Showing papers in "International Review of Financial Analysis in 2014"

TL;DR: The authors survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date, and summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and market-level behavior and performance, and vice versa.

TL;DR: In this paper, the authors present the first empirical evidence in the history of banking on the question of whether banks can create money out of nothing, which has far-reaching implications for research and policy.

TL;DR: In this paper, a stepwise filtering methodology is introduced, for which vector autoregressions and various multivariate GARCH representations are adopted to examine the dynamic linear and nonlinear causal linkages, and no consistent evidence in support of the decoupling view is found.

TL;DR: In this paper, the authors investigate precisely how banks create money, and why or whether companies cannot do the same, based on a comparative accounting analysis of bank and non-bank corporations.

TL;DR: In this paper, the authors investigate the extent to which financing constraints affect the innovation activities of over 120,000 mainly unlisted Chinese firms over the period 2000-2007 and find that private firms suffer the most, followed by foreign firms, while state-owned and collective enterprises are the least constrained.

TL;DR: In this paper, the authors examined the Adaptive Market Hypothesis (AMH) through four well-known calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013 and found that all four calendar anomalies support the AMH, with each calendar anomaly's performance varying over time.

TL;DR: This article investigated volatility contagion across U.S. and European stock markets during the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC) using a sample of international implied volatility indices on daily changes.

TL;DR: In this article, the authors examined the linkages between stock market prices and exchange rates in six advanced economies, namely the US, UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010.

TL;DR: Wang et al. as discussed by the authors examined the impact of ownership structure on Chinese banks' risk-taking behaviours and found that banks controlled by the government tend to take more risks than those controlled by state-owned enterprises (SOECBs) or private investors.

TL;DR: In this paper, the authors examined the effects of ultimate control and the political connections of top executives on firm's performance and the monitoring role played by boards of directors, concluding that the political influence of ownership and that of management are complements or substitutes in their effects on board independence and accounting performance.

TL;DR: In this paper, the effect of political patronage on firms' capital structure was investigated in Malaysia, a country characterised by relationship-capitalism, and covers 1988 to 2009, and showed a significant difference in the capital structure of patronised firms relative to non-connected firms.

TL;DR: This paper investigated the spillover effect in five leading stock markets (i.e., the United States, the United Kingdom, Germany, Japan, and France) and found that information transmission between these stock markets increases considerably after 1998.

TL;DR: In this paper, the authors used a real-time forecasting approach to forecast out-of-sample monthly excess returns on investing in gold using publicly available information on a large set of financial and macroeconomic variables.

TL;DR: In this paper, the authors present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments.

TL;DR: In this paper, the authors analyzed how the 2008 and 2010 financial crises, which began in the US and Greece respectively, affected the Hurst exponents of index returns of the stock markets of Belgium, France, Greece, Japan, the Netherlands, Portugal, the UK and US.

TL;DR: In this paper, the authors developed an indicator of financial stress transmission, called Financial Stress Spillover Index (FSSI), to monitor the condition of financial system and to identify periods of excessive spillover that may lead to financial instability.

TL;DR: In this paper, the authors employ dynamic threshold partial adjustment models to study the asymmetries in firms' adjustments toward their target leverage and find that more constrained firms, such as those with high growth, with large investment, and with volatile earnings, adjust their capital structures more quickly than their less constrained counterparts.

TL;DR: In this paper, the authors revisited the Ramadan effect in the stock returns of 15 Muslim countries and altogether as a portfolio, and concluded that risk-averse investors would benefit from increased utility by switching from non-Ramadan to Ramadan.

TL;DR: In this paper, the authors provide a large sample study to examine how firm-level characteristics and national-level institutions affect cash balances in privately held and publicly traded firms and investigate whether the determinants of cash holdings for both types of firms are similar.

TL;DR: In this article, the authors explore the relationship between corporate governance and the information environment in Chinese stock markets and construct a parsimonious governance measure for public firms using a 2003 through 2011 sample period.

TL;DR: Li et al. as discussed by the authors analyzed the stock market reaction to CEO succession and found that Chinese investors value political connections, and such valuation is conditioned by successor origin, prior firm performance, industry, region, and ownership structure.

TL;DR: In this article, the authors present a framework for understanding the interactions between political and legal institutions, property rights protection, and their implications for financial development, and propose some ways forward to increase financial intermediation; and expect, over the long run, the proposed approach to financial development to be beneficial for a number of developing countries.

TL;DR: In this paper, the authors analyzed 64 airlines over 11 years and found that Asian carriers are more negatively exposed than European airlines but less exposed than North American airlines, and the greatest reduction can be found among European airlines with 23.12% (28.04%).

TL;DR: In this paper, the authors examined ultra high frequency data to assess the extent of the development in the futures market of the EU Emissions Trading Scheme and found that liquidity traders dominate any role played by informed traders.

TL;DR: In this paper, the authors considered the Granger-causality in conditional quantile and examined the potential of improving conditional quantiles forecasting by accounting for such a causal relationship between financial markets.

TL;DR: In this article, the authors use a World Bank survey data on the financing of incremental production to examine firms' debt choice decision in eleven African countries, where capital markets are evolving and/or fraught with inadequate institutional infrastructure.

TL;DR: In this paper, a theoretical model that considers the relationship between the strength of investor power and dividends in an agency cost/free cashflow framework is proposed. But the authors do not consider the effect of investor ownership and ownership on the distribution of dividends in Thailand.

TL;DR: In this paper, the authors developed a panel vector autoregression and analyzed the dynamics between cash holding and its closest substitutes, trade credit and short-term bank finance, to explain the increase in cash holding.

TL;DR: This article analyzed the relationship between corporate risk exposure, hedging policy, and firm value in the U.S. airline industry and found that airline exposure to fuel prices is higher when fuel prices are high or when they are rising.

TL;DR: In this article, the authors examined the link between cost efficiency and board composition in non-life takaful insurance firms operating in 17 Islamic countries using panel data for 2004-2007.