Reconsidering systematic factors during the Covid-19 pandemic - The rising importance of ESG [0.03%]
在新冠疫情大流行期间重新考虑系统性因素——ESG日益增长的重要性
Violeta Díaz,Denada Ibrushi,Jialin Zhao
Violeta Díaz
We investigate the importance of Environmental, Social and Governance (ESG) ratings in explaining different industry returns during the Covid-19 window. We build our ESG factor as the spread in returns between firms in the top ESG quartile ...
Herding intensity and volatility in cryptocurrency markets during the COVID-19 [0.03%]
COVID-19期间加密货币市场中的跟风程度和波动性
Pinar Evrim Mandaci,Efe Caglar Cagli
Pinar Evrim Mandaci
This paper investigates whether herding is present before and during the COVID-19 pandemic, analyzing intraday data of Bitcoin and eight altcoins. The herding intensity measure of Patterson and Sharma (2006) is calculated for the first time...
Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis [0.03%]
企业社会责任投资是免费午餐吗？疫情前后ESG与股票尾部风险和上行潜力的关系分析
Hans Lööf,Maziar Sahamkhadam,Andreas Stephan
Hans Lööf
Did Corporate Social Responsibility investing benefit shareholders during the COVID-19 pandemic crisis? Distinguishing between downside tail risk and upside reward potential of stock returns, we provide evidence from 5,073 stocks listed on ...
Brand equity and the Covid-19 stock market crash: Evidence from U.S. listed firms [0.03%]
品牌资产与新冠股票市场暴跌之间的关系：来自美国上市公司的证据
Yuxuan Huang,Shenggang Yang,Qi Zhu
Yuxuan Huang
Brand equity has played an important role in firms' stock performance, especially during the stock market crash provoked by Covid-19. Our manuscript investigates how brand equity impacts stock performance during the Covid-19 crash. Firms wi...
The effect of revenue diversification on bank profitability and risk during the COVID-19 pandemic [0.03%]
收入多元化在COVID-19大流行期间对银行盈利能力与风险的影响
Xingjian Li,Hongrui Feng,Sebastian Zhao et al.
Xingjian Li et al.
Banks can potentially reduce the variability of their revenue by diversifying beyond traditional lending activities into noninterest revenue sources. We investigate the effect of the COVID-19 pandemic on the relation between the use of noni...
Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped? [0.03%]
新冠疫情后经济复苏的宏观金融信息：是V型、U型还是L型？
Bruno De Backer,Hans Dewachter,Leonardo Iania
Bruno De Backer
We use standard macrofinancial no-arbitrage term structure models to forecast key macroeconomic variables such as GDP. Simple adaptations to the models are proposed in order to generate plausible forecasts in the context of the COVID-19 cri...
Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID-19 pandemic [0.03%]
谁从深渊崛起？COVID-19大流行期间加密货币与股市动态的比较
Rocco Caferra,David Vidal-Tomás
Rocco Caferra
This research examines the behaviour of cryptocurrencies and stock markets during the COVID-19 pandemic through the wavelet coherence approach and Markov switching autoregressive model. Our results show a financial contagion in March, since...
Rangan Gupta,Xin Sheng,Mehmet Balcilar et al.
Rangan Gupta et al.
This paper analyses the dynamic impact of uncertainty due to global pandemics (SARS, H5N1, H1N1, MERS, Ebola, and COVID-19) on global output growth, using a TVP-SVAR model. We find that the negative effect of the coronavirus on the growth r...
An Evaluation of the Effect of the COVID-19 Pandemic on the Risk Tolerance of Financial Decision Makers [0.03%]
对COVID-19大流行对金融决策者风险承受能力的影响的评估
Wookjae Heo,Abed Rabbani,John E Grable
Wookjae Heo
This paper documents the negative effect of the COVID-19 pandemic on financial risk attitudes across a broad sample of financial decision makers (N = 18,913). Findings show that the risk tolerance of financial decision makers can be altered...
Stock markets' reaction to Covid-19: Moderating role of national culture [0.03%]
股市对COVID-19的反应：民族文化的作用
Badar Nadeem Ashraf
Badar Nadeem Ashraf
Recent literature reports stock markets around the world reacted to the Covid-19 pandemic with negative returns. However, this reaction was not uniform across countries. In this paper, we postulate that the national-level uncertainty avoida...