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Dissecting the Long-Term Performance of the Chinese Stock Market 剖析中国股市的长期表现
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-01 DOI: 10.1111/jofi.13312
FRANKLIN ALLEN, JUN (QJ) QIAN, CHENYU SHAN, JULIE LEI ZHU
{"title":"Dissecting the Long-Term Performance of the Chinese Stock Market","authors":"FRANKLIN ALLEN,&nbsp;JUN (QJ) QIAN,&nbsp;CHENYU SHAN,&nbsp;JULIE LEI ZHU","doi":"10.1111/jofi.13312","DOIUrl":"10.1111/jofi.13312","url":null,"abstract":"<div>\u0000 \u0000 <p>Domestically listed Chinese (A-share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A-share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross-country and within-A-share samples. Institutional deficiencies in listing and delisting processes and weak corporate governance in terms of shareholder value creation are consistent with the underperformance in stock returns and net cash flows.</p>\u0000 </div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"993-1054"},"PeriodicalIF":8.0,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140083491","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Mergers, Product Prices, and Innovation: Evidence from the Pharmaceutical Industry 兼并、产品价格和创新：来自制药业的证据
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-01 DOI: 10.1111/jofi.13321
ALICE BONAIMÉ, YE (EMMA) WANG
{"title":"Mergers, Product Prices, and Innovation: Evidence from the Pharmaceutical Industry","authors":"ALICE BONAIMÉ,&nbsp;YE (EMMA) WANG","doi":"10.1111/jofi.13321","DOIUrl":"10.1111/jofi.13321","url":null,"abstract":"<div>\u0000 \u0000 <p>Using novel data from the pharmaceutical industry, we study product prices and innovation around mergers. Exploiting within-deal variation in product market consolidation, we show that prices increase more for drugs in consolidating markets than for matched control drugs. Estimates indicate a 2% average price effect that persists for about one year. Price increases expand with acquirer-target product similarity and are more pronounced within less competitive product markets with fewer players and no generic competition. Examination of trade-offs reveals these deals generate significant shareholder value. They also spur labeling and other manufacturing-related innovation, but not the development of new drugs.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2195-2236"},"PeriodicalIF":8.0,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140015617","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Informed Trading Intensity 知情交易强度
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-02-27 DOI: 10.1111/jofi.13320
VINCENT BOGOUSSLAVSKY, VYACHESLAV FOS, DMITRIY MURAVYEV
{"title":"Informed Trading Intensity","authors":"VINCENT BOGOUSSLAVSKY,&nbsp;VYACHESLAV FOS,&nbsp;DMITRIY MURAVYEV","doi":"10.1111/jofi.13320","DOIUrl":"10.1111/jofi.13320","url":null,"abstract":"<div>\u0000 \u0000 <p>We train a machine learning method on a class of informed trades to develop a new measure of informed trading, informed trading intensity (ITI). ITI increases before earnings, mergers and acquisitions, and news announcements, and has implications for return reversal and asset pricing. ITI is effective because it captures nonlinearities and interactions between informed trading, volume, and volatility. This data-driven approach can shed light on the economics of informed trading, including impatient informed trading, commonality in informed trading, and models of informed trading. Overall, learning from informed trading data can generate an effective informed trading measure.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"903-948"},"PeriodicalIF":8.0,"publicationDate":"2024-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139988569","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
A q $q$ Theory of Internal Capital Markets 内部资本市场的 q q$ 理论
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-02-24 DOI: 10.1111/jofi.13318
MIN DAI, XAVIER GIROUD, WEI JIANG, NENG WANG
{"title":"A \u0000 \u0000 q\u0000 $q$\u0000 Theory of Internal Capital Markets","authors":"MIN DAI,&nbsp;XAVIER GIROUD,&nbsp;WEI JIANG,&nbsp;NENG WANG","doi":"10.1111/jofi.13318","DOIUrl":"https://doi.org/10.1111/jofi.13318","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a tractable model of dynamic investment, spinoffs, financing, and risk management for a multidivision firm facing costly external finance. Our analysis formalizes the following insights: (i) Within-firm resource allocation is based not only on divisions' productivity, as in winner-picking models, but also their risk; (ii) firms may voluntarily spin off productive divisions to increase liquidity; (iii) diversification can reduce firm value in low-liquidity states, as it increases the spinoff cost and hampers liquidity management; (iv) corporate socialism makes liquidity less valuable; and (v) division investment is determined by the ratio between marginal <math>\u0000 <semantics>\u0000 <mi>q</mi>\u0000 <annotation>$q$</annotation>\u0000 </semantics></math> and marginal value of cash.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1147-1197"},"PeriodicalIF":8.0,"publicationDate":"2024-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140139213","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Fee Variation in Private Equity 私募股权投资的费用差异
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-02-23 DOI: 10.1111/jofi.13319
JULIANE BEGENAU, EMIL N. SIRIWARDANE
{"title":"Fee Variation in Private Equity","authors":"JULIANE BEGENAU,&nbsp;EMIL N. SIRIWARDANE","doi":"10.1111/jofi.13319","DOIUrl":"10.1111/jofi.13319","url":null,"abstract":"<div>\u0000 \u0000 <p>We study how investment fees vary within private equity funds. Net-of-fee return clustering suggests that most funds have two tiers of fees, and we decompose differences across tiers into both management- and performance-based fees. Managers of venture capital funds and those in high demand are less likely to use multiple fee schedules. Some investors consistently pay lower fees relative to others within their funds. Investor size, experience, and past performance explain some but not all of this effect, suggesting that unobserved traits like negotiation skill or bargaining power materially impact the fees that investors pay to access private markets.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1199-1247"},"PeriodicalIF":8.0,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139945385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 Dark Side of Circuit Breakers 断路器的黑暗面
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-02-23 DOI: 10.1111/jofi.13310
HUI CHEN, ANTON PETUKHOV, JIANG WANG, HAO XING
{"title":"The Dark Side of Circuit Breakers","authors":"HUI CHEN,&nbsp;ANTON PETUKHOV,&nbsp;JIANG WANG,&nbsp;HAO XING","doi":"10.1111/jofi.13310","DOIUrl":"10.1111/jofi.13310","url":null,"abstract":"<div>\u0000 \u0000 <p>Market-wide circuit breakers are trading halts aimed at stabilizing the market during dramatic price declines. Using an intertemporal equilibrium model, we show that a circuit breaker significantly alters market dynamics and affects investor welfare. As the market approaches the circuit breaker, price volatility rises drastically, accelerating the chance of triggering the circuit breaker—the so-called “magnet effect,” returns exhibit increasing negative skewness, and trading activity spikes up. Our empirical analysis supports the model's predictions. Circuit breakers can affect overall welfare negatively or positively, depending on the relative significance of investors' trading motives for risk sharing versus irrational speculation.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1405-1455"},"PeriodicalIF":8.0,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139938984","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Choosing to Disagree: Endogenous Dismissiveness and Overconfidence in Financial Markets 选择不同意：金融市场中的内生轻视和过度自信
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-02-18 DOI: 10.1111/jofi.13311
SNEHAL BANERJEE, JESSE DAVIS, NAVEEN GONDHI
{"title":"Choosing to Disagree: Endogenous Dismissiveness and Overconfidence in Financial Markets","authors":"SNEHAL BANERJEE,&nbsp;JESSE DAVIS,&nbsp;NAVEEN GONDHI","doi":"10.1111/jofi.13311","DOIUrl":"10.1111/jofi.13311","url":null,"abstract":"<div>\u0000 \u0000 <p>The psychology literature documents that individuals derive current utility from their beliefs about future events. We show that, as a result, investors in financial markets choose to disagree about both private information and price information. When objective price informativeness is low, each investor dismisses the private signals of others and ignores price information. In contrast, when prices are sufficiently informative, heterogeneous interpretations arise endogenously: most investors ignore prices, while the rest condition on it. Our analysis demonstrates how observed deviations from rational expectations (e.g., dismissiveness, overconfidence) arise endogenously, interact with each other, and vary with economic conditions.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1635-1695"},"PeriodicalIF":8.0,"publicationDate":"2024-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139911159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Leverage Is a Double-Edged Sword 杠杆是把双刃剑
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-02-15 DOI: 10.1111/jofi.13316
AVANIDHAR SUBRAHMANYAM, KE TANG, JINGYUAN WANG, XUEWEI YANG
{"title":"Leverage Is a Double-Edged Sword","authors":"AVANIDHAR SUBRAHMANYAM,&nbsp;KE TANG,&nbsp;JINGYUAN WANG,&nbsp;XUEWEI YANG","doi":"10.1111/jofi.13316","DOIUrl":"10.1111/jofi.13316","url":null,"abstract":"<div>\u0000 \u0000 <p>We use proprietary data on intraday transactions at a futures brokerage to analyze how implied leverage influences trading performance. Across all investors, leverage is negatively related to performance, due partly to increased trading costs and partly to forced liquidations resulting from margin calls. Defining skill out-of-sample, we find that relative performance differentials across unskilled and skilled investors persist. Unskilled investors' leverage amplifies losses from lottery preferences and the disposition effect. Leverage stimulates liquidity provision by skilled investors, and enhances returns. Although regulatory increases in required margins decrease skilled investors' returns, they enhance overall returns, and attenuate return volatility.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1579-1634"},"PeriodicalIF":8.0,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139745207","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 Equilibrium Size and Value-Added of Venture Capital 风险投资的均衡规模和附加值
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-02-14 DOI: 10.1111/jofi.13313
FRANCESCO SANNINO
{"title":"The Equilibrium Size and Value-Added of Venture Capital","authors":"FRANCESCO SANNINO","doi":"10.1111/jofi.13313","DOIUrl":"10.1111/jofi.13313","url":null,"abstract":"<p>I model positive sorting of entrepreneurs across the high and low value-added segments of the venture capital market. Aiming to attract high-quality entrepreneurs, inefficiently many venture capitalists (VCs) commit to provide high value-added by forming small portfolios. This draws the marginal entrepreneur away from the low value-added segment, reducing match quality in the high value-added segment too. There is underinvestment. Multiple equilibria may emerge, and they differ in aggregate investment. The model rationalizes evidence on VC returns and value-added along fundraising “waves” and when the cost of entrepreneurship falls, and generates untested predictions on the size and value-added of venture capital.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1297-1352"},"PeriodicalIF":8.0,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13313","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139894591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Overconfidence and Preferences for Competition 过度自信与竞争偏好
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-02-13 DOI: 10.1111/jofi.13314
ERNESTO REUBEN, PAOLA SAPIENZA, LUIGI ZINGALES
{"title":"Overconfidence and Preferences for Competition","authors":"ERNESTO REUBEN,&nbsp;PAOLA SAPIENZA,&nbsp;LUIGI ZINGALES","doi":"10.1111/jofi.13314","DOIUrl":"10.1111/jofi.13314","url":null,"abstract":"<div>\u0000 \u0000 <p>We study when preferences for competition are a positive economic trait among high earners and the extent to which this trait can explain the gender gap in income among a master's degree in business administration (MBAs). Consistent with the experimental evidence, preferences for competition are a positive economic trait only for individuals who are not overconfident. Preferences for competition correlate with income only at graduation when bonuses are guaranteed and not a function of performance. Overconfident competition-loving MBAs observe lower compensation and income growth, and experience greater exit from high-reward industries and more frequent job interruptions. Preferences for competition do not explain the gender pay gap among MBAs.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1087-1121"},"PeriodicalIF":8.0,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139745210","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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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