibull duration model setup. Using a large panel of sovereign ratings data issued by the three largest credit rating agencies, we show that sovereigns implementing nominal debt relief during defaults or with an history of debt restructurings (including those supported by multilateral institutions) or (long) exits from international capital markets hardly escape the ’curse’ of protracted speculative-grade spells. Governments also tend to discriminate between domestic and foreign agents, ’prioritising’ foreign currency defaults.
{"title":"Speculative-Grade sovereign rating Cycles: Sovereign debt Defaults, restructurings and resolution","authors":"Luca Agnello , Vítor Castro , Ricardo M. Sousa","doi":"10.1016/j.intfin.2025.102197","DOIUrl":"10.1016/j.intfin.2025.102197","url":null,"abstract":"<div><div>We analyse how defaults, debt restructurings and resolution affect the duration of low sovereign rating cycles in a change-point Weibull duration model setup. Using a large panel of sovereign ratings data issued by the three largest credit rating agencies, we show that sovereigns implementing nominal debt relief during defaults or with an history of debt restructurings (including those supported by multilateral institutions) or (long) exits from international capital markets hardly escape the ’curse’ of protracted speculative-grade spells. Governments also tend to discriminate between domestic and foreign agents, ’prioritising’ foreign currency defaults.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102197"},"PeriodicalIF":5.4,"publicationDate":"2025-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144579292","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-03DOI: 10.1016/j.intfin.2025.102180
Dieter Vanwalleghem , Carmela D’Avino
This paper examines the significance of functional distance in explaining the lending behavior of foreign branches of global banks. We operationalize functional distance, or the distance between the global bank’s headquarters and the host country of the foreign branch, along a geographic, linguistic, and cultural dimension. Analyzing the lending activities of US global banks’ foreign branches in 38 countries from 2001 to 2020, we find that geographic and linguistic functional distance has an adverse effect on local lending. We further find that a host country’s institutional quality can moderate the effect of functional distance on local lending.
{"title":"Functional distance and US global banks’ foreign branch lending","authors":"Dieter Vanwalleghem , Carmela D’Avino","doi":"10.1016/j.intfin.2025.102180","DOIUrl":"10.1016/j.intfin.2025.102180","url":null,"abstract":"<div><div>This paper examines the significance of functional distance in explaining the lending behavior of foreign branches of global banks. We operationalize functional distance, or the distance between the global bank’s headquarters and the host country of the foreign branch, along a geographic, linguistic, and cultural dimension. Analyzing the lending activities of US global banks’ foreign branches in 38 countries from 2001 to 2020, we find that geographic and linguistic functional distance has an adverse effect on local lending. We further find that a host country’s institutional quality can moderate the effect of functional distance on local lending.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102180"},"PeriodicalIF":5.4,"publicationDate":"2025-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144535655","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-03DOI: 10.1016/j.intfin.2025.102198
Habib Hussain Khan , Fiza Qureshi , Dima Jamali
This study examines the role of fintech and bigtech credit, collectively referred to as alternative digital credit, in alleviating corporate financing constraints across 70 countries from 2013 to 2019. The findings indicate that alternative digital credit alleviates financing constraints by reducing investment-to-cash flow sensitivity, particularly in developing countries. This effect is more pronounced in financially developed markets with strong institutional frameworks but less competitive banking sectors. The advantages of alternative digital credit are particularly notable for small, young, and manufacturing firms. Firms engaged in international trade and those owned by foreign investors face fewer constraints due to their inherent advantages. Consistency checks using alternative measures of financing constraints reaffirm these findings. The analysis of transmission channels further highlights that the entry of fintech and bigtech firms weakens banks’ market power, encouraging greater competition in the banking sector and ultimately lowering firms’ financing constraints. These insights highlight the transformative potential of alternative digital credit in promoting financial inclusion and propose targeted policies to enhance its adoption globally.
