Pub Date : 2024-09-21DOI: 10.1016/j.irfa.2024.103588
We investigate the relationship between the ethnic diversity of corporate boards, measured by the ratio of minority directors, and bankruptcy risks among manufacturing firms included in S&P 1500. Our findings indicate that companies with a higher representation of minority directors on their boards demonstrate decreased bankruptcy risks compared to companies with lower levels of minority board diversity. This study implies that boards with diverse ethnic backgrounds are better equipped to make balanced decisions and manage bankruptcy risks.
{"title":"Does board ethnic diversity mitigate bankruptcy risk?","authors":"","doi":"10.1016/j.irfa.2024.103588","DOIUrl":"10.1016/j.irfa.2024.103588","url":null,"abstract":"<div><div>We investigate the relationship between the ethnic diversity of corporate boards, measured by the ratio of minority directors, and bankruptcy risks among manufacturing firms included in S&P 1500. Our findings indicate that companies with a higher representation of minority directors on their boards demonstrate decreased bankruptcy risks compared to companies with lower levels of minority board diversity. This study implies that boards with diverse ethnic backgrounds are better equipped to make balanced decisions and manage bankruptcy risks.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1057521924005209/pdfft?md5=1229ec346a424ac7843941c9ca5d6906&pid=1-s2.0-S1057521924005209-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142316042","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-20DOI: 10.1016/j.irfa.2024.103579
We examine the impacts of two types of news, forwarded news and novel news, on market reactions and investor attention in the Chinese stock market. Surprisingly, we find that forwarded news evokes a stronger market reaction than novel news. To understand this phenomenon, we investigate and find three mechanisms through which forwarded news influences investor behavior: filtering, verification, and amplification effects. The filtering effect shows that forwarded news, having been selected for resharing, contains information content that has persistent effects on stock return. The verification effect indicates that forwarded news, particularly following scandals involving news platforms, is perceived as more credible, thus eliciting a stronger market reaction. The amplification effect shows that the redistribution of news magnifies its reach and captures investor attention, leading to increased investor search and trading on the stocks. Moreover, the impact of forwarded news on investor attention is more pronounced for firms with greater information opacity. Our results show the distinctive roles of forwarded news and novel news in the financial market, highlighting the importance of considering the heterogeneity of news information.
{"title":"When echoes surpass voices: Market reaction to forwarded news","authors":"","doi":"10.1016/j.irfa.2024.103579","DOIUrl":"10.1016/j.irfa.2024.103579","url":null,"abstract":"<div><div>We examine the impacts of two types of news, forwarded news and novel news, on market reactions and investor attention in the Chinese stock market. Surprisingly, we find that forwarded news evokes a stronger market reaction than novel news. To understand this phenomenon, we investigate and find three mechanisms through which forwarded news influences investor behavior: filtering, verification, and amplification effects. The filtering effect shows that forwarded news, having been selected for resharing, contains information content that has persistent effects on stock return. The verification effect indicates that forwarded news, particularly following scandals involving news platforms, is perceived as more credible, thus eliciting a stronger market reaction. The amplification effect shows that the redistribution of news magnifies its reach and captures investor attention, leading to increased investor search and trading on the stocks. Moreover, the impact of forwarded news on investor attention is more pronounced for firms with greater information opacity. Our results show the distinctive roles of forwarded news and novel news in the financial market, highlighting the importance of considering the heterogeneity of news information.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142324202","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-20DOI: 10.1016/j.irfa.2024.103582
Enterprise export stability is crucial to the stable growth of enterprise exports. The digital transformation of enterprises has become an important driver for promoting high-quality enterprise development with the development of digital technology. This paper examines the impact of digital transformation on enterprises' export stability and explores its intrinsic influence mechanism from the aspects of export product stability and export market stability using the sample data of Chinese listed companies from 2001 to 2016. Heterogeneity analysis indicates that digital transformation has a more significant impact on promoting the export stability of foreign-funded enterprises, private enterprises, labor-intensive enterprises, and enterprises in the central and western regions than state-owned enterprises, technology-intensive, capital-intensive enterprises, and enterprises in the eastern region. The mechanism analysis shows that enterprise technological innovation, enterprise total factor productivity, and enterprise export diversification level are important influence mechanisms of digital transformation on enterprises' export stability. The findings from the moderating effect analysis reveal that the government values the advancement of sports enterprises and can positively modulate the effects of digital transformation on enterprises' export stability.
