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Can financial uncertainty forecast aggregate stock market returns? 金融不确定性能否预测股市总回报？
Financial Markets, Institutions and Instruments Pub Date : 2024-01-12 DOI: 10.1111/fmii.12187
Ólan Henry, Semih Kerestecioglu, Sam Pybis
{"title":"Can financial uncertainty forecast aggregate stock market returns?","authors":"Ólan Henry,&nbsp;Semih Kerestecioglu,&nbsp;Sam Pybis","doi":"10.1111/fmii.12187","DOIUrl":"https://doi.org/10.1111/fmii.12187","url":null,"abstract":"<p>We investigate the role of financial uncertainty in forecasting aggregate stock market returns. Our results suggest that financial uncertainty, along with its change, are more powerful predictors of excess US monthly stock market returns than 14 macroeconomic predictors commonly used in the literature. Financial uncertainty is shown to outperform short interest, which has been suggested to be the strongest known predictor of the equity risk premium. These results persist using robust econometric methods in-sample, and when forecasting out-of-sample.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 2","pages":"91-111"},"PeriodicalIF":0.0,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12187","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140348646","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
Shareholder litigation rights and firm productivity 股东诉讼权与公司生产力
Financial Markets, Institutions and Instruments Pub Date : 2023-11-23 DOI: 10.1111/fmii.12186
Alona Bilokha, Sudip Gupta
{"title":"Shareholder litigation rights and firm productivity","authors":"Alona Bilokha,&nbsp;Sudip Gupta","doi":"10.1111/fmii.12186","DOIUrl":"https://doi.org/10.1111/fmii.12186","url":null,"abstract":"<p>This paper analyzes the impacts of decreased shareholder litigation risk on firm productivity. Shareholder litigation provides shareholders a mechanism to enforce rights and mitigate agency conflicts. We use a staggered state-level adoption of universal demand (UD) laws as an exogenous shock that suppressed the number of shareholder derivative lawsuits. We show that the resulting deterioration in corporate governance, coupled with increased managerial attention, had mixed effects on productivity. Adverse effects resulting from lower litigation risk are primarily observed in firms facing low takeover threats. Conversely, firms with incentivised management achieved a higher productivity growth.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 2","pages":"65-90"},"PeriodicalIF":0.0,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140348846","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
Leverage ratio, risk-based capital requirements, and risk-taking in the United Kingdom 英国的杠杆比率、风险资本要求和风险承担
Financial Markets, Institutions and Instruments Pub Date : 2023-11-10 DOI: 10.1111/fmii.12185
Mahmoud Fatouh, Simone Giansante, Steven Ongena
{"title":"Leverage ratio, risk-based capital requirements, and risk-taking in the United Kingdom","authors":"Mahmoud Fatouh,&nbsp;Simone Giansante,&nbsp;Steven Ongena","doi":"10.1111/fmii.12185","DOIUrl":"10.1111/fmii.12185","url":null,"abstract":"<p>We assess the impact of the leverage ratio capital requirements on the risk-taking behaviour of banks both theoretically and empirically. Conceptually, introducing binding leverage ratio requirements into a regulatory framework with risk-based capital requirements induces banks to re-optimise, shifting from safer to riskier assets (higher asset risk). Yet, this shift would not be one-for-one due to risk weight differences, meaning the shift would be associated with a lower level of leverage (lower insolvency risk). The interaction of these two changes determines the impact on the aggregate level of risk. Empirically, we use a difference-in-differences setup to compare the behaviour of UK banks subject to the leverage ratio requirements (LR banks) to otherwise similar banks (non-LR banks). Our results show that LR banks did not increase asset risk, and slightly reduced leverage levels, compared to the control group after the introduction of leverage ratio in the UK. As expected, these two changes led to a lower aggregate level of risk. Emperical results indicate that credit default swap spreads on the 5-year subordinated debt of LR banks decreased relative to non-LR banks post leverage ratio introduction, suggesting the market viewed LR banks as less risky, especially during the COVID 19 stress.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 1","pages":"31-60"},"PeriodicalIF":0.0,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12185","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135141622","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
Climate regulation costs and firms’ distress risk 气候监管成本与企业困境风险
Financial Markets, Institutions and Instruments Pub Date : 2023-08-27 DOI: 10.1111/fmii.12184
Neophytos Lambertides, Dimitris Tsouknidis
{"title":"Climate regulation costs and firms’ distress risk","authors":"Neophytos Lambertides,&nbsp;Dimitris Tsouknidis","doi":"10.1111/fmii.12184","DOIUrl":"10.1111/fmii.12184","url":null,"abstract":"<p>In 2013, the European Union's Emission Trading Scheme (EU-ETS) entered Phase III. The majority of emission permits in Phase III are auctioned instead of being allocated for free as in Phases I and II. Using a difference-in-differences method, we show that this change has led to an increase in the financial distress risk of the EU-ETS-regulated firms when compared to unregulated firms, suggesting that the EU-ETS imposes a significant financial burden on regulated firms. This result is robust to an array of validation tests, alleviating concerns that it is driven by unobserved factors. In additional analyses we show that the increase in distress risk of regulated firms during Phase III can be explained by, (i) an additional climate regulation cost to purchase pollution permits and (ii) a low average environmental score that possibly (via high sustainability risk) lowers investors expectations regarding firms’ performance. Our findings also show that the distress risk increase is higher for regulated firms operating within countries with lower control of corruption, government effectiveness, political stability, regulatory quality, rule of law, and voice accountability before the EU-ETS implementation.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"33 1","pages":"3-30"},"PeriodicalIF":0.0,"publicationDate":"2023-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12184","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84522387","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
