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Using a worldwide sample, we examine whether corporate social responsibility (CSR) performance has an impact on the value of cash holdings. We find that investors assign a higher value to cash held by firms that have a high CSR rating. This result is consistent with the idea that CSR policies are a means for managers to act in the shareholders' interests by mitigating conflicts with stakeholders. Finally, we reveal that CSR performance has a positive impact on the value of cash holdings only for firms which operate in countries where shareholders are well protected from expropriation by managers and in countries where the institutional quality is high.

PurposeIn this study, the authors examine the push and pull effects of extreme weather events on migration among governorates in Egypt.Design/methodology/approachTo estimate the effect of extreme weather events on internal migration, the authors use migration gravity models and data from the 1996 and 2006 Population and Housing Censuses. The authors measure weather extremes by the number of months in the past 36 months with temperatures or precipitation of a governorate below the 5th percentile and above the 95th percentile of the distribution of monthly temperatures or precipitation of the corresponding governorate during the period 1900–2006.FindingsThis study’s results suggest that high temperatures in the origin area act as a push factor. High-temperature extremes have a positive effect on out-migration. A 1% increase in the number of months with high-temperature extremes in the original governorate results in a 0.1% increase in the number of out-migrants.Practical implicationsThe study suggests that people may respond to weather extremes through migration. However, climate migrants in Egypt may encounter several significant risks that authorities must address.Originality/valueThis study is one of the first attempts to measure the push and pull effect of weather extremes on migration in Egypt.

Purpose – This paper aims to investigate the return links and volatility transmission between five major equity markets of the Latin American region and the USA over the period 1993-2012. Design/methodology/approach – The authors employ a multivariate vector autoregressive moving average – generalized autoregressive conditional heteroskedasticity (VAR-GARCH) methodology which allows for cross-market transmissions in both return and volatility. Moreover, we show how the obtained results can be used to design internationally diversified portfolios involving the Latin American assets and to analyze the effectiveness of hedging strategies. Findings – The results point to the existence of substantial cross-market return and volatility spillovers and are thus crucial for international portfolio management in the Latin American region. However, the intensity of shock and volatility cross effects varies across the studied markets. Research limitations/implications – The optimal weights and hedging ratios that we compute from the observed return and volatility spillovers, suggest that adding the Latin American assets helps improve the risk-adjusted return of the internationally diversified portfolios as well as reduce their risk exposure. For policymakers and market authorities, an increase in the level of shock interactions and volatility transmission between the US and Latin American equity markets as well as among these Latin American markets implies that the stability of the financial system in one country can be deeply affected by the disturbances in another country. Originality/value – The authors extend the previous works on Latin American emerging markets by examining the extent of shock and volatility transmission as well as portfolio design and management from the point of view of both the US (global) and Latin American investors.

Purpose - The purpose of this paper is to propose an empirical procedure for examining the time-varying features of cross-market correlations in selected Gulf stock markets.Design methodology approach - The paper directly infers the cross-market linkages from the stock data using a multivariate dynamic conditional correlation GARCH model (DCC-GARCH). The paper attempts to date the structural breaks in the time-paths of the conditional correlation indices to investigate whether the cross-market comovement encompasses significant changes in nature or not.Findings - Conditional cross-market correlations between studied markets are shown to be time-varying, past-dependent and subject to structural breaks. However, the comovements are still small within the Gulf region and insignificant between the Gulf stock markets and the world market.Research limitations implications - Even though the paper attempted to relate the observed changes in market linkages to major economic and political events that the Gulf region experienced during the sample period, a more careful, in-depth analysis is needed since the primary objectives of this paper consist only of measuring stock market comovements and detecting their possible structure changes.Practical implications - For global investors, there is still room for international and regional diversification in Gulf markets, given the low degree of comovements documented in the study.Originality value - The application of the DCC-GARCH model and structural change test in a linear framework appears to be suitable for studying the time-varying properties of cross-market linkages between markets in the Gulf region. It also provides information about the degree of financial integration of the studied markets with the world stock market through an analysis of the conditional correlation coefficients.

We examine how corporate social responsibility (CSR) affects limits to arbitrage. Using a sample of S&P 500 firms from 2002 to 2020, our findings indicate that firms with high CSR performance are associated with a higher degree of limits to arbitrage. Those findings are confirmed when using only social and environmental dimensions, and when testing the relationship between CSR and each limits-to-arbitrage component separately. Our findings hold when using an alternative measure of limits to arbitrage and are robust to endogeneity checks. Our study suggests that CSR makes arbitrage activity harder and riskier, thereby leading to mispricing.

Purpose This study aims to address gaps and limitations in the literature regarding firms’ exposure to climate risks. It reviews existing research, proposes new theoretical frameworks and provides directions for future studies. Design/methodology/approach A bibliometric and systematic approach is used to review the literature on firms’ climate risk exposure. The study examines current theoretical frameworks and suggests additional ones to enhance understanding. Findings This study contributes to the climate finance literature by offering a comprehensive overview of firms’ climate risk exposure and used theories. It emphasizes the urgent need to tackle climate change and the crucial role of firms in climate risk management. The study supports the advancement of sustainability policies and highlights the importance of understanding firms' climate risk exposure. Practical implications This study informs the development of climate risk management strategies within firms and supports the implementation of effective sustainability policies. Social implications Addressing climate risks can contribute to a more sustainable and resilient future for society as a whole. Originality/value This study provides a roadmap for future research by identifying gaps and limitations in the literature. It introduces new perspectives and theoretical frameworks, adding original insights to the field of study.

In this paper, we investigate the determinants of equity shares purchased by Sovereign Wealth Funds (SWFs). Based on the literature of cross-border acquisitions and entry mode choice theory, we shed light on the real drivers of these state-owned funds when they buy small or large stakes in cross-border target firms. Using an original dataset of SWF acquisitions over the period 2000–2015, a Two-Part Fractional Regression Model is estimated to account for both the fractional nature of the dependent variable as well as the separation between the decision to invest and that concerning the share of equity invested. We find that the decision to invest and the decision on the share of equity to be acquired are two distinct processes. We also find that SWFs take the investment decision in cross-border target firms by trying to reduce transaction costs and information asymmetry according to the cross-border acquisition theory, and also by taking the legal and institutional environment of the host country into consideration. However, the fact that they do not hesitate to take large shares or to acquire targeted firms that are considered to be strategic and located in politically unstable countries suggests that their motives may go beyond financial consideration.

This article investigates the stock market integration within the Middle East region. We develop a regional dynamic version of the CAPM and estimate it using a multivariate GARCH methodology. We contribute to the financial literature by proposing the first empirical work that addresses the following three questions for emerging stock markets from Middle East region: (i) What factors determine Middle East regional stock market integration? (ii) Is exchange rate risk priced in Middle East emerging stock markets? And (iii) what are the relative contributions of regional and local risk factors to the total risk premium in Middle East emerging stock markets?