{"title":"Digital disruption in financing: Are fintech and bigtech credit reshaping corporate access to capital?","authors":"Habib Hussain Khan , Fiza Qureshi , Dima Jamali","doi":"10.1016/j.intfin.2025.102198","DOIUrl":"10.1016/j.intfin.2025.102198","url":null,"abstract":"<div><div>This study examines the role of fintech and bigtech credit, collectively referred to as alternative digital credit, in alleviating corporate financing constraints across 70 countries from 2013 to 2019. The findings indicate that alternative digital credit alleviates financing constraints by reducing investment-to-cash flow sensitivity, particularly in developing countries. This effect is more pronounced in financially developed markets with strong institutional frameworks but less competitive banking sectors. The advantages of alternative digital credit are particularly notable for small, young, and manufacturing firms. Firms engaged in international trade and those owned by foreign investors face fewer constraints due to their inherent advantages. Consistency checks using alternative measures of financing constraints reaffirm these findings. The analysis of transmission channels further highlights that the entry of fintech and bigtech firms weakens banks’ market power, encouraging greater competition in the banking sector and ultimately lowering firms’ financing constraints. These insights highlight the transformative potential of alternative digital credit in promoting financial inclusion and propose targeted policies to enhance its adoption globally.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102198"},"PeriodicalIF":5.4,"publicationDate":"2025-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144535002","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-01DOI: 10.1016/j.intfin.2025.102196
Luciano Greco , Francesco Jacopo Pintus , Davide Raggi
We study the consequences of introducing an Euro-stability bond mechanism that implies sovereign debt mutualization in the Eurozone without any significant short-term redistribution across countries or perverse incentives to fiscal profligacy. In a simple structural model of the economy, we theoretically show that this mechanism is able to reproduce the market fiscal discipline while increasing the social welfare of all countries with respect to the real market discipline. Relying on a GVAR model including 10 Eurozone countries, U.S., Japan and China, we then analyse the future evolution of public debt (and other key macroeconomic variables) over time by comparing the predicted forecast in the baseline and in a counterfactual scenarios with the Euro-stability bond. We find no significant differences in the future path of public debt-to-GDP ratios in the two cases, but a consistent reduction in the forecast’s uncertainty in the counterfactual scenario. The reduced uncertainty of forecasts of public debt and other macroeconomic variables highlights the potential capacity of the Euro-stability bond to immunize the Eurozone from classical macroeconomic instability shocks that derive by the very existence of high sovereign debts and the related significant rollover and contagion risks in a framework of decentralized fiscal policies. To this extent, we finally exploit the results of the GVAR model to assess the capacity of the proposed scheme to reduce the probability of adverse macroeconomic events.
{"title":"When fiscal discipline meets macroeconomic stability: The Euro-stability bond","authors":"Luciano Greco , Francesco Jacopo Pintus , Davide Raggi","doi":"10.1016/j.intfin.2025.102196","DOIUrl":"10.1016/j.intfin.2025.102196","url":null,"abstract":"<div><div>We study the consequences of introducing an Euro-stability bond mechanism that implies sovereign debt mutualization in the Eurozone without any significant short-term redistribution across countries or perverse incentives to fiscal profligacy. In a simple structural model of the economy, we theoretically show that this mechanism is able to reproduce the market fiscal discipline while increasing the social welfare of all countries with respect to the real market discipline. Relying on a GVAR model including 10 Eurozone countries, U.S., Japan and China, we then analyse the future evolution of public debt (and other key macroeconomic variables) over time by comparing the predicted forecast in the baseline and in a counterfactual scenarios with the Euro-stability bond. We find no significant differences in the future path of public debt-to-GDP ratios in the two cases, but a consistent reduction in the forecast’s uncertainty in the counterfactual scenario. The reduced uncertainty of forecasts of public debt and other macroeconomic variables highlights the potential capacity of the Euro-stability bond to immunize the Eurozone from classical macroeconomic instability shocks that derive by the very existence of high sovereign debts and the related significant rollover and contagion risks in a framework of decentralized fiscal policies. To this extent, we finally exploit the results of the GVAR model to assess the capacity of the proposed scheme to reduce the probability of adverse macroeconomic events.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102196"},"PeriodicalIF":5.4,"publicationDate":"2025-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144548413","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-25DOI: 10.1016/j.intfin.2025.102195