Bank dividend payout policy and debt seniority: Evidence from US Banks 银行派息政策与债务优先级:来自美国银行的证据
Financial Markets, Institutions and Instruments Pub Date : 2023-08-07 DOI: 10.1111/fmii.12183
Thaer Alhalabi, Vítor Castro, Justine Wood
{"title":"Bank dividend payout policy and debt seniority: Evidence from US Banks","authors":"Thaer Alhalabi,&nbsp;Vítor Castro,&nbsp;Justine Wood","doi":"10.1111/fmii.12183","DOIUrl":"10.1111/fmii.12183","url":null,"abstract":"<p>Bank depositors and creditors are expected to play an important role in banks’ dividend policy since they can either discipline or incentivise managers to pay larger dividends. We provide evidence suggesting that depositors are more influential than subordinated debtholders in disciplining banks facing extreme solvency situations from wealth expropriation, which is consistent with the <i>monitoring hypothesis</i>. The results for solvent banks show that deposits and subordinated debt explain larger dividends, suggesting that signalling incentives drive these cash payments. Diving deeper into our groups of banks, we observe that the <i>risk-shifting hypothesis</i> becomes more nuanced as listed banks exercise wealth expropriation after the crisis through the uninsured deposits channel. Our results provide significant support for major dividend theories, unravelling the debt channels through which these theories may hold.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 5","pages":"285-340"},"PeriodicalIF":0.0,"publicationDate":"2023-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12183","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82932252","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
Flight from Liquidity and Corporate Bond Yields 逃离流动性和公司债券收益率
Financial Markets, Institutions and Instruments Pub Date : 2023-07-31 DOI: 10.1111/fmii.12182
Ali Ebrahim Nejad, Saeid Hoseinzade, Aryan Molanaei
{"title":"Flight from Liquidity and Corporate Bond Yields","authors":"Ali Ebrahim Nejad,&nbsp;Saeid Hoseinzade,&nbsp;Aryan Molanaei","doi":"10.1111/fmii.12182","DOIUrl":"10.1111/fmii.12182","url":null,"abstract":"<p>This paper documents that in distress periods, liquidity constrained investors sell liquid corporate bonds and hold onto illiquid ones, a phenomenon which we refer to as flight from liquidity. Performing within issuer-time analysis to properly control for credit risk, we find that flight from liquidity results in a decline in the liquidity premium. In other words, liquid bonds that are significantly more expensive in normal market conditions, lose more value in distress periods and trade at a closer, and sometimes at an indistinguishable, yield spread to their illiquid peers from the same issuer. We also find that these shocks to the liquidity premium are short-lived and do not have a long-lasting pricing impact. We provide suggestive evidence that the liquidity clientele effect derives these results. Our findings suggest that investment exposure to liquid bonds entails a unique risk arising during periods of distress.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 5","pages":"255-283"},"PeriodicalIF":0.0,"publicationDate":"2023-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135209772","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
Sentimental Sustainability: Does What Companies Say Tell More Than What Companies Do? 情感上的可持续性：公司所说的比公司所做的更能说明问题吗？
Financial Markets, Institutions and Instruments Pub Date : 2023-07-04 DOI: 10.1111/fmii.12181
Konstantin Ignatov, Markus Rudolf
{"title":"Sentimental Sustainability: Does What Companies Say Tell More Than What Companies Do?","authors":"Konstantin Ignatov,&nbsp;Markus Rudolf","doi":"10.1111/fmii.12181","DOIUrl":"https://doi.org/10.1111/fmii.12181","url":null,"abstract":"<p>Based on a sample of more than eleven thousand unique 10-K reports of US companies filed with SEC in period 2013 to 2018, this study examines the relationship between actual sustainability performance of companies, evaluated by MSCI ESG performance scores, and the extent and the scope of environmental, social, and governance information disclosure in their annual reports. The study shows empirical evidence supporting the signalling theory view of voluntary disclosure of ESG information in annual reports for most industries, while environmentally unfriendly companies belonging to the Mining industry division show excessive reporting behavior favoring environmental topics, which is consistent with incentives to improve public image and mitigate social, political, and legal risks in line with the legitimacy theory of information disclosure. When differentiating between forward-looking and non-forward-looking ESG statements, the study shows that companies providing more forward-looking ESG information in annual reports show better next-year ESG performance. This study implements established content analysis techniques with focus on ESG reporting and performance, building up on the study of Baier, Berninger, and Kiesel (2020) that proposed an ESG-tailored dictionary for textual analysis purposes.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"32 4","pages":"221-252"},"PeriodicalIF":0.0,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fmii.12181","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50127864","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
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
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