This article investigates an essential channel through which uncertainty may harm the economy—firms' financing constraints. Unlike prior literature focusing on the aspect of aggregate economic policy uncertainty, we look into the dimension of disaggregate uncertainty in the banking system. Examining financial data of commercial banks and listed companies in Vietnam during 2008–2022, we document that banking uncertainty positively impacts corporate financial constraints. Moreover, we explore how firm-specific and macroeconomic factors interact with the relationship between uncertainty and financing constraints. Our analysis indicates that this link is more pronounced for non-state-owned firms, firms with more intangible assets, and firms listed on the Hanoi stock exchange. Meanwhile, macro shocks, such as the financial crisis and the COVID-19 pandemic can strengthen the effect of banking uncertainty on financing constraints. Finally, we examine the mechanisms through which banking uncertainty causes an increase in firms' financial constraints. We document that banking uncertainty exacerbates financial constraints by raising the cost of external financing, not by lowering firm performance.
{"title":"Banking uncertainty and corporate financial constraints","authors":"Japan Huynh","doi":"10.1002/ijfe.2938","DOIUrl":"https://doi.org/10.1002/ijfe.2938","url":null,"abstract":"This article investigates an essential channel through which uncertainty may harm the economy—firms' financing constraints. Unlike prior literature focusing on the aspect of aggregate economic policy uncertainty, we look into the dimension of disaggregate uncertainty in the banking system. Examining financial data of commercial banks and listed companies in Vietnam during 2008–2022, we document that banking uncertainty positively impacts corporate financial constraints. Moreover, we explore how firm-specific and macroeconomic factors interact with the relationship between uncertainty and financing constraints. Our analysis indicates that this link is more pronounced for non-state-owned firms, firms with more intangible assets, and firms listed on the Hanoi stock exchange. Meanwhile, macro shocks, such as the financial crisis and the COVID-19 pandemic can strengthen the effect of banking uncertainty on financing constraints. Finally, we examine the mechanisms through which banking uncertainty causes an increase in firms' financial constraints. We document that banking uncertainty exacerbates financial constraints by raising the cost of external financing, not by lowering firm performance.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139587845","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}
Tii N. Nchofoung, Nathanael Ojong, Ladifatou Ndi Gbambie Gachili
We examine the effect of misaligned exchange rates on financial development in Africa. Results from quantile regression techniques and the IV Lewbel estimator reveal that exchange rate misalignment significantly hampers financial development on that continent. This result is robust across financial institutions and financial markets. We also show that while the effects of misaligned exchange rates are negative on financial institutions and positive on financial markets in African franc-zone countries, the effects are consistently negative across all financial sectors in the non-franc-zone countries there. When robustness assessment is done using quantile regression, the results show that the negative effect of misalignment on financial development is only feasible from the 75th percentile and higher in Africa in general and for the non-franc-zone countries in particular.
我们研究了汇率失调对非洲金融发展的影响。量化回归技术和 IV Lewbel 估计器的结果显示，汇率失调严重阻碍了非洲大陆的金融发展。这一结果在不同金融机构和金融市场之间都是稳健的。我们还发现，在非洲法郎区国家，汇率失调对金融机构的影响是负面的，对金融市场的影响是正面的，而在非法郎区国家，汇率失调对所有金融部门的影响都是负面的。在使用量化回归进行稳健性评估时，结果表明，在非洲，尤其是在非法郎区国家，汇率失调对金融发展的负面影响只有在第 75 百分位数以上才是可行的。
{"title":"Exchange rate misalignment and financial development in Africa","authors":"Tii N. Nchofoung, Nathanael Ojong, Ladifatou Ndi Gbambie Gachili","doi":"10.1002/ijfe.2935","DOIUrl":"https://doi.org/10.1002/ijfe.2935","url":null,"abstract":"We examine the effect of misaligned exchange rates on financial development in Africa. Results from quantile regression techniques and the IV Lewbel estimator reveal that exchange rate misalignment significantly hampers financial development on that continent. This result is robust across financial institutions and financial markets. We also show that while the effects of misaligned exchange rates are negative on financial institutions and positive on financial markets in African franc-zone countries, the effects are consistently negative across all financial sectors in the non-franc-zone countries there. When robustness assessment is done using quantile regression, the results show that the negative effect of misalignment on financial development is only feasible from the 75th percentile and higher in Africa in general and for the non-franc-zone countries in particular.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515768","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 the effect of institutional quality on renewable energy promotion in OECD economies. The study employs annual data from 1980 to 2014 on 18 OECD economies. The robust panel unit root tests show that all the considered variables have a similar order of integration, indicating that they are nonstationary at their levels but stationary at the first-order differences. The panel cointegration test with structural breaks and cross-section dependence confirms a long-run equilibrium association between institutional quality, renewable energy consumption and control variables. The analysis of long-run estimations displays that better institutional quality makes a unique and substantial contribution to promoting renewable energy consumption. Overall, the study findings offer important policy implications highlighting the importance of institutional quality for the growth of renewable energy and a sustainable world.
