International Review of Financial Analysis最新文献

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Carbon performance and CDS spreads: Unveiling the role of governance mechanisms in shaping dynamic distress risk 碳绩效和CDS价差：揭示治理机制在塑造动态困境风险中的作用

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-02-06 DOI: 10.1016/j.irfa.2026.105104

Zeineb Barka, Zied Ftiti, Taher Hamza

引用次数: 0

Data assetization and audit fees 数据资产化和审计费用

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-02-03 DOI: 10.1016/j.irfa.2025.105037

Chuan Qin

引用次数: 0

Microstructure-based private information and institutional return predictability 基于微观结构的私人信息与制度回报可预测性

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-31 DOI: 10.1016/j.irfa.2026.105113

Xuchu Sun, Jinling Na, Tangrong Li

引用次数: 0

Never waste a crisis: Do stock market manipulators exploit geopolitical risks? 永远不要浪费危机：股市操纵者会利用地缘政治风险吗？

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-30 DOI: 10.1016/j.irfa.2026.105103

Jie Liu, Zhenshan Chen, Gengyan Lin, Yajing Ye, Jia Liu

引用次数: 0

Herding behaviour in equity crowdfunding and P2P lending markets: A systematic meta-analysis 股权众筹和P2P借贷市场的羊群行为：一个系统的元分析

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-29 DOI: 10.1016/j.irfa.2026.105101

Riccardo Tipaldi, Carmen Gallucci, José Manuel Liñares Zegarra

引用次数: 0

Tales that cost: Folklore and bank loan spreads 有成本的故事：民间传说和银行贷款利差

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-25 DOI: 10.1016/j.irfa.2026.105100

Christophe Godlewski , Laurent Weill

This paper investigates whether cultural narratives embedded in folklore influence the pricing of syndicated loans. We combine loan-level data for European companies with the cross-cultural dataset of oral traditions compiled by Michalopoulos and Xue (2021) to examine whether stories about risk-taking shape loan spreads. We find that the presence of challenge-related motifs in a lender's cultural background is associated with higher spreads. More specifically, tales that portray unsuccessful outcomes lead to significantly higher loan spreads, while those depicting successful risk-taking have no discernible effect. A greater prevalence of failure over success in challenge-related folklore robustly predicts higher spreads across specifications. These findings suggest that cultural beliefs about risk—transmitted through folklore—affect how lenders perceive borrower uncertainty. By shaping the soft information environment in which credit decisions are made, ancestral narratives continue to influence the terms of modern financial contracts.

本文探讨民间传说中的文化叙事是否会影响银团贷款的定价。我们将欧洲公司的贷款水平数据与Michalopoulos和Xue（2021）编制的口头传统跨文化数据集相结合，以检验有关冒险的故事是否会影响贷款的传播。我们发现，在贷款人的文化背景中，与挑战相关的母题的存在与较高的利差有关。更具体地说，描述不成功结果的故事导致贷款息差显著提高，而那些描述成功冒险的故事则没有明显的影响。在与挑战相关的民间传说中，失败比成功更普遍，这有力地预测了跨规格的更高传播。这些发现表明，通过民间传说传播的关于风险的文化信仰会影响贷款人对借款人不确定性的看法。通过塑造做出信贷决策的软信息环境，祖先的叙述继续影响着现代金融合同的条款。

引用次数: 0

The contagion effect of natural disasters in the Sovereign CDS market: Which causes? 自然灾害对主权CDS市场的传染效应：原因何在？

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-23 DOI: 10.1016/j.irfa.2026.105102

Caterina Di Tommaso , Matteo Foglia , Vincenzo Pacelli

This study investigates the contagion effect of natural disasters on credit default swap (CDS) spreads in the European Union (EU) using a Generalized Method of Moments (GMM) approach. Focusing on understanding the channels through which contagion occurs, we analyze data from 11 Eurozone countries from 2007 to 2021. The analysis explores the causes of the propagation impact of natural disasters on CDS spreads, considering factors such as geographical distance, financial investment flow, and trade balance. Our findings highlight a significant positive effect of natural disasters on CDS spreads, indicating heightened perceived spillover risk following such events. Furthermore, we observe that countries with higher Climate Change Performance Index (CCPI) scores exhibit a lower contagion effect, suggesting that climate commitment may mitigate the financial impact of natural disasters. These results underscore the importance of proactive climate policies and risk management strategies in enhancing financial stability in the face of environmental shocks.