George Kladakis , Alexandros Skouralis
This paper examines whether sovereign credit rating changes are linked to increased future macroeconomic downside risks based on the Growth-at-Risk framework by Adrian et al. (2019). Our findings reveal that downgrades significantly increase tail risk by lowering the 5th percentile of four-quarters ahead GDP growth by 2.95 percentage points, whereas upgrades yield a smaller and inconsistent effect of 0.45 percentage points. Standard panel OLS results show a reduced impact of 1.11 percentage points on GDP growth following a downgrade, underscoring the importance of examining effects beyond the mean. Further analysis reveals an asymmetrical impact across quantiles and time horizons, with speculative-grade countries particularly vulnerable to downgrades. Downgrades from all major agencies affect tail risk, with Fitch having the largest negative impact, while only Moody’s upgrades have a significant effect. Moreover, our empirical evidence suggests that the effect of credit rating downgrades is, at least partially mitigated, by the adoption of post-GFC regulatory reforms, aligning with these policies’ aim to reduce reliance on CRAs and enhance financial stability. Lastly, our analysis identifies investment and sovereign bond spreads as key channels through which downgrades affect macroeconomic outcomes, however, only the latter is significantly associated with downside risks to GDP growth. Robustness tests that include endogeneity checks, additional controls, alternative CRA data and quantile regression methodology, confirm our findings.
{"title":"Sovereign credit rating downgrades and Growth-at-Risk","authors":"George Kladakis , Alexandros Skouralis","doi":"10.1016/j.intfin.2025.102195","DOIUrl":"10.1016/j.intfin.2025.102195","url":null,"abstract":"<div><div>This paper examines whether sovereign credit rating changes are linked to increased future macroeconomic downside risks based on the Growth-at-Risk framework by <span><span>Adrian et al. (2019)</span></span>. Our findings reveal that downgrades significantly increase tail risk by lowering the 5th percentile of four-quarters ahead GDP growth by 2.95 percentage points, whereas upgrades yield a smaller and inconsistent effect of 0.45 percentage points. Standard panel OLS results show a reduced impact of 1.11 percentage points on GDP growth following a downgrade, underscoring the importance of examining effects beyond the mean. Further analysis reveals an asymmetrical impact across quantiles and time horizons, with speculative-grade countries particularly vulnerable to downgrades. Downgrades from all major agencies affect tail risk, with Fitch having the largest negative impact, while only Moody’s upgrades have a significant effect. Moreover, our empirical evidence suggests that the effect of credit rating downgrades is, at least partially mitigated, by the adoption of post-GFC regulatory reforms, aligning with these policies’ aim to reduce reliance on CRAs and enhance financial stability. Lastly, our analysis identifies investment and sovereign bond spreads as key channels through which downgrades affect macroeconomic outcomes, however, only the latter is significantly associated with downside risks to GDP growth. Robustness tests that include endogeneity checks, additional controls, alternative CRA data and quantile regression methodology, confirm our findings.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102195"},"PeriodicalIF":5.4,"publicationDate":"2025-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144470773","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-24DOI: 10.1016/j.intfin.2025.102192
Adnan Velic
We investigate the role of intangible capital in the growth of relative finance wages using (i) a production framework entailing multi-level nesting and (ii) reduced-form analysis. We find that the degree and effects of complementarity between skilled labor and intangible capital are much more pronounced in finance than in the rest of the market economy. The stronger positive effects of such complementarity on finance skill premia are reinforced by relatively stronger unskilled labor substitution possibilities and technical change in the sector. Despite accounting for under a tenth of overall economic activity, finance offsets up to almost a third of declines in skilled–unskilled wage disparities nationally. We thereby find that finance contributes inordinately to income inequality. Intensified intangible capital growth in the industry stands to exacerbate this trend. Finally, our study suggests that financial deregulation, globalization, banking competition, and domestic credit expansion positively affect relative finance wages. Stricter labor market protection meanwhile dampens the impact of banking competition.
