世界経済・社会統計 = World development indicators

Background: Systematic literature studies have become common in software engineering, and hence it is important to understand how to conduct them efficiently and reliably.Objective: This paper presents guidelines for conducting literature reviews using a snowballing approach, and they are illustrated and evaluated by replicating a published systematic literature review.Method: The guidelines are based on the experience from conducting several systematic literature reviews and experimenting with different approaches.Results: The guidelines for using snowballing as a way to search for relevant literature was successfully applied to a systematic literature review.Conclusions: It is concluded that using snowballing, as a first search strategy, may very well be a good alternative to the use of database searches.

/pdf/guidelines-for-snowballing-in-systematic-literature-studies-106rgo5oni.pdf

Guidelines for snowballing in systematic literature studies and a replication in software engineering

Handbook of the Economics of Finance

During the 2008-2009 financial crisis, firms with high social capital, measured as corporate social responsibility (CSR) intensity, had stock returns that were four to seven percentage points higher than firms with low social capital. High-CSR firms also experienced higher profitability, growth, and sales per employee relative to low-CSR firms, and they raised more debt. This evidence suggests that the trust between the firm and both its stakeholders and investors, built through investments in social capital, pays off when the overall level of trust in corporations and markets suffers a negative shock.

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jofi.12505

Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Market Liquidity: Asset Pricing with Liquidity Risk

This paper studies the forward premium puzzle in a model with imperfect information. The model predicts fixed effects and conditional heteroskedasticity in the forward premium regression and provides a rationale for the evidence in Mayfield and Murphy (1992). JEL Classification: F31.

The Forward Premium Puzzle in a Model of Imperfect Information

We examine trade credit links between …rms as a channel of international return comovement. We model …rms in dierent countries connected by trade credit links in segmented stock markets with asymmetrically informed speculators. The model predicts that the cross-serial correlation of country stock returns increases as trade credit increases. Using data from 55 countries from 1993 to 2009, we …nd evidence consistent with the model. Stock returns of high trade credit …rms in exporting (importing) countries are predicted by the returns of the countries that consume this output (supply inputs). A model- implied cross-country long-short portfolio strategy yields 12-15% annualized, after risk adjustment.

/pdf/trade-credit-and-international-stock-return-comovement-34p507rgb3.pdf

Trade Credit and International Stock Return Comovement

This paper studies trading behavior of actively managed equity mutual funds comparing Environmental, Social and Governance (ESG) and conventional funds during a market collapse. Using monthly holdings data and the COVID-19 market crash as a quasi-natural experiment, we find that ESG funds maintained a stable share of their portfolio in ESG stocks in response to fund flows during the crash. In contrast, conventional funds, who experienced outflows the most, increased their net sales to flows for ESG and non-ESG stocks. Results are consistent with ESG funds catering to their clientele in market downturns, contributing to market stability for ESG stocks

Mutual Fund Trading and ESG Clientele During the COVID-19 Stock Market Crash*

https://www.onlinelibrary.wiley.com/doi/pdf/10.1111/jofi.12359

The Value of Control and the Costs of Illiquidity: Erratum

In this paper we have developed a general model of borrowing constraints based on the idea of limited enforcement. I our model, borrowing constraints arise as part of the optimal borrowing and lending contract. Our model extends previous theories of borrowing and lending , such as Hart and Moore (1994) allowing for uncertainty and dynamic effects of the resulting credit constraints.

Optimal Dynamic Lending Contracts with Imperfect Enforceability.

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