{"title":"The impact of digital transformation on enterprises' export stability: Evidence from listed companies in China","authors":"","doi":"10.1016/j.irfa.2024.103582","DOIUrl":"10.1016/j.irfa.2024.103582","url":null,"abstract":"<div><div>Enterprise export stability is crucial to the stable growth of enterprise exports. The digital transformation of enterprises has become an important driver for promoting high-quality enterprise development with the development of digital technology. This paper examines the impact of digital transformation on enterprises' export stability and explores its intrinsic influence mechanism from the aspects of export product stability and export market stability using the sample data of Chinese listed companies from 2001 to 2016. Heterogeneity analysis indicates that digital transformation has a more significant impact on promoting the export stability of foreign-funded enterprises, private enterprises, labor-intensive enterprises, and enterprises in the central and western regions than state-owned enterprises, technology-intensive, capital-intensive enterprises, and enterprises in the eastern region. The mechanism analysis shows that enterprise technological innovation, enterprise total factor productivity, and enterprise export diversification level are important influence mechanisms of digital transformation on enterprises' export stability. The findings from the moderating effect analysis reveal that the government values the advancement of sports enterprises and can positively modulate the effects of digital transformation on enterprises' export stability.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142316104","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-20DOI: 10.1016/j.irfa.2024.103581
The co-movement of the RMB exchange rate with other currencies highlights the global standing of the RMB and its significance in FX markets. This paper employs the rational expectations present-value model of exchange rates to identify the macroeconomic factors influencing this co-movement. Our finding reveals a general increase in the RMB's co-movement with other currencies, especially after the 2015 reform of the RMB exchange rate regime, known as the “811 Reform”. Factors such as the synchronizations of output and monetary policy, as well as global market sentiment significantly, can affect this co-movement significantly. However, this explanatory power is relatively weaker compared to trade linkage. The market-oriented reforms in the RMB exchange rate regime and the liberalization of capital account in China have indeed strengthened this co-movement. Additionally, various international cooperation policies taken by the Chinese government have demonstrated promotional effects. This study echoes the traditional exchange rate determination theory and offers some policy implications for the internationalization of the RMB.
{"title":"The macro driving factors of co-movement of RMB with other currencies in FX markets","authors":"","doi":"10.1016/j.irfa.2024.103581","DOIUrl":"10.1016/j.irfa.2024.103581","url":null,"abstract":"<div><div>The co-movement of the RMB exchange rate with other currencies highlights the global standing of the RMB and its significance in FX markets. This paper employs the rational expectations present-value model of exchange rates to identify the macroeconomic factors influencing this co-movement. Our finding reveals a general increase in the RMB's co-movement with other currencies, especially after the 2015 reform of the RMB exchange rate regime, known as the “811 Reform”. Factors such as the synchronizations of output and monetary policy, as well as global market sentiment significantly, can affect this co-movement significantly. However, this explanatory power is relatively weaker compared to trade linkage. The market-oriented reforms in the RMB exchange rate regime and the liberalization of capital account in China have indeed strengthened this co-movement. Additionally, various international cooperation policies taken by the Chinese government have demonstrated promotional effects. This study echoes the traditional exchange rate determination theory and offers some policy implications for the internationalization of the RMB.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142316090","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-20DOI: 10.1016/j.irfa.2024.103583
Digital transformation (DT) represents a crucial measure for enterprises to enhance production efficiency. Supply chain construction has become a key strategic focus, and its efficient operation serves as a vital safeguard for elevating overall production efficiency within the enterprise. Based on the data of China's A-share listed enterprises from 2001 to 2022, this paper employed econometric models to investigate the impact of enterprise DT on total factor productivity (TFP), with a particular emphasis on examining the mechanistic role played by supply chain efficiency (SCE). The research findings reveal that: (1) Enterprise DT can significantly enhance TFP. The robustness of these results persists even after undergoing a series of endogeneity tests. (2) SCE plays a crucial mechanistic role in the impact of enterprise DT on TFP. The research results have been fully empirically tested, enterprises can significantly promote the inventory turnover with the help of digital technology, and then improve the TFP. The research findings and corresponding policy recommendations can provide a theoretical basis for enterprises in formulating DT strategies and delineating the supply chain development direction. This holds significant practical implications for enhancing enterprise production efficiency and achieving carbon neutral goal.