{"title":"Relative finance wages and inequality: A role for intangibles?","authors":"Adnan Velic","doi":"10.1016/j.intfin.2025.102192","DOIUrl":"10.1016/j.intfin.2025.102192","url":null,"abstract":"<div><div>We investigate the role of intangible capital in the growth of relative finance wages using (i) a production framework entailing multi-level nesting and (ii) reduced-form analysis. We find that the degree and effects of complementarity between skilled labor and intangible capital are much more pronounced in finance than in the rest of the market economy. The stronger positive effects of such complementarity on finance skill premia are reinforced by relatively stronger unskilled labor substitution possibilities and technical change in the sector. Despite accounting for under a tenth of overall economic activity, finance offsets up to almost a third of declines in skilled–unskilled wage disparities nationally. We thereby find that finance contributes inordinately to income inequality. Intensified intangible capital growth in the industry stands to exacerbate this trend. Finally, our study suggests that financial deregulation, globalization, banking competition, and domestic credit expansion positively affect relative finance wages. Stricter labor market protection meanwhile dampens the impact of banking competition.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102192"},"PeriodicalIF":5.4,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144365808","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-20DOI: 10.1016/j.intfin.2025.102183
David Vidal-Tomás
The stability and transparency of centralized cryptocurrency exchanges have received limited attention, despite their growing role in digital asset markets. This paper analyzes their stability through proof-of-assets disclosures. Using an AR-GARCH framework and MVaR assessment, we evaluate centralized exchange resilience during the extreme events of 2022 within the impersonal trust framework of Shapiro (1987). Our findings highlight that the FTX and Celsius bankruptcies had the most detrimental impact on market stability, while stablecoins played a dual role—enhancing resilience under normal conditions but posing systemic risks in the event of failure. Additionally, exchanges should maintain extra reserves of 6% to 14% to withstand adverse events and improve resilience during periods of stress. Paradoxically, the cryptocurrency ecosystem, designed to reduce reliance on trust, now demands even more “guardians of trust” than traditional finance to create a trustworthy environment for participants.
{"title":"Centralized exchanges & proof-of-solvency: The guardians of trust","authors":"David Vidal-Tomás","doi":"10.1016/j.intfin.2025.102183","DOIUrl":"10.1016/j.intfin.2025.102183","url":null,"abstract":"<div><div>The stability and transparency of centralized cryptocurrency exchanges have received limited attention, despite their growing role in digital asset markets. This paper analyzes their stability through proof-of-assets disclosures. Using an AR-GARCH framework and MVaR assessment, we evaluate centralized exchange resilience during the extreme events of 2022 within the impersonal trust framework of Shapiro (1987). Our findings highlight that the FTX and Celsius bankruptcies had the most detrimental impact on market stability, while stablecoins played a dual role—enhancing resilience under normal conditions but posing systemic risks in the event of failure. Additionally, exchanges should maintain extra reserves of 6% to 14% to withstand adverse events and improve resilience during periods of stress. Paradoxically, the cryptocurrency ecosystem, designed to reduce reliance on trust, now demands even more “guardians of trust” than traditional finance to create a trustworthy environment for participants.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102183"},"PeriodicalIF":5.4,"publicationDate":"2025-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144322818","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-13DOI: 10.1016/j.intfin.2025.102182
Liting Fang , Lerong He , Liying Huang
The paper investigates the impact of stock market liberalization on the exports of small and medium-sized enterprises (SMEs). Using the launch of China’s Shenzhen-Hong Kong Stock Connect Program as a quasi-experiment, we apply a difference-in-differences design to examine how the relaxation of foreign investment in listed Chinese SMEs stimulates these firms’ exports. We find that SMEs qualified for the Stock Connect program are associated with a larger increase in export propensity and export intensity in the post-liberalization period than the control group of SMEs unqualified for the program. We also confirm that stock market liberalization increases foreign institutional investor investment and reduces SMEs’ financing constraints, thus encouraging risk sharing, providing more information and resources to SMEs, and increasing their willingness and ability to export. In addition, we show that the influence of stock market liberalization on SMEs’ exports is contingent on industry, firm, and executive characteristics that shape firms’ resource needs and their perceptions of risk and uncertainty associated with exporting. Finally, we provide modest evidence that stock market liberalization encourages outward foreign direct investment. Overall, our paper reveals the facilitating role of stock market liberalization in boosting SMEs’ exports, the underlying mechanisms explaining this relationship, and the contingency factors affecting the strength of this relationship.
