The number of empirical research studies in finance exhibits a strong upward trajectory, which often produces large differences in empirical results and impedes the drawing of consistent conclusions ...in relation to the phenomenon under examination. This creates demand for methods like meta-analysis that objectively consolidate and evaluate the empricial literature in a research field. Meta-analysis is a group of statistical methods to aggregate prior empirical studies, to discover and explain consistencies as well as inconsistencies within reported results, and to detect and filter out distorting effects from publication selection or model misspecification. While meta-analysis is a standard tool for research synthesis and evidence-based decisions in many related research disciplines, such as management, marketing, or economics, it has been rarely applied in finance. The goal of this article is to provide a comprehensive overview and discussion of the opportunities of meta-analytical research in finance, to present recent applications of meta-analysis in finance, as well as to discuss related challenges and limitations. Thereby, we aim at increasing the awareness and acceptance of meta-analysis and stimulating its future application in the finance field.
•This study conceptually describes meta-analysis as a quantitative review approach to the finance field.•Three main meta-analysis methods for finance research are explained.•A review of 61 prior finance meta-studies is presented to derive opportunities and challenges of meta-analysis in finance.•Recommendations are presented on how to approach typical challenges of meta-analysis in finance.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
The paper presents a comprehensive database on systemic banking crises during 1970-2011. It proposes a methodology to date banking crises based on policy indices, and examines the robustness of this ...approach. The paper also presents information on the costs and policy responses associated with banking crises. The database on banking crises episodes is further complemented with dates for sovereign debt and currency crises during the same period. The paper contrasts output losses across different crises and finds that sovereign debt crises tend to be more costly than banking crises, and these in turn tend to be more costly than currency crises. The data also point to significant differences in policy responses between advanced and emerging economies.
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BFBNIB, CEKLJ, DOBA, EMUNI, FIS, FZAB, GEOZS, GIS, IJS, IMTLJ, IZUM, KILJ, KISLJ, MFDPS, NLZOH, NMLJ, NUK, OBVAL, OILJ, PILJ, PNG, SAZU, SBCE, SBJE, SBMB, SBNM, SIK, UILJ, UKNU, UL, UM, UPUK, VKSCE, ZAGLJ
A five-factor asset pricing model Fama, Eugene F.; French, Kenneth R.
Journal of financial economics,
04/2015, Volume:
116, Issue:
1
Journal Article
Peer reviewed
A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF, 1993). ...The five-factor model׳s main problem is its failure to capture the low average returns on small stocks whose returns behave like those of firms that invest a lot despite low profitability. The model׳s performance is not sensitive to the way its factors are defined. With the addition of profitability and investment factors, the value factor of the FF three-factor model becomes redundant for describing average returns in the sample we examine.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK
The fast growth of Chinese private sector firms is taken as evidence that informal finance can facilitate firm growth better than formal banks in developing countries. We examine firm financing ...patterns and growth using a database of twenty-four hundred Chinese firms. While a relatively small percentage of firms utilize bank loans, bank financing is associated with faster growth whereas informal financing is not. Controlling for selection, we find that firms with bank financing grow faster than similar firms without bank financing and that our results are not driven by bank corruption or the selection of firms that have accessed the formal financial system. Our findings question whether reputation and relationship-based financing are responsible for the performance of the fastest-growing firms in developing countries.
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BFBNIB, INZLJ, NMLJ, NUK, PNG, SAZU, UL, UM, UPUK, ZRSKP
While the literature has studied various factors affecting green productivity growth, there is a relative dearth of empirical studies quantitatively analyzing the linkage between green finance ...development and green productivity. Based on a comprehensive index of green finance development, this research thus employs panel data of 30 China's provinces for the period 2006–2018 to explore the influence of green finance on green total factor productivity, revealing estimation results that green finance development significantly improves the level of green productivity. This beneficial effect tends to be stronger in provinces with higher levels of economic and social conditions, less public participation in environmental protection, and high pollution levels. We also find that implementing a green finance policy can further enhance the impact of green finance development. The empirical results herein offer policy implications to China's green finance planning and environmental policy.
•Assess the impact of green finance on green total factor productivity.•Green finance development is measured by a multidimensional index system.•Green finance development significantly improves the level of green productivity.•Effects are stronger with high economic, social, and environmental conditions.•Green finance policy can further enhance the impact of green finance development.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
17.
Momentum has its moments Barroso, Pedro; Santa-Clara, Pedro
Journal of financial economics,
04/2015, Volume:
116, Issue:
1
Journal Article
Peer reviewed
Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to ...investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually eliminates crashes and nearly doubles the Sharpe ratio of the momentum strategy. Risk-managed momentum is a much greater puzzle than the original version.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK
Considering the unprecedented event of COVID-19 as both global public health and economic crisis, its impacts on society including businesses are almost unimaginable. In particular, since the tourism ...and hospitality industries are among the hardest hit, tourism and hospitality researchers should examine how to understand its implications for these industries. This article takes a view from the corporate social responsibility (CSR) standpoint in relation to the current pandemic and attempts to provide some research implications, especially from the financial economics and strategic management perspectives. Potential research topics discussed in the article include emerging CSR initiatives throughout the pandemic, a comparison between pre- and post-pandemic financial implications of CSR, a moderating role of CSR strategy, various performance measures including risk measures, and culture and industry as boundary conditions.
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NUK, OILJ, SAZU, UKNU, UL, UM, UPUK
Internet technology has broken the boundaries of traditional geographical space, greatly shortened the space-time distance between regions, and maximized the integration of various resources. ...Therefore, in the era of the digital economy, the rapid development of network information technology, the energy internet and other new forms of the network economy may affect energy consumption. This paper mainly studies how internet development affects China's energy consumption and the associated transmission mechanism. Specifically, this paper constructs an evaluation system of China's internet development level from four perspectives: internet popularity, internet infrastructure, internet information resources and internet application. On this basis, the relationship between internet development and China's energy consumption is investigated and found to be significantly positive; moreover, internet development promotes the energy consumption scale through economic growth. The relationship between internet development and the energy consumption structure is significantly negative, and internet development affects the energy consumption structure through economic growth, R&D investment, human capital, financial development, and the industrial structure. Interestingly, there is also empirical evidence that the nexus of internet development and energy consumption intensity is significantly negative, and internet development helps to accelerate the decline in energy consumption intensity through economic growth, R&D investment, human capital, financial development, and industrial structural upgrading.
•The influence of internet development on energy consumption in China is investigated.•The entropy method is used to evaluate the level of internet development.•Internet development promotes an increase in the energy consumption scale through economic growth.•The relationship between internet development and the energy consumption structure is significantly negative.•Internet development promotes a decline in energy consumption intensity.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
This paper investigates the effects of focus versus diversification on bank performance using data on Chinese banks during the 1996–2006 period. We construct a new measure,
economies of ...diversification, and compare the results to those of the more conventional
focus indices, which are based on the sum of squares of shares in different products or regions. Diversification is captured in four dimensions: loans, deposits, assets, and geography. We find that all four dimensions of diversification are associated with reduced profits and higher costs. These results are robust regardless of alternative measures of diversification and performance. Furthermore, we observe that banks with foreign ownership (both majority and minority ownership) and banks with conglomerate affiliation are associated with fewer diseconomies of diversification, suggesting that foreign ownership and conglomerate affiliation may play important mitigating roles. This analysis may provide important implications for bank managers and regulators in China as well as in other emerging economies.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK
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