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Issue Information ‐ Request for Registered Reports Journal of Accounting Research (IF 4.446) Pub Date : 2024-05-11
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Issue Information ‐ Standing Call for Proposals for Journal of Accounting Research (IF 4.446) Pub Date : 2024-05-11
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Issue Information ‐ Request for Papers Journal of Accounting Research (IF 4.446) Pub Date : 2024-05-11
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Debtor income manipulation in consumer credit contracts J. Financ. Econ. (IF 8.238) Pub Date : 2024-05-10 Vyacheslav Mikhed, Sahil Raina, Barry Scholnick, Man Zhang
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Employee responses to CEO activism J. Account. Econ. (IF 7.293) Pub Date : 2024-05-10 Anahit Mkrtchyan, Jason Sandvik, Da Xu
We examine employee responses to CEO activism, the increasingly common practice of CEOs taking public stances on socio-political issues. CEO activism may bolster employees' identification with their organizations and strengthen shared beliefs among employees. Alternatively, CEO activism may alienate employees if CEO stances contrast with employees' ideologies. We find that employee satisfaction is
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The interplay among corporate bonds, geopolitical risks, equity market, and economic uncertainties International Review of Financial Analysis (IF 8.235) Pub Date : 2024-05-09 Saad Alshammari, Kostas Andriosopoulos, Olfa Kaabia, Kamel Si Mohamed, Christian Urom
This study examines the dynamic interconnectedness and dependence between the USA’s corporate bond market (CMD) and economic and equity market uncertainties, as well as geopolitical risk. Using quantile Vector Autoregressive (QVAR) and Wavelet Local Multiple Correlation (WLMC) techniques, we place particular emphasis on the periods corresponding to the Russian–Ukrainian war and the COVID-19 pandemic
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Measuring firm exposure to government agencies J. Account. Econ. (IF 7.293) Pub Date : 2024-05-09 Daphne M. Armstrong, Stephen Glaeser, Jeffrey L. Hoopes
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Teams and Bankruptcy Rev. Financ. Stud. (IF 8.414) Pub Date : 2024-05-07 Ramin P Baghai, Rui C Silva, Luofu Ye
We study how the human capital embedded in teams is affected by, and reallocated through, corporate bankruptcies. After a bankruptcy, U.S. inventors produce fewer and less impactful patents. Moreover, teams become less stable. Consequently, compared to inventors that rely less on teamwork, the performance of team inventors deteriorates more. These findings point to the loss of team-specific human capital
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Associative memory, beliefs and market interactions J. Financ. Econ. (IF 8.238) Pub Date : 2024-05-07 Benjamin Enke, Frederik Schwerter, Florian Zimmermann
Recent theories and narratives highlight the potential role of associative recall in driving overreaction in expectations and market behavior. Based on a simple model, we test this idea through a series of experiments in which news are communicated with memorable contexts. Because the experimental participants predominantly remember those past news that get cued by new information, their beliefs about
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Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won–US Dollar International Review of Financial Analysis (IF 8.235) Pub Date : 2024-05-07 Yi Chae-Deug
This paper analyzes the realized volatility and jumps of five-minute returns for the Korean won–US dollar exchange rate from June 2010 to April 2021. If standard normal distributed jump statistics are used, the jump probabilities of Korean won–US dollar are lower when jump occurrences are frequent, and the jump returns for Korean won–US dollar will be considerably underestimated. However, if we utilize
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The Coholding Puzzle: New Evidence from Transaction-Level Data Rev. Financ. Stud. (IF 8.414) Pub Date : 2024-05-06 John Gathergood, Arna Olafsson
Why do individuals pay debt interest when they could use their savings to pay down the debt? We explore why individuals “cohold” debt and savings using detailed and highly disaggregated daily-level data on household finances. We find that coholding mostly occurs in short spells within the month and the level of coholding is typically modest. Periods of coholding are not associated with shocks at the
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New evidence of interdependence in forex markets: A connection of connection analysis International Review of Financial Analysis (IF 8.235) Pub Date : 2024-05-05 Tao Wu, Xiaotong Sun, Xin Xu, Nanfei Jia, Siyuan Xuan
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FinTech, systemic risk and bank market power – Australian perspective International Review of Financial Analysis (IF 8.235) Pub Date : 2024-05-04 Md Sohel Saklain
This study investigates idiosyncratic/firm-specific risk and systemic risk of FinTech firms and traditional financial institutions (FIs) in Australia. It also examines the impact of FinTech growth on bank market power. I find that stock return and idiosyncratic risk are higher in FinTech firms than in traditional FIs. Regarding systemic risk, FinTech firms are more exposed/vulnerable to systemic shocks
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The Effects of Mandatory ESG Disclosure Around the World Journal of Accounting Research (IF 4.446) Pub Date : 2024-05-04 PHILIPP KRUEGER, ZACHARIAS SAUTNER, DRAGON YONGJUN TANG, RUI ZHONG
We compile a novel data set on mandatory environmental, social, and governance (ESG) disclosure around the world to analyze the stock liquidity effects of such disclosure mandates. We document a positive effect of ESG disclosure mandates on firm‐level stock liquidity. The effects are strongest if the disclosure requirements are implemented by government institutions, not on a comply‐or‐explain basis
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A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ J. Financ. (IF 7.915) Pub Date : 2024-05-03 BRAD M. BARBER, XING HUANG, PHILIPPE JORION, TERRANCE ODEAN, CHRISTOPHER SCHWARZ
We placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by
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Digitalization and Retirement Contribution Behavior: Evidence from Administrative Data Rev. Financ. Stud. (IF 8.414) Pub Date : 2024-05-02 Claudio Daminato, Massimo Filippini, Fabio Haufler
Retirement savings decisions are increasingly mediated by digital technologies that promise to help individuals plan adequately for their retirement. We exploit a natural experiment to show that introducing a digital pension application increases the probability of making a voluntary retirement contribution by 1.8 percentage points, from an average pretreatment contribution rate of 2.8%. Men and higher-income
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Financial inclusion, economic development, and inequality: Evidence from Brazil J. Financ. Econ. (IF 8.238) Pub Date : 2024-05-02 Julia Fonseca, Adrien Matray
We study a financial inclusion policy targeting Brazilian cities with low bank branch coverage using data on the universe of employees from 2000–2014. The policy leads to bank entry and to similar increases in both deposits and lending. It also fosters entrepreneurship, employment, and wage growth, especially for cities initially in banking deserts. These gains are not shared equally and instead increase
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Relative Performance Evaluation and Strategic Peer-Harming Disclosures Journal of Accounting Research (IF 4.446) Pub Date : 2024-05-02 MATTHEW J. BLOOMFIELD, MIRKO S. HEINLE, OSCAR TIMMERMANS
Many firms use relative stock performance to evaluate and incentivize their CEOs. We document that such firms routinely disclose information that harms their peers' stock prices, and sometimes explicitly mention the harmed peers, by name, in these disclosures. Consistent with deliberate sabotage, peer-harming disclosures appear to be aimed at peers whose stock price depressions are most likely to benefit
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The Capital Market Effects of Centralizing Regulated Financial Information Journal of Accounting Research (IF 4.446) Pub Date : 2024-04-30 GURPAL SRAN, MARCEL TUIJN, LAUREN VOLLON
We study the capital market effects of information centralization by exploiting the staggered implementation of digital storage and access platforms for regulated financial information (Officially Appointed Mechanisms, or OAMs) in the European Union. We find that the implementation of OAMs results in significant improvements in capital market liquidity, consistent with the notion that OAMs lower investors'
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Blood Money: Selling Plasma to Avoid High-Interest Loans Rev. Financ. Stud. (IF 8.414) Pub Date : 2024-04-29 John M Dooley, Emily A Gallagher
Little is known about the motivations and outcomes of sellers in remunerated markets for human materials. We exploit dramatic growth in the U.S. blood plasma industry to shed light on the sellers of plasma. Sellers tend to be young and liquidity-constrained with low incomes and limited access to traditional credit. Plasma centers absorb demand for nontraditional credit. After a plasma center opens
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Ambiguity and private investors’ behavior after forced fund liquidations J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-29 Steffen Meyer, Charline Uhr
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Spending Less after (Seemingly) Bad News J. Financ. (IF 7.915) Pub Date : 2024-04-29 MARK J. GARMAISE, YARON LEVI, HANNO LUSTIG
Using high‐frequency spending data, we show that household consumption displays excess sensitivity to salient macroeconomic news, even when the news is not real. When the announced local unemployment rate reaches a 12‐month maximum, local news coverage of unemployment increases and local consumers reduce their discretionary spending by 1.5% relative to consumers in areas with the same macroeconomic
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Financial fusion: Bridging Islamic and Green investments in the European stock market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-28 Afzol Husain, Sitara Karim, Ahmet Sensoy
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Gradual information diffusion across commonly owned firms J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-26 Jie Ying
This paper studies how common institutional ownership (CIO) affects information diffusion in the stock market. My findings suggest that CIO can exacerbate the slow spread of information across firms. With over 50% of institutional investors holding concentrated stock portfolios, I infer a fundamental connection among firms with CIO. These firms exhibit cross-predictability in monthly stock returns
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Bridging Theory and Empirical Research in Accounting Journal of Accounting Research (IF 4.446) Pub Date : 2024-04-26 MATTHIAS BREUER, EVA LABRO, HARESH SAPRA, ANASTASIA A. ZAKOLYUKINA
Formal theory and empirical research are complementary in building and advancing the body of knowledge in accounting in order to understand real-world phenomena. We offer thoughts on opportunities for empiricists and theorists to collaborate, build on each other's work, and iterate over models and data to make progress. For empiricists, we see room for more descriptive work, more experimental work
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Diversity Washing Journal of Accounting Research (IF 4.446) Pub Date : 2024-04-26 ANDREW C. BAKER, DAVID F. LARCKER, CHARLES G. McCLURE, DURGESH SARAPH, EDWARD M. WATTS
We provide large‐sample evidence on whether U.S. publicly traded corporations use voluntary disclosures about their commitments to employee diversity opportunistically. We document significant discrepancies between companies' external stances on diversity, equity, and inclusion (DEI) and their hiring practices. Firms that discuss DEI excessively relative to their actual employee gender and racial diversity
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Time-frequency extreme risk spillovers between COVID-19 news-based panic sentiment and stock market volatility in the multi-layer network: Evidence from the RCEP countries International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-25 Yanshuang Li, Yujie Shi, Yongdong Shi, Xiong Xiong, Shangkun Yi
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Assessing resilience to systemic risks across interbank credit networks using linkage-leverage analysis: Evidence from Japan International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-25 Haibo Wang
The banking crisis started in March 2023 was triggered by disproportion of deposit liability and assets. Applying balance sheets from 1999 to 2022, from the Japanese Bank Association, this study scrutinizes the durability of high-priority banking systems against damaging events in that industry. Eyeing the unique high-level savings in Japanese banking, this study investigates the impact of disproportion
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Impression management strategy — The relationship between accounting narrative thematic bias and financial graph distortion The British Accounting Review (IF 4.761) Pub Date : 2024-04-25 Jeff Boone, Jie Hao, Cheryl Linthicum, Viet Pham
Prior literature has examined 10-K narrative thematic bias and financial graph distortion as two independent outcomes that might arise from managements' efforts at impression management. Largely unexplored is an analysis of narrative thematic bias and financial graph distortion as joint and interrelated outcomes that would arise if management coordinates both in the same 10-K report as part of an impression
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Innovation and Financial Disclosure Journal of Accounting Research (IF 4.446) Pub Date : 2024-04-25 HUI CHEN, PIERRE JINGHONG LIANG, EVGENY PETROV
We examine how financial disclosure policy affects a firm manager's strategy to innovate within a two-period bandit problem featuring two production methods: an old method with a known probability of success, and a new method with an unknown probability. Exploring the new method in the first period provides the manager with decision-useful information for the second period, thus creating a real option
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Uncertainty and cryptocurrency returns: A lesson from turbulent times International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-24 Barbara Będowska-Sójka, Joanna Górka, Danial Hemmings, Adam Zaremba
This paper explores the interplay between economic uncertainty and cryptocurrency behaviour. Using data spanning from April 2018 to December 2022, we examine the relationship between ten major cryptocurrencies and a repertoire of uncertainty measures covering geopolitical events, economic policy, and commodity, equity, and bond markets. Cryptocurrency returns exhibit dynamic and positive correlation
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Environmental regulations and corporate cash holdings The British Accounting Review (IF 4.761) Pub Date : 2024-04-24 Wenrui Chen, Yue Cao, Yizhe Dong, Diandian Ma
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Managing Mental Accounts: Payment Cards and Consumption Expenditures Rev. Financ. Stud. (IF 8.414) Pub Date : 2024-04-22 Michael Gelman, Nikolai Roussanov
Does mental accounting matter for total consumption expenditures? We exploit a unique setting in which individuals exogenously receive a new payment card, without requesting one. Using random variation in the time of receipt, we show that individuals temporarily increase total consumption expenditure by making purchases with the new card without reducing spending on the others. We do not observe a
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Is Long‐Run Risk Really Priced? Revisiting Liu and Matthies (2022) J. Financ. (IF 7.915) Pub Date : 2024-04-22 PAULO MAIO
The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios (associated with four different portfolio groups) is not appropriate. In fact, their single‐factor model is successful only in explaining the momentum deciles, while producing strongly negative performance for the remaining groups. The pricing performance is more doubtful in the case of the alternative news
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Left-tail risk and UK stock return predictability: Underreaction, overreaction, and arbitrage difficulties International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-21 Maher Khasawneh, David G. McMillan, Dimos Kambouroudis
Recent studies challenge the standard model risk-return trade-off by showing inverse predictive power of firm-specific left-tail risk for future returns (i.e., left-tail momentum). In this work, we investigate the pricing of left-tail risk in UK stocks. Both the portfolio construction approach and Fama-MacBeth regressions reveal the underperformance of stocks with high left-tail risk. We examine alternative
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The investment behavior of China-connected mutual funds in the pandemic: Information advantage through operational link International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-21 Lai T. Hoang, Eric K.M. Tan, Joey W. Yang
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When acquirers are short on cash flow in M&A deals International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-21 Yaru Ren, Lin Li, Wilson H.S. Tong, Peter Lam
Studies on corporate takeovers are voluminous but typically assume that acquirers are not financially constrained. We show that acquirers' free cash flow (FCF) levels have significant impacts on their takeover activities and consequences. Acquirers with low FCF, despite their high levels of cash holdings, tend to pay in stocks rather than cash. The targets acquired by low-FCF acquirers are of inferior
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Community membership and reciprocity in lending: Evidence from informal markets J. Account. Econ. (IF 7.293) Pub Date : 2024-04-21 Rimmy E. Tomy, Regina Wittenberg-Moerman
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Machine-learning stock market volatility: Predictability, drivers, and economic value International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-20 Juan D. Díaz, Erwin Hansen, Gabriel Cabrera
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Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-20 Robinson Dettoni, Luis A. Gil-Alana, OlaOluwa S. Yaya
This paper presents a novel approach to identifying potential bubbles in the US stock market by employing alternative time series methods based on long memory, including fractional integration and cointegration, as well as duration dependence non-parametric models. To test for duration dependence, the paper employs a unique non-parametric hazard function estimation method, using monotonic P-splines
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The shape of the Treasury yield curve and commodity prices International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-20 Yasmeen Bayaa, Mahmoud Qadan
We decompose the U.S. yield curve into three latent factors – the level, slope and curvature – and explore the information content of the yield curve regarding the future evolution in oil, coal, copper, ethanol, gold, heating oil, natural gas, palladium, platinum, silver and zinc prices. Using data from January 1986 to November 2021, we find that the shape of the term structure is very informative
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Key audit matters disclosures and informed traders The British Accounting Review (IF 4.761) Pub Date : 2024-04-20 Zabihollah Rezaee, Saeid Homayoun
We examine whether the audit regulation of disclosing key audit matters (KAM) provides value-relevant information to short sellers as informed investors. The theoretical underpinning for examining short sellers' ability and incentives to use KAM disclosures in their stock valuation implications is based on a prediction theory and a skilled information processing theory of short sellers. Using a sample
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Rent or Buy? Inflation Experiences and Homeownership within and across Countries J. Financ. (IF 7.915) Pub Date : 2024-04-19 ULRIKE MALMENDIER, ALEXANDRA STEINY WELLSJO
We show that past inflation experiences strongly predict homeownership within and across countries. First, we collect novel survey data, which reveal inflation protection to be a key motivation for homeownership, especially after high inflation experiences. Second, using household data from 22 European countries, we find that higher exposure to historical inflation predicts higher homeownership rates
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Crime and covenants International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-18 Farhan Shazia
Crime is a major concern in the U.S., with implications for the allocation of resources due to the uncertainty associated with it. This paper examines whether the U.S. state property crime rate is a source of uncertainty that induces lenders to increase and tighten covenants as a result of increased risk. I found that greater crime exposure by borrowers leads lenders to impose higher and tighter covenants
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Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-18 Peter Cincinelli, Elisabetta Pellini, Giovanni Urga
In this paper, we evaluate whether banks and non-banks size and systemic risk are affected by their level of leverage. We implement a threshold analysis to a sample of European traditional banks and non-banks (Finance services and Real Estate Finance Services) over 2006:1-2019:4. We find that Finance Services show positive co-movements between leverage and size, independently of the level of leverage
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Does management tone matter in information disclosure? Evidence from IPO online roadshows in the SSE STAR market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-18 Shengpeng Zhang, Yaokuang Li, Ruixin Liang, Yu He
This paper explores whether management tone in IPO online roadshows in the SSE STAR Market matters in information disclosure. We apply bag-of-words and machine learning methods to construct proxies for management tone, respectively. After conducting a series of empirical analyses, we find that management tone is positively associated with first-day stock returns and future operating performance after
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CEO succession origin and annual reports readability The British Accounting Review (IF 4.761) Pub Date : 2024-04-18 Javad Oradi, Reza Hesarzadeh, Sahar E-Vahdati, Muhammad Nadeem
We examine the association between the origin of chief executive officer (CEO) succession (i.e., promoting a CEO from within the firm as opposed to recruiting from outside) and annual reports readability. Based on a sample of large U.S. companies during the period 2004–2020, we predict and find that companies with insider CEOs issue more readable 10-K reports compared to those who hire from outside
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The impact of macroeconomic news sentiment on interest rates International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-17 Francesco Audrino, Eric A. Offner
We provide evidence that sentiment extracted from articles related to interest rates, inflation, and the labor market has the ability to explain short-term interest rate movements that cannot be accounted for by professionals’ and consumers’ expectations. Additionally, sentiment can pin down two short rate regimes that are correlated with the business cycle. By combining these results with a yield
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FinSentGPT: A universal financial sentiment engine? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-17 Aref Mahdavi Ardekani, Julie Bertz, Cormac Bryce, Michael Dowling, Suwan(Cheng) Long
We present FinSentGPT, a financial sentiment prediction model based on a fine-tuned version of the artificial intelligence language model, ChatGPT. To assess the model’s effectiveness, we analyse a sample of US media news and a multi-language dataset of European Central Bank Monetary Policy Decisions. Our findings demonstrate that FinSentGPT’s sentiment classification ability aligns well with a prominent
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Broadband Internet and the Stock Market Investments of Individual Investors J. Financ. (IF 7.915) Pub Date : 2024-04-17 HANS K. HVIDE, TOM G. MELING, MAGNE MOGSTAD, OLA L. VESTAD
We study the effects of broadband internet use on the investment decisions of individual investors. A public program in Norway provides plausibly exogenous variation in internet use. Our instrumental variables estimates show that internet use causes a substantial increase in stock market participation, driven primarily by increased fund ownership. Existing investors tilt their portfolios toward funds
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Nonstandard Errors J. Financ. (IF 7.915) Pub Date : 2024-04-17 ALBERT J. MENKVELD, ANNA DREBER, FELIX HOLZMEISTER, JUERGEN HUBER, MAGNUS JOHANNESSON, MICHAEL KIRCHLER, SEBASTIAN NEUSÜß, MICHAEL RAZEN, UTZ WEITZEL, DAVID ABAD-DÍAZ, MENACHEM (MENI) ABUDY, TOBIAS ADRIAN, YACINE AIT-SAHALIA, OLIVIER AKMANSOY, JAMIE T. ALCOCK, VITALI ALEXEEV, ARASH ALOOSH, LIVIA AMATO, DIEGO AMAYA, JAMES J. ANGEL, ALEJANDRO T. AVETIKIAN, AMADEUS BACH, EDWIN BAIDOO, GAETAN BAKALLI,
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses
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Diversifying and hedging REIT portfolios with cryptocurrencies: Evidence from global and regional REIT indices International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Babatunde O. Odusami, Omokolade Akinsomi
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Revisiting the economic policy uncertainty and resource rents nexus: Moderating impact of financial sector development in BRICS International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Wanqing Yu, Yufei Gan, Bingjun Zhou, Jiapeng Dai
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Does Fintech affect shadow banking of non-financial firms? Evidence from the entrusted loans International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Yongqi Feng, Yue Cao, Juan Ni
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Peer effects in corporate financialization: The role of Fintech in financial decision making International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Haolin Zhang, Yongqi Feng, Ying Wang, Juan Ni
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Options illiquidity in an over-the-counter market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Jungkyu Ahn
This article reveals that the intensity of search determines whether illiquid currency options trade at premia or at discounts. For options in a standalone search market, illiquidity leads to price premia, as intermediating dealers, who are presumably short in the equilibrium, demand additional compensation. With the presence of listed options at exchanges, illiquidity results in price discounts, as