本文运用广义矩量法（GMM）研究了自然灾害对欧盟信用违约互换（CDS）价差的传染效应。为了了解传染发生的渠道，我们分析了11个欧元区国家2007年至2021年的数据。从地理距离、金融投资流动、贸易差额等因素出发，探讨自然灾害对CDS价差传播影响的原因。我们的研究结果强调了自然灾害对CDS息差的显著积极影响，表明此类事件后感知到的溢出风险增加。此外，我们观察到气候变化绩效指数（CCPI）得分较高的国家表现出较低的传染效应，这表明气候承诺可能减轻自然灾害的金融影响。这些结果强调了积极的气候政策和风险管理战略在面对环境冲击时加强金融稳定的重要性。

引用次数: 0

Modelling time-varying volatility interactions 模拟时变波动相互作用

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-20 DOI: 10.1016/j.irfa.2026.105098

Susana Campos-Martins , Cristina Amado

We propose an additive time-varying (or partially time-varying) multivariate model of volatility, where a time-dependent component is added to the extended vector GARCH process for modelling the dynamics of volatility interactions. Volatility co-dependence is allowed to change smoothly between two extreme states, and second-moment interdependence is identified through these structural changes. The estimation of the new time-varying vector GARCH process is simplified using an equation-by-equation estimator for the volatility equations in the first step and estimating the correlation matrix in the second step. A new Lagrange multiplier test is derived for testing the null hypothesis of constant volatility co-dependence against a smoothly time-varying interdependence between financial markets. Monte Carlo experiments show that the test statistic has satisfactory finite-sample properties. An empirical application to sovereign bond yields illustrates the modelling strategy and the usefulness of the new specification.

我们提出了一种时变（或部分时变）波动性的多变量模型，其中将时间相关成分添加到扩展向量GARCH过程中，以模拟波动性相互作用的动力学。波动性相互依赖允许在两个极端状态之间平滑变化，并且通过这些结构变化确定第二时刻相互依赖。采用逐方程估计方法对第一步的波动方程进行估计，并在第二步对相关矩阵进行估计，简化了新的时变矢量GARCH过程的估计。推导了一个新的拉格朗日乘数检验，用于检验金融市场之间平滑时变相互依赖的恒定波动共依赖的零假设。蒙特卡罗实验表明，检验统计量具有令人满意的有限样本性质。对主权债券收益率的实证应用说明了建模策略和新规范的有用性。

引用次数: 0

Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility 具有两因素随机波动率的Hawkes跳-扩散模型下的脆弱期权

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-20 DOI: 10.1016/j.irfa.2026.105095

Puneet Pasricha , Xin-Jiang He

In this article, we address the valuation of a European vulnerable options within a structural framework. Specifically, we model the underlying asset and the asset of the option writer using a joint Hawkes jump-diffusion model with two-factor stochastic volatility. We derive a general analytical integral formula for prices of European options, applicable under any modeling framework as long as the joint characteristic function of asset prices associated with the underlying and option writer is available analytically. Distinguished from the pricing formulae in the literature, especially in a jump-diffusion framework, which is either in the form of the expectation over the jump process or requires evaluating several layers of infinite sums, our formula is significantly simplified and computationally efficient. Moreover, our model dynamics encompasses a wide range of commonly used models as special cases, for which we provide explicit analytical forms of the joint characteristic functions. Finally, we present numerical experiments demonstrating the accuracy and computational efficiency of our formula, along with sensitivity analysis to highlight the impact of various model parameters on the option prices.

在本文中，我们将在结构框架内解决欧洲脆弱期权的估值问题。具体来说，我们使用一个具有双因素随机波动率的联合Hawkes跳-扩散模型对标的资产和期权出权人的资产进行建模。我们推导了欧式期权价格的一般解析积分公式，只要与标的和期权出售者相关的资产价格的联合特征函数是可解析的，它就适用于任何建模框架。与文献中的定价公式不同，特别是在跳跃-扩散框架中，价格公式要么以跳跃过程的期望形式出现，要么需要评估几层无限和，我们的公式显着简化，计算效率高。此外，我们的模型动力学包含了广泛的常用模型作为特殊情况，为此我们提供了联合特征函数的显式分析形式。最后，我们通过数值实验证明了我们的公式的准确性和计算效率，并通过敏感性分析来突出各种模型参数对期权价格的影响。

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引用次数: 0

Retraction notice to “The impacts of climate policy uncertainty on stock markets: Comparison between China and the US” [FINANA 88 (2023) 102671] 关于“气候政策不确定性对股市的影响：中美比较”的撤回通知[finance 88 (2023) 102671]

IF 8.2 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis

Pub Date : 2026-01-15 DOI: 10.1016/j.irfa.2026.105075

Xin Xu, Shupei Huang, Brian M. Lucey, Haizhong An

引用次数: 0

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