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Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China? 保证金购买、卖空和股票估值：在中国，为什么随着时间的推移，效果会发生逆转？
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-28 DOI: 10.1016/j.jempfin.2024.101476
Xiaoyuan Wan
{"title":"Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?","authors":"Xiaoyuan Wan","doi":"10.1016/j.jempfin.2024.101476","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101476","url":null,"abstract":"<div><p>China launched a pilot program in March 2010 to lift the ban on margin-buying and short-selling. Based on the first two batches of designated stocks, the literature documents that lifting the ban has a negative effect on stock valuation. However, we show that the effect has reversed to positive for the next six batches of designated stocks. We explore several potential explanations. Our analyses show that as short-selling volume grew at a much slower pace or even declined relative to margin-buying volume over our sample period, the positive effect of margin-buying on stock valuation has dominated the negative effect of short-selling. Both time-series and cross-sectional tests show that the imbalance between margin-buying and short-selling is the main driver of the reversal. We further show that the effect of lifting margin-buying and short-selling ban on stock price efficiency and discovery also reversed over time.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"76 ","pages":"Article 101476"},"PeriodicalIF":2.6,"publicationDate":"2024-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139652699","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does media affect the rival response to acquisition targets? 媒体是否会影响竞争对手对收购目标的反应？
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-26 DOI: 10.1016/j.jempfin.2024.101475
Xin Gao , Zhe An , Donghui Li , Weidong Xu
{"title":"Does media affect the rival response to acquisition targets?","authors":"Xin Gao ,&nbsp;Zhe An ,&nbsp;Donghui Li ,&nbsp;Weidong Xu","doi":"10.1016/j.jempfin.2024.101475","DOIUrl":"10.1016/j.jempfin.2024.101475","url":null,"abstract":"<div><p>Employing a sample of 6,084 acquisitions from 2001 to 2017, we show that higher media coverage of rival firms (i.e., in the same industry as the target) increases their likelihood of being subsequently targeted and the announcement CARs. We conduct various tests to alleviate the endogeneity concern. Our results are robust when controlling for analyst coverage and the media coverage of acquirer and target firms. We further show that rivals with greater media attention have higher premiums when they receive future acquisition bids. Lastly, we find that the effect of media coverage on the rival response is more pronounced for rivals with a higher similarity score to the target, initial industry acquisitions, and acquisitions occur early in an industry merger wave. Our study highlights the media's vital role in shaping the rival response to acquisition targets.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"76 ","pages":"Article 101475"},"PeriodicalIF":2.6,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139585753","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Information in unexpected bonus cuts: Firm performance and CEO firings 意外削减奖金中的信息：公司业绩与首席执行官解雇
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-22 DOI: 10.1016/j.jempfin.2024.101466
William M. Cready , Zhonglan Dai , Guang Ma , Vikram Nanda
{"title":"Information in unexpected bonus cuts: Firm performance and CEO firings","authors":"William M. Cready ,&nbsp;Zhonglan Dai ,&nbsp;Guang Ma ,&nbsp;Vikram Nanda","doi":"10.1016/j.jempfin.2024.101466","DOIUrl":"10.1016/j.jempfin.2024.101466","url":null,"abstract":"<div><p>An extensive literature finds that CEO compensation, especially bonus pay, exhibits downward rigidity. This is despite corporate boards usually retaining the discretion to deviate from their stated bonus formulae. We conjecture that the infrequent occasions in which there is an unexpected bonus cut, the board likely possesses unfavorable private information about the firm's long-term prospects and the CEO's ability. We hypothesize, therefore, that unexpected bonus cuts will be predictive of the company's future operating performance as well as forced CEO turnovers. We first validate our private information premise by showing that stock market reactions to CEO firings or earnings announcements are muted for firms experiencing unexpected bonus cuts but not for those without cuts. Consistent with these predictions, we find that unexpected bonus cuts are robust predictors of subsequent underperformance (<em>ROE</em>) and lower firm valuation (Tobin's Q) as well as CEO firings. Further, we examine the impact of Regulation S-K (2006) and show that predictive power becomes stronger post Reg. S-K, along with the disappearance of downward rigidity. This suggests that compensation transparency makes it harder for boards to deviate from stated bonus formulae and, if they do, the deviations are more informative.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"76 ","pages":"Article 101466"},"PeriodicalIF":2.6,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139517895","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Enhancing betting against beta with stochastic dominance 利用随机优势加强对贝塔值的投注
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-09 DOI: 10.1016/j.jempfin.2023.101465
Olga Kolokolova , Xia Xu
{"title":"Enhancing betting against beta with stochastic dominance","authors":"Olga Kolokolova ,&nbsp;Xia Xu","doi":"10.1016/j.jempfin.2023.101465","DOIUrl":"10.1016/j.jempfin.2023.101465","url":null,"abstract":"<div><p>The performance of the widely used betting-against-beta (BAB) investment strategy is improved by controlling for the stochastic dominance (SD) relation between individual stocks and the market portfolio. Dominating stocks, preferred by all risk-averse and prudent investors, are excluded from the short leg of the BAB strategy. Stocks that are dominated by the market are excluded from the long leg of the strategy. This prefiltering significantly enhances a wide range of performance and risk measures including abnormal returns relative to various factor models. The improvements are especially pronounced for the third-order SD, are robust to transaction costs and different market conditions.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"76 ","pages":"Article 101465"},"PeriodicalIF":2.6,"publicationDate":"2024-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001329/pdfft?md5=30beaa5c874f69809ae3e523ceabf06e&pid=1-s2.0-S0927539823001329-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139414991","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Carbon dioxide and asset pricing: Evidence from international stock markets 二氧化碳与资产定价：国际股票市场的证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101461
Zhuo Chen , Jinyu Liu , Andrea Lu , Libin Tao
{"title":"Carbon dioxide and asset pricing: Evidence from international stock markets","authors":"Zhuo Chen ,&nbsp;Jinyu Liu ,&nbsp;Andrea Lu ,&nbsp;Libin Tao","doi":"10.1016/j.jempfin.2023.101461","DOIUrl":"10.1016/j.jempfin.2023.101461","url":null,"abstract":"<div><p>We use carbon dioxide (CO<span><math><msub><mrow></mrow><mrow><mtext>2</mtext></mrow></msub></math></span><span>) emissions growth to measure consumption risk within a consumption-based capital asset pricing model framework. Given the comprehensive worldwide coverage of CO</span><span><math><msub><mrow></mrow><mrow><mtext>2</mtext></mrow></msub></math></span> emissions, this measure allows us to use the full history of stock market data in the US, Europe, the world, and fifteen international markets. For the US (Europe/the world), we are able to explain the observed equity market premium with a relative risk aversion of 6 (10/12), which is less than half the size of that estimated using the canonical expenditures-based consumption growth measure. The average estimated relative risk aversion across fifteen other international markets is 5. We also find evidence that the growth of CO<span><math><msub><mrow></mrow><mrow><mtext>2</mtext></mrow></msub></math></span> emissions is a priced risk factor that captures the cross section of stock portfolio returns.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101461"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139070410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Horizontal mergers and heterogeneous firm investments: evidence from the United States 横向兼并与异质企业投资：来自美国的证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101464
Dongxu Li
{"title":"Horizontal mergers and heterogeneous firm investments: evidence from the United States","authors":"Dongxu Li","doi":"10.1016/j.jempfin.2023.101464","DOIUrl":"10.1016/j.jempfin.2023.101464","url":null,"abstract":"<div><p>I find <em>on average</em> firms respond to a horizontal merger by investing less in PP&amp;E, labor, and R&amp;D. There is notable heterogeneity among the non-merging rivals. The laggard rivals reduce investments in PP&amp;E, labor, and R&amp;D while the neck-and-neck rivals do the opposite. There is an insignificant change for the leader rivals. These results support Aghion et al. (2005) on the inverted-U relationship between competition and innovation. Also, I show evidence that financial constraints and innovativeness are two factors that drive rivals’ heterogeneous responses. This empirical study sheds light upon the pattern in which horizontal mergers shape industry evolvement.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101464"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139070159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The effects of banking market structure on corporate cash holdings and the value of cash 银行业市场结构对企业现金持有量和现金价值的影响
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101460
Shengfeng Li , Liang Han , Biao Mi
{"title":"The effects of banking market structure on corporate cash holdings and the value of cash","authors":"Shengfeng Li ,&nbsp;Liang Han ,&nbsp;Biao Mi","doi":"10.1016/j.jempfin.2023.101460","DOIUrl":"10.1016/j.jempfin.2023.101460","url":null,"abstract":"<div><p>We investigate the impact of the local banking market structure on the level of corporate cash holdings and the value of cash. We find that, in more concentrated banking markets, firms increase their cash holdings by issuing more equity. The marginal value of $1 cash increases by 10 cents with a one-standard-deviation increase in bank concentration. The positive relationship between bank concentration and value of cash is robust to a rich set of tests such as for firms having access to bond markets or firms using syndicated loans and is more prominent for more financially constrained firms. We also explore the mechanism, and our results suggest that in more concentrated banking markets firms demand more cash to shield against default risk.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101460"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001275/pdfft?md5=fe3d182024698ade6512e7adbf1be39d&pid=1-s2.0-S0927539823001275-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139052531","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An adaptive long memory conditional correlation model 自适应长记忆条件相关模型
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101463
Jonathan Dark
{"title":"An adaptive long memory conditional correlation model","authors":"Jonathan Dark","doi":"10.1016/j.jempfin.2023.101463","DOIUrl":"10.1016/j.jempfin.2023.101463","url":null,"abstract":"<div><p>We propose a conditional correlation model with long memory dependence and smooth structural change. Previous literature has considered correlation and covariance models with structural change <em>or</em> long memory, but this is the first paper to jointly model both features. The correlation matrix is decomposed into long and short run components. Short run correlations converge hypergeometrically towards a slow moving long run correlation matrix that evolves according to one or more flexible Fourier forms. The model is applied to two data sets: a US equity portfolio; and a US equity, bond, gold and oil portfolio. Model fit and out of sample forecasts over 1 to 60 day horizons support the proposed approach.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101463"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001305/pdfft?md5=23b4edaf3cb7eaeab9bf7516fb0c3cf0&pid=1-s2.0-S0927539823001305-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139069620","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
House price bubbles under the COVID-19 pandemic COVID-19 大流行下的房价泡沫
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101462
Jacob H. Hansen , Stig V. Møller , Thomas Q. Pedersen , Christian M. Schütte
{"title":"House price bubbles under the COVID-19 pandemic","authors":"Jacob H. Hansen ,&nbsp;Stig V. Møller ,&nbsp;Thomas Q. Pedersen ,&nbsp;Christian M. Schütte","doi":"10.1016/j.jempfin.2023.101462","DOIUrl":"10.1016/j.jempfin.2023.101462","url":null,"abstract":"<div><p>We analyze bubble formations in house prices under the COVID-19 pandemic in 382 metropolitan areas in the U.S. with a special attention to the role of population density. We use a robust sieve-bootstrap version of the right-tailed unit root test procedure to identify periods of explosiveness in price–rent ratios across metro areas when controlling for fundamentals such as mortgage debt financing costs and the wealth of households. The bubble tests reveal evidence of explosive house prices during the COVID-19 pandemic but with important cross-area differences. In contrast to earlier bubble episodes, we find that the frequency and size of bubble formations under the pandemic have been stronger in low-density metro areas compared to high-density metro areas.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101462"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001299/pdfft?md5=7d48fa629423bf6bc66d0a8144edc0bd&pid=1-s2.0-S0927539823001299-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139373258","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
International asset pricing with heterogeneous agents: Estimation and inference 异质代理的国际资产定价：估计与推论
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-12-15 DOI: 10.1016/j.jempfin.2023.101459
Roméo Tédongap , Jules Tinang
{"title":"International asset pricing with heterogeneous agents: Estimation and inference","authors":"Roméo Tédongap ,&nbsp;Jules Tinang","doi":"10.1016/j.jempfin.2023.101459","DOIUrl":"10.1016/j.jempfin.2023.101459","url":null,"abstract":"<div><p>This paper empirically validates (Constantinides and Ghosh’s, 2017) heterogeneous-agents consumption-based asset pricing model for predicting expected returns in international equity markets. Using the model’s implications, we proxy the unobservable state variable driving income shocks with the principal component of consumption growth cumulants across agents. We confirm that both the level and changes in this cross-sectional consumption risk serve as pricing factors, emphasizing the importance of higher moments like skewness. The estimated structural parameters obtained from the Euler equations are statistically significant and plausible, while the factor risk premium estimates align with theoretical expectations. Our approach effectively explains the emerging versus developed premium, outperforming traditional methods reliant on cross-sectional variance. Our findings, robust across different model specifications and asset menus, highlight the imprecision of consumption-based factor risk premia estimates when limited to developed markets, a limitation mitigated by including emerging markets. The model demonstrates a 60% explanatory power, surpassing the global Fama–French model.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101459"},"PeriodicalIF":2.6,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138680131","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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