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Publisher: Elsevier   (Total: 3162 journals)

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Showing 1401 - 1600 of 3162 Journals sorted alphabetically
Intl. J. of Adhesion and Adhesives     Hybrid Journal   (Followers: 18, SJR: 0.926, CiteScore: 2)
Intl. J. of Africa Nursing Sciences     Open Access   (SJR: 0.396, CiteScore: 1)
Intl. J. of Antimicrobial Agents     Hybrid Journal   (Followers: 10, SJR: 1.699, CiteScore: 4)
Intl. J. of Applied Earth Observation and Geoinformation     Hybrid Journal   (Followers: 34, SJR: 1.591, CiteScore: 4)
Intl. J. of Approximate Reasoning     Hybrid Journal   (Followers: 1, SJR: 0.866, CiteScore: 3)
Intl. J. of Biochemistry & Cell Biology     Hybrid Journal   (Followers: 6, SJR: 1.492, CiteScore: 3)
Intl. J. of Biological Macromolecules     Hybrid Journal   (Followers: 2, SJR: 0.917, CiteScore: 4)
Intl. J. of Cardiology     Hybrid Journal   (Followers: 16, SJR: 1.2, CiteScore: 2)
Intl. J. of Chemical and Analytical Science     Full-text available via subscription   (Followers: 4)
Intl. J. of Child-Computer Interaction     Hybrid Journal   (Followers: 2, SJR: 0.479, CiteScore: 3)
Intl. J. of Clinical and Health Psychology     Open Access   (Followers: 20, SJR: 1.345, CiteScore: 4)
Intl. J. of Coal Geology     Hybrid Journal   (Followers: 4, SJR: 2.186, CiteScore: 5)
Intl. J. of Critical Infrastructure Protection     Hybrid Journal   (Followers: 8, SJR: 0.648, CiteScore: 2)
Intl. J. of Dental Science and Research     Full-text available via subscription   (Followers: 1)
Intl. J. of Developmental Neuroscience     Hybrid Journal   (Followers: 8, SJR: 0.986, CiteScore: 2)
Intl. J. of Diabetes Mellitus     Open Access   (Followers: 9)
Intl. J. of Disaster Risk Reduction     Hybrid Journal   (Followers: 18, SJR: 0.769, CiteScore: 2)
Intl. J. of Drug Policy     Hybrid Journal   (Followers: 456, SJR: 1.441, CiteScore: 3)
Intl. J. of e-Navigation and Maritime Economy     Open Access   (Followers: 3)
Intl. J. of Educational Development     Hybrid Journal   (Followers: 14, SJR: 0.822, CiteScore: 1)
Intl. J. of Educational Research     Hybrid Journal   (Followers: 27, SJR: 0.617, CiteScore: 1)
Intl. J. of Electrical Power & Energy Systems     Open Access   (Followers: 24, SJR: 1.276, CiteScore: 5)
Intl. J. of Engineering Science     Hybrid Journal   (Followers: 5, SJR: 2.82, CiteScore: 6)
Intl. J. of Epilepsy     Full-text available via subscription   (Followers: 2, SJR: 0.126, CiteScore: 0)
Intl. J. of Fatigue     Hybrid Journal   (Followers: 38, SJR: 1.402, CiteScore: 3)
Intl. J. of Food Microbiology     Hybrid Journal   (Followers: 14, SJR: 1.366, CiteScore: 4)
Intl. J. of Forecasting     Hybrid Journal   (Followers: 28, SJR: 1.879, CiteScore: 3)
Intl. J. of Gastronomy and Food Science     Open Access   (Followers: 4, SJR: 0.422, CiteScore: 1)
Intl. J. of Gerontology     Open Access   (Followers: 8, SJR: 0.215, CiteScore: 0)
Intl. J. of Greenhouse Gas Control     Partially Free   (Followers: 5, SJR: 1.458, CiteScore: 4)
Intl. J. of Heat and Fluid Flow     Hybrid Journal   (Followers: 36, SJR: 0.947, CiteScore: 3)
Intl. J. of Heat and Mass Transfer     Hybrid Journal   (Followers: 269, SJR: 1.498, CiteScore: 4)
Intl. J. of Hospitality Management     Hybrid Journal   (Followers: 20, SJR: 2.027, CiteScore: 4)
Intl. J. of Human-Computer Studies     Hybrid Journal   (Followers: 18, SJR: 0.605, CiteScore: 3)
Intl. J. of Hydrogen Energy     Partially Free   (Followers: 20, SJR: 1.116, CiteScore: 4)
Intl. J. of Hygiene and Environmental Health     Hybrid Journal   (Followers: 7, SJR: 1.334, CiteScore: 4)
Intl. J. of Impact Engineering     Hybrid Journal   (Followers: 9, SJR: 2.124, CiteScore: 4)
Intl. J. of Industrial Ergonomics     Hybrid Journal   (Followers: 15, SJR: 0.795, CiteScore: 2)
Intl. J. of Industrial Organization     Hybrid Journal   (Followers: 24, SJR: 0.873, CiteScore: 1)
Intl. J. of Infectious Diseases     Open Access   (Followers: 8, SJR: 1.514, CiteScore: 3)
Intl. J. of Information Management     Hybrid Journal   (Followers: 308, SJR: 1.373, CiteScore: 6)
Intl. J. of Intercultural Relations     Hybrid Journal   (Followers: 12, SJR: 0.732, CiteScore: 2)
Intl. J. of Law and Psychiatry     Hybrid Journal   (Followers: 8, SJR: 0.546, CiteScore: 1)
Intl. J. of Law, Crime and Justice     Hybrid Journal   (Followers: 56, SJR: 0.362, CiteScore: 1)
Intl. J. of Machine Tools and Manufacture     Hybrid Journal   (Followers: 7, SJR: 2.7, CiteScore: 6)
Intl. J. of Management Education     Hybrid Journal   (Followers: 8, SJR: 0.597, CiteScore: 2)
Intl. J. of Marine Energy     Full-text available via subscription   (Followers: 1, SJR: 0.92, CiteScore: 2)
Intl. J. of Mass Spectrometry     Hybrid Journal   (Followers: 17, SJR: 0.61, CiteScore: 2)
Intl. J. of Mechanical Sciences     Hybrid Journal   (Followers: 13, SJR: 1.595, CiteScore: 4)
Intl. J. of Medical Informatics     Hybrid Journal   (Followers: 9, SJR: 1.247, CiteScore: 4)
Intl. J. of Medical Microbiology     Hybrid Journal   (Followers: 8, SJR: 1.717, CiteScore: 4)
Intl. J. of Mineral Processing     Hybrid Journal   (Followers: 10, SJR: 0.782, CiteScore: 2)
Intl. J. of Mining Science and Technology     Open Access   (Followers: 3, SJR: 1.323, CiteScore: 2)
Intl. J. of Multiphase Flow     Hybrid Journal   (Followers: 8, SJR: 1.218, CiteScore: 3)
Intl. J. of Naval Architecture and Ocean Engineering     Open Access   (Followers: 3, SJR: 0.571, CiteScore: 1)
Intl. J. of Neuropharmacology     Full-text available via subscription   (Followers: 1)
Intl. J. of Non-Linear Mechanics     Hybrid Journal   (Followers: 8, SJR: 1.032, CiteScore: 2)
Intl. J. of Nursing Sciences     Open Access   (Followers: 1, SJR: 0.285, CiteScore: 1)
Intl. J. of Nursing Studies     Hybrid Journal   (Followers: 15, SJR: 1.646, CiteScore: 4)
Intl. J. of Obstetric Anesthesia     Full-text available via subscription   (Followers: 13, SJR: 0.717, CiteScore: 2)
Intl. J. of Oral and Maxillofacial Surgery     Hybrid Journal   (Followers: 8, SJR: 1.137, CiteScore: 2)
Intl. J. of Orthopaedic and Trauma Nursing     Hybrid Journal   (Followers: 10, SJR: 0.369, CiteScore: 1)
Intl. J. of Osteopathic Medicine     Hybrid Journal   (Followers: 2, SJR: 0.297, CiteScore: 1)
Intl. J. of Paleopathology     Partially Free   (Followers: 8, SJR: 0.618, CiteScore: 1)
Intl. J. of Pavement Research and Technology     Open Access   (Followers: 6, SJR: 0.311, CiteScore: 1)
Intl. J. of Pediatric Otorhinolaryngology     Full-text available via subscription   (Followers: 1, SJR: 0.783, CiteScore: 1)
Intl. J. of Pediatric Otorhinolaryngology Extra     Full-text available via subscription   (Followers: 1, SJR: 0.11, CiteScore: 0)
Intl. J. of Pediatrics and Adolescent Medicine     Open Access   (Followers: 1, SJR: 0.144, CiteScore: 1)
Intl. J. of Pharmaceutics     Hybrid Journal   (Followers: 36, SJR: 1.172, CiteScore: 4)
Intl. J. of Plasticity     Hybrid Journal   (Followers: 7, SJR: 3.395, CiteScore: 6)
Intl. J. of Pressure Vessels and Piping     Hybrid Journal   (Followers: 25, SJR: 0.981, CiteScore: 2)
Intl. J. of Production Economics     Hybrid Journal   (Followers: 15, SJR: 2.401, CiteScore: 5)
Intl. J. of Project Management     Hybrid Journal   (Followers: 49, SJR: 1.463, CiteScore: 5)
Intl. J. of Psychophysiology     Hybrid Journal   (Followers: 5, SJR: 1.157, CiteScore: 3)
Intl. J. of Radiation Oncology*Biology*Physics     Hybrid Journal   (Followers: 32, SJR: 2.485, CiteScore: 3)
Intl. J. of Refractory Metals and Hard Materials     Hybrid Journal   (Followers: 5)
Intl. J. of Refrigeration     Full-text available via subscription   (Followers: 5, SJR: 1.471, CiteScore: 3)
Intl. J. of Research in Marketing     Hybrid Journal   (Followers: 20, SJR: 2.528, CiteScore: 3)
Intl. J. of Rock Mechanics and Mining Sciences     Hybrid Journal   (Followers: 8, SJR: 2.259, CiteScore: 4)
Intl. J. of Sediment Research     Full-text available via subscription   (Followers: 3, SJR: 0.663, CiteScore: 2)
Intl. J. of Solids and Structures     Hybrid Journal   (Followers: 15, SJR: 1.295, CiteScore: 3)
Intl. J. of Spine Surgery     Hybrid Journal   (Followers: 3, SJR: 0.793, CiteScore: 2)
Intl. J. of Surgery     Hybrid Journal   (Followers: 8, SJR: 0.834, CiteScore: 3)
Intl. J. of Surgery Case Reports     Open Access   (Followers: 4, SJR: 0.26, CiteScore: 1)
Intl. J. of Surgery Open     Open Access   (SJR: 0.116, CiteScore: 0)
Intl. J. of Surgery Protocols     Open Access   (Followers: 1, SJR: 0.141, CiteScore: 1)
Intl. J. of Sustainable Built Environment     Open Access   (Followers: 5, SJR: 0.746, CiteScore: 3)
Intl. J. of the Sociology of Law     Hybrid Journal   (Followers: 18)
Intl. J. of Thermal Sciences     Hybrid Journal   (Followers: 18, SJR: 1.429, CiteScore: 4)
Intl. J. of Transportation Science and Technology     Open Access   (Followers: 10)
Intl. J. of Veterinary Science and Medicine     Open Access   (Followers: 4)
Intl. J. of Women's Dermatology     Open Access   (SJR: 0.213, CiteScore: 0)
Intl. Medical Review on Down Syndrome     Full-text available via subscription  
Intl. Orthodontics     Full-text available via subscription   (Followers: 3, SJR: 0.239, CiteScore: 0)
Intl. Perspectives on Child and Adolescent Mental Health     Full-text available via subscription   (Followers: 5)
Intl. Review of Cell and Molecular Biology     Full-text available via subscription   (Followers: 6, SJR: 1.973, CiteScore: 4)
Intl. Review of Cytology     Full-text available via subscription  