{"title":"The mechanism of supply chain efficiency in enterprise digital transformation and total factor productivity","authors":"","doi":"10.1016/j.irfa.2024.103583","DOIUrl":"10.1016/j.irfa.2024.103583","url":null,"abstract":"<div><div>Digital transformation (DT) represents a crucial measure for enterprises to enhance production efficiency. Supply chain construction has become a key strategic focus, and its efficient operation serves as a vital safeguard for elevating overall production efficiency within the enterprise. Based on the data of China's A-share listed enterprises from 2001 to 2022, this paper employed econometric models to investigate the impact of enterprise DT on total factor productivity (TFP), with a particular emphasis on examining the mechanistic role played by supply chain efficiency (SCE). The research findings reveal that: (1) Enterprise DT can significantly enhance TFP. The robustness of these results persists even after undergoing a series of endogeneity tests. (2) SCE plays a crucial mechanistic role in the impact of enterprise DT on TFP. The research results have been fully empirically tested, enterprises can significantly promote the inventory turnover with the help of digital technology, and then improve the TFP. The research findings and corresponding policy recommendations can provide a theoretical basis for enterprises in formulating DT strategies and delineating the supply chain development direction. This holds significant practical implications for enhancing enterprise production efficiency and achieving carbon neutral goal.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142312219","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-19DOI: 10.1016/j.irfa.2024.103569
We employ machine learning techniques to examine cross-sectional variation in country equity returns by aggregating information across multiple market characteristics. Our models reveal significant return predictability, which translates into discernible patterns in portfolio performance. In addition, variable importance analysis uncovers a sparse factor structure that varies across forecast horizons. A handful of critical predictors—such as long-term reversal, momentum, earnings yield, and market size—capture most of the return differences, while country risk measures play a minor role. Consistent with the partial segmentation perspective, return predictability persists in small, illiquid, and unintegrated markets and weakens over time as the constraints on capital mobility diminish. As a result, attempts to forge them into profitable strategies can be challenging at best.
{"title":"What drives stock returns across countries? Insights from machine learning models","authors":"","doi":"10.1016/j.irfa.2024.103569","DOIUrl":"10.1016/j.irfa.2024.103569","url":null,"abstract":"<div><div>We employ machine learning techniques to examine cross-sectional variation in country equity returns by aggregating information across multiple market characteristics. Our models reveal significant return predictability, which translates into discernible patterns in portfolio performance. In addition, variable importance analysis uncovers a sparse factor structure that varies across forecast horizons. A handful of critical predictors—such as long-term reversal, momentum, earnings yield, and market size—capture most of the return differences, while country risk measures play a minor role. Consistent with the partial segmentation perspective, return predictability persists in small, illiquid, and unintegrated markets and weakens over time as the constraints on capital mobility diminish. As a result, attempts to forge them into profitable strategies can be challenging at best.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142318747","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-19DOI: 10.1016/j.irfa.2024.103571
Firms with relatively more female executives in their top management team exhibit superior investment efficiency. Economically, female non-CEO executives increase investment efficiency by almost 11 % of the cross-sectional mean of our investment efficiency measure. Further analysis shows that this increase in efficiency is driven by the reduction in both overinvestment and underinvestment. In addition, efficiency is more pronounced in less competitive markets, during industry shock periods, and in firms with less competent or outsider CEOs. Our findings highlight that women in C-suite play a significant positive role in effective investment decision-making.
