This article examines the role of investor risk aversion in the transmission of monetary policy to stock returns based on U.S. data. Our results show that following an expansionary monetary policy shock, investor risk aversion falls, leading to a decrease in the equity risk premium and an increase in equity returns. Moreover, the returns of high‐beta stocks increase much more than those of low‐beta stocks. Finally, we investigate the mechanism through mutual fund flows. We find that high‐beta funds attract greater inflows in response to lower interest rates, and there is a positive relationship between fund returns and flows. Our findings have policy implications for financial stability.
{"title":"Monetary policy and equity returns: The role of investor risk aversion","authors":"Licheng Zhang","doi":"10.1002/ijfe.3047","DOIUrl":"https://doi.org/10.1002/ijfe.3047","url":null,"abstract":"This article examines the role of investor risk aversion in the transmission of monetary policy to stock returns based on U.S. data. Our results show that following an expansionary monetary policy shock, investor risk aversion falls, leading to a decrease in the equity risk premium and an increase in equity returns. Moreover, the returns of high‐beta stocks increase much more than those of low‐beta stocks. Finally, we investigate the mechanism through mutual fund flows. We find that high‐beta funds attract greater inflows in response to lower interest rates, and there is a positive relationship between fund returns and flows. Our findings have policy implications for financial stability.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142259634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper investigates the effects of monetary policy on the simultaneous adjustments in asset portfolio risk and capital of banks amidst the uncertainty of the COVID‐19 pandemic, focusing on the 12 largest economies from 2018 Q1 to 2021 Q4. Results indicate that banks show lower portfolio risk and capital levels when the monetary policy stance is eased. However, amid heightened pandemic uncertainty, the risk‐reducing effect of monetary policy on banks amplifies, while bank capital levels remain unchanged. Heterogeneity analyses reveal that banks with higher levels of diversification and herding are more responsive to interest rates amid pandemic uncertainty, exhibiting lower risk exposure in their asset portfolios. Banks in countries adopting negative interest rate policies also tend to assume greater asset risk to accommodate the intended stimulus of monetary policies.
{"title":"Monetary policy transmission under pandemic uncertainty: Effect on banks' risk and capital adjustments","authors":"Moau Yong Toh, Dekui Jia","doi":"10.1002/ijfe.3044","DOIUrl":"https://doi.org/10.1002/ijfe.3044","url":null,"abstract":"This paper investigates the effects of monetary policy on the simultaneous adjustments in asset portfolio risk and capital of banks amidst the uncertainty of the COVID‐19 pandemic, focusing on the 12 largest economies from 2018 Q1 to 2021 Q4. Results indicate that banks show lower portfolio risk and capital levels when the monetary policy stance is eased. However, amid heightened pandemic uncertainty, the risk‐reducing effect of monetary policy on banks amplifies, while bank capital levels remain unchanged. Heterogeneity analyses reveal that banks with higher levels of diversification and herding are more responsive to interest rates amid pandemic uncertainty, exhibiting lower risk exposure in their asset portfolios. Banks in countries adopting negative interest rate policies also tend to assume greater asset risk to accommodate the intended stimulus of monetary policies.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142259635","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper we study the role of institutional differences in bilateral mergers and acquisitions (M&As) in an integrated framework. We contribute to the literature on the drivers of international M&As by integrating the gravity, knowledge‐capital (KK) and political economy theory (PET) approaches and explain cross‐border M&As using an international and comprehensive dataset. We estimate the model using Poisson Pseudo Maximum Likelihood (PPML) method with high dimension fixed effects. The main findings are that the variables that affect cross‐border M&As can be derived from three different approaches explaining activity of multinational enterprises (MNEs): the gravity equation, the KK model, and the PET frameworks. In particular, variables related to geographical proximity, size and similarity of markets and differences in regulatory quality are important in explaining M&A activity.