Intl. Review of Economics & Finance     Hybrid Journal   (Followers: 26, SJR: 0.841, CiteScore: 2)
Intl. Review of Economics Education     Hybrid Journal   (Followers: 1, SJR: 0.632, CiteScore: 1)
Intl. Review of Financial Analysis     Hybrid Journal   (Followers: 7, SJR: 0.755, CiteScore: 2)
Intl. Review of Law and Economics     Hybrid Journal   (Followers: 21, SJR: 0.572, CiteScore: 1)
Intl. Review of Neurobiology     Full-text available via subscription   (Followers: 2, SJR: 1.497, CiteScore: 3)
Intl. Review of Research in Mental Retardation     Full-text available via subscription   (Followers: 7)
Intl. Soil and Water Conservation Research     Open Access   (SJR: 0.667, CiteScore: 2)
Intl. Strategic Management Review     Open Access   (Followers: 4)
Investigación en Educación Médica     Open Access  
Investigaciones de Historia Económica     Full-text available via subscription   (SJR: 0.264, CiteScore: 0)
Investigaciones Europeas de Dirección y Economía de la Empresa     Open Access  
IRBM     Full-text available via subscription   (SJR: 0.298, CiteScore: 1)
IRBM News     Full-text available via subscription   (SJR: 0.139, CiteScore: 0)
ISA Transactions     Full-text available via subscription   (Followers: 1, SJR: 1.115, CiteScore: 4)
iScience     Open Access  
ISPRS J. of Photogrammetry and Remote Sensing     Hybrid Journal   (Followers: 70, SJR: 3.169, CiteScore: 8)
Italian Oral Surgery     Full-text available via subscription   (Followers: 1)
ITBM-RBM     Full-text available via subscription   (Followers: 1)
ITBM-RBM News     Full-text available via subscription   (Followers: 1)
J. de Chirurgie Viscerale     Full-text available via subscription   (Followers: 1, SJR: 0.264, CiteScore: 0)
J. de Gynécologie Obstétrique et Biologie de la Reproduction     Full-text available via subscription  
J. de Mathématiques Pures et Appliquées     Full-text available via subscription   (Followers: 4, SJR: 3.571, CiteScore: 2)
J. de Mycologie Médicale / J. of Medical Mycology     Full-text available via subscription   (Followers: 2, SJR: 0.495, CiteScore: 2)
J. de Pédiatrie et de Puériculture     Full-text available via subscription   (SJR: 0.116, CiteScore: 0)
J. de Radiologie     Full-text available via subscription  
J. de Radiologie Diagnostique et Interventionnelle     Full-text available via subscription   (Followers: 2)
J. de Thérapie Comportementale et Cognitive     Full-text available via subscription   (SJR: 0.111, CiteScore: 0)
J. de Traumatologie du Sport     Full-text available via subscription   (Followers: 2, SJR: 0.152, CiteScore: 0)
J. des Anti-infectieux     Full-text available via subscription   (Followers: 2, SJR: 0.107, CiteScore: 0)
J. des Maladies Vasculaires     Full-text available via subscription  
J. Européen des Urgences     Full-text available via subscription   (Followers: 1)
J. Européen des Urgences et de Réanimation     Hybrid Journal   (SJR: 0.108, CiteScore: 0)
J. for Nature Conservation     Hybrid Journal   (Followers: 28, SJR: 0.894, CiteScore: 2)
J. for Nurse Practitioners     Hybrid Journal   (Followers: 12, SJR: 0.179, CiteScore: 0)
J. Français d'Ophtalmologie     Full-text available via subscription   (Followers: 3, SJR: 0.292, CiteScore: 0)
J. of Academic Librarianship     Hybrid Journal   (Followers: 1031, SJR: 1.224, CiteScore: 2)
J. of Accounting and Economics     Hybrid Journal   (Followers: 37, SJR: 6.875, CiteScore: 4)
J. of Accounting and Public Policy     Hybrid Journal   (Followers: 7, SJR: 0.91, CiteScore: 2)
J. of Accounting Education     Hybrid Journal   (Followers: 6, SJR: 0.882, CiteScore: 1)
J. of Accounting Literature     Hybrid Journal   (Followers: 7, SJR: 0.986, CiteScore: 3)
J. of Acupuncture and Meridian Studies     Open Access   (Followers: 1, SJR: 0.347, CiteScore: 1)
J. of Acute Medicine     Open Access   (SJR: 0.196, CiteScore: 1)
J. of Adolescence     Hybrid Journal   (Followers: 14, SJR: 1.01, CiteScore: 2)
J. of Adolescent Health     Hybrid Journal   (Followers: 23, SJR: 1.851, CiteScore: 4)
J. of Advanced Research     Open Access   (Followers: 2, SJR: 0.741, CiteScore: 4)
J. of Aerosol Science     Hybrid Journal   (Followers: 5, SJR: 0.828, CiteScore: 3)
J. of Affective Disorders     Hybrid Journal   (Followers: 18, SJR: 2.053, CiteScore: 4)
J. of African Earth Sciences     Hybrid Journal   (Followers: 11, SJR: 0.681, CiteScore: 2)
J. of African Trade     Open Access  
J. of Aging Studies     Hybrid Journal   (Followers: 11, SJR: 0.8, CiteScore: 2)
J. of Air Transport Management     Hybrid Journal   (Followers: 9, SJR: 0.981, CiteScore: 2)
J. of Algebra     Full-text available via subscription   (Followers: 5, SJR: 1.187, CiteScore: 1)
J. of Algorithms     Full-text available via subscription   (Followers: 4)
J. of Allergy and Clinical Immunology     Hybrid Journal   (Followers: 30, SJR: 5.049, CiteScore: 7)
J. of Allergy and Clinical Immunology : In Practice     Full-text available via subscription   (Followers: 12, SJR: 1.461, CiteScore: 3)
J. of Alloys and Compounds     Hybrid Journal   (Followers: 12, SJR: 1.02, CiteScore: 4)
J. of American Association for Pediatric Ophthalmology and Strabismus     Hybrid Journal   (Followers: 7, SJR: 0.752, CiteScore: 1)
J. of Analytical and Applied Pyrolysis     Hybrid Journal   (Followers: 3, SJR: 1.129, CiteScore: 4)
J. of Anesthesia History     Full-text available via subscription   (Followers: 1, SJR: 0.19, CiteScore: 0)
J. of Anthropological Archaeology     Hybrid Journal   (Followers: 79, SJR: 1.24, CiteScore: 2)
J. of Anxiety Disorders     Hybrid Journal   (Followers: 16, SJR: 2.043, CiteScore: 4)
J. of Applied Biomedicine     Open Access   (Followers: 2, SJR: 0.348, CiteScore: 2)
J. of Applied Developmental Psychology     Hybrid Journal   (Followers: 13, SJR: 1.339, CiteScore: 3)
J. of Applied Economics     Full-text available via subscription   (Followers: 8, SJR: 0.235, CiteScore: 1)
J. of Applied Geophysics     Hybrid Journal   (Followers: 15, SJR: 0.636, CiteScore: 2)
J. of Applied Logic     Full-text available via subscription   (SJR: 0.277, CiteScore: 1)
J. of Applied Mathematics and Mechanics     Full-text available via subscription   (Followers: 9, SJR: 0.321, CiteScore: 0)
J. of Applied Research and Technology     Open Access   (SJR: 0.255, CiteScore: 1)
J. of Applied Research in Memory and Cognition     Partially Free   (Followers: 12, SJR: 1.303, CiteScore: 2)
J. of Applied Research on Medicinal and Aromatic Plants     Hybrid Journal   (SJR: 0.355, CiteScore: 2)
J. of Approximation Theory     Hybrid Journal   (Followers: 1, SJR: 0.907, CiteScore: 1)
J. of Archaeological Science     Hybrid Journal   (Followers: 66, SJR: 1.885, CiteScore: 3)
J. of Archaeological Science : Reports     Hybrid Journal   (Followers: 17, SJR: 0.659, CiteScore: 1)
J. of Arid Environments     Hybrid Journal   (Followers: 14, SJR: 0.763, CiteScore: 2)
J. of Arrhythmia     Open Access   (SJR: 0.398, CiteScore: 1)
J. of Arthroplasty     Hybrid Journal   (Followers: 48, SJR: 2.373, CiteScore: 3)
J. of Arthroscopy and Joint Surgery     Full-text available via subscription   (Followers: 2, SJR: 0.103, CiteScore: 0)
J. of Asia-Pacific Biodiversity     Open Access   (SJR: 0.361, CiteScore: 1)
J. of Asia-Pacific Entomology     Full-text available via subscription   (Followers: 6, SJR: 0.373, CiteScore: 1)
J. of Asian Ceramic Societies     Open Access   (Followers: 2, SJR: 0.509, CiteScore: 2)
J. of Asian Earth Sciences     Hybrid Journal   (Followers: 13, SJR: 1.488, CiteScore: 3)
J. of Asian Economics     Hybrid Journal   (Followers: 1, SJR: 0.419, CiteScore: 1)
J. of Atmospheric and Solar-Terrestrial Physics     Hybrid Journal   (Followers: 146, SJR: 0.696, CiteScore: 2)
J. of Autoimmunity     Hybrid Journal   (Followers: 11, SJR: 2.046, CiteScore: 7)
J. of Ayurveda and Integrative Medicine     Open Access   (Followers: 3, SJR: 0.338, CiteScore: 1)
J. of Banking & Finance     Hybrid Journal   (Followers: 174)
J. of Basic & Applied Zoology : Physiology     Open Access   (Followers: 3)
J. of Behavior Therapy and Experimental Psychiatry     Hybrid Journal   (Followers: 4, SJR: 1.42, CiteScore: 3)
J. of Behavior, Health & Social Issues     Open Access   (Followers: 7)
J. of Behavioral and Experimental Economics     Full-text available via subscription   (Followers: 8, SJR: 0.593, CiteScore: 1)
J. of Behavioral and Experimental Finance     Full-text available via subscription   (Followers: 3, SJR: 0.475, CiteScore: 1)
J. of Biochemical and Biophysical Methods     Hybrid Journal   (Followers: 4)
J. of Biomechanics     Hybrid Journal   (Followers: 37, SJR: 1.147, CiteScore: 3)
J. of Biomedical Informatics     Partially Free   (Followers: 15, SJR: 1.028, CiteScore: 4)
J. of Biomedical Research     Full-text available via subscription   (Followers: 3, SJR: 0.712, CiteScore: 2)
J. of Bionic Engineering     Full-text available via subscription   (SJR: 0.584, CiteScore: 3)
J. of Bioscience and Bioengineering     Full-text available via subscription   (Followers: 31, SJR: 0.675, CiteScore: 2)
J. of Biotechnology     Hybrid Journal   (Followers: 63, SJR: 0.929, CiteScore: 3)
J. of Bodywork and Movement Therapies     Hybrid Journal   (Followers: 17, SJR: 0.522, CiteScore: 1)
J. of Bone Oncology     Open Access   (Followers: 1, SJR: 0.941, CiteScore: 3)
J. of Building Engineering     Hybrid Journal   (Followers: 2, SJR: 0.753, CiteScore: 3)
J. of Business Research     Hybrid Journal   (Followers: 22, SJR: 1.26, CiteScore: 3)
J. of Business Venturing     Hybrid Journal   (Followers: 26, SJR: 5.212, CiteScore: 9)

