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Security Analysts’ Site Visits and Stock Price Synchronicity 证券分析师实地考察与股价同步
Financial Markets, Institutions and Instruments Pub Date : 2023-06-11 DOI: 10.1111/fmii.12180
Yu Jiang, Adrian C. H. Lei
{"title":"Security Analysts’ Site Visits and Stock Price Synchronicity","authors":"Yu Jiang,&nbsp;Adrian C. H. Lei","doi":"10.1111/fmii.12180","DOIUrl":"https://doi.org/10.1111/fmii.12180","url":null,"abstract":"<p>This paper investigates how security analysts’ corporate site visits impact listed firms’ stock-price informativeness. Examining a sample of security analysts’ visits to Chinese listed firms from 2010 to 2019, we find that security analysts incorporate firm-specific information into share prices through site visits, significantly reducing the visited firms’ stock price synchronicity. This finding is robust to an alternative measure of stock price informativeness and a two-stage least-squares approach using the introduction of high-speed rail as the instrumental variable. We also find that the impact of analysts’ site visits on firms’ stock price synchronicity is more pronounced for firms with lower information disclosure quality and poor corporate governance than for other firms. Further analysis on firm characteristics documents that this effect is stronger for large-size firms, firms in the manufacturing industry, and state-owned enterprises.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 4","pages":"195-219"},"PeriodicalIF":0.0,"publicationDate":"2023-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50129255","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
Keeping up with the Joneses? Evidence from Peer Performance in the Banking Industry 攀比？来自银行业同行绩效的证据
Financial Markets, Institutions and Instruments Pub Date : 2023-06-08 DOI: 10.1111/fmii.12179
Wassim Dbouk, Lawrence Kryzanowski
{"title":"Keeping up with the Joneses? Evidence from Peer Performance in the Banking Industry","authors":"Wassim Dbouk,&nbsp;Lawrence Kryzanowski","doi":"10.1111/fmii.12179","DOIUrl":"https://doi.org/10.1111/fmii.12179","url":null,"abstract":"<p>This paper traces the reaction of US banks to ROE underperformance on liquidity creation, equity capital, and loan loss provisions. We find that banks change their structures in the subsequent quarter after underperformance by increasing their on-balance and off-balance sheet liquidity creation to increase profitability. Banks tend to increase their equity capital and improve their loan quality by lowering non-discretionary loan loss provisions to become safer. Banks signal their ability to overcome underperformance by increasing their discretionary loan loss provisions. Our results reveal that large banks rely mainly on off-balance sheet liquidity creation as their primary tool to recover from underperformance while medium-size and small banks adjust their equity capital to increase their safety.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 4","pages":"171-194"},"PeriodicalIF":0.0,"publicationDate":"2023-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50125184","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
Implications of Internal Funds Surplus for Determining Agency Spending of SEO Proceeds and Timing Incentives 内部资金盈余对决定SEO收益和时间激励的机构支出的影响
Financial Markets, Institutions and Instruments Pub Date : 2023-05-06 DOI: 10.1111/fmii.12173
Ebrahim Bazrafshan
{"title":"Implications of Internal Funds Surplus for Determining Agency Spending of SEO Proceeds and Timing Incentives","authors":"Ebrahim Bazrafshan","doi":"10.1111/fmii.12173","DOIUrl":"https://doi.org/10.1111/fmii.12173","url":null,"abstract":"<p>According to the pecking order theory, firms with potential investment projects should raise external capital if and only if sufficient internal funds are not available. The theory can be violated if equity issuers are motivated by market timing and increasing funds for insiders’ benefits, indicating that firms may already have internal funds surplus without including external funds, but still issue equity. By controlling for future funds needs, the analyses show that issuers that engage in market timing and spend the SEO proceeds on value-destroying projects are strongly associated with their internal funds surplus. Moreover, SEO announcement returns are lower for issuers with internal funds surplus. This pattern strongly supports the predictive ability of internal funds surplus to detect the need for external capital and ultimately to determine timing incentives and agency spending of SEO proceeds.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 4","pages":"133-169"},"PeriodicalIF":0.0,"publicationDate":"2023-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50123006","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
Across-the-Curve Credit Spread Indices 跨曲线信贷利差指数
Financial Markets, Institutions and Instruments Pub Date : 2023-04-02 DOI: 10.1111/fmii.12172
Antje Berndt, Darrell Duffie, Yichao Zhu