本文在一个综合框架内研究了制度差异在双边并购（M&As）中的作用。通过整合引力、知识资本（KK）和政治经济学理论（PET）方法，我们为国际并购驱动因素方面的文献做出了贡献，并利用国际综合数据集解释了跨境并购。我们采用泊松伪最大似然法（PPML）和高维度固定效应对模型进行了估计。主要发现是，影响跨境 M&As 的变量可以从解释跨国企业活动的三种不同方法中得出：引力方程、KK 模型和 PET 框架。特别是，与地理邻近性、市场规模和相似性以及监管质量差异有关的变量对于解释跨国并购活动非常重要。
{"title":"International mergers and acquisitions and institutional differences: An integrated approach","authors":"Andrzej Cieślik, Monika Tarsalewska","doi":"10.1002/ijfe.3033","DOIUrl":"https://doi.org/10.1002/ijfe.3033","url":null,"abstract":"In this paper we study the role of institutional differences in bilateral mergers and acquisitions (M&As) in an integrated framework. We contribute to the literature on the drivers of international M&As by integrating the gravity, knowledge‐capital (KK) and political economy theory (PET) approaches and explain cross‐border M&As using an international and comprehensive dataset. We estimate the model using Poisson Pseudo Maximum Likelihood (PPML) method with high dimension fixed effects. The main findings are that the variables that affect cross‐border M&As can be derived from three different approaches explaining activity of multinational enterprises (MNEs): the gravity equation, the KK model, and the PET frameworks. In particular, variables related to geographical proximity, size and similarity of markets and differences in regulatory quality are important in explaining M&A activity.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"10 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205570","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Chiraz Labidi, Jose Arreola Hernandez, Gazi Salah Uddin, Ali Ahmed, Muhammad Yahya, Seong‐Min Yoon
Our study aims to investigate the seasonal patterns of returns and evaluate the effects that various factors have on the performance in a large data set (125 funds) of Islamic mutual funds from four regions: Asia‐Pacific, North America, Europe, and the Middle East and North Africa (MENA). We employed indicators for consumer sentiment, economic policy uncertainty, implied stock market volatility, the trade‐weighted US dollar, the Carhart (1997) risk factors, and idiosyncratic risk. Our findings indicate that the seasonal patterns and determinants of Islamic mutual funds' financial performance tend to differ significantly across the regions. This may be explained by the different cultural/religious settings, the different backgrounds of the market participants as well as differences in the holiday seasons and end of fiscal year/taxation across regions/countries. Global fund managers and investors may benefit from the obtained results when constructing portfolios and designing hedging strategies.
{"title":"Islamic mutual funds: Seasonal patterns and determinants of performance across regions","authors":"Chiraz Labidi, Jose Arreola Hernandez, Gazi Salah Uddin, Ali Ahmed, Muhammad Yahya, Seong‐Min Yoon","doi":"10.1002/ijfe.3042","DOIUrl":"https://doi.org/10.1002/ijfe.3042","url":null,"abstract":"Our study aims to investigate the seasonal patterns of returns and evaluate the effects that various factors have on the performance in a large data set (125 funds) of Islamic mutual funds from four regions: Asia‐Pacific, North America, Europe, and the Middle East and North Africa (MENA). We employed indicators for consumer sentiment, economic policy uncertainty, implied stock market volatility, the trade‐weighted US dollar, the Carhart (1997) risk factors, and idiosyncratic risk. Our findings indicate that the seasonal patterns and determinants of Islamic mutual funds' financial performance tend to differ significantly across the regions. This may be explained by the different cultural/religious settings, the different backgrounds of the market participants as well as differences in the holiday seasons and end of fiscal year/taxation across regions/countries. Global fund managers and investors may benefit from the obtained results when constructing portfolios and designing hedging strategies.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Yuri Salazar Flores, Adan Diaz‐Hernandez, Oralia Nolasco‐Jauregui, Luis Alberto Quezada‐Tellez
In this article, we introduce and examine the efficiency of a portfolio diversification measure. Using the recently developed coherence properties for diversification measures as well as other criteria, we show that the novel measure outperforms the most commonly used diversification measures. Although similar in shape to other measures, our measure is the only one that satisfies all nine coherence properties whilst being easily interpreted. After testing interpretability and coherence for all measures, we perform an empirical analysis divided into two main parts. In the first part, we test some common diversification measures in a Gaussian context and in the second part we consider three empirical portfolios during the COVID‐19 pandemic. We establish the efficiency of our measure in capturing the changing level of diversification in empirical portfolios. We believe these results imply a competitive advantage for our measure and make it relevant for econometricians, practitioners and decision‐makers in general in a portfolio optimisation context.