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Journal Cover
International Review of Economics & Finance
Journal Prestige (SJR): 0.841
Citation Impact (citeScore): 2
Number of Followers: 26  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1059-0560
Published by Elsevier Homepage  [3162 journals]
  • The Cost of Trading during Federal Funds Rate Announcements: Evidence from
           Cross-listed Stocks
    • Abstract: Publication date: Available online 12 November 2018Source: International Review of Economics & FinanceAuthor(s): Bart Frijns, Ivan Indriawan, Yoichi Otsubo, Alireza Tourani-Rad We investigate the behavior of bid-ask spread components around U.S. Federal Funds Rate announcement times for a sample of Canadian firms that are cross-listed in the U.S. We use transaction-level data to decompose the spread into its three components, namely, information asymmetry, order persistence, and order processing costs. We observe that at times of news announcements, the information asymmetry component increases more in Canada than in the U.S., indicating that trades in Canada are more information-driven than trades in the U.S. We further find that the order persistence component increases more in the U.S. than in Canada, indicating that there is a temporary price pressure surrounding the news announcement period in the U.S.
       
  • Corporate Debt Maturity and Future Firm Performance Volatility
    • Abstract: Publication date: Available online 8 November 2018Source: International Review of Economics & FinanceAuthor(s): Meg Adachi-Sato, Chaiporn Vithessonthi We propose a simple idea that corporate debt maturity should serve as a good indicator of future firm performance volatility. We show in a simple two-period model that the riskiness of corporate investment is a decreasing function of corporate debt maturity. If “observable” corporate debt maturity and ex ante “unobservable” corporate risk-taking is highly correlated, corporate debt maturity should be highly correlated with “ex post” realized firm performance volatility in following years. Using data on firms in 10 developing and developed countries during 1991−2013, we find that corporate debt maturity is negatively associated with future firm operating performance volatility but is not associated with future firm value volatility.
       
  • The effect of the rebalancing horizon on the tradeoff between hedging
           effectiveness and transaction costs
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Boonlert Jitmaneeroj This paper examines the impact of the rebalancing horizon on the transaction costs per hedging effectiveness (TC/HE ratio) for dynamic hedging of the S&P 500 index with 21 commodity indices. This paper produces new evidence that as the rebalancing horizon lengthens, the TC/HE ratio exhibits a monotonically decreasing relationship with positive convexity. This asymmetric effect suggests that hedgers pay more attention to reductions rather than increases in the rebalancing horizons and hedging strategies at short rather than long rebalancing horizons. Although commodities can be used to hedge equity portfolios, they should be used with caution given their low hedging effectiveness.
       
  • Privatization and wage inequality in developing countries
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Jiancai Pi, Pengqing Zhang This paper studies how partial privatization influences the skilled-unskilled wage inequality in developing countries through the general equilibrium approach. When the degree of product differentiation between the public sector and the private sector is small enough, an increase in the degree of partial privatization will raise both the skilled wage rate and the status quo unskilled wage rate, and the wage inequality will be narrowed down (resp. expanded) if the substitution elasticity of the rural sector is sufficiently small (resp. large). Compared with the existing literature, this paper provides a new perspective and obtains some new results.
       
  • Credit contractions and unemployment
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Mihály Tamás Borsi This paper investigates the impact of private credit contractions on labor market performance. Impulse responses for total, youth, and long-term unemployment are estimated using local projections for a panel of 20 OECD countries over the period 1980–2013. The empirical findings suggest that a decline in private credit can generate sizable and statistically significant increases in all three unemployment measures. On average, credit contractions in the sample increase total unemployment rates by nearly 1 percentage point at the peak. This effect is even stronger for youth unemployment. The persistent impact on long-term unemployment emphasizes the sluggish recovery of labor markets following a credit downturn. The results also reveal that increases in joblessness depend heavily on the scale of the build-up in financial leverage prior to the onset of a contraction. Specifically, excessive credit booms tend to be followed by a significantly larger rise in unemployment in the subsequent bust phase. Moreover, credit contractions associated with rigid labor market institutions lead to disproportionately greater increases in unemployment. These findings underline the important relationship between disruptions in the credit market and unemployment fluctuations.
       
  • Optimal licensing schemes for a mixed ownership firm when facing uncertain
           R&D outcomes and technology spillover
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Qingyou Yan, Le Yang In this paper, we develop a mixed Cournot duopoly model to investigate whether and how a mixed ownership firm licenses its non-drastic innovation to the private rival when facing uncertain R&D outcomes and technology spillover. The results show that, (i) in terms of fixed-fee and royalty licensing, the optimal licensing contract is always the fixed-fee when the private share is low, while it is always the royalty when both the private share and product substitutability are sufficiently high. As for other cases, whether the fixed-fee is superior to the royalty also depends on the degree of technology spillover; and (ii) even if the two-part tariff is available for the mixed firm, the fixed-fee alone is still one possible form of the optimal licensing contract. Moreover, the finding also shows that the probability of R&D success plays a critical role in the process of determining the licensing strategy for the mixed firm.
       
  • The exposure of U.S. manufacturing industries to exchange rates
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Willem Thorbecke Safe asset demand and currency manipulation increase the dollar and the U.S. current account deficit. Deficits in manufacturing trade cause dislocation and generate protectionism. Dynamic OLS results indicate that U.S. export elasticities exceed unity for automobiles, toys, wood, aluminum, iron, steel, and other goods. Elasticities for U.S. imports from China are close to one or higher for footwear, radios, sports equipment, lamps, and watches and exceed 0.5 for iron, steel, aluminum, miscellaneous manufacturing, and metal tools. Elasticities for U.S. imports from other countries are large for electrothermal appliances, radios, furniture, lamps, miscellaneous manufacturing, aluminum, automobiles, plastics, and other categories. Stock returns on many of these sectors also fall when the dollar appreciates. Several manufacturing industries are thus exposed to a strong dollar. Policymakers could weaken the dollar and deflect protectionist pressure by promoting the euro, the yen, and the renminbi as alternative reserve currencies.
       
  • Time-inconsistent environmental policies with a consumer-friendly firm:
           Tradable permits versus emission tax
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Arturo García, Mariel Leal, Sang-Ho Lee This study considers the timing of environmental policies with a consumer-friendly firm having abatement technology and compares two market-based regulatory instruments, tradable permits and emission tax regulations. When the government can credibly commit its policy, we show that the equilibrium outcomes under both policies are equivalent in terms of permits price and tax rate. Under the non-committed policy, however, the equivalence breaks down because firms have opposite incentives to induce time-consistent policy to be adjusted ex post. In particular, compared to pre-committed government, firms abate less emission to induce higher emission quotas under the permits policy while a consumer-friendly firm abates more emissions to reduce tax rate under the tax policy. Finally, we show that tax policy will result in higher welfare and lower environmental damage unless the concern on consumer surplus is large.
       
  • Is there a bubble component in government debt' New international
           evidence
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Shyh-Wei Chen, An-Chi Wu Using the debt-to-GDP ratios of the Group of Seven (G-7) plus Denmark and Finland, this paper revisits the sustainability of government debt. To this end, we employ the right-tailed unit root test, the smooth-break and the momentum threshold autoregressive (MTAR) unit root tests, respectively, under considerations that the government debt might contain bubble component and structural breaks. Among the main results, it is found that the debt-to-GDP ratios are mildly explosive based on the right-tailed unit root test. The results of the smooth-break unit root tests and the MTAR approach echo the results of the traditional unit root test, indicating that the debt-to-GDP ratios are not sustained. Generally speaking, the empirical evidences of this study indicate that the government debts of these advanced countries might not be sustainable, implying that the governments of these countries are required to balance their budgets intertemporally by setting the current value of the debts equal to the discounted sum of expected future surpluses.
       
  • The exporting and subcontracting decisions of Viet Nam's small- and
           medium-sized enterprises
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Catherine Y. Co, Thu Kim Nguyen, Tung Nhu Nguyen, Que Nguyet Tran The exporting and subcontracting decisions of a panel of Vietnamese private small- and medium-sized enterprises is investigated. We find that among subcontractors, subcontracting is a supplementary rather than primary activity; the propensity to export increases with managers' or owners' knowledge of customs law; and, there is some evidence that subcontractors are more likely to have made product improvements while exporters are more likely to have adopted new processes or technologies. Our study provides useful insights into SME exporting and subcontracting strategies made more relevant by the expected reductions in trade costs associated with the World Trade Organization's Trade Facilitation Agreement.
       
  • Does corporate governance quality affect default risk' The role of
           growth opportunities and stock liquidity
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Searat Ali, Benjamin Liu, Jen Je Su A series of defaults, a distinctive corporate environment and inconclusive findings in literature make Australia an interesting case in which to investigate the association between corporate governance and default risk. Using a large panel of 1086 non-financial firms from 2001 to 2013, we find that better governed firms are strongly associated with a lower level of default risk, and that the association is stronger among firms with more growth opportunities. Moreover, empirical evidence supports the role of stock liquidity as a channel of the relationship. Overall these findings have practical implications for the stakeholders in Australia.
       
  • Codetermination and product differentiation
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Luciano Fanti, Luca Gori, Mauro Sodini This research revisits the theoretical literature on codetermination in differentiated Cournot duopoly markets. Although codetermination is widely adopted in some north European countries, the theoretical analysis is restricted to a few number of works. The literature is led by Kraft (1998), who shows that codetermination emerges as a market outcome (sub-optimal Nash equilibrium) in a quantity-setting duopoly with homogeneous products. However, there exists evidence that codetermination is quite absent in countries where there are no specific laws. This article shows that codetermination cannot emerge as a Nash equilibrium when products are sufficiently differentiated (even when they are complementary). These results also holds by considering R&D activities.
       
  • Who gets the wage premium from export: Top managers or employees'
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Dongmin Kong, Gaowen Kong, Lirang Pang, Jian Zhang This study seeks to identify the effect of export on the wages of top managers and employees. Using a manually collected dataset based on Chinese listed firms, we determine that export significantly enhances the average wages of firms. However, only top managers benefit from the wage premium, whereas employees do not. Consistent results based on instrumental variable and difference-in-difference matching approaches are obtained. We further show that employees with high educational level obtain significant wage premiums and top managers with overseas work experience earn higher compensations. This paper provides clear implications for firm management practices and regulators in emerging economies.
       