{"title":"Across-the-Curve Credit Spread Indices","authors":"Antje Berndt,&nbsp;Darrell Duffie,&nbsp;Yichao Zhu","doi":"10.1111/fmii.12172","DOIUrl":"https://doi.org/10.1111/fmii.12172","url":null,"abstract":"<p>We design a novel across-the-curve credit spread index, AXI, a measure of the recent cost of wholesale unsecured debt funding for publicly listed US bank holding companies and commercial banks. AXI, a benchmark for bank lending and risk management, is the weighted average of credit spreads for unsecured debt instruments with maturities ranging from overnight to five years, with weights that reflect both transaction and issuance volumes. We provide illustrative output of the bond-based component of AXI. By widening coverage to include all corporate debt issuers, we also build a financial conditions index (FXI).</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 3","pages":"115-130"},"PeriodicalIF":0.0,"publicationDate":"2023-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12172","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50119732","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Intensified Competition and The Impact on Credit Ratings in the RMBS market 人民币S市场竞争加剧及其对信用评级的影响
Financial Markets, Institutions and Instruments Pub Date : 2023-03-11 DOI: 10.1111/fmii.12170
Vivian M. van Breemen, Frank J. Fabozzi, Dennis Vink
{"title":"Intensified Competition and The Impact on Credit Ratings in the RMBS market","authors":"Vivian M. van Breemen,&nbsp;Frank J. Fabozzi,&nbsp;Dennis Vink","doi":"10.1111/fmii.12170","DOIUrl":"https://doi.org/10.1111/fmii.12170","url":null,"abstract":"<p>In this paper, we empirically investigate the impact of intensified competition on rating quality in the credit rating market for residential mortgage-backed securities (RMBS) in the period 2017–2020. We provide evidence that competition between large credit rating agencies (CRAs) (Moody's and Standard &amp; Poor's) and newer smaller ones (Dominion Bond Rating Service Morningstar and Kroll Bond Rating Agency) creates credit rating inconsistencies in the RMBS market. While a credit rating should solely represent the underlying credit risk of a RMBS, irrespective of the competition in the market, our results show that this is not the case. When competitive pressure is higher, both large and small CRAs tend to adjust their rating standards (smaller CRAs react to large CRAs and vice versa).</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 2","pages":"51-86"},"PeriodicalIF":0.0,"publicationDate":"2023-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50149521","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
Credit ETFs in Mutual Funds and Corporate Bond Liquidity 共同基金中的信用ETF与公司债券流动性
Financial Markets, Institutions and Instruments Pub Date : 2023-03-07 DOI: 10.1111/fmii.12171
Jeffrey Meli, Zornitsa Todorova
{"title":"Credit ETFs in Mutual Funds and Corporate Bond Liquidity","authors":"Jeffrey Meli,&nbsp;Zornitsa Todorova","doi":"10.1111/fmii.12171","DOIUrl":"https://doi.org/10.1111/fmii.12171","url":null,"abstract":"<p>We show that high yield (HY) mutual funds own and trade ETFs to manage liquidity needs driven by fund flows, whereas investment grade (IG) funds do not. The use of ETFs by HY mutual funds to manage liquidity shifts some trading away from bonds and into ETFs, which reduces the liquidity of the underlying bonds. This substitution effect outweighs the better-understood inclusion effect, whereby bond liquidity benefits from increased ETF ownership, such that the net effect of ETFs is to reduce HY liquidity. In IG, the substitution effect is not significant and ETFs result in increased bond liquidity.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 3","pages":"89-114"},"PeriodicalIF":0.0,"publicationDate":"2023-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12171","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50137410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Environmental reputational risk, negative media attention and financial performance 环境声誉风险、负面媒体关注和财务业绩
Financial Markets, Institutions and Instruments Pub Date : 2022-07-07 DOI: 10.1111/fmii.12163
Leonardo Becchetti, Rocco Ciciretti, Iftekhar Hasan, Gabriele La Licata
{"title":"Environmental reputational risk, negative media attention and financial performance","authors":"Leonardo Becchetti,&nbsp;Rocco Ciciretti,&nbsp;Iftekhar Hasan,&nbsp;Gabriele La Licata","doi":"10.1111/fmii.12163","DOIUrl":"10.1111/fmii.12163","url":null,"abstract":"<p>Tracing negative media attention, this paper investigates the effect of reputational risk on firm value. Decomposing reputational damage into environmental, social and corporate-governance dimensions, it reports that environmental reputational risk has the most significant negative effect on price earnings, i.e., firms exposed to environmental risk are likely to be priced at a discount or charged a higher risk premium when discounting future earnings.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"31 4","pages":"123-145"},"PeriodicalIF":0.0,"publicationDate":"2022-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82917671","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
Secret Recipe of IPO survival: ESG disclosure and performance IPO生存秘方：ESG披露与业绩
Financial Markets, Institutions and Instruments Pub Date : 2022-06-24 DOI: 10.1111/fmii.12169
Mengchuan Fu, Dantong Yu, Dan Zhou
{"title":"Secret Recipe of IPO survival: ESG disclosure and performance","authors":"Mengchuan Fu,&nbsp;Dantong Yu,&nbsp;Dan Zhou","doi":"10.1111/fmii.12169","DOIUrl":"https://doi.org/10.1111/fmii.12169","url":null,"abstract":"<p>While ESG initiation and disclosure may help newly listed companies maintain a social license to operate, mitigate information asymmetry, and attract investor attention, it may impose significant costs on initial public offering (IPO) firms and magnify agency problems. Using a sample of 1102 IPOs issued in the U.S and the ESG data from MSCI between 1999 and 2016, the paper empirically tests the competing hypotheses and examines the influence of ESG disclosure and performance on the survivability of IPOs. We document that (1) voluntary ESG disclosure reduces IPO failure risks and improves long-run performance of IPO; (2) the sooner ESG information is disclosed after the IPO, the greater the likelihood of survival and better long-run performance; and (3) IPOs with better ESG score are less likely to fail, with the impact largely attributable to the company's social and governance performance. Our findings identify new failure risks for IPOs, supply evidence of value-relevance of ESG, and provide practical guidance for managers.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 1","pages":"3-19"},"PeriodicalIF":0.0,"publicationDate":"2022-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50142688","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
Resilience of Environmental and Social Stocks under Stress: Lessons from the COVID-19 Pandemic 环境和社会存量在压力下的韧性：2019冠状病毒病疫情的教训
Financial Markets, Institutions and Instruments Pub Date : 2022-06-24 DOI: 10.1111/fmii.12166
Pejman Abedifar, Kais Bouslah, Christopher Neumann, Amine Tarazi
{"title":"Resilience of Environmental and Social Stocks under Stress: Lessons from the COVID-19 Pandemic","authors":"Pejman Abedifar,&nbsp;Kais Bouslah,&nbsp;Christopher Neumann,&nbsp;Amine Tarazi","doi":"10.1111/fmii.12166","DOIUrl":"10.1111/fmii.12166","url":null,"abstract":"<p>This paper examines whether environmental and social (ES) activities affect the resiliency of firms during the COVID-19 crisis. We study a sample of 330 firms operating in five developed countries: Canada, France, Japan, the UK and the US. Our analysis shows that US firms with a high ES ranking experienced a significantly lower stock price range volatility during the Covid stock market rundown of February-March 2020. Such findings also hold for Japanese firms but only later on after the introduction of government support. In terms of returns, compared to their peers with a low ES ranking, Japanese and UK stock prices with a high ES ranking suffered more during and after the market rundown. For other countries, we do not find significant differences in stock price behavior based on ES ratings. Our findings suggest that engaging with ES activities is not associated with a better or worse performance during crisis times, which has important implications for investors and managers.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 2","pages":"23-50"},"PeriodicalIF":0.0,"publicationDate":"2022-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12166","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42936699","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
ESG Risks and the Value Relevance of Current and Historical Earnings ESG风险与当前和历史收益的价值相关性
Financial Markets, Institutions and Instruments Pub Date : 2022-06-24 DOI: 10.1111/fmii.12162
Mingying Cheng, Joseph A. Micale
{"title":"ESG Risks and the Value Relevance of Current and Historical Earnings","authors":"Mingying Cheng,&nbsp;Joseph A. Micale","doi":"10.1111/fmii.12162","DOIUrl":"10.1111/fmii.12162","url":null,"abstract":"<p>We investigate whether independent, third-party assessments of firms’ Environmental, Social, and Governance (ESG) risk exposures provide forward-looking information content to capital market participants by evaluating whether these ESG risks have a moderating effect on the ability of earnings and the book values of equity to predict investors’ expectations of the present value of future cash flows. We find that firms’ higher ESG risk exposure increases the association between current earnings and firm values, while decreasing the relevance of book values of equity (i.e., historical earnings). We find that this effect is strongest for firms with the highest levels of risk exposure and following large changes to ESG risk exposures. In additional analyses, we disaggregate ESG risk exposure and while we find that each component of ESG has predictive power consistent with the main findings, governance risks dominant the results in head to head specifications. Taken together, our findings suggest that governance risk exposures provide forward-looking information content to investors when they evaluate the ability of current earnings to predict future cash flows. Our results are robust to several measures of ESG risk exposure, entropy balancing specifications, and exogenous shocks to ESG attention following global environmental and social justice initiatives.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"31 5","pages":"207-237"},"PeriodicalIF":0.0,"publicationDate":"2022-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74484434","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
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