Article
Business, Finance
Xiaoning Sui, Shuaipeng Jiao, Yongming Wang, Haijun Wang
Summary: This paper investigates the impact of digital transformation on the competitiveness of companies, particularly manufacturing companies, and explores the underlying mechanisms driving this impact. The findings reveal that digital transformation has a positive effect on the competitiveness of manufacturing companies, enhancing their overall competitiveness through improved productivity, research and development intensity, and human capital. These findings contribute to the existing research on the influence of digital transformation on manufacturing companies and offer important policy implications for enhancing competitiveness through digital empowerment.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Changlun Jin, Xiujuan Tian
Summary: This study evaluates the safe-haven property of Bitcoin using the CEEMDAN method, and the results confirm its role as a safe-haven asset amidst the uncertainty in the US banking market. Compared to other market indices, Bitcoin exhibits superior short-term performance and higher stability in returns and volatility in the medium term, outperforming gold. Importantly, Bitcoin maintains its safe-haven attribute over a span of 50 days even during periods of relatively diminished market uncertainty.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Jean-Francois Begin, Mathieu Boudreault, Mathieu Theriault
Summary: This study presents a firm-specific methodology for extracting implied default intensities and recovery rates from options and credit default swaps, and applies it to 400 US firms. The main determinants of default intensities and recovery rates are found to be individual volatility, leverage, and corporate bond market factors.
JOURNAL OF FUTURES MARKETS
(2024)
Article
Business, Finance
Lorella Fatone, Francesca Mariani, Francesco Zirilli
Summary: This paper studies the real-world calibration of a partially specified stochastic volatility model. The calibration is based on matching the observed asset log returns and the priors assigned by the investor, without using option price data. The model presented in this paper can be considered as an enhanced Heston model, with the calibration problem formulated as a stochastic optimal control problem.
JOURNAL OF FUTURES MARKETS
(2024)
Article
Business, Finance
Hui-Wen Tang, Chong-Chuo Chang
Summary: This study examines the impact of CEO overconfidence on additional risk-taking, firm value, and financial constraints using data from the three major US stock exchanges. The results show that CEO overconfidence has a positive effect on firm overinvestment and can be incentivized through offering higher incentive compensation. Additionally, it is found that non-overconfident CEOs with a higher percentage of incentive compensation exhibit more rational risk-taking behavior and alignment with shareholders' interests.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2024)
Article
Business, Finance
Yifu Jiang, Jose Olmo, Majed Atwi
Summary: This article proposes a dynamic robust portfolio selection model that minimizes portfolio's worst case scenarios using Conditional Value at Risk as relevant risk measure. The model considers tail dependence, conditional heteroscedasticity, and extreme events, and evaluates its performance using statistical measures.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2024)
Article
Business, Finance
Quynh Trang Nguyen, Snorre Lindset, Sondre Hansen Eriksen, Marie Skara
Summary: The case study of Norway's sovereign wealth fund (GPFG) shows that the fund can immediately influence market prices through its ESG announcements. The study finds a significant average abnormal return of -0.31% for the affected firms on the announcement date. However, there is no evidence of any effect of the announcements on trading volume. Nevertheless, higher trading volume and more recent announcements are associated with more negative abnormal returns.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2024)
Article
Business, Finance
Samia Belaounia, Ran Tao, Hong Zhao
Summary: This paper introduces the concept of geographic specificity to director foreignness and examines its impact on director appointment and contribution to firm value. The study finds that firms with more foreign subsidiaries in a particular region tend to hire independent directors with foreign work experience from that region. Furthermore, foreign-experienced directors contribute to increased firm performance, particularly when their foreign experience matches their firm's foreign operations and the institutional distance between the foreign host country and home country is long. The paper also highlights that foreign-experienced directors are more likely to contribute through advisory roles rather than monitoring roles. Overall, the findings suggest that geographic factors play an important role in the selection and contribution of foreign directors, offering new insights into the value implication of foreign directors.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2024)
Article
Business, Finance
Hangsuck Lee, Hongjun Ha, Byungdoo Kong
Summary: This paper explores the pricing of first-touch digital options with a multi-step double boundary and customizable payoffs. It derives explicit pricing formulas by establishing the probabilities of the first-hitting times of a Brownian motion for the multi-step double boundary. Additionally, it explains how these pricing formulas approximate an American knock-out multi-step barrier option.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Bin-xia Chen, Yan-lin Sun
Summary: This research dynamically analyzes the risk characteristics and connectedness of cryptocurrencies. The study finds that there are price bubbles in five popular cryptocurrencies and the volatility, skewness, and kurtosis of cryptocurrencies exhibit high persistence. Furthermore, the connectedness between cryptocurrencies is significant at higher moment conditions, with Ether and Bitcoin showing the strongest correlation.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2024)
Article
Business, Finance
Damian Zieba
Summary: This study conducts a formal analysis of the price creation mechanisms of Proof-of-Work (PoW) and non-PoW crypto assets, revealing that the long-term market trend aligns with the rising production cost of Bitcoin supply. Enabling the utilization of computational power to solve real-world problems, similar to data centers, would contribute to the sustainability of the crypto-asset market. Moreover, Proof-of-Stake crypto assets could serve as a practical tool for managing collaboration between startups and venture capitalists. The second part of the analysis introduces a co-movement measure, which may be more efficient than correlation metrics for analyzing the similarity between financial time series of returns.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2024)
Article
Business, Finance
Rafael Baptista Palazzi, Ata Assaf, Marcelo Cabus Klotzle
Summary: This study explores the dynamic connectedness between commodity futures and the Brazilian cash markets, and assesses the impact of COVID-19 on this connectedness. The findings show that oil prices significantly influence Brazilian ethanol prices, and emphasize the impact of Heating Oil on ethanol in the post-COVID-19 era. The study also highlights the increasing international significance of Brazilian soybean spot markets since 2017.
JOURNAL OF FUTURES MARKETS
(2024)
Article
Business, Finance
Greg Hebb, Shannon Lin
Summary: This study compares the fund flows of bank managed mutual funds with those of non-bank managed mutual funds using Canadian data from 2005 to 2020. The findings reveal that bank funds consistently have lower monthly flows compared to non-bank funds, and their flow-sensitivity to performance is also lower. The study suggests that this effect is primarily driven by lower outflows following poor performance, indicating a higher level of trust from investors towards fund managers. The flow difference between bank and non-bank funds is largest in equity funds, smaller in balanced funds, and non-existent in bond funds. Furthermore, the study documents that this effect is weakening over time.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2024)
Article
Business, Finance
Wenyun Yao, Hang Yang, Xiulian Shi, Zilong Song
Summary: This empirical study examines the impact of top management team stability on corporate debt concentration. The findings suggest that firms with higher TMT stability tend to have less concentrated debt structures. The relationship is stronger in samples with higher default risk, lower liquidation values, and lower accounting quality.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2024)
Article
Business, Finance
Di Wang, Liangju Guo, Saipeng Xing
Summary: This study examines the impact of compulsory food safety liability insurance (CFSLI) on excess cash holdings and finds that CFSLI significantly reduces such holdings. It also highlights the role of media coverage and marketization level in influencing the effectiveness of CFSLI in reducing excess cash holdings.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2024)
Article
Business, Finance
Mabel D'Costa, Ahsan Habib
Summary: This paper investigates the association between local creative culture and firm value, finding strong evidence that firms headquartered in areas with highly creative cultures generate higher value. The study also suggests that this positive association is partially mediated through innovation and cash holding channels.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Jiaohui Yu, Jinliang Luo
Summary: This study investigates the price linkage between the Chinese carbon and coal markets using a VAR model, Granger causality test, and impulse response analysis. The results show significant structural mutations in both markets, and the occurrence of major events alters market covariance and price linkages.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Theodore Panagiotidis, Georgios Papapanagiotou, Thanasis Stengos
Summary: The aim of this paper is to identify potential determinants of bitcoin returns. They consider various determinants including economic, financial, technology-related factors, uncertainty, and attention indices. Through the use of LASSO models estimated using both frequentist and Bayesian methods, they evaluate the ability of these estimators to forecast bitcoin returns. The results indicate that a Bayesian LASSO model considering stochastic volatility and the leverage effect provides the most accurate forecasts, allowing for the identification of alternative drivers and analysis of underlying mechanisms affecting bitcoin returns.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2024)
Article
Business, Finance
Eping Liu, Haoyuan Qin
Summary: This study adopts a cognitive dissonance theory viewpoint to investigate the impact of managers' facial emotion on market performance and risk in Chinese listed companies. The findings suggest that more positive facial expressions of managers in earnings conference call predict better market performance and lower risk. The study provides investors with a new analytical method and offers reference for market regulators in policy formulation.
FINANCE RESEARCH LETTERS
(2024)
Article
Business, Finance
Jens Eisenschmidt, Yiming Ma, Anthony Lee Zhang
Summary: Repo markets play a crucial role in transmitting monetary policy. In the European market, a small number of dealers with significant market power dominate over-the-counter trades, restricting access for non-dealer banks and non-banks. This concentration of power results in inefficient and unequal transmission of the ECB's policy rate. Facilitating access to centralized trading platforms or providing a secured deposit facility with the central bank could enhance the efficiency of monetary policy transmission and reduce dispersion in repo rates among customers.
JOURNAL OF FINANCIAL ECONOMICS
(2024)