  • Sovereign bond spreads and extra-financial performance: An empirical
           analysis of emerging markets
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Paula Margaretic, Sébastien Pouget This paper studies the impact of a country's extra-financial performance on its sovereign bond spreads. Sovereign bond spreads reflect both an economic default risk and a strategic default risk. We hypothesize that a country's extra-financial performance reduces default risk by signalling good commitment ability. We test this hypothesis for the countries which bonds are included in the JP Morgan Emerging Markets Bond Index Global. Over the period from 2001 to 2010, we find that an emerging country's average cost of capital decreases with its governance and social performance. Furthermore, we demonstrate that a good social performance signals an emerging economy's long-term orientation and commitment to repay its debt in the future.
       
  • Foreign direct investment, unionised labour markets and welfare
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Jiyun Cao, Arijit Mukherjee Although empirical evidence on the relationship between labour union and foreign direct investment (FDI) is mixed, the theoretical literature mainly explains the negative relationship between labour union and FDI. We show that a multinational firm may prefer FDI in the presence of labour unions if it is sufficiently technologically superior to its domestic counterpart. FDI (compared to export) makes the domestic labour union better off but it makes the consumers, the domestic firm, the foreign labour union and the foreign country worse off, and may reduce domestic welfare. We show the implications of industry-wide and firm-specific labour unions.
       
  • The relationship between external financing activities and earnings
           management: Evidence from enterprise risk management
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Teng-Shih Wang, Yi-Mien Lin, Edward M. Werner, Hsihui Chang This study examines the impact of external financing activities on earnings management decisions and further explores the role of enterprise risk management (ERM) as a potential moderating factor in this association. We find that managers use both real-activities and accrual-based earnings management when engaging in equity financing activities. Moreover, when firms have weaker ERM systems, we find that managers are less likely to use real-activities earnings management in their equity financing efforts. Therefore, our policy-relevant findings suggest that weaker ERM systems can signal poor control mechanisms and attract additional investor scrutiny, thus constraining managers' use of real-activities earnings manipulation to harm long-term firm value.
       
  • Exchange rate volatility and the stability of stock prices
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Benjamin M. Blau Using a sample of American Depositary Receipts (ADRs), we test whether the volatility of ADRs is explained by exchange-rate volatility in the ADR home country. Tests show that variability in the home-country currency leads to greater volatility in ADRs as a 1% increase in exchange-rate volatility corresponds to an approximate 2% increase in ADR volatility. To make stronger causal inferences, we show abnormal volatility in Chinese ADRs surrounding the largely unexpected 2005 unpegging of the Chinese Yuan to the U.S. dollar. These results provide an important link between currency markets and equity markets.
       
  • Dynamic hedging performance and downside risk: Evidence from Nikkei index
           futures
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Masato Ubukata This paper assesses the incremental value of dynamic futures hedging models in minimizing downside risks including value-at-risk, expected shortfall, exponential spectral risk measure and lower partial moment over unconditional hedging approaches. We estimate hedge ratios using dynamic conditional correlation models incorporating high-frequency measures of volatility and correlation under multivariate skewed t-distributions. In the out-of-sample analysis with daily rebalancing and a portfolio hedged with Nikkei 225 futures, the unconditional minimum downside risk approaches perform worse than the proposed conditional approaches. The use of high-frequency measures possibly improves performance of the conditional downside-risk hedging models.
       
  • Green competition, hybrid equilibrium, and establishment of a resale
           market
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Arthur J. Caplan, Reza Oladi This paper investigates competition between firms whose choices of how much “green effort” to devote to building their reputations as socially responsible producers are determined in the contexts of simultaneous-move and hybrid simultaneous/sequential-move Bertrand equilibria. We derive conditions under which (1) the inter-temporal, green-effort reaction function of the firm with the less-aggressive green strategy is non-monotonic, (2) the level of green effort chosen by the firm with the more-aggressive green strategy increases when it views itself as the leader in a hybrid game rather than moving concurrently in a simultaneous-choice game, and (3) the establishment of a resale market by the more aggressive firm acts as a substitute for its choice of green-effort level. The sufficiency conditions underlying these results impose qualitative restrictions on the more-aggressive firm's lagged (i.e., reputational) and contemporaneous cross effects of its green effort on demand for the less-aggressive firm's product, as well as on the less-aggressive firm's price markup and marginal cost associated with its production and green-effort choices, respectively.
       
  • The relationship between credit constraints and household entrepreneurship
           in China
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Dongliang Cai, Quanyun Song, Shuang Ma, Yang Dong, Qiuhua Xu This paper evaluates the impact of credit constraint on entrepreneurship by utilizing 2011 China Household Finance and Survey micro-data. We measure household credit constraint directly and use the LPM model to estimate the impact of credit constraint on entrepreneurship. We employ predetermined credit constraint, quasi-experiment, and instrumental variable to eliminate the possible endogeneity problem. Empirical estimates show that credit constraint significantly decreases the probabilities of households to start businesses by around 3 percentage points in general. Further analysis shows that credit constraint significantly decreases the propensity of households to entry into enterprise operation, while it has no significant impact on small handicraft operation.
       
  • Why are nontraded goods cheaper in poor countries'
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Yoonho Choi, Hailong Jin, E. Kwan Choi Balassa and Samuelson argued that production technologies differ among countries, and the price of the nontraded good is higher in countries with higher labor productivity. This paper shows that the Balassa-Samuelson effect exists even when countries share identical production technologies. In the celebrated Heckscher-Ohlin model, changes in factor endowments do not affect the equalized factor prices. This paper considers a three-factor, three-industry model, and demonstrates that endowment differences between countries can cause disparities in their wage rates and the prices of the nontraded good. A dynamic panel data analysis shows that a 10% increase in per capita real GDP results in a 2% increase in the housing price for non-EU OECD countries.
       
  • Inflation monitoring in real time: A comparative analysis of the Federal
           Reserve and the Bank of England
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Idoia Aguirre, Jesús Vázquez This paper extends the asymmetric preference model suggested by Ruge-Murcia (2003a) to investigate the use of real-time data which roughly measure the type of data available to policy makers when making their decisions and revised data which more accurately measure economic performance (Croushore, 2011). In our extended model, the central banker monitors a weighted average of revised and real-time inflation. Moreover, we allow for an asymmetric central bank focus on real-time inflation depending on whether the unemployment rate is high or low. Our model identifies a source of inflation bias due to inflation revisions. Our empirical results suggest that the Federal Reserve Bank focuses on monitoring revised inflation during low unemployment periods, but it weights real-time inflation heavily during high unemployment periods. In contrast, the Bank of England seems to focus on an equally-weighted average of real-time and revised inflation when monitoring inflation which is fairly robust over the business cycle.
       
  • Risk contribution of crude oil to industry stock returns
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Honghai Yu, Donglei Du, Libing Fang, Panpan Yan Oil shock is an important source of risk and hence has a significant effect on the real economy and financial markets. The objective of this study is to explore the crude oil risk contribution to industry-level returns in the US stock market using the ADCC-ΔCoVaR model. We employ the Kolmogorov–Smirnov test to rank the contribution and then investigate the structural breakpoints using the Bai and Perron (2003) test. Our empirical results reveal that oil contributes the highest risk to the energy industry and the lowest risk to the Consumer Staples industry. We also find notable discrepancies between industries with regard to number of breakpoints and the break date. In particular, the rankings of the financial, materials, and utilities industries fluctuate dramatically across different sub-samples. In addition, the crude oil risk contribution was commonly larger across all these industries during the 2008 crisis period. Our findings are helpful to investors, market participants, and policy makers.
       
  • Exchange rate hysteresis in the UK imports from the South Asian Countries
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Nusrate Aziz, Ahmad Hassan Ahmad We investigate and find evidence for the hysteresis hypothesis in UK imports from South Asian countries, using a monthly sample of data that covers 1999 to 2012. This paper finds evidence of the asymmetric effect of exchange rate volatility that ‘large’ depreciations significantly reduce UK imports from Bangladesh; however, ‘large’ appreciations do not increase the imports significantly. We also find a partial support for the hysteresis hypothesis in UK imports from India, Pakistan, and Sri Lanka. We find that hysteresis can be both country- and commodity-dependent, which is largely consistent with previous empirical studies. Theoretical literature suggests that hysteresis occurs due to the presence of sunk costs, however, we find that hysteresis occurs even beyond the sunk costs.
       
  • Labor market friction, nominal wage rigidities, and monetary policy in a
           small open economy
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Hyuk Jae Rhee, Jeongseok Song We incorporate some of the essential ingredients and properties of search and matching model of unemployment into a New Keynesian small open economy and study their implications for monetary policy. Three simple interest rate rules (strict Inflation Targeting, standard Taylor rule, and a modified Taylor rule) are studied. The message conveyed from this study can be viewed as twofold. First, conditional on the domestic productivity shock, a standard Taylor rule is welfare enhancing. Conditional on the foreign income shock, however, welfare losses is minimized under the strict inflation targeting rule. Second, the modified Taylor rules that respond to unemployment rate rather than output is second-best for both domestic technology and foreign income shocks. Therefore, it can be argued that stabilizing unemployment rate rather than output could be the better if policy-maker is uncertain about the types of shocks.
       
  • The role of investor sentiment in the long-term correlation between U.S.
           stock and bond markets
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Libing Fang, Honghai Yu, Yingbo Huang This paper investigates the influence of the composite index of investor sentiment on the time-varying long-term correlation of the U.S. stock and bond markets based on the DCC-MIDAS model. We modify the model by considering structural break points of the 1997 Asian financial crisis and the 2008 global financial crisis based on the Bai and Perron (2003) test to adjust the correlation during different periods. The results show that the composite index of investor sentiment has a significantly positive influence on the long-term stock-bond correlation, and the shock of crises significantly decrease the average correlation but the effect of sentiment does not change significantly. Finally, our out-of-sample analysis presents significant improvement for the performance of portfolio allocation after involving the effect of investor sentiment on the long-term stock-bond correlation.
       
  • Estimating downside risk in stock returns under structural breaks
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Matthew Hood, Farooq Malik We show with simulations that inducing structural breaks in the volatility of returns causes non-normality by significantly increasing kurtosis. We endogenously detect significant structural breaks in the volatility of US stock returns and incorporate this information to estimate Value-at-Risk (VaR) to measure the downside risk. Out-of-sample performance results indicate that our proposed model, which incorporates both time varying volatility and structural breaks in volatility, produces more accurate VaR forecasts than several benchmark methods. We highlight the economic importance of our results by calculating the daily capital charges using the Basel Accords.
       
  • When multiple objectives meet multiple instruments: Identifying
           simultaneous monetary shocks
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Daniel Ordoñez-Callamand, Juan D. Hernandez-Leal, Mauricio Villamizar-Villegas Central bank intervention typically entails the use of multiple and possibly non-linear policies. In this paper we introduce a dynamic Tobit model embedded in a Vector Autoregression in order to identify simultaneous monetary shocks. Our method is easily estimated using only least squares and a maximum likelihood function. Also, impulse-responses are carried out as in the traditional time-series setting and can be applied in a structural framework. In simulation exercises we show that, as policy covariance grows, our method increasingly outperforms a benchmark case of estimating policy functions separately. We find significant differences when estimating our method in emerging market economies.
       
  • Do firms have target capital structures' Evidence from institutional
           monitoring
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Chune Young Chung, Chang Liu, Kainan Wang This study lends support to the existence of target capital structures through the interplay between institutional monitoring and corporate debt policies. Specifically, using institutional ownership to proxy for institutional monitoring, we find that aggregate institutional ownership is negatively associated with deviations from hypothesized leverage targets and the negative relationship is driven by long-term institutions that are better positioned to influence corporate debt policies due to the nature of such efforts. We also find that our results are more evident in firms with low information asymmetry, which provide greater monitoring benefits due to perceived lower monitoring costs. These findings are consistent with monitoring institutions actively seeking to maintain a certain debt level and thus suggest its existence. We show that reductions in leverage deviation lead to better future firm performance, indicating institutional monitoring is effective in creating shareholder value. Our results are robust after controlling for measures of internal governance and invariant to alternative proxies for institutional monitoring.
       
  • How do powerful CEOs view dividends and stock repurchases' Evidence
           from the CEO pay slice (CPS)
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Pandej Chintrakarn, Pattanaporn Chatjuthamard, Shenghui Tong, Pornsit Jiraporn Agency theory suggests that CEOs view dividends unfavorably because dividend payouts deprive them of the free cash flow they could otherwise exploit. Using Bebchuk, Cremers, and Peyer’s (2011) CEO pay slice (CPS) to measure CEO power, we find that an increase in CEO power by one standard deviation decreases the probability of paying dividends by 17.48%. For dividend-paying firms, a rise in CEO power by one standard deviation reduces the size of dividend payouts by 5.91%. Share repurchases, however, are not influenced by CEO power, although they too take away the free cash flow from the CEO.
       
  • Historical ties between nations: How do they matter in cross-border
           mergers and acquisitions'
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Reza H. Chowdhury, Min Maung This article addresses how historical ties between home and host countries contribute to the total number of cross-border mergers and acquisitions (CBMAs). The empirical findings exhibit that historical ties between two nations do not have any direct impact on the resource-seeking motive of CBMAs. However, a country-level historical relationship lessens a host government's hurdles in obtaining strategic resources by foreign acquirers and thus increases the total number of CBMAs. This inference, however, depends on the nature of the historical relationship (friendly versus hostile) between home and host countries.
       
  • Skewness, basis risk, and optimal futures demand
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Massimiliano Barbi, Silvia Romagnoli We propose a maximum-expected utility hedging model with futures where cash and futures returns follow a bivariate skew-normal distribution, such to consider the effect of skewness on the optimal futures demand. Relative to the benchmark of bivariate normality, skewness has a material impact when the agent is significantly risk averse. Pure hedging demand is either greater or smaller than minimum-variance demand, depending on the relative skewness of cash and futures positions. The difference between pure hedging and minimum-variance demand increases with basis risk, i.e. the imperfect correlation between cash and futures returns. When the agent is moderately but not infinitely risk averse, there is room for speculative positions, and the optimal futures demand is driven by both basis risk and the expected return on the futures market.
       
  • Environmental policies with excess burden of taxation in free-entry mixed
           markets
    • Abstract: Publication date: November 2018Source: International Review of Economics & Finance, Volume 58Author(s): Lili Xu, Sang-Ho Lee This study investigates environmental policies in free-entry mixed markets taking account of excess burden of taxation. We consider and compare the two ex-ante and ex-post tax policies in which the government chooses the optimal environmental tax before or after private firms invest fixed costs and enter the market, respectively. When the excess burden of taxation is small (large), we find that ex-post taxation imposes a lower (higher) tax level than ex-ante taxation, which induces a larger (smaller) number of firms and a higher (lower) environmental damage. We also show that the excess burden of taxation can increase the welfare, but ex-ante taxation always yields higher welfare than ex-post taxation. Finally, we show that privatization policy in a free-entry market decreases environmental damage but increases welfare only when the entry cost is low.
       
  • Loan loss provisioning by Italian banks: Managerial discretion,
           relationship banking, functional distance and bank risk
    • Abstract: Publication date: Available online 31 October 2018Source: International Review of Economics & FinanceAuthor(s): David Aristei, Manuela Gallo This paper investigates the loan loss provisioning behaviour of Italian banks during the period 2006–2013. We examine the main discretionary and non-discretionary determinants of loan loss provisions (LLPs) and explicitly investigate the role of bank's functional distance, geographic diversification and risk.Empirical results suggest that LLPs by Italian banks are mainly driven by non-discretionary factors related to expected credit risk. Moreover, we find that distantly managed banks adopt a more prudent provisioning approach, whereas small local cooperative credit banks have a lower level of LLPs. We also show that LLPs are higher in regional banking systems with higher loan concentration and lower degree of competition. Finally, we find that banks facing increasing levels of risk are not only characterized by higher LLPs, but also have a higher tendency to engage in earnings management practices to stabilize their income flows over time.
       
  • Do insiders share pledging affect executive pay-for-performance
           sensitivity'
    • Abstract: Publication date: Available online 29 October 2018Source: International Review of Economics & FinanceAuthor(s): Caiyue Ouyang, Jiacai Xiong, Lyu Fan We examine the impact of insider share pledging (ISP) on executive pay-for-performance sensitivity. Using Chinese data, we find that ISP leads to a decrease in executive pay-for-performance sensitivity. The results on the additional analyses show that when firms facing high ownership change risk (non-state-owned firms, located in high marketization region, or when stock price crash risk is high), the adverse impact of ISP on executive pay-for-performance sensitivity magnifies. In contrast, when a firm has good internal and external corporate governance (high institutional ownership, good internal control system, auditor with industry specific knowledge, or more analyst following), the adverse impact of ISP on executive pay-for-performance sensitivity alleviates.
       
  • The role of labor endowments on industry output in the short run: Evidence
           from U.S industries
    • Abstract: Publication date: Available online 29 October 2018Source: International Review of Economics & FinanceAuthor(s): Can Dogan, Gokhan H. Akay This paper investigates the effect of changing factor endowments on industry output using an extended version of specific factors model with skilled and unskilled labor as mobile factors. The theoretical model is calibrated with a parametric estimation of substitution elasticities of factor inputs in 29 US Industries. We show that output declines in some industries when skilled or unskilled labor endowment increases, a result that challenges findings of the standard specific factors model as well as the Rybczynski pattern with one type of labor. Our theoretical framework demonstrates that it is essential to allow for multiple mobile factors to analyze changes in output in the short run. We offer fully accurate predictions on the change of industry output in industries in which specific capital is substitute with one type of labor and complement with the other type.
       
  • Political lobbying, insider trading, and CEO compensation
    • Abstract: Publication date: Available online 27 October 2018Source: International Review of Economics & FinanceAuthor(s): Jennifer Brodmann, Omer Unsal, M. Kabir Hassan In this study, we determine why CEOs from lobbying firms receive higher pay compared to their non-lobbying peers. We investigate whether insider trading can explain high CEO pay. Using hand-collected firm-level lobbying data, we examine whether CEOs from lobbying firms engage in insider trading after sponsored bills are introduced and passed in the U.S. Congress. Our results show that the number of CEO stock transactions from lobbying firms correlates with bills being passed, which yields higher compensation packages. In addition, we find that lobbying benefits firm performance. Lobbying firms receive more government contracts, which increases firm value. Overall, lobbying benefits both CEOs and shareholders.
       
  • Global real interest rate dynamics from the late 19th century
           to today
    • Abstract: Publication date: Available online 26 October 2018Source: International Review of Economics & FinanceAuthor(s): Julius Probst There is a long-standing economic debate to what extent interest rates are determined by domestic versus international forces. Using a time series factor model, we estimate two common global factors for the short-term real interest rate for a panel of 17 advanced economies from 1871 to 2013. Our analysis shows that more than 50% of the variation in national real interest rates can be explained by our two international factors alone. While our data encompasses several macroeconomic regime changes, we find in general that real interest rates are more responsive to international conditions during times of high international capital mobility, such as the post Bretton Woods period. Our first common global factor can be interpreted as an approximation of the global short-term equilibrium real interest rate. Using an error-correction approach, we show that that the global real interest rate acts as a force of attraction for national real interest rates. Moreover, our factor analysis can also explain the long-term downward trend of national real interest rates that started in the 1980s, meaning that the forces of secular stagnation have acted on a global level. Finally, we estimate a Panel-VAR model, which allows us to show that the national business cycle is highly responsive to our two common global factor variables, thus indicating that small economies have increasing difficulties to insulate themselves from international macroeconomic conditions. Our analysis is important insofar as it shows that during periods of high capital mobility Central Banks might have even less influence in setting the domestic short-term real interest rate than what is commonly assumed by most neo-keynesian macroeconomic models.
       
  • Bargaining merger terms and the effect on the announcement returns
    • Abstract: Publication date: Available online 24 October 2018Source: International Review of Economics & FinanceAuthor(s): Paulo J. Pereira, Artur Rodrigues This paper develops a dynamic model for the timing and terms of mergers. In contrast to other models, we show that firms agree about the timing independently from how the merger surplus is shared or their bargaining power. We show that, under asymmetry of information, the combination of surprises on the merger timing and the merger terms, can produce negative or positive abnormal announcement returns for the merging firms. The abnormal returns are also possible under perfect information, even if the announcements are expected by the market, and occur as a result of the event-study methodology.
       
  • Historical decoupling in the EU: Evidence from time-frequency analysis
    • Abstract: Publication date: Available online 24 October 2018Source: International Review of Economics & FinanceAuthor(s): Svatopluk Kapounek, Zuzana Kučerová We investigate economic cycle comovements and identify directions of relationships to discuss the spread of asymmetric shocks across the European Union during the twenty years from the euro adoption. We contribute to traditional wavelet analyses with an updated historical overview of economic cycle comovements in 24 EU countries over 35 years with particular attention to the main milestones in the European integration process.We show the significant economic cycle synchronisation between France and the EU and point out the decoupling of Germany, the United Kingdom and countries in Southern Europe. In addition we find strong evidence of comovements between the three Baltic countries. Our results do not support the idea of increasing business cycle synchronisation of monetary union members, despite European economic integration deepening.
       
  • Asian financial market integration and the role of Chinese financial
           market
    • Abstract: Publication date: Available online 19 October 2018Source: International Review of Economics & FinanceAuthor(s): Byung-Joo Lee This paper uses panel unit root test and panel cointegration test to examine whether there are common trends among Asian financial markets, and if there are common trends, are they stationary or not. Asian stock market integration is an important issue in the midst of ever increasing goods and service trades. Despite the recent progress, the degree of intra-regional financial integration appears to lag behind the increase in trades in the region. Empirical evidence shows that financial market returns among Asian countries are all stationary in itself and panel unit root tests reinforces this conclusion. Asian financial markets generally move together, and they could be integrated in a statistical point of view. China appears to be an outlier in this analysis, and her financial market is not in sync with any other Asian financial markets in the sample.
       
  • Productivity enhancing trade through local fragmentation
    • Abstract: Publication date: Available online 17 October 2018Source: International Review of Economics & FinanceAuthor(s): Sugata Marjit, Xinpeng Xu, Lei YangAbstactMechanisms linking trade and productivity are rarely discussed in well accepted trade-theoretic literature although such a link is critical especially for understanding how trade helps developing countries. We restructure the standard neo-classical model of trade to provide a clear mechanism that leads to productivity enhancement in the export sector. As trade in labor-abundant countries reduces the real return to capital due to Stolper-Samuelson hypothesis, entrepreneurs find it easier to establish new businesses as capital costs decline. A section of workers becomes entrepreneurs producing and supplying cheaper intermediate goods to the export sector. Expanding export sector helps such a process, whereas contracting import-competing sector does not. New entrepreneurs boost the productivity of the export sector by supplying low-cost input. Here a boost in entrepreneurship induced by a decline in capital cost increases productivity of the export sector. Thus, this paper establishes a different and novel link between trade and productivity.
       
  • Automation, wage inequality and implications of a robot tax
    • Abstract: Publication date: Available online 16 October 2018Source: International Review of Economics & FinanceAuthor(s): Pengqing Zhang To examine how automation affects the skilled-unskilled wage gap and whether robots should be taxed, this paper embeds the use of robots within the specific-factor framework. In the basic model, we show that an acceleration in automation generates the displacement effect and the capital reallocation effect. If the elasticity of substitution between labor and capital in the robot-producing sector is not too small (resp. is sufficiently small), then the capital reallocation effect cannot (resp. can) counteract the displacement effect and thus the wage gap will be expanded (resp. will be narrowed down). In the extended models, the results of the basic model will still hold when a labor union is introduced into the robot-using sector, but the wage gap will be unconditionally expanded when a regulated wage rate is introduced into that sector. In both the basic model and the extended models, a tax on robots will unambiguously narrow down the wage gap.
       
  • A structural model to assess the impact of bank capitalization changes
           conditional on a bail-in versus bail-out regime (∗)
    • Abstract: Publication date: Available online 15 October 2018Source: International Review of Economics & FinanceAuthor(s): Tomasz Dubiel-Teleszynski, Marco Gross, Javier Población We develop a structural model for valuing bank balance sheet components such as the equity and debt value, the value for the government when the bank is operated by private shareholders including the present value of a possible future bailout, the bailout value incurred by the government following the abandonment of the private shareholders, and, moreover, some price and risk parameters, including the funding cost spread and the banks' probability of default. The structural model implies an abandonment threshold, at which if total income drops below this threshold, private shareholders abandon the bank. In this case, the shareholders lose part (or all) of the capital that they hold in the bank, the creditors lose part or all of their debt, and the government receives a portion (or all) of the capital and all of the debt that is not recovered by creditors. Hence, we assume that part of the capital can be lost due to financial distress or to cover bankruptcy costs. We use the model framework to assess the impact of capital-based macro-prudential policy measures and focus in particular on assessing the difference that an assumed bail-in as opposed to bail-out regime can make.
       
  • Stock return predictability: Evidence from a structural model
    • Abstract: Publication date: Available online 15 October 2018Source: International Review of Economics & FinanceAuthor(s): Pholile Dladla, Christopher Malikane We derive a linear model that can be used to explain variations in stock returns. Our derivation is based on the dividend discount theory. The model incorporates macroeconomic variables through the Taylor rule, which makes it also relevant for policy-makers. One advantage of this model is that its parameters are transparent, thereby permitting an examination of the sources of the well-documented instability of parameters in return prediction models. We estimate the model for six advanced and five emerging market economies and find that its ability to explain variations in stock returns is a significant improvement on existing models in the literature. Out-of-sample forecast evaluation shows that the model consistently beats the historical average benchmark and it beats the autoregressive benchmark at longer horizons. Further tests reveal that our model forecasts are better than those derived from the simple dividend yield model at longer horizons.
       
  • Pricing discrete barrier options under jump-diffusion model with liquidity
           risk
    • Abstract: Publication date: Available online 13 October 2018Source: International Review of Economics & FinanceAuthor(s): Zhe Li, Wei-Guo Zhang, Yong-Jun Liu, Yue Zhang Classical option pricing theories are usually built on the paradigm of competitive and frictionless markets, while ignoring the impact of market liquidity on underlying asset prices. In this paper, the importance of liquidity risk on discrete barrier option pricing is analyzed. First, we propose a new model for describing the asset price dynamics in the presence of jumps and liquidity risks, which is able to capture empirically observed patterns. Based on the COS method, we then derive the analytical approximation formulas for the prices of the discrete barrier options. Numerical experiments demonstrate the accuracy of our proposed pricing model by comparing the analytical approximation solutions with Monte Carlo simulation. Finally, empirically studies are carried out to show the superiority of our model based on SSE 50 ETF options. The numerical and empirical results support our idea of introducing liquidity risk and jumps into the underlying asset price dynamics.
       
  • Firm and industry specific determinants of capital structure: Evidence
           from the Australian market
    • Abstract: Publication date: Available online 13 October 2018Source: International Review of Economics & FinanceAuthor(s): Larry Li, Silvia Z. Islam We demonstrate the importance of firm-specific and industry-specific factors in the leverage decision on a sample of Australian publicly listed companies from 1999 to 2012. Empirical findings show that some firm-specific factors vary across industries, whereas, several previous studies find an equal impact of these factors. In addition, we find that industry-specific factors have direct and indirect impacts on the formation of the capital structure of Australian firms, but the results of some industry-specific factors are subject to the choices of leverage ratios. Overall, we conclude that industry-specific factors are important in terms of corporate capital structure formation.
       
  • Do gold mining stocks behave like gold or equities' Evidence from the
           UK and the US
    • Abstract: Publication date: Available online 10 October 2018Source: International Review of Economics & FinanceAuthor(s): Arif Billah Dar, Niyati Bhanja, Manas Paul In this paper, we explore if gold mining stocks behave like gold or equities in the United Kingdom and the United States. We do this by testing the dynamic interaction of gold mining stock with gold and equities, both over time and across different time horizons. It is shown that gold mining stocks are positively but not perfectly correlated with the gold at some time horizons and time periods; however, they are either loosely or not correlated with equities over different time horizons. Broadly, it appears that gold mining stocks behave more like gold. The results drawn have important implications for the hedge, diversifier, and safe haven properties of gold and gold mining stocks for multi-horizon portfolio managers.
       
  • Portfolio Rebalancing Behavior with Operating Losses and Investment
           Regulation
    • Abstract: Publication date: Available online 8 October 2018Source: International Review of Economics & FinanceAuthor(s): M. Martin Boyer, Elicia P. Cowins, Willie D. Reddic Firms should make every attempt to reduce their tax burden by, for instance, preferring higher-yield taxable investments when faced with operating losses and lower-yield tax-exempt investments otherwise. We examine in this paper whether there are impediments to rebalancing which result from a firm’s regulatory environment. Using an original measure of investment regulatory stringency that U.S. property and casualty insurers encounter, we find that insurers operating in more stringent regulatory environments receive a lower percentage of their investment income from taxable sources. We conclude that regulatory constraints limit insurers from rebalancing efficiently their investment portfolio in response to operational performance.
       
  • Regional distribution of college enrollment in China under a
           multiple-principal framework
    • Abstract: Publication date: September 2018Source: International Review of Economics & Finance, Volume 57Author(s): Zhou Bihua What factors affect the regional distribution of college enrollment in China' This paper establishes a simple theoretical model under a multiple-principal framework and verifies that local college enrollment is affected by factors such as the principals involved, the educational quality, the availability and type of incentives, and policy constraints. The results show that principals adopt different incentive strategies, including “performance purchase” and “cost support”. In addition, local government fiscal incentives can increase local enrollment. Among affiliated colleges, those with higher educational quality have higher local enrollment; among local colleges, those with higher educational quality have lower local enrollment.
       
  • The effect of family property income on labor supply: Evidence from China
    • Abstract: Publication date: September 2018Source: International Review of Economics & Finance, Volume 57Author(s): Yong Wang, Yanxia Ge This paper discusses the impact of family property income on labor supply. We use a Heckman two-stage model to solve the selection problem and CFPS data to conduct an empirical test. Depending on the estimation results of the Heckman two-stage model, family property income reduces the probability of employment and lowers the labor supply. Additionally, the negative effect on younger workers is greater than that of elder workers. As family property income is growing rapidly in China, how to inspiring young workers to join in the labor force will become a problem that society must face.
       
  • Resource allocation and productivity across provinces in China
    • Abstract: Publication date: September 2018Source: International Review of Economics & Finance, Volume 57Author(s): Peng Bin, Xiaolan Chen, Andrea Fracasso, Chiara Tomasi The rapid economic development in China has been characterized by levels of productivity very heterogeneous across local areas. This work investigates a previously unexplored aspect of such heterogeneity by assessing the degree of within-industry allocative efficiency across provinces over the period 1998–2007. Using firm-level data on the Chinese manufacturing firms, we measure resource misallocation by computing the within-industry covariance between size and productivity at the provincial level. The results suggest that allocative efficiency varies considerably across areas and that some place-based factors strongly influence the distribution of resources across firms.
       
  • China's SO2 shadow prices and environmental technical
           efficiency at the province level
    • Abstract: Publication date: September 2018Source: International Review of Economics & Finance, Volume 57Author(s): Shihong Zeng, Xue Jiang, Bin Su, Xin Nan This paper uses the output directional distance function to estimate the shadow prices and environmental technical efficiency of China's provincial SO2 emissions for 2001–2013. The shadow prices were regarded as the abatement cost. We found that the Chinese national average SO2 shadow price showed a fluctuating downward trend during the period of 2001–2012 and increased significantly in 2013. The results also show that the mean value of the non-efficiency of environmental technology presents a downward trend. Moreover, the values of environmental technical non-efficiency of all production units are greater than zero, which shows that there is room for improvement. Finally, the factors influencing the shadow price were analyzed using regression analysis, which revealed a negative correlation between the shadow price of CO2 and that of SO2. The shadow price of SO2 will decrease with increasing per capita GDP. The effect of capital-labor intensity is also significant, but the coefficient is positive, i.e., higher capital-labor intensity is associated with a higher SO2 abatement cost.
       
  • Environmental policy, firm dynamics and wage inequality in developing
           countries
    • Abstract: Publication date: September 2018Source: International Review of Economics & Finance, Volume 57Author(s): Mong Shan Ee, Chi-Chur Chao, Xiangbo Liu, Eden S.H. Yu This paper examines the effects of pollution taxes on wage gap, social welfare and the environment of a developing economy. In the short run, we find that a rise in the pollution tax has an ambiguous effect on the skilled-unskilled wage gap. However, the higher pollution tax can cause urban firms to exit in the long run. Capital is released to the rural sector and benefits the production of rural workers. These predictions are empirically validated. The higher pollution tax can yield a double dividend by not only reducing pollution emissions, but also mitigating skilled-unskilled wage gap in the economy.
       
  • Lending technology and credit risk under different types of loans to SMEs:
           Evidence from China
    • Abstract: Publication date: September 2018Source: International Review of Economics & Finance, Volume 57Author(s): Zhuo-lin Song, Xiao-mei Zhang This paper analyses lending to small and medium-sized enterprises (SMEs), including the lending technologies used and the default risks for loans of different types using loan data on Chinese unlisted SMEs from 2010 to 2013. We find that both credit loans and third-party-guaranteed loans are examples of transaction lending. However, due to the risk-sharing mechanism, the lending technology used by banks for third-party-guaranteed loans is not a common transaction lending technology. In terms of default risk, there is no significant difference between credit loans and collateralized loans. In contrast, the default risk for third-party-guaranteed loans is higher.
       
  • Migration and FDI: The role of job skills
    • Abstract: Publication date: Available online 4 October 2018Source: International Review of Economics & FinanceAuthor(s): Ana Cuadros, Joan Mart-n-Montaner, Jordi Paniagua Using a multi-country gravity framework, this paper models and quantifies the relevance of migrants' job position in promoting Foreign Direct Investment (FDI). High-skilled migrants are defined as those individuals born in the investors' home/host country occupying managerial or professional positions in the host/home country of investment. Our estimates show that higher shares of migrants with management skills in a given country promote FDI into that country. In contrast, an increase in the share of migrants in non-qualified positions (regardless of their educational attainment) has a negative impact on FDI decisions. These findings highlight that the FDI-enhancing effect of migrants is related to a shift in their skill composition due to their occupation. We test our model on a new global panel data set of Greenfield bilateral investment with a wide variety of specifications, both at the extensive and intensive margins. Additionally, we provide new insights into the mechanisms by which migration influences FDI flows, with particular attention to the relevance of FDI level and activity.
       
  • Independent Director Connectedness in China: An Examination of the Trade
           Credit Financing Hypothesis
    • Abstract: Publication date: Available online 1 October 2018Source: International Review of Economics & FinanceAuthor(s): Changyuan Xia, Xiaowei Zhang, Chunfang Ca, Nan Xu We propose and examine a trade credit financing hypothesis of independent director connectedness. Our conjecture is that a firm with well-connected independent directors can obtain more trade credit. The findings suggest that independent director connectedness is positively correlated with the amount of trade credit available to a firm. The trade credit obtained is costly, however. Relationship-based financing comes in the form of higher-cost notes payable, rather than lower-cost accounts payable. Specifically, we find that firms with financial constraints are more likely to benefit from independent director connectedness in obtaining trade credit. We show that the roles of independent directors include trade credit financing in addition to traditional monitoring and advising.
       
  • How does analyst forecast dispersion affect SEO discounts in uniform-price
           auction system' Evidence from investor bids in China
    • Abstract: Publication date: Available online 1 October 2018Source: International Review of Economics & FinanceAuthor(s): Mingjing Yang, Xiaoke Cheng, Qian Sun, Chao Lu This study investigates the relationship between the analyst forecast dispersion and SEO pricing in auction system of SEOs in China. Leveraging detailed investor bids, our findings show that the analyst forecast dispersion has two opposite information contents, information asymmetry and divergent opinions, both of which affect the investor bidding behavior and SEO pricing. The information asymmetry effect leads to a decrease in weighted average of investor bid prices and the divergent opinions effect leads to an increase in the standard deviation of bid prices. The net effect of the two information contents in analyst forecast dispersion results in an increase in SEO discounts, suggesting the effect of information asymmetry outweighs that of divergent opinions. Furthermore, the transmission mechanism test shows that the investor bidding behavior is a complete transmission channel underling the impact of analyst forecast dispersion and SEO discounts. Our findings contribute to the literature related to SEO discount determinants and how financial analysts affect capital markets.
       
  • Intraday Price Discovery and Volatility Spillovers in an Emerging Market
    • Abstract: Publication date: Available online 28 September 2018Source: International Review of Economics & FinanceAuthor(s): Athanasios P. Fassas, Costas Siriopoulos This paper extends the study of price discovery and volatility transmission between the cash and futures index prices in Athens Exchange by using a new high-frequency dataset. It also employs, for the first time in the Greek market, well-known techniques to examine the long-run relationships and the short-run dynamics between spot and futures prices. In sum, the error correction model estimations and the estimated information shares provide evidence in support of the leading role of the futures market in the price discovery process. Furthermore, our results suggest strong bi-directional dependence in the intraday volatility of both markets, refuting prior empirical findings. Finally, we show that the pricing efficiency of the futures contracts in Athens Exchange has improved over the last years, as we document fewer divergences from the no-arbitrage window.
       
  • The impact of tail risk on stock market returns: The role of market
           sentiment
    • Abstract: Publication date: Available online 27 September 2018Source: International Review of Economics & FinanceAuthor(s): Thanaset Chevapatrakul, Zhongxiang Xu, Kai Yao We examine the return predictability of time-varying extreme-event risk at the different points on the return distribution using quantile regression. We find evidence of strong predictive power at the lower quantiles for forecast horizons of up to one year. At the higher quantiles, however, our results show no association between tail risk and the excess stock market returns. Taken together, the evidence explains the abnormally large equity premium, observed during periods of sharp falls in stock prices when market sentiment is bearish.
       
  • Volatility forecasting of crude oil market: Can the Regime Switching GARCH
           model beat the single-regime GARCH models'
    • Abstract: Publication date: Available online 22 September 2018Source: International Review of Economics & FinanceAuthor(s): Yue-Jun Zhang, Ting Yao, Ling-Yun He, Ronald Ripple GARCH-type models are frequently used to forecast crude oil price volatility, and whether we should consider multiple regimes for the GARCH-type models is of great significance for the forecasting work but does not have a final conclusion yet. To that end, this paper estimates and forecasts crude oil price volatility using three single-regime GARCH (i.e., GARCH, GJR-GARCH and EGARCH) and two regime-switching GARCH (i.e., MMGARCH and MRS-GARCH) models. Furthermore, the Model Confidence Set (MCS) procedure is employed to evaluate the forecasting performance. The in-sample results show that the MRS-GARCH model provides higher estimation accuracy in weekly data. However, the out-of-sample results show the limited significance of considering the regime switching. Overall, our results indicate that the incorporation of regime switching does not perform significantly better than the single-regime GARCH models. The findings are proved to be robust to both daily and weekly data for WTI and Brent over different time horizons.
       
  • The Geography of CSR
    • Abstract: Publication date: Available online 21 September 2018Source: International Review of Economics & FinanceAuthor(s): David K. Ding, Christo Ferreira, Udomsak Wongchoti We regress socio-economic indicators against firm level CSR scores using a sample of over 26,000 firm year observations from 1991 through 2009. We find that a firm’s CSR profile is linked to the socio-economic conditions of the firm’s geographic headquarters (HQ) location. The study documents that the legal, cultural, economic, and demographic differences across geography significantly explain the variation in CSR means between metropolitan statistical areas, states, and regions. We also find that the relation between CSR and firm performance is conditional on socio-economic factors, which highlight the endogeneity concerns inherent in CSR studies. Lastly, we show that firms that cluster along a CSR continuum experience an increase in firm value.
       
  • Investigating the relationship between financial liberalization and
           capital flow waves: A panel data analysis
    • Abstract: Publication date: Available online 19 September 2018Source: International Review of Economics & FinanceAuthor(s): Haizhen Yang, Fangfang Shi, Jie Wang, Zhongbo Jing This paper examines whether financial liberalization predisposes countries to capital flow waves. After identifying the waves of FDI, portfolio and other flows, we investigate the relationships between those waves and financial liberalization. Our results demonstrate that waves of these three kinds of capital flows respond quite differently to financial liberalization. Specifically, in emerging countries, surges for the type of other flows show a higher propensity following financial liberalization, while the likelihood of surge episodes of portfolio flows significantly decrease for developed countries. In addition, liberalization may eventually trigger capital flight in portfolio flows in emerging economies. Our conclusions are tested for various scenarios and prone to be robust.
       
  • Slopes, spreads, and depth: Monetary policy announcements and liquidity
           provision in the energy futures market
    • Abstract: Publication date: Available online 12 September 2018Source: International Review of Economics & FinanceAuthor(s): L.A. Smales Crude oil futures play an important role in the global energy and financial markets, yet the dynamics of liquidity in this crucial market have largely been ignored. Understanding how macroeconomic events shape liquidity in this market is important for both hedgers and speculators. Using high-frequency data, we consider three elements of market liquidity to achieve a detailed picture of liquidity provision in the period around monetary policy announcements; the bid-ask spread, market depth, and order book slope. We show that liquidity is removed from the market around 2-mins prior to the announcement, is exceptionally low at the time of the announcement, and then reverts to normal within 9-mins of the announcement. The magnitude of the liquidity response is influenced by the size of the monetary policy surprise, consistent with traders that seek to protect themselves when the risk of adverse selection is greatest. The liquidity response is also determined by the term structure of the futures curve, and prevailing credit conditions.
       
  • Modeling the Joint Dynamic Value at Risk of the Volatility Index, Oil
           Price, and Exchange Rate
    • Abstract: Publication date: Available online 7 September 2018Source: International Review of Economics & FinanceAuthor(s): Wei Peng, Shichao Hu, Wang Chen, Yu-feng Zeng, Lu Yang In this study, we investigate how the volatility index (VIX) and oil price influence the foreign exchange rate based on a conditional autoregressive value at risk model. We find that the oil price affects the value at risk (VaR) of exchange rates of oil-importing and oil-exporting countries differently. Further, the VIX as a volatility measure can only influence the tail risk of these currencies when the US financial market fluctuates significantly. In addition, we find that there is a significant increase in the volatility of the VaR of these currencies after the financial crisis. Our empirical results would provide useful information for investors.
       
  • Risk Disclosure in Annual Reports and Corporate Investment Efficiency
    • Abstract: Publication date: Available online 7 September 2018Source: International Review of Economics & FinanceAuthor(s): Yanqiong Li, Jie He, Min Xiao We calculate a risk disclosure index (RDI) from annual reports by applying textual analysis and study how it affects investment efficiency in firms. The results show that the higher the frequency of risk disclosure in sections of “Significant Risk Factors and MD&A” is, the higher the corporate investment efficiency will be. In further analysis, we find that the effect of risk disclosure on corporate investment efficiency is more prominent in the more positive disclosure tone or more keywords about investment category as well as more demands of information and better ability of information processing from investors. Our results support the convergence argument on risk disclosure, and our findings advance the literature of both risk disclosure and investment efficiency.
       
  • The impact of large orders in electronic markets
    • Abstract: Publication date: Available online 6 September 2018Source: International Review of Economics & FinanceAuthor(s): Maurizio Murgia, Andrea Pinna, Pietro Gottardo, Luisella Bosetti
       
  • Combining the endogenous choice of the timing of setting incentive
           parameters and the contents of strategic contracts in a managerial mixed
           duopoly
    • Abstract: Publication date: Available online 6 September 2018Source: International Review of Economics & FinanceAuthor(s): Yasuhiko Nakamura This study considers a game in which both the timing of setting the incentive parameters and the contents of the strategic contracts are determined endogenously. We investigate this game in a managerial mixed duopoly comprising a public firm with a welfare-maximizing owner and a private firm with a profit-maximizing owner. We suppose that the managers of both firms are employed based on their sales delegation contracts, which are equal to the weighted sum of their profits and sales revenues with respect to their FJSV incentive parameters. We show that two equilibrium market structures are possible in this game: (1) the market structure in which the owner of the public firm is the follower with a quantity contract and the owner of the private firm is the leader with a price contract and (2) the market structure in which the owners of both firms use price contracts and set their FJSV incentive parameters simultaneously in the late period. Furthermore, we show that the highest degree of social welfare can be achieved with the first equilibrium market structure. Therefore, the game considered in this study differs from the game in which both the timing of setting the incentive parameters and the contents of the strategic contracts are determined endogenously in a managerial private duopoly composed of two firms with profit-maximizing owners. Specifically, in the game considered in this study, it is unnecessary for the corresponding authority, such as the government, to regulate the free determination of both the timing of setting the incentive parameters and the contents of the strategic contracts based on each firm's individual incentive. In addition, since the cost functions and their quantities are represented under the technologies of both firms, we confirm the results concerning the equilibrium market structures and welfare implications obtained in the case where both firms have constant marginal cost functions with respect to their quantities.
       
  • Paying attention to social media stocks
    • Abstract: Publication date: Available online 5 September 2018Source: International Review of Economics & FinanceAuthor(s): Wan-Jiun Paul Chiou, Heather S. Knewtson, John R. Nofsinger Social media has reshaped business models, economies, politics, and culture around the world. In this paper, we identified social media stocks from various sectors by using a strict, academic definition and then studied their performance and return characteristics. Multivariate regression results demonstrate that being recognized as a social media firm yields extra return. The performance of social media stocks is not associated with macro-level sentiment, but rather with firm-level attention paid by potential investors. Causality tests indicate that the default risk premium and volatility have incremental power in explaining the performance of social media stocks.
       
  • The role of economic policy uncertainties in predicting stock returns and
           their volatility for Hong Kong, Malaysia and South Korea
    • Abstract: Publication date: Available online 5 September 2018Source: International Review of Economics & FinanceAuthor(s): Mehmet Balcilar, Rangan Gupta, Won Joong Kim, Clement Kyei This paper analyzes whether we can predict stock return and its volatility of Hong Kong, Malaysia and South Korea based on measures of domestic and global (China, the European Area, Japan, and the US) economic policy uncertainties (EPU). While, linear Granger causality tests fail to find evidence of predictability, barring the case of South Korean EPU predicting its own stock returns, when we use a nonparametric causality-in-quantiles test, strong evidence of causality is detected from the EPUs for stock return volatility of Malaysia, and both returns and volatility at certain parts of the conditional distributions for South Korea. There is no evidence of predictability from domestic and global EPUs for return and volatility of the Hong Kong stock market. Given the statistical evidence of nonlinearity in our data set, we consider the results from the nonparametric test as more robust relative to the standard linear causality test.
       
  • Partial acquisition with an excluded public rival
    • Abstract: Publication date: Available online 5 September 2018Source: International Review of Economics & FinanceAuthor(s): Long Cheng, John S. Heywood, Guangliang Ye This paper examines partial acquisition in the face of an outside public firm. We show that when the acquiring firm is domestic, partial acquisition takes place for any institutional threshold for pricing control. Yet, when the acquiring firm is foreign, partial acquisition can be forestalled by a sufficiently high threshold requirement. This threshold can increase domestic welfare and global welfare by stopping an inefficient partial acquisition. Moreover, this mixed market structure can generate greater global welfare than one with an outside private firm.
       
  • How does customer concentration affect informal financing'
    • Abstract: Publication date: Available online 5 September 2018Source: International Review of Economics & FinanceAuthor(s): Xuan Peng, XiongYuan Wang, Lina Yan We examine how customer concentration of a firm affects the amount of informal financing (trade credit) granted by the firm. Using a sample of Chinese public firms from 2007 to 2013, we document that customer concentration and informal financing are positively correlated. The findings are robust to alternative measures of customer concentration and informal financing and account for selection bias. We further report evidence that the impact of customer concentration on informal financing is less pronounced when the firm has high corporate risk. In contrast, when a firm has high financial leverage or receives a large amount of informal financing from its suppliers, the impact of customer concentration on informal financing granted is stronger. Our findings advance the informal financing literature by providing direct evidence on the impact of customer concentration.
       
  • The anchoring effect of underwriters' proposed price ranges on
           institutional investors' bid prices in IPO auctions: Evidence from China
    • Abstract: Publication date: Available online 5 September 2018Source: International Review of Economics & FinanceAuthor(s): Shenghao Gao, Feng Cao, Robert (Chi-Wing) Fok We examine the anchoring effect of underwriters' proposed price ranges on institutional investors' bid prices during IPO auctions. We find that the distribution of investor bid prices exhibits sharp spikes around both endpoints (the reference points) of underwriters' proposed price ranges and that investor bid prices increase with the disparity between the reference points and the expected IPO offer price. Our findings are robust to a battery of checks. In addition, the final IPO offer price is positively and the aftermarket performance is negatively associated with the disparity, respectively. Our findings suggest that institutional investors anchor on underwriters' proposed price ranges when bidding in IPO auctions and this anchoring effect has wealth effect on IPO pricing.
       
  • Regional financial efficiency and its non-linear effects on economic
           growth in China
    • Abstract: Publication date: Available online 5 September 2018Source: International Review of Economics & FinanceAuthor(s): May Hu, Jing Zhang, Chi Chur Chao This paper examines regional financial efficiency and economic development in China. We find significant differences in financial efficiency among the eastern, central, and western regions of China and a non-linear relationship between financial efficiency and economic growth. We find that financial efficiency promotes economic growth only when it reaches a certain level (financial threshold). It increases capacity for the accumulation and allocation of financial resources where it exceeds the threshold. Rapid inancial development can provide a superior financial environment and improved conditions for economic growth to promote the continuous improvement of the Chinese economy.
       
  • Do political connections enhance or impede corporate innovation'
    • Abstract: Publication date: Available online 5 September 2018Source: International Review of Economics & FinanceAuthor(s): Zhong-qin Su, Zuoping Xiao, Lin Yu We establish a comprehensive political connection index based on manually collected personal profiles of top firm managers or board members to examine the contribution of political connections to corporate innovation and the channels of this relation. Our results indicate that politically connected firms tend to have more innovation than non-connected firms, and government subsidies mediate this relation. Moreover, the innovation-enhancing value of political connections is especially important for firms that receive less government support, such as non-SOEs and low-tech companies.
       
  • Structural change and wage inequality
    • Abstract: Publication date: Available online 1 August 2018Source: International Review of Economics & FinanceAuthor(s): Jiancai Pi, Pengqing Zhang This paper investigates how structural change driven by factor intensity differences affects the skilled-unskilled wage inequality through the three-sector general equilibrium approach. In the basic model, we find that when structural change happens in the urban skilled sector (resp. the urban unskilled sector), the wage inequality will be expanded (resp. narrowed down) if the capital-labor ratio in this sector is larger than one. In the extended models, we introduce urban unemployment and the open capital market separately into the basic model, and find that the main results of the basic model almost still hold.
       
  • Multi-moment risk, hedging strategies, & the business cycle
    • Abstract: Publication date: Available online 30 July 2018Source: International Review of Economics & FinanceAuthor(s): François-Éric Racicot, Raymond Théoret We study the asymmetric responses of hedge fund return moments—especially higher moments as measured by return co-skewness and co-kurtosis—to macroeconomic and financial shocks depending on the phase of the business cycle. Similarly to previous papers on hedge fund systematic market risk (beta), we find that hedge funds seem to monitor their return co-skewness and co-kurtosis. The response of their return moments to VIX shocks—our indicator of macroeconomic and financial uncertainty—is particularly important, hedge funds reducing their beta and co-kurtosis and increasing their co-skewness following a (positive) VIX shock. Overall, the representative hedge fund tends to behave as an insurance seller in economic expansion and as an insurance buyer in recession or crisis. Finally, VIX shocks contribute to increase systemic risk in the hedge fund industry.
       
  • Macroprudential policy and foreign interest rate shocks: A comparison of
           loan-to-value and capital requirements
    • Abstract: Publication date: Available online 27 July 2018Source: International Review of Economics & FinanceAuthor(s): Chris Garbers, Guangling Liu This paper presents a generic small open economy real business cycle model with domestic and foreign borrowing. We incorporate capital requirements and loan-to-value regulation into this framework, and subject the model to a positive foreign interest rate shock that raises the country risk premium and reduces the supply of foreign funds. The results show that both these macroprudential instruments can attenuate the impact of such a shock and that their joint application is Pareto optimal. Loan-to-value regulation delivers the largest shock attenuation benefits but entail a welfare tradeoff between borrowers and savers. Capital requirements improve the welfare of both agents, but have smaller shock attenuation benefits. Lastly, we find that a macroprudential response to foreign interest rate shocks can benefit both financial and macroeconomic stability.
       
  • Endogenous strategic trade policy: The case of the third market model
    • Abstract: Publication date: Available online 26 July 2018Source: International Review of Economics & FinanceAuthor(s): Shoou-Rong Tsai, Pan-Long Tsai, Yungho Weng Using simple linear demand functions, we have shown that in the thircd market strategic trade policy model there cannot be Cournot-Bertrand or Bertrand-Cournot competition in equilibrium if the two firms choose strategic variables endogenously. More importantly, knowing that the firms will react to its policy in choosing their strategic variables, the government can indeed provide export subsidies to the home firm to maximize the home social welfare if some moderate, reasonable constraints are satisfied.
       
  • Analysis of risk premium in UK natural gas futures
    • Abstract: Publication date: Available online 21 July 2018Source: International Review of Economics & FinanceAuthor(s): Beatriz Martínez, Hipòlit Torró In many futures markets, trading is concentrated on the front contract and positions are rolled-over until the strategy horizon is attained. In this paper, a pair-wise comparison between the conventional risk premium and the accrued risk premium in rolled-over positions on the front contract is carried out for UK natural gas futures. Several novel results are obtained. Firstly, and most importantly, the accrued risk premium in rollover strategies is significatively larger than conventional risk premiums and increases with the time to delivery. Specifically, for strategy horizons between three and six months, this difference increases from 1% to 10% (or from 4% to 20% in annualized returns). Secondly, it is the first time that risk premium in day-ahead forwards has been measured in this market. The average value of the day-ahead risk premium is 0.5% per day and it is statistically significant. Thirdly, all risk premiums are significantly larger and more volatile in winter. Finally, risk premium time-variation is analyzed using a regression model. It is shown that reservoir shocks, demand shocks and spot price volatility are significant explicative variables and its sign reflects equilibrium models implications for storable commodities.
       
  • Were Reinhart and Rogoff right'
    • Abstract: Publication date: Available online 20 July 2018Source: International Review of Economics & FinanceAuthor(s): Nicholas Bitar, Avik Chakrabarti, Hussein Zeaiter A vast and growing empirical literature aims at identifying the links between economic growth and public debt. The literature is extensive and controversial. Can policy-makers use this body of research to learn anything about the growth-debt nexus' We revisit the Reinhart-Rogoff (RR) hypothesis to examine the sensitivity of any plausible association between growth and debt to systematic alterations in the conditioning information set. Our meta-analyses, spanning the complete RR panel of 44 countries over the period 1946–2009, lead us to conclude with reasonable confidence that Reinhart and Rogoff were right!.
       
  • Medical decision-making by patients and providers under uncertainty and in
           the presence of antibiotic resistance
    • Abstract: Publication date: Available online 10 July 2018Source: International Review of Economics & FinanceAuthor(s): Sanjana S. Batabyal, Amitrajeet A. Batabyal We analyze the medical decision-making process, first from the perspective of a patient and then from the perspective of a health care provider. Using a decision-tree, we describe the different actions a mother can take to treat her daughter, who she suspects has otitis media—an ear infection. Next, we use comparative statics and numerical analysis to show how altering inputs (magnitude of infection probability, cost terms) can affect the outputs. Finally, we examine how different socioeconomic variables influence the mother's decision making process. With regard to the health care provider, we delineate the setting in which the physician operates and then derive the long run expected cost of providing health care that this physician seeks to minimize. Next, we set up the cost minimization problem and describe the optimal solution implicitly. Finally, we explain why this implicit characterization of the optimal solution is all that is possible analytically.
       
 
 
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