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Financial Constraints and Risk Aversion: A Tax-based Theory of Rising Industrial Concentration 金融约束与风险规避:产业集中度上升的税收基础理论
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-08-18 DOI: 10.2139/ssrn.3907016
Qiushi Huang
{"title":"Financial Constraints and Risk Aversion: A Tax-based Theory of Rising Industrial Concentration","authors":"Qiushi Huang","doi":"10.2139/ssrn.3907016","DOIUrl":"https://doi.org/10.2139/ssrn.3907016","url":null,"abstract":"I propose a theory that shows for financially constrained firms, a lower tax rate on cash returns can cause firms to hoard more cash and increase their investment in risky projects. As a result, industry sales becomes increasingly concentrated in top firms. The model has three central ingredients: (1) Risk-neutral firms behave as if they were risk-averse because of financial constraints (2) The tax rate of the return on cash is negatively related to firms' effective risk-aversion. (3) Investments in risky projects, after the resolution of uncertainty, become ex-post dispersion in firms' sales, which give rise to an increase in the level of market concentration. So when the foreign tax rate were lowered in the late 90s, the theory suggests that multinational firms' effective risk-aversion was reduced and they had the incentive to increase investments in risky projects. This, in turn, leads to an increasingly concentrated economy. Empirical evidence is consistent with the proposed risk-taking channel.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122647332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Ownership Concentration and Performance of Deteriorating Syndicated Loans 股权集中度与恶化银团贷款绩效
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-08-13 DOI: 10.2139/ssrn.3905845
Mariassunta Giannetti, Ralf R. Meisenzahl
{"title":"Ownership Concentration and Performance of Deteriorating Syndicated Loans","authors":"Mariassunta Giannetti, Ralf R. Meisenzahl","doi":"10.2139/ssrn.3905845","DOIUrl":"https://doi.org/10.2139/ssrn.3905845","url":null,"abstract":"Regulation and capital constraints may force banks and collateralized loan obligations (CLOs) to sell deteriorating loans, potentially hampering renegotiation and amplifying the initial negative shock to the borrower. We show that banks and CLOs sell downgraded loans to mutual funds and hedge funds. The reallocation of loan shares favors the syndicate's concentration, increasing lenders' incentives to renegotiate. However, syndicates remain less concentrated when potential buyers experience financial constraints and subsequently loans are less likely to be amended and more likely to be downgraded even further. Our findings indicate that existing regulations may amplify shocks to credit quality during periods of generalized distress in the financial system.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124708287","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does Recognition versus Disclosure Affect Debt Contracting? Evidence from SFAS 158 确认与披露是否影响债务合同?来自SFAS 158的证据
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-08-10 DOI: 10.2139/ssrn.3434732
J. Donovan, Andrew S. McMartin, Matthew K. Phillips
{"title":"Does Recognition versus Disclosure Affect Debt Contracting? Evidence from SFAS 158","authors":"J. Donovan, Andrew S. McMartin, Matthew K. Phillips","doi":"10.2139/ssrn.3434732","DOIUrl":"https://doi.org/10.2139/ssrn.3434732","url":null,"abstract":"We study how recognition versus disclosure affects pricing and control allocation in debt contracting. We examine whether loan spreads and the use of covenants changed around SFAS 158 adoption, which required recognition of previously disclosed pension liabilities. We find that pension underfunding is positively associated with loan spreads and negatively associated with the use of capital (i.e., balance sheet) covenants prior to the adoption of SFAS 158. This is consistent with lenders viewing disclosed accounting information as not sufficiently reliable for contracting and instead pricing the risk associated with underfunding. Post-SFAS 158, pension underfunding is associated with lower spreads and a higher likelihood of using capital covenants relative to the pre-period. Further, we find no change in the use of performance covenants or the underlying credit risk associated with pension underfunding post-SFAS 158. Collectively, this evidence is consistent with recognition improving the reliability of accounting information for debt contracting.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130195341","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Valuation Uncertainty 估值的不确定性
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-08-07 DOI: 10.2139/ssrn.3850807
A. Golubov, Theodosia Konstantinidi
{"title":"Valuation Uncertainty","authors":"A. Golubov, Theodosia Konstantinidi","doi":"10.2139/ssrn.3850807","DOIUrl":"https://doi.org/10.2139/ssrn.3850807","url":null,"abstract":"We develop a firm-specific measure of valuation uncertainty from the distribution of valuations predicted by an empirical multiples-based valuation model. The measure is effective in summarizing the information in existing proxies and offers substantial incremental variation. Among many possible applications, we use our measure to test the hypothesis that valuation uncertainty is conducive to valuation mistakes. A value-like long-short strategy is particularly profitable among high valuation uncertainty stocks. Stocks in the short leg earn average returns indistinguishable from the risk-free rate – turning negative following periods of high investor sentiment – and their future earnings disappoint. Insiders trade against the presumed valuation mistakes.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"15 27","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132545992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Disagreement between Hedge Funds and Other Institutional Investors and the Cross-Section of Expected Stock Returns 对冲基金与其他机构投资者的分歧与股票预期收益的横截面
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-08-06 DOI: 10.2139/ssrn.3705635
M. Çaglayan, Umut Celiker, Gokhan Sonaer
{"title":"Disagreement between Hedge Funds and Other Institutional Investors and the Cross-Section of Expected Stock Returns","authors":"M. Çaglayan, Umut Celiker, Gokhan Sonaer","doi":"10.2139/ssrn.3705635","DOIUrl":"https://doi.org/10.2139/ssrn.3705635","url":null,"abstract":"We find that strong disagreements between hedge funds and other institutions in their common stock trades are twice as likely as agreements. The overall success of hedge funds’ trades is confined to disagreement stocks. While hedge funds are on average positive feedback traders, albeit weaker than other institutions, they are neither positive nor negative feedback traders for stocks heavily sold by other institutions. Hedge funds also depend less on earnings news. Our findings highlight the importance of disagreement in studying the performance of institutional investors’ trades and are consistent with the notion that skilled investors rely less on public information.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127985849","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Diversity Matters/Delivers/Wins Revisited in S&P 500® Firms 标准普尔500®公司重新审视多元化问题/交付/获胜
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-08-06 DOI: 10.2139/ssrn.3849562
Jeremiah Green, John R. M. Hand
{"title":"Diversity Matters/Delivers/Wins Revisited in S&P 500® Firms","authors":"Jeremiah Green, John R. M. Hand","doi":"10.2139/ssrn.3849562","DOIUrl":"https://doi.org/10.2139/ssrn.3849562","url":null,"abstract":"In a series of influential studies, McKinsey (2015, 2018, 2020) report a statistically significant positive relation between the industry-adjusted EBIT margin of global samples of large public firms and the racial/ethnic diversity of their executives. However, when we revisit McKinsey’s tests using recent data for US S&P 500® firms, we find statistically insignificant relations between McKinsey’s inverse normalized Herfindahl-Hirschman measures of executive racial/ethnic diversity and not only industry-adjusted EBIT margin, but also industry-adjusted sales growth, gross margin, ROA, ROE, and TSR. Our results suggest that despite the imprimatur often given to McKinsey’s (2015, 2018, 2020) studies, caution is warranted in relying on their findings to support the view that US publicly traded firms can deliver improved financial performance if they increase the racial/ethnic diversity of their executives.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129780119","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Product Market Threats and Leases 产品市场威胁和租赁
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3818495
Douglas J. Fairhurst, Tae-Nyun Kim, P. Lee, Yoonsoo Nam
{"title":"Product Market Threats and Leases","authors":"Douglas J. Fairhurst, Tae-Nyun Kim, P. Lee, Yoonsoo Nam","doi":"10.2139/ssrn.3818495","DOIUrl":"https://doi.org/10.2139/ssrn.3818495","url":null,"abstract":"We document that product market threats increase the use of leased capital. We use Chinese import penetration in an instrumental variables setting to address endogeneity concerns. The positive relation between product market threats and leases is larger for firms that are financially constrained, need financial flexibility, and most impacted by predation risk. In additional analyses, we find that the increased use of leases corresponds to a diminished effect of product market threats on investment, growth, and profitability. Collectively, the findings identify product market threats as a non-tax rate factor that increases the strategic use of leased capital.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"49 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113987330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Measuring Markups with Revenue Data 用收入数据衡量加价
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-08-01 DOI: 10.2139/ssrn.3912966
I. Kirov, James Traina
{"title":"Measuring Markups with Revenue Data","authors":"I. Kirov, James Traina","doi":"10.2139/ssrn.3912966","DOIUrl":"https://doi.org/10.2139/ssrn.3912966","url":null,"abstract":"Standard production-based markup estimators are biased and inconsistent when output prices are unobserved. Absent additional assumptions, researchers cannot disentangle whether firms have higher revenues because of higher productivity or higher markups. We propose a method that generates unbiased and consistent estimates by modifying physical productivity process assumptions into revenue productivity process assumptions, and by flexibly modeling markups as a specified function of observables and fixed effects. Our method builds on past work designed to estimate production functions in competitive environments. Our suggested two-step estimator is simple in concept and implementation, requiring only common regression techniques.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116733247","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Bank Stability and the Price of Loan Commitments 银行稳定性和贷款承诺的价格
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-28 DOI: 10.2139/ssrn.3258393
Asad Rauf
{"title":"Bank Stability and the Price of Loan Commitments","authors":"Asad Rauf","doi":"10.2139/ssrn.3258393","DOIUrl":"https://doi.org/10.2139/ssrn.3258393","url":null,"abstract":"Firms insure themselves from liquidity shocks by contracting on credit lines from banks. I document novel empirical evidence on how the risk of contract nonperformance by banks is priced. Firms pay a higher price for loan commitments from safer banks. A one standard deviation increase in the cross-sectional mean of bank capital increases the commitment fees by 5%. I further exploit exogenous variation in the market value of banks' assets from natural disasters to identify causal effect of lender stability on commitment fees. The sensitivity of the fees is higher for firms with higher short-term liabilities and higher income uncertainty.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129867239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Lazy Dividends 懒惰的股息
SPGMI: Compustat Fundamentals (Topic) Pub Date : 2021-07-28 DOI: 10.2139/ssrn.3659917
Patrick J. Dennis, J. Weston
{"title":"Lazy Dividends","authors":"Patrick J. Dennis, J. Weston","doi":"10.2139/ssrn.3659917","DOIUrl":"https://doi.org/10.2139/ssrn.3659917","url":null,"abstract":"Corporate dividends cluster on increments of 5, like 25, 50, and 75. Firms that pay dividends on these \"prominent\" amounts have lower operating performance and five-factor alphas 60 b.p. per year lower compared to firms whose dividends are not increments of 5. Consistent with agency frictions that reduce managerial effort and lead to lazy decisions, we find that clustering effects are stronger for entrenched firms, with more market power, and low levels of shareholder activism. Dividend increases also tend to cluster more than cuts, consistent with saliency bias. Our results complement a number of recent studies showing the economic importance of simple decision heuristics.","PeriodicalId":342161,"journal":{"name":"SPGMI: Compustat Fundamentals (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115524122","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","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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