{"title":"A portfolio diversification measure in the unit interval: A coherent and practical approach","authors":"Yuri Salazar Flores, Adan Diaz‐Hernandez, Oralia Nolasco‐Jauregui, Luis Alberto Quezada‐Tellez","doi":"10.1002/ijfe.3041","DOIUrl":"https://doi.org/10.1002/ijfe.3041","url":null,"abstract":"In this article, we introduce and examine the efficiency of a portfolio diversification measure. Using the recently developed coherence properties for diversification measures as well as other criteria, we show that the novel measure outperforms the most commonly used diversification measures. Although similar in shape to other measures, our measure is the only one that satisfies all nine coherence properties whilst being easily interpreted. After testing interpretability and coherence for all measures, we perform an empirical analysis divided into two main parts. In the first part, we test some common diversification measures in a Gaussian context and in the second part we consider three empirical portfolios during the COVID‐19 pandemic. We establish the efficiency of our measure in capturing the changing level of diversification in empirical portfolios. We believe these results imply a competitive advantage for our measure and make it relevant for econometricians, practitioners and decision‐makers in general in a portfolio optimisation context.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study aims to highlight the connection between good governance and financial crime to achieve optimal sustainable development for society. Governance issues are integral to a sustainable economy, as sustainability cannot be considered without strong measures to combat financial crime. The theoretical foundation of this relationship posits that enhanced institutional quality and laws reduce opportunities to circumvent environmental regulations, thereby improving the ecological footprint. This paper examines the moderating role of governance on the impact of four types of crime—corruption, shadow economy, money laundering, and cybercrime—on sustainable development indicators such as the Human Development Index, Environmental Performance Index, carbon dioxide emissions and greenhouse gas emissions. The sample includes 185 countries, analysed over the period from 2015 to 2022. Methodologies used range from the Pooled OLS method for panel data with interactions to panel threshold regression modelling. Our findings provide strong evidence of the mediating role of good governance in mitigating the negative impact of financial crime on sustainable development, potentially reducing it by up to half. This study offers insights into how improving governance can manage the environmental effects of financial crimes, thereby enhancing sustainable development and reducing financial and economic crime.
{"title":"The moderating role of governance on the nexus of financial crime and sustainable development","authors":"Monica Violeta Achim, Viorela Ligia Văidean, Nawazish Mirza","doi":"10.1002/ijfe.3043","DOIUrl":"https://doi.org/10.1002/ijfe.3043","url":null,"abstract":"This study aims to highlight the connection between good governance and financial crime to achieve optimal sustainable development for society. Governance issues are integral to a sustainable economy, as sustainability cannot be considered without strong measures to combat financial crime. The theoretical foundation of this relationship posits that enhanced institutional quality and laws reduce opportunities to circumvent environmental regulations, thereby improving the ecological footprint. This paper examines the moderating role of governance on the impact of four types of crime—corruption, shadow economy, money laundering, and cybercrime—on sustainable development indicators such as the Human Development Index, Environmental Performance Index, carbon dioxide emissions and greenhouse gas emissions. The sample includes 185 countries, analysed over the period from 2015 to 2022. Methodologies used range from the Pooled OLS method for panel data with interactions to panel threshold regression modelling. Our findings provide strong evidence of the mediating role of good governance in mitigating the negative impact of financial crime on sustainable development, potentially reducing it by up to half. This study offers insights into how improving governance can manage the environmental effects of financial crimes, thereby enhancing sustainable development and reducing financial and economic crime.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205571","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Hadi Movaghari, Serafeim Tsoukas, Evangelos Vagenas‐Nanos
We are the first to explore the role of firm‐level drivers in corporate cash policy applying cutting‐edge double machine learning technique. We identify tangibility of assets and R&D spending as two main driving forces behind the cash increase when they are considered both independently and jointly. Furthermore, our findings support the relevance of the transaction cost model and the refinancing risk of long‐term debt at the beginning of the sample period. In contrast, precautionary motive emerges as more pertinent in contemporary times. Our results are robust to alternative machine learners, cash proxies and estimation methods.
