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This study aims to examine short- and long-run effects of specific macroeconomic conditions on risk premium estimates on lending.

Empirical estimates are based on error correction and autoregressive distributed lag models.

The results suggest that, in the short run, inflation expectations, recession expectations and actual inflationary conditions tend to have a significant impact on risk premium estimates; in the long run, however, only inflation expectations and recession expectations are significant in risk premium estimates on lending.

This study examines how specific conditions of uncertainty and expectations influence variability in risk premium estimates on lending in the US economy.

What determines the level of acquisition premium? This paper aims to investigate the effect of acquirers’ social capital as reflected through their network position (structural holes and network density) on the level of acquisition premiums.

This study predicts acquisition premiums using a panel data set of 324 mergers and acquisition (M&A) transactions including 161 unique acquirers over a 21-year timeframe. M&A and alliance information are obtained from the securities data company platinum database; firm financial data are obtained from the COMPUSTAT database.

The results show that alliance network social capital provides acquiring firms with information benefits, thus, reducing the acquisition premium. However, such information benefits are also contingent on target valuation uncertainty and acquirers’ structure exploitation tendency.

Different types of network structures provide different social capital influences: managers should be aware of their advantages and pitfalls when engaging in M&As. The findings suggest that firms should pay close attention to social capital when making decisions regarding acquisition premiums.

Past research has indicated that acquiring firms tend to overestimate the value of target firms. Still, little attention has been paid to organizational-level social capital in analyzing the determinants of acquisition premiums. This study offers insight into the effect of network structure on M&A acquisition premiums.

Recent empirical studies by Antonakakis, Chatziantoniou and Filis (2013), Brogaard and Detzel (2015) and Christou et al. (2017) present evidence, which supports the notion that a rise in economic policy uncertainty (EPU) will lead to a decline in stock prices. The purpose of this paper is to examine US categorical policy uncertainty on stock returns while controlling for implied volatility and downside risk. In addition to the domestic impacts of policy uncertainty, this paper also presents evidence that changes in US policy uncertainty promptly propagates to the global stock markets.

This study uses a GED-GARCH (1, 1) model to estimate changes of uncertainties in US monetary, fiscal and trade policies on stock returns for the sample period of January 1990–December 2018. Robustness test is conducted by using different set of data and modeling techniques.

This paper contributes to the literature in several aspects. First, testing of US aggregate data while controlling for downside risk and implied volatility, consistently, shows that responses of stock prices to US policy uncertainty changes, not only display a negative effect in the current period but also have at least a one-month time-lag. The evidence supports the uncertainty premium hypothesis. Second, extending the test to global data reveals that US policy uncertainty changes have a negative impact on markets in Europe, China and Japan. Third, testing the data in sectoral stock markets mainly displays statistically significant results with a negative sign. Fourth, the evidence consistently shows that changes in policy uncertainty present an inverse relation to the stock returns, regardless of whether uncertainty is moving upward or downward.

The current research is limited to the markets in the USA, eurozone, China and Japan. This study can be extended to additional countries, such as emerging markets.

This paper provides a model that uses categorical policy uncertainty approach to explain stock price changes. The parametric estimates provide insightful information in advising investors for making portfolio decision.

The estimated coefficients of changes in monetary policy uncertainty, fiscal policy uncertainty and trade policy uncertainty are informative in assisting policymakers to formulate effective financial policies.

This study extends the existing risk premium model in several directions. First, it separates the financial risk factors from the EPU innovations; second, instead of using EPU, this study investigates the effects from monetary policy, fiscal policy and trade policy uncertainties; third, in additional to an examination of the effects of US categorical policy uncertainties on its own markets, this study also investigates the spillover effects to global major markets; fourth, besides the aggregate stock markets, this study estimates the effects of US policy uncertainty innovations on the sectoral stock returns.

This paper aims to study the impact of geopolitical uncertainty on corporate cost of debt and the moderating role of information asymmetry between creditors and borrowing firms.

This study uses 5,223 firm-quarter observations on German-listed firms spanning 2010:Q1–2021:Q4. This study regresses the cost of debt financing on the geopolitical risk, accounting quality and other control variables. Information asymmetry is measured using the performance-matched Jones-model discretionary accrual and the stock bid-ask spread. It uses interaction terms to check if information asymmetry moderates the impact of geopolitical uncertainty on the cost of debts and control for the moderating role of business risk. For the sake of robustness check, it uses long-term cost of debt and bond spread as alternative dependent variables. In addition, this study executes instrumental variables regression and propension score matching to control for potential endogeneity problems.

Estimation results show that geopolitical uncertainty exerts a positive impact on the cost of debt. This impact is found to be more important on the cost of long-term debts. Information asymmetry is found to exacerbate the positive impact of geopolitical risk on the cost of debt. These results are robust to the change of the dependent variable and to the mitigation of potential endogeneity. At high levels of information asymmetry, this impact is more important for firms belonging to “Transportation”, “Automobiles and auto parts”, “Chemicals”, “Industrial and commercial services”, “Software and IT services” and “Industrial goods” business sectors.

Geopolitical uncertainty should be seriously considered when setting strategies for corporate financial management in Germany and similar economies that are directly exposed to geopolitical risks. Corporate managers should design a comprehensive set of corporate policies to improve their transparency and accountability during increasing uncertainty. Policymakers are required to implement innovative monetary and fiscal policies that take into consideration the heterogeneous impact of geopolitical uncertainty and information transparency in order to contain their incidence on German business sectors.

Despite its relevance to corporate financing conditions, little is known about the impact of geopolitical uncertainty on the cost of debt financing. To the best of the authors’ knowledge, there is still no empirical evidence on how information asymmetry between creditors and borrowing firms shapes the impact of geopolitical uncertainty on the cost of debt. This paper tries to fill this gap by interacting two measures of information asymmetry with geopolitical uncertainty. In contrast with previous studies, this study shows that the impact of geopolitical uncertainty on the cost of debt is non-linear and heterogeneous. The results show that the impact of geopolitical uncertainty does not exert the same impact on the cost of debt instruments with different maturities. This impact is found to be heterogeneous across business sectors and to depend on the level of information asymmetry.

The purpose of this paper is to investigate the opaque inventory information disclosure strategy for an online retailer who sells two substitutable products to customers in two selling periods.

The authors develop a two-period model where an online retailer sells two substitute products with two inventory composition structures to maximize profits. The authors investigate the optimal inventory disclosure decision from both ex post and ex ante perspectives. Sensitivity analysis is performed to investigate the effects that discount rate, transaction cost and the probability of agreeable inventory situation have on the equilibrium disclosure outcome. The authors also consider risk-averse customers and horizontally differentiated products to highlight the robustness of our results.

The authors find that the online retailer will choose the opaque information disclosure when attempting to increase revenue and reduce the mismatch of supply and demand in both ex post and ex ante inventory information conditions. Comparing with ex post disclosure strategies, ex ante opaque disclosure is optimal in a larger price region, and the total revenues gap between opaque disclosure and complete disclosure gradually increase as discount rate, transaction cost or the probability of agreeable inventory situation decreases. Furthermore, strategic customers may tend to be risk neutral when faced with opaque inventory information in a two-period sales setting.

This current paper is the first paper to study the online retailer's inventory information disclosure strategy in two selling periods. Moreover, this paper presents the conditions under which the online retailer should share complete or opaque inventory information with customers to maximize the online retailer's total revenues.

The purpose of this study is to examine the bi-directional causality between political uncertainty and the market risk premium in the US.

I use a theoretical model to motivate signs and then check signs based on a vector autoregression.

I find that political uncertainty has a small positive, delayed effect on the market risk premium. The market risk premium, on the other hand, has a large permanent, negative effect on political uncertainty.

This is the first research paper to consider the bi-directional effects of political uncertainty on the market risk premium and vice versa. It also finds interesting empirical results.

The purpose of this paper is to investigate the risk and economic policy uncertainty (EPU) shocks on China’s equity markets while controlling for changes in sentiments and liquidity.

The GED-TARCH(1,1)-M procedure is used in estimations to deal with the heteroscedasticity problem.

Evidence shows that stock returns are positively correlated with predictable volatility and lagged downside risk. This study indicates that the stock returns are negatively correlated with both local and global uncertainty innovations. The test results are robust across different measures of stock returns and model specifications. The global EPU innovations have more profound impact on stock returns than that of Chinese EPU.

The findings are based on the data in the China’s stock market, other global markets may be considered in the future research.

Evidence indicates that a rise in EPU produces a negative effect on stock returns at the time news hits a market; however, investors will be rewarded by a premium as prices rebound in the subsequent period for compensating the investment decision made at a high uncertainty period.

The excess stock returns are negatively related to the EPU innovations, regardless of whether EPU originates from a domestic source or external sources.

This study examines the long-term link between fair valuation uncertainty and discounts/premia in closed-end funds. This study argues that, in exploring the close-end funds puzzle, prior research generally omits to consider the uncertainty surrounding the measurement of funds' financial disclosure, as reflected in the fair value hierarchy, when investment specialty differs across funds.

Regressions were employed to explore how the fair value hierarchy affects closed-end funds' discounts/premia when investment specialty differs. The authors also examine the effects pre- and post-2012 to explore if that relationship changes due to the additional disclosure requirements enacted at the end of 2011.

The authors find that the three levels of the fair value hierarchy have effects that vary according to a fund's specialty. For equity specialized funds, Level 3 significantly increases discounts and decreases premia, suggesting the impact of valuation uncertainty that underlies Level 3 estimates; this relationship disappears (decreases in severity) for premia (discount) experiencing funds post-2012. In contrast, Level 1 and Level 2 do not have any significant effect on discounts or premia except that post-2012, Level 2 begins to display discount decreasing effects. For bond specialized funds, no significant association was noted between premia and any of the fair value levels except that post-2012, Level 3 begins to display premium increasing effects. However, results are different for discounts. The authors note that Level 1 valuations significantly increase discounts, but only post-2012; Level 2 valuations significantly decrease discounts (pre- and post-2012), consistent with such estimates incorporating unique and relevant information; and Level 3 valuations do not have a significant effect on discounts.

The results of this study revisit prior evidence and indicate that results about the effects of fair value measurement and the closed-end funds' puzzle are sensitive to the period length being considered and the investment specialty of the fund. The authors also note that additional disclosure regarding Level 3 valuation inputs decreases market concern for valuation uncertainty and increases the liquidity benefits of investing in Level 3 carrying funds.

National cultures significantly explain cross-country differences in the relation between asset growth and stock returns. Motivated by the notion that managers in individualistic and low uncertainty-avoiding cultures have a higher tendency to overinvest, this study aims to show that the negative relation between asset growth and stock returns is stronger in countries with such cultural features. Once the researchers control for cultural dimensions, proxies associated with the q-theory, limits-to-arbitrage, corporate governance, investor protection and accounting quality provide no incremental power for the relation between asset growth and stock returns across countries. Evidence of this study highlights the importance of the overinvestment hypothesis in explaining the asset growth anomaly around the world.

The purpose of this paper is to examine the impact of renewable energy on the power supply chain and to study whether the renewable generator or the power grid that purchases power from the power spot market is better when the actual generation of renewable energy is insufficient. The authors want to compare and analyze the different power supply chain operation modes and discuss the optimal mode selection for renewable energy generator and power grid in different situations.

This paper studies the grid-led price competition game in the power supply chain, in which the power grid as a leader decides the price of transmission and distribution, and generators determine the power grid price. The renewable energy power generator and the traditional energy power generator conduct a price competition game; on the other hand, the power grid and power generators conduct Stackelberg games. The authors analyze the power supply of single power generator and two power generators, respectively, and research on the situation that the renewable energy cannot be fully recharged when the actual power generation is insufficient.

The study finds that both renewable and traditional power grid prices decline as price sensitivity coefficient of demand and installed capacity of renewable energy generators increase. Power grid premium decreases as the price sensitivity coefficient of demand increases, but rises as the installed capacity of renewable energy generator increases. When there is a shortage of power, if the installed capacity of renewable energy is relatively small and price sensitivity coefficient of demand is relatively large, the grid purchases the power from power spot market and shares cost with renewable energy generators, leading to higher expected profits of the renewable energy generators. On the contrary, the renewable energy generators prefer to make up power shortage themselves. For the power grid, purchasing the power by the renewable energy generators when there is a power shortage can bring more utility to the power grid when the installed capacity of renewable energy is lower and the demand price sensitivity coefficient is higher. When the installed capacity of renewable energy is high and the price sensitivity coefficient of demand is moderate, or the installed capacity of renewable energy is moderate and the demand price sensitivity coefficient is high, a generator that simultaneously possesses two kinds of energy source will bring more utility to the power grid. If the installed capacity of renewable energy and the demand price sensitivity coefficient both are small or the installed capacity of renewable energy and the price sensitivity coefficient of demand both are large, the power grid prefers to purchase the power by itself when there is a power shortage.

The goal of our paper analysis is to explore the implications of the theoretical model and address the series of research questions regarding the impact of the renewable energy on the power supply chain. The results of this study have key implications for reality. This paper sheds light on the power supply chain operation mode selection, which can potentially be used for the renewable energy generators to choose their operating mode and can also help traditional energy generators and power grid enterprises maximize their utility. This paper also has some references for the government to formulate the corresponding renewable energy development policy.

This paper studies the power operation mode under the uncertainty of supply and demand, and compares the advantages and disadvantages of renewable energy generator that makes up the shortage or the power grid purchases the power from power spot market then shares cost with the renewable energy generator. This paper analyzes the power grid-led coordination problem in a power supply chain, compares and analyzes the price competition game model of single power generator and dual power generators, and compares the different risk preferences of power grid.