{"title":"Women in C-suite: Does Top Management Team gender diversity matter? Evidence from firm investment efficiency","authors":"","doi":"10.1016/j.irfa.2024.103571","DOIUrl":"10.1016/j.irfa.2024.103571","url":null,"abstract":"<div><div>Firms with relatively more female executives in their top management team exhibit superior investment efficiency. Economically, female non-CEO executives increase investment efficiency by almost 11 % of the cross-sectional mean of our investment efficiency measure. Further analysis shows that this increase in efficiency is driven by the reduction in both overinvestment and underinvestment. In addition, efficiency is more pronounced in less competitive markets, during industry shock periods, and in firms with less competent or outsider CEOs. Our findings highlight that women in C-suite play a significant positive role in effective investment decision-making.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142357218","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-19DOI: 10.1016/j.irfa.2024.103563
Decentralized Finance (DeFi) assets, commodities, and Islamic stock market cointegration are affected by technological innovations, market dynamics, investor behavior, and crises. This study investigates the dynamics of returns and volatility for three DeFi assets, six commodities, and three Islamic stock markets from December 2019, to March, 2023, and identifies higher spillover effects during crises. Links among the Cross-DeFi, commodity, and Islamic markets significantly influence returns and volatility during crises. Notably, the commodities index emerged as a pivotal and substantial transmitter of risk during the Russian-Ukraine war crisis, with Emerging Markets (EM) being a key recipient. However, during the COVID-19 pandemic, livestock indices assume the role of prominent risk-return spillover receivers. The findings indicate robust returns and volatility interconnected between DeFi assets and Islamic markets with a moderate level of connectivity among commodity groups. WDI, ACWI, and EM explained 75 % of the variance observed during crisis episodes. This study formulates strategic portfolio management within and between connectedness among return volatilities by highlighting the stability of DeFi assets, the diversification potential in commodities, and a balanced option in Islamic markets. Our study provides a deep and insightful understanding of the stakeholders across markets during crises.
{"title":"Dynamic spillover effects and interconnectedness of DeFi assets, commodities, and Islamic stock markets during crises","authors":"","doi":"10.1016/j.irfa.2024.103563","DOIUrl":"10.1016/j.irfa.2024.103563","url":null,"abstract":"<div><p>Decentralized Finance (DeFi) assets, commodities, and Islamic stock market cointegration are affected by technological innovations, market dynamics, investor behavior, and crises. This study investigates the dynamics of returns and volatility for three DeFi assets, six commodities, and three Islamic stock markets from December 2019, to March, 2023, and identifies higher spillover effects during crises. Links among the Cross-DeFi, commodity, and Islamic markets significantly influence returns and volatility during crises. Notably, the commodities index emerged as a pivotal and substantial transmitter of risk during the Russian-Ukraine war crisis, with Emerging Markets (EM) being a key recipient. However, during the COVID-19 pandemic, livestock indices assume the role of prominent risk-return spillover receivers. The findings indicate robust returns and volatility interconnected between DeFi assets and Islamic markets with a moderate level of connectivity among commodity groups. WDI, ACWI, and EM explained 75 % of the variance observed during crisis episodes. This study formulates strategic portfolio management within and between connectedness among return volatilities by highlighting the stability of DeFi assets, the diversification potential in commodities, and a balanced option in Islamic markets. Our study provides a deep and insightful understanding of the stakeholders across markets during crises.</p></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1057521924004952/pdfft?md5=796606d990c00825a82c837b54e4788c&pid=1-s2.0-S1057521924004952-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142274894","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-19DOI: 10.1016/j.irfa.2024.103570
This study examines the impact of employee satisfaction on company's labour investment efficiency (CLIE) using a sample of 2,333 company-year observations associated with 302 companies listed in the UK between 2008 and 2020. Arguments based on human relations theory suggest that satisfied employees are likely to be motived to exert greater efforts and exhibit lower turnover, thereby reducing employer's exposure to labour market frictions. In contrast, agency theory argues that satisfied employees may become entrenched and thus harm organisational outcomes, including CLIE. We measure satisfaction with employers across our sample companies using 164,341 employees' ratings posted on Glassdoor UK. We observe a positive impact of employee satisfaction on CLIE, demonstrating the validity of underlying human relations theory for the present business context characterised by labour shortages. We also find the positive impact of employee satisfaction on CLIE to be stronger for companies with higher labour intensity, more reliance on skilled labour, and more competitive industry environments. Our study contributes to research investigating the determinants of efficient investment in workforce. We also demonstrate the informational value of employee' online reviews for understanding a company's performance, particularly in assessing the efficiency of its employment decisions.