{"title":"Corporate cash policy and double machine learning","authors":"Hadi Movaghari, Serafeim Tsoukas, Evangelos Vagenas‐Nanos","doi":"10.1002/ijfe.3039","DOIUrl":"https://doi.org/10.1002/ijfe.3039","url":null,"abstract":"We are the first to explore the role of firm‐level drivers in corporate cash policy applying cutting‐edge double machine learning technique. We identify tangibility of assets and R&D spending as two main driving forces behind the cash increase when they are considered both independently and jointly. Furthermore, our findings support the relevance of the transaction cost model and the refinancing risk of long‐term debt at the beginning of the sample period. In contrast, precautionary motive emerges as more pertinent in contemporary times. Our results are robust to alternative machine learners, cash proxies and estimation methods.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"44 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205573","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We examine the forecasting power of the volatility of the slope of the US Treasury yield curve on US stock market volatility. Consistent with theoretical asset pricing models, we find that the volatility of the slope of the term structure of interest rates has significant forecasting power on stock market volatility for forecasting horizon ranging from 1 up to 12 months. Moreover, the term structure volatility has significant forecasting power when used for volatility predictions of the intra‐day returns of S&P500 constituents, with the predictive power being higher for stocks belonging to the telecommunications and financial sector. Our forecasting models show that the forecasting power of yield curve volatility is higher to and absorbs that of Economic Policy Uncertainty and Monetary Policy Uncertainty, showing that the main channel through which the yield curve volatility affects the stock market is not only related with uncertainty about monetary policy actions or policy rates, but also with uncertainty regarding the future cash flows and dividend payments of US equities. Lastly, we show that the forecasting power of term structure volatility significantly increases during the post‐2007 Great recession period which coincides with the Fed adopting unconventional monetary policies to stimulate the economy.
{"title":"The term structure of interest rates as predictor of stock market volatility","authors":"Anastasios Megaritis, Alexandros Kontonikas, Nikolaos Vlastakis, Athanasios Triantafyllou","doi":"10.1002/ijfe.3029","DOIUrl":"https://doi.org/10.1002/ijfe.3029","url":null,"abstract":"We examine the forecasting power of the volatility of the slope of the US Treasury yield curve on US stock market volatility. Consistent with theoretical asset pricing models, we find that the volatility of the slope of the term structure of interest rates has significant forecasting power on stock market volatility for forecasting horizon ranging from 1 up to 12 months. Moreover, the term structure volatility has significant forecasting power when used for volatility predictions of the intra‐day returns of S&P500 constituents, with the predictive power being higher for stocks belonging to the telecommunications and financial sector. Our forecasting models show that the forecasting power of yield curve volatility is higher to and absorbs that of Economic Policy Uncertainty and Monetary Policy Uncertainty, showing that the main channel through which the yield curve volatility affects the stock market is not only related with uncertainty about monetary policy actions or policy rates, but also with uncertainty regarding the future cash flows and dividend payments of US equities. Lastly, we show that the forecasting power of term structure volatility significantly increases during the post‐2007 Great recession period which coincides with the Fed adopting unconventional monetary policies to stimulate the economy.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205574","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Christian Nedu Osakwe, Oluwatobi A. Ogunmokun, Islam Elgammal, Darya Baeva, Victoria Kamneva
This article adopts the value‐attitude‐behavioural (VAB) and attitude‐behaviour‐context (ABC) theoretical lenses to develop an integrative model to examine attitudinal and behavioural responses to cryptocurrency investment. It also investigates the moderating role of generational differences (pre‐millennials vs. millennials). The study showed that perceived value is closely associated with the attitude towards cryptocurrency investment which, in turn, is strongly associated with the willingness to make and recommend cryptocurrency investments. Results further reveal that contextual factors such as convertibility and sugrophobia, which reflect the fear of being duped, strongly influence individuals' willingness to recommend cryptocurrency investments to others. Finally, results indicate that generational differences play an important moderating role.
