Financial Markets, Institutions and Instruments最新文献_第6页

Banks’ equity performance and the term structure of interest rates 银行股权绩效与利率期限结构

Financial Markets, Institutions and Instruments Pub Date : 2020-04-29 DOI: 10.1111/fmii.12125

Elyas Elyasiani, Iftekhar Hasan, Elena Kalotychou, Panos K. Pouliasis, Sotiris K. Staikouras

{"title":"Banks’ equity performance and the term structure of interest rates","authors":"Elyas Elyasiani, Iftekhar Hasan, Elena Kalotychou, Panos K. Pouliasis, Sotiris K. Staikouras","doi":"10.1111/fmii.12125","DOIUrl":"10.1111/fmii.12125","url":null,"abstract":"Using an extensive global sample, this paper investigates the impact of the term structure of interest rates on bank equity returns. Decomposing the yield curve to its three constituents (level, slope and curvature), the paper evaluates the time-varying sensitivity of the bank's equity returns to these constituents by using a diagonal dynamic conditional correlation multivariate GARCH framework. Evidence reveals that the empirical proxies for the three factors explain the variations in equity returns above and beyond the market-wide effect. More specifically, shocks to the long-term (level) and short-term (slope) factors have a statistically significant impact on equity returns, while those on the medium-term (curvature) factor are less clear-cut. Bank size plays an important role in the sense that exposures are higher for SIFIs and large banks compared to medium and small banks. Moreover, banks exhibit greater sensitivities to all risk factors during the crisis and post-crisis periods compared to the pre-crisis period; though these sensitivities do not differ for market-oriented and bank-oriented financial systems.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"29 2","pages":"43-64"},"PeriodicalIF":0.0,"publicationDate":"2020-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12125","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45857212","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

The time-varying performance of UK analyst recommendation revisions: Do market conditions matter? 英国分析师建议修订的时变表现:市场状况重要吗?

Financial Markets, Institutions and Instruments Pub Date : 2020-04-29 DOI: 10.1111/fmii.12126

Chen Su, Hanxiong Zhang, Robert S. Hudson

{"title":"The time-varying performance of UK analyst recommendation revisions: Do market conditions matter?","authors":"Chen Su, Hanxiong Zhang, Robert S. Hudson","doi":"10.1111/fmii.12126","DOIUrl":"10.1111/fmii.12126","url":null,"abstract":"This study examines the time-varying performance of investment strategies following analyst recommendation revisions in the UK stock market, with specific emphasis on the impact of changing market conditions. We find a negative relationship between the recommendation performance and market conditions as measured in terms of past market return and market volatility. In particular, the upgrade (downgrade) portfolio generates significantly positive (negative) net abnormal returns in bad market conditions (e.g., the dot-com bubble burst in 2000 and the credit crisis in 2007), but not in other periods of time. Moreover, our non-temporal threshold regression analysis shows that the reported negative relationship disappears when market conditions become better, i.e., when the past market return (market volatility) is higher (lower) than a certain level, indicating the importance of taking non-linearity into account in the long sample period as examined in this study. Our time-series bