Ahn, K & Hambusch, G 2024, 'Reversal evidence from investor sentiment in international stock markets', International Review of Finance.
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AbstractThis research investigates the effect of sentiment on the time‐series and cross‐section of mean, variance and correlation of asset returns to examine how investor sentiment creates predictable variations in financial markets. Based on the method proposed by Baker and Wurgler (2007, Investor sentiment in the stock market, Journal of Economic Perspectives 21, 129‐152), we build composite sentiment indexes with a focus on international markets. Our time‐series results show that optimistic (pessimistic) sentiment leads to overpricing (underpricing) and that variance and correlation of asset returns increase when investors are pessimistic. Our cross‐ section results suggest that these effects tend to become more pronounced for stocks with more exposure to sentiment or the market.
Armanious, A & Zhao, R 2024, 'Stock liquidity effect on leverage: The role of debt security, financial constraint, and risk around the global financial crisis and Covid-19 pandemic', International Review of Financial Analysis, vol. 92, pp. 103093-103093.
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Fišar, M, Greiner, B, Huber, C, Katok, E & Ozkes, AI 2024, 'Reproducibility in Management Science', Management Science, vol. 70, no. 3, pp. 1343-1356.
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With the help of more than 700 reviewers, we assess the reproducibility of nearly 500 articles published in the journal Management Science before and after the introduction of a new Data and Code Disclosure policy in 2019. When considering only articles for which data accessibility and hardware and software requirements were not an obstacle for reviewers, the results of more than 95% of articles under the new disclosure policy could be fully or largely computationally reproduced. However, for 29% of articles, at least part of the data set was not accessible to the reviewer. Considering all articles in our sample reduces the share of reproduced articles to 68%. These figures represent a significant increase compared with the period before the introduction of the disclosure policy, where only 12% of articles voluntarily provided replication materials, of which 55% could be (largely) reproduced. Substantial heterogeneity in reproducibility rates across different fields is mainly driven by differences in data set accessibility. Other reasons for unsuccessful reproduction attempts include missing code, unresolvable code errors, weak or missing documentation, and software and hardware requirements and code complexity. Our findings highlight the importance of journal code and data disclosure policies and suggest potential avenues for enhancing their effectiveness. This paper was accepted by David Simchi-Levi, behavioral economics and decision analysis–fast track. Supplemental Material: The online appendices and data are available at https://doi.org/10.1287/mnsc.2023.03556 .
Nguyen, DT, Michayluk, D, Van de Venter, G & Walker, S 2024, 'Improvement in sustainability: Evidence from the mergers and acquisitions market', Australian Journal of Management.
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One approach to improve a firm’s Environmental, Social, and Governance (ESG) rating is to acquire a target with a higher relative ESG rating. We explore changes in an acquirer’s ESG rating around merger and acquisition (M&A) announcements and provide empirical evidence of a positive relationship between the change in an acquirer’s ESG rating and the target’s relative ESG rating. Of the three components of an ESG rating, an acquirer’s environmental rating displays the largest increase, with social and governance ratings exhibiting a smaller but still significant post-merger increase. This relationship is weaker for cross-border deals or cross-industry deals. However, deals that are both cross-border and same-industry are associated with a larger increase in an acquirer’s ESG rating. In addition to improved ESG ratings, the acquisition of a firm with a superior ESG rating is also associated with higher bid premiums and improved post-merger financial performance which suggests that acquirers act in shareholders’ best interests. JEL Classification: G14, G34
Nikitopoulos, CS, Thomas, AC & Wang, J 2024, 'Hedging pressure and oil volatility: Insurance versus liquidity demands', Journal of Futures Markets, vol. 44, no. 2, pp. 252-280.
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AbstractThis study evaluates the dual role of hedging pressure (HP) in oil futures markets and analyses its effects on weekly oil volatility. We find that HP driven by hedgers' insurance demands is negatively related to volatility, while HP driven by speculators' short‐term liquidity demands is positively related to volatility. Oil volatility tends to be more responsive to speculators' short‐term liquidity demands than variations induced by hedgers' insurance demands. These channels are also significant determinants of volatility in inverted and normal markets, with the effects being more pronounced in inverted markets. Under low financial and business‐cycle risk environments, the two HP channels typically have a measurable impact on volatility. These opposing effects of HP on weekly volatility provide empirical support on the significance of the dual role of hedgers in oil markets, as price insurance seekers and as short‐term liquidity providers.