{"title":"An integrative model for understanding cryptocurrency investment‐related behaviours: A comparison between millennials and pre‐millennials","authors":"Christian Nedu Osakwe, Oluwatobi A. Ogunmokun, Islam Elgammal, Darya Baeva, Victoria Kamneva","doi":"10.1002/ijfe.3031","DOIUrl":"https://doi.org/10.1002/ijfe.3031","url":null,"abstract":"This article adopts the value‐attitude‐behavioural (VAB) and attitude‐behaviour‐context (ABC) theoretical lenses to develop an integrative model to examine attitudinal and behavioural responses to cryptocurrency investment. It also investigates the moderating role of generational differences (pre‐millennials vs. millennials). The study showed that perceived value is closely associated with the attitude towards cryptocurrency investment which, in turn, is strongly associated with the willingness to make and recommend cryptocurrency investments. Results further reveal that contextual factors such as convertibility and sugrophobia, which reflect the fear of being duped, strongly influence individuals' willingness to recommend cryptocurrency investments to others. Finally, results indicate that generational differences play an important moderating role.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study examines green and non‐green‐banks from a financial stability point of view and specifically whether there are any discernible performance differences between the two groups. Using the supervisory ratios namely CAMEL variables, and employing panel data techniques (random effects model) and a global panel data set of 165 banks from 38 countries for the period 1999 to 2021, we adopt the Differences‐In‐Differences approach to examine whether green (“treatment” group) and non‐green (“control” group) banks exhibit differential behaviour, using the outbreak of the financial crisis (2008) as the time of intervention. Our results mainly show that green banks differ (and specifically perform better than their non‐green counterparts) only in terms of Total Capital, Tier 1 Capital, and NPLs/Reserve for Loan Losses ratios during and after the financial crisis. As for the rest of the CAMEL factors, it seems that both groups exhibit the same behaviour, especially in the post‐crisis period. Thus, green banks are not stronger in total than their non‐green counterparts in terms of financial stability. We also find that the financial crisis had either a positive or a negative effect on most of the CAMEL factors of both bank types, except for the Leverage Ratio (a capital adequacy proxy) and Operational Expenses/Operational Income ratios (a management quality proxy), which proved crisis‐insensitive.
{"title":"Green banks versus non‐green banks: A financial stability comparative analysis in terms of CAMEL ratios","authors":"Ioannis Malandrakis, Konstantinos Drakos","doi":"10.1002/ijfe.3028","DOIUrl":"https://doi.org/10.1002/ijfe.3028","url":null,"abstract":"This study examines green and non‐green‐banks from a financial stability point of view and specifically whether there are any discernible performance differences between the two groups. Using the supervisory ratios namely CAMEL variables, and employing panel data techniques (random effects model) and a global panel data set of 165 banks from 38 countries for the period 1999 to 2021, we adopt the Differences‐In‐Differences approach to examine whether green (“treatment” group) and non‐green (“control” group) banks exhibit differential behaviour, using the outbreak of the financial crisis (2008) as the time of intervention. Our results mainly show that green banks differ (and specifically perform better than their non‐green counterparts) only in terms of Total Capital, Tier 1 Capital, and NPLs/Reserve for Loan Losses ratios during and after the financial crisis. As for the rest of the CAMEL factors, it seems that both groups exhibit the same behaviour, especially in the post‐crisis period. Thus, green banks are not stronger in total than their non‐green counterparts in terms of financial stability. We also find that the financial crisis had either a positive or a negative effect on most of the CAMEL factors of <jats:italic>both</jats:italic> bank types, except for the Leverage Ratio (a capital adequacy proxy) and Operational Expenses/Operational Income ratios (a management quality proxy), which proved crisis‐insensitive.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"64 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142205577","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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