{"title":"Stock market liberalization and exports of small and medium-sized enterprises","authors":"Liting Fang , Lerong He , Liying Huang","doi":"10.1016/j.intfin.2025.102182","DOIUrl":"10.1016/j.intfin.2025.102182","url":null,"abstract":"<div><div>The paper investigates the impact of stock market liberalization on the exports of small and medium-sized enterprises (SMEs). Using the launch of China’s Shenzhen-Hong Kong Stock Connect Program as a quasi-experiment, we apply a difference-in-differences design to examine how the relaxation of foreign investment in listed Chinese SMEs stimulates these firms’ exports. We find that SMEs qualified for the Stock Connect program are associated with a larger increase in export propensity and export intensity in the post-liberalization period than the control group of SMEs unqualified for the program. We also confirm that stock market liberalization increases foreign institutional investor investment and reduces SMEs’ financing constraints, thus encouraging risk sharing, providing more information and resources to SMEs, and increasing their willingness and ability to export. In addition, we show that the influence of stock market liberalization on SMEs’ exports is contingent on industry, firm, and executive characteristics that shape firms’ resource needs and their perceptions of risk and uncertainty associated with exporting. Finally, we provide modest evidence that stock market liberalization encourages outward foreign direct investment. Overall, our paper reveals the facilitating role of stock market liberalization in boosting SMEs’ exports, the underlying mechanisms explaining this relationship, and the contingency factors affecting the strength of this relationship.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102182"},"PeriodicalIF":5.4,"publicationDate":"2025-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144270809","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-10DOI: 10.1016/j.intfin.2025.102181
Haim Kedar-Levy , Joon-Seok Kim , Sean Sehyun Yoo
We explore the predictive capability of two investment strategies on idiosyncratic volatility, liquidity risk and liquidity commonality, by investor type. Investors are characterized as positive-feedback or contrarian once their trades are significantly associated with daily stock returns on a given month. We find that this classification has predictive power: positive-feedback traders (mainly foreign investors) tend to increase, while contrarian traders (mainly local individuals) tend to reduce, the following month’s volatility and liquidity. Different investor clienteles segment the market by stock characteristics, questioning linear cross-sectional pricing. Controlling for supply inelasticity we find that share issuance/buyback datapoints tilt some of the statistics and blur the findings.
{"title":"Predictable liquidity properties in a Segmented, inelastic stock market","authors":"Haim Kedar-Levy , Joon-Seok Kim , Sean Sehyun Yoo","doi":"10.1016/j.intfin.2025.102181","DOIUrl":"10.1016/j.intfin.2025.102181","url":null,"abstract":"<div><div>We explore the predictive capability of two investment strategies on idiosyncratic volatility, liquidity risk and liquidity commonality, by investor type. Investors are characterized as positive-feedback or contrarian once their trades are significantly associated with daily stock returns on a given month. We find that this classification has predictive power: positive-feedback traders (mainly foreign investors) tend to increase, while contrarian traders (mainly local individuals) tend to reduce, the following month’s volatility and liquidity. Different investor clienteles segment the market by stock characteristics, questioning linear cross-sectional pricing. Controlling for supply inelasticity we find that share issuance/buyback datapoints tilt some of the statistics and blur the findings.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102181"},"PeriodicalIF":5.4,"publicationDate":"2025-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144242365","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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