{"title":"The impact of employee satisfaction on company's labour investment efficiency","authors":"","doi":"10.1016/j.irfa.2024.103570","DOIUrl":"10.1016/j.irfa.2024.103570","url":null,"abstract":"<div><div>This study examines the impact of employee satisfaction on company's labour investment efficiency (CLIE) using a sample of 2,333 company-year observations associated with 302 companies listed in the UK between 2008 and 2020. Arguments based on human relations theory suggest that satisfied employees are likely to be motived to exert greater efforts and exhibit lower turnover, thereby reducing employer's exposure to labour market frictions. In contrast, agency theory argues that satisfied employees may become entrenched and thus harm organisational outcomes, including CLIE. We measure satisfaction with employers across our sample companies using 164,341 employees' ratings posted on Glassdoor UK. We observe a positive impact of employee satisfaction on CLIE, demonstrating the validity of underlying human relations theory for the present business context characterised by labour shortages. We also find the positive impact of employee satisfaction on CLIE to be stronger for companies with higher labour intensity, more reliance on skilled labour, and more competitive industry environments. Our study contributes to research investigating the determinants of efficient investment in workforce. We also demonstrate the informational value of employee' online reviews for understanding a company's performance, particularly in assessing the efficiency of its employment decisions.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142318744","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-19DOI: 10.1016/j.irfa.2024.103568
An interesting and well documented observation is that the same company receives heterogeneous ESG ratings from different rating providers. Consequently, an important question is whether sorting stocks on ESG ratings of different rating providers results in portfolios that are similar or substantially different regarding their constituents, performance, and risk. We employ the ratings of five rating providers on stocks listed in North America, Europe, Asia-Pacific (excluding Japan), and Japan for the period from 2014 until the end of 2019 and analyze whether the corresponding quintile stock portfolios actually have similar or different portfolio constituents as well as Sharpe ratios, alphas, and idiosyncratic risk. Our analysis indicates that the portfolios considerably differ regarding their constituents. In contrast, and most importantly, Sharpe ratios, alphas, and idiosyncratic risk of corresponding portfolios are not significantly different.
{"title":"Constructing stock portfolios by sorting on ESG ratings: Does the rating provider matter?","authors":"","doi":"10.1016/j.irfa.2024.103568","DOIUrl":"10.1016/j.irfa.2024.103568","url":null,"abstract":"<div><div>An interesting and well documented observation is that the same company receives heterogeneous ESG ratings from different rating providers. Consequently, an important question is whether sorting stocks on ESG ratings of different rating providers results in portfolios that are similar or substantially different regarding their constituents, performance, and risk. We employ the ratings of five rating providers on stocks listed in North America, Europe, Asia-Pacific (excluding Japan), and Japan for the period from 2014 until the end of 2019 and analyze whether the corresponding quintile stock portfolios actually have similar or different portfolio constituents as well as Sharpe ratios, alphas, and idiosyncratic risk. Our analysis indicates that the portfolios considerably differ regarding their constituents. In contrast, and most importantly, Sharpe ratios, alphas, and idiosyncratic risk of corresponding portfolios are not significantly different.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1057521924005003/pdfft?md5=78789a47e12f1cd98d3bca2cfc41f979&pid=1-s2.0-S1057521924005003-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142312221","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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