{"title":"Does institutional quality matter for renewable energy promotion in OECD economies?","authors":"Shuddhasattwa Rafiq, Sudharshan Reddy Paramati, Md. Samsul Alam, Khalid Hafeez, Muhammad Shafiullah","doi":"10.1002/ijfe.2926","DOIUrl":"https://doi.org/10.1002/ijfe.2926","url":null,"abstract":"This study examines the effect of institutional quality on renewable energy promotion in OECD economies. The study employs annual data from 1980 to 2014 on 18 OECD economies. The robust panel unit root tests show that all the considered variables have a similar order of integration, indicating that they are nonstationary at their levels but stationary at the first-order differences. The panel cointegration test with structural breaks and cross-section dependence confirms a long-run equilibrium association between institutional quality, renewable energy consumption and control variables. The analysis of long-run estimations displays that better institutional quality makes a unique and substantial contribution to promoting renewable energy consumption. Overall, the study findings offer important policy implications highlighting the importance of institutional quality for the growth of renewable energy and a sustainable world.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"33 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139422604","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}
An objective and robust network-based data-driven strategy is proposed to analyze risk spillovers in carbon markets. First, we characterize the causality network between the carbon market and potential associated markets using a data-driven fuzzy cognitive map approach. Second, network-based community detection is conducted to explore community structures that include carbon trading markets, and five market factors belonging to the same community as EU Allowances (EUA) are identified. Next, we conduct downside and upside-tail measurements of EUA risk spillover levels within the community based on estimates and fits of marginal and joint distributions for different market pairs. Finally, we point out that the market factor having the most significant upper-tail spillover effects on EUA is OILFUTURE, besides, EURUSD asset is found to be the best hedge for EUA futures among the detected market factors.
{"title":"Risk spillover measurement of carbon trading market considering susceptible factors: A network perspective","authors":"Qingli Dong, Lanlan Lian, Qichuan Jiang","doi":"10.1002/ijfe.2928","DOIUrl":"https://doi.org/10.1002/ijfe.2928","url":null,"abstract":"An objective and robust network-based data-driven strategy is proposed to analyze risk spillovers in carbon markets. First, we characterize the causality network between the carbon market and potential associated markets using a data-driven fuzzy cognitive map approach. Second, network-based community detection is conducted to explore community structures that include carbon trading markets, and five market factors belonging to the same community as EU Allowances (EUA) are identified. Next, we conduct downside and upside-tail measurements of EUA risk spillover levels within the community based on estimates and fits of marginal and joint distributions for different market pairs. Finally, we point out that the market factor having the most significant upper-tail spillover effects on EUA is OILFUTURE, besides, EURUSD asset is found to be the best hedge for EUA futures among the detected market factors.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"88 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139421368","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}
Using a large sample of S&P 1500 firms during 1993–2021, we empirically examine the implications of CEO gender on corporate debt structure. We find that after controlling for endogeneity, firms managed by female CEOs issue less debt than those managed by male CEOs. Female CEOs being more risk averse than male CEOs is the underlying mechanism which drives the negative relation between female CEOs and firm leverage. Further, we find that the effect of CEO gender is more pronounced when the firm's CEO is younger, the litigation risk is higher, and the market is more competitive. In terms of debt structure, firms managed by female CEOs prefer to maintain positive debt capacity and have longer debt maturities. Finally, we show that CEO gender has a stronger impact on debt structure than CFO gender. Taken together, our evidence suggests that there exist gender differences in terms of corporate debt borrowing decision making.
{"title":"Your gender identity is who you are: Female chief executive officers and corporate debt structure","authors":"Yuxuan Huang, Qi Zhu, Cheng Yan, Yeqin Zeng","doi":"10.1002/ijfe.2923","DOIUrl":"https://doi.org/10.1002/ijfe.2923","url":null,"abstract":"Using a large sample of S&P 1500 firms during 1993–2021, we empirically examine the implications of CEO gender on corporate debt structure. We find that after controlling for endogeneity, firms managed by female CEOs issue less debt than those managed by male CEOs. Female CEOs being more risk averse than male CEOs is the underlying mechanism which drives the negative relation between female CEOs and firm leverage. Further, we find that the effect of CEO gender is more pronounced when the firm's CEO is younger, the litigation risk is higher, and the market is more competitive. In terms of debt structure, firms managed by female CEOs prefer to maintain positive debt capacity and have longer debt maturities. Finally, we show that CEO gender has a stronger impact on debt structure than CFO gender. Taken together, our evidence suggests that there exist gender differences in terms of corporate debt borrowing decision making.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"35 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138823998","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}
While the oil market-investors sentiment (IS) has been considerably investigated, almost all studies have focused on the assumption of a constant relationship, and no attention has been given to the causality analysis in a time-varying approach. To fill this gap, this study investigates the predictive power between IS and oil price based on a time-varying Granger causality test. Using data over the period 1987–2020, we find evidence of significant bidirectional asymmetric time-varying causal influences between investor sentiment and oil prices, suggesting that oil prices may predict investor sentiment and vice versa. Besides, the results suggest that bearish (bullish) investor sentiment has positive (negative) influences on oil prices during major economic and political events. In contrast, oil price exerts an influence on the sentiment which switches between positive and negative from one period to another. Further analysis shows that uncertainty related to the oil and equity markets can be a driver of the predictive power of oil prices on the bearish IS.
虽然对石油市场-投资者情绪（IS）进行了大量研究，但几乎所有研究都集中在恒定关系的假设上，而没有关注时变方法中的因果关系分析。为了填补这一空白，本研究在时变格兰杰因果检验的基础上研究了 IS 与石油价格之间的预测能力。利用 1987-2020 年期间的数据，我们发现投资者情绪与石油价格之间存在显著的双向非对称时变因果影响，表明石油价格可能会预测投资者情绪，反之亦然。此外，研究结果表明，在重大经济和政治事件期间，看跌（看涨）投资者情绪对油价有积极（消极）影响。相反，油价对投资者情绪的影响则在正负之间转换。进一步的分析表明，与石油和股票市场相关的不确定性可以成为油价对看跌 IS 的预测力的驱动因素。
{"title":"Time-varying causality between investor sentiment an oil price: Does uncertainty matter?","authors":"Mohamed Sahbi Nakhli, Khaled Mokni, Manel Youssef","doi":"10.1002/ijfe.2922","DOIUrl":"https://doi.org/10.1002/ijfe.2922","url":null,"abstract":"While the oil market-investors sentiment (IS) has been considerably investigated, almost all studies have focused on the assumption of a constant relationship, and no attention has been given to the causality analysis in a time-varying approach. To fill this gap, this study investigates the predictive power between IS and oil price based on a time-varying Granger causality test. Using data over the period 1987–2020, we find evidence of significant bidirectional asymmetric time-varying causal influences between investor sentiment and oil prices, suggesting that oil prices may predict investor sentiment and vice versa. Besides, the results suggest that bearish (bullish) investor sentiment has positive (negative) influences on oil prices during major economic and political events. In contrast, oil price exerts an influence on the sentiment which switches between positive and negative from one period to another. Further analysis shows that uncertainty related to the oil and equity markets can be a driver of the predictive power of oil prices on the bearish IS.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"13 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138682990","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 use the two-way fixed-effect panel logit model to examine the impact of U.S. economic uncertainty shocks on the probability of extreme capital flow episodes based on quarterly data from 71 emerging and developing economies from 1998Q1 to 2022Q4. According to the findings, U.S. economic uncertainty shocks has a negative effect on the probability of gross capital surges, gross capital flight, and net capital surges, and has a positive effect on the probability of gross capital sudden stops, gross capital retrenchment, and net capital sudden stops. Moreover, we find differences in the factors affecting net and gross capital flows, which are usually more closely related to earnings factors dominated by real economic growth rates. Additionally, the sample's heterogeneity is analysed in accordance with the exchange rate regimes. Our results differ from traditional views, as floating exchange rates do not act as a buffer against extreme capital flows. Finally, capital flows are classified into direct investment, other investment, and portfolio investment, and it is found that U.S. economic uncertainty shocks have a significant impact on the extreme flow episodes of other and portfolio investment.
{"title":"U.S. economic uncertainty shocks and extreme capital flows episodes: An empirical analysis of emerging and developing economies","authors":"Xinqian Du, Tian Pu","doi":"10.1002/ijfe.2914","DOIUrl":"https://doi.org/10.1002/ijfe.2914","url":null,"abstract":"We use the two-way fixed-effect panel logit model to examine the impact of U.S. economic uncertainty shocks on the probability of extreme capital flow episodes based on quarterly data from 71 emerging and developing economies from 1998Q1 to 2022Q4. According to the findings, U.S. economic uncertainty shocks has a negative effect on the probability of gross capital surges, gross capital flight, and net capital surges, and has a positive effect on the probability of gross capital sudden stops, gross capital retrenchment, and net capital sudden stops. Moreover, we find differences in the factors affecting net and gross capital flows, which are usually more closely related to earnings factors dominated by real economic growth rates. Additionally, the sample's heterogeneity is analysed in accordance with the exchange rate regimes. Our results differ from traditional views, as floating exchange rates do not act as a buffer against extreme capital flows. Finally, capital flows are classified into direct investment, other investment, and portfolio investment, and it is found that U.S. economic uncertainty shocks have a significant impact on the extreme flow episodes of other and portfolio investment.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138683114","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 the impact of credit ratings on the efficiency of firms' investments. Using a large sample of US firms, we find a positive relationship between the existence of credit ratings and investment efficiency. The cross-sectional analyses show the positive relationship is more pronounced for firms with greater information asymmetry and weaker corporate governance. Our results are robust to different methods to address potential endogeneity concerns, alternative measures of key variables, and the inclusion of additional control variables. Overall, the findings support the notion that credit rating agencies enhance information transparency and external monitoring, thereby allowing rated firms to promote investment efficiency. The findings contribute to our understanding of the significant role played by credit rating agencies in shaping firms' investment behaviour and efficiency.
{"title":"How do credit ratings affect corporate investment efficiency?","authors":"Di Xiao, Xinyu Yu","doi":"10.1002/ijfe.2920","DOIUrl":"https://doi.org/10.1002/ijfe.2920","url":null,"abstract":"This study examines the impact of credit ratings on the efficiency of firms' investments. Using a large sample of US firms, we find a positive relationship between the existence of credit ratings and investment efficiency. The cross-sectional analyses show the positive relationship is more pronounced for firms with greater information asymmetry and weaker corporate governance. Our results are robust to different methods to address potential endogeneity concerns, alternative measures of key variables, and the inclusion of additional control variables. Overall, the findings support the notion that credit rating agencies enhance information transparency and external monitoring, thereby allowing rated firms to promote investment efficiency. The findings contribute to our understanding of the significant role played by credit rating agencies in shaping firms' investment behaviour and efficiency.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"72 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138565845","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}
Khoa Dang Duong, Tran Ngoc Huynh, Linh Thi Diem Truong
We are the first to determine the effect of intangible intensity (INTANG) on cross-sectional stock returns after controlling financial constraints in the Vietnam stock market. Our sample includes 37,938 firm-month observations from 488 non-financial firms from October 2008 to February 2021. We employ Fama and MacBeth regressions and portfolio analysis methodologies to estimate the impact of intangible assets and financial constraints on stock returns. Our findings show that a percentage increase in INTANG empowers stock returns by 0.922%. Meanwhile, the cross-sectional stock returns decrease by 0.506% when the financial constraints index increases by a percentage point. Moreover, the results suggest that intangible assets in the entire sample and before COVID-19 empower the stock return cross-sectionally. Our findings are robust after employing alternative INTANG proxies. Our findings support the risk-based explanation, the pecking order theory, and prior literature. Our findings suggest governments should promote intellectual property and copyright regulations to encourage Small and Medium Enterprises (SMEs) to expand intangible assets. Furthermore, investors can utilize our suggested models to construct their portfolios efficiently.
{"title":"How do intangible assets and financial constraints affect stock returns in Vietnam before and during the COVID-19 pandemic?","authors":"Khoa Dang Duong, Tran Ngoc Huynh, Linh Thi Diem Truong","doi":"10.1002/ijfe.2916","DOIUrl":"https://doi.org/10.1002/ijfe.2916","url":null,"abstract":"We are the first to determine the effect of intangible intensity (INTANG) on cross-sectional stock returns after controlling financial constraints in the Vietnam stock market. Our sample includes 37,938 firm-month observations from 488 non-financial firms from October 2008 to February 2021. We employ Fama and MacBeth regressions and portfolio analysis methodologies to estimate the impact of intangible assets and financial constraints on stock returns. Our findings show that a percentage increase in INTANG empowers stock returns by 0.922%. Meanwhile, the cross-sectional stock returns decrease by 0.506% when the financial constraints index increases by a percentage point. Moreover, the results suggest that intangible assets in the entire sample and before COVID-19 empower the stock return cross-sectionally. Our findings are robust after employing alternative INTANG proxies. Our findings support the risk-based explanation, the pecking order theory, and prior literature. Our findings suggest governments should promote intellectual property and copyright regulations to encourage Small and Medium Enterprises (SMEs) to expand intangible assets. Furthermore, investors can utilize our suggested models to construct their portfolios efficiently.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"68 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138566067","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}
François-Eric Racicot, William F. Rentz, Raymond Théoret
In the setting of a dynamic panel data framework, we investigate the international five-factor Fama–French (2017) model augmented with traditional illiquidity factors (Amihud, Journal of Financial Markets, 2002, 5, 31–56; Amihud, Critical Finance Review, 2019, 8, 203–221; Pástor and Stambaugh, Journal of Political Economy, 2003, 111, 642–685; Pástor and Stambaugh, Critical Finance Review, 2019, 8, 277–299) to determine if any of these factors are priced. Since illiquidity measures are endogenous, we propose an algorithm that generates robust instruments which are combined with a GMM estimator to cope with both the endogeneity issues surrounding illiquidity and other eventual specification errors. In this dynamic framework, we generally find that the most significant factors correspond to market and size but illiquidity may matter depending on the level of the beta. We find that illiquidity has more impact on returns in expansion than in recession. However, the bid-ask spread seems to behave differently from the other illiquidity measures.
在动态面板数据框架的设置下，我们研究了国际五因素Fama-French(2017)模型与传统非流动性因素的增强(Amihud, Journal of Financial Markets, 2002, 5,31 - 56;《金融评论》，2013年第1期，第3 - 6页;Pástor and Stambaugh, Journal of Political economics, 2003, 111, 642-685;Pástor and Stambaugh, Critical Finance Review, 2019, 8,277 - 299)来确定这些因素是否被定价。由于非流动性措施是内生的，我们提出了一种算法，该算法生成与GMM估计器相结合的鲁棒工具，以应对围绕非流动性和其他最终规格误差的内生性问题。在这个动态框架中，我们通常发现最重要的因素对应于市场和规模，但非流动性可能取决于beta的水平。我们发现，在扩张时期，非流动性对回报的影响大于衰退时期。然而，买卖价差的表现似乎与其他非流动性指标不同。
{"title":"Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust IV","authors":"François-Eric Racicot, William F. Rentz, Raymond Théoret","doi":"10.1002/ijfe.2919","DOIUrl":"https://doi.org/10.1002/ijfe.2919","url":null,"abstract":"In the setting of a dynamic panel data framework, we investigate the international five-factor Fama–French (2017) model augmented with traditional illiquidity factors (Amihud, Journal of Financial Markets, 2002, 5, 31–56; Amihud, Critical Finance Review, 2019, 8, 203–221; Pástor and Stambaugh, Journal of Political Economy, 2003, 111, 642–685; Pástor and Stambaugh, Critical Finance Review, 2019, 8, 277–299) to determine if any of these factors are priced. Since illiquidity measures are endogenous, we propose an algorithm that generates robust instruments which are combined with a GMM estimator to cope with both the endogeneity issues surrounding illiquidity and other eventual specification errors. In this dynamic framework, we generally find that the most significant factors correspond to market and size but illiquidity may matter depending on the level of the beta. We find that illiquidity has more impact on returns in expansion than in recession. However, the bid-ask spread seems to behave differently from the other illiquidity measures.","PeriodicalId":501193,"journal":{"name":"International Journal of Finance and Economics","volume":"92 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138511342","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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