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Sustainable Development, Volume 30, Issue 6, Page 1462-1476, December 2022., 2022 Abstract To date, not much research has been devoted to analyzing the impact of some corporate governance mechanisms (board diversity and CEO duality) on corporate risk. Consequently, we believe that it is necessary to study such topic in greater depth.
Isabel Gallego‐Álvarez +1 more
wiley +1 more source
Stock Return Prediction Based on a Functional Capital Asset Pricing Model
Journal of Forecasting, EarlyView.ABSTRACT The capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intraday high‐frequency setting by proposing a functional CAPM estimation approach.
Ufuk Beyaztas +3 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.Abstract This study investigates the influence of board gender diversity on the relationship between environmental, social, and governance (ESG) performance and corporate cash holdings in Chinese A‐share listed companies from 2015 to 2022. Our research shows that ESG performance is positively associated with cash holdings.
Mohamed Marie +4 more
wiley +1 more source
ESG Ratings and Investment Returns at the Country Level: Does Higher Mean Better?
International Journal of Finance &Economics, EarlyView.ABSTRACT We examine whether U.S. dollar‐based investors can do better investing in highly rated ESG countries than in medium and lower rated ESG countries using both cross sectional and panel data estimations. In general, we find evidence that investment in ESGLow scoring countries leads to better returns than investing in ESGHigh scoring countries ...
Dimitrios Asteriou +3 more
wiley +1 more source
Climate Change and Investors' Behaviour: Assessing a New Type of Systematic Risk
International Journal of Finance &Economics, EarlyView.ABSTRACT This study explores how temperature anomalies, a novel form of systematic risk, affect financial markets, expanding the traditional understanding of market‐wide risks. While climate change is becoming an important consideration, the extent to which temperature anomalies disrupt economic activities and influence stock returns is urgently needed
Natthinee Thampanya, Junjie Wu
wiley +1 more source
Measuring Currency Risk Premium: The Case of Turkey
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines the determinants of a change in currency expectations for the Turkish Lira (TL) versus the US dollar with different maturities (1 month, 3 months and 1 year). The risk premium is estimated using the interest rate differential and a latent component called the missing risk premium.
Idil Uz Akdogan +2 more
wiley +1 more source
Corporate Life Cycles and Analyst Recommendations
Journal of Corporate Accounting &Finance, EarlyView.ABSTRACT This study examines the relationship between firm life cycle stages and analyst recommendations. Using a dataset covering 1995 to 2022, we refine the sample to 62,731 firm‐year observations and employ established models to create proxies for the corporate life cycle stages.
Ahmed Al Hadi, Abdulsamad Alazzani
wiley +1 more source
How Do Climate‐Related Risks and Opportunities Affect Portfolio Allocation and Asset Pricing?
Managerial and Decision Economics, EarlyView.ABSTRACT This paper examines the performance of “clean,” “brown,” and “dirty” stocks in the S&P 500 from January 2010 to September 2022 using panel random effect estimation and factor models. It also uses cointegration analysis to assess the long‐term relationship between risk premiums and two carbon risk factors: “brown minus clean” and “dirty minus ...
Maher Asal, Xiaoni Li, Yin Shi
wiley +1 more source
Narrative Disclosure Tone and Bank Risk: The Role of Economic Policy Uncertainty
Managerial and Decision Economics, EarlyView.ABSTRACT This study examines the impact of narrative disclosure tone (NDT) on bank riskiness, particularly in the context of heightened economic policy uncertainty (EPU). Utilizing data from 114 banks across 2052 bank‐year observations between 2005 and 2022, our findings reveal a significant positive relationship between NDT and various measures of ...
Acheampong Albert +3 more
wiley +1 more source
The leaders' shadow: Excessive information spillover in the Chinese stock market
Accounting &Finance, EarlyView.Abstract This study investigates information spillover from industry leaders to peer firms during the leaders' earnings announcements (EAs) in the Chinese stock market. We find a positive information spillover, which is subsequently corrected when peers announce their own earnings, indicating excessive information spillover (overreaction).
Jiaxin Duan +3 more
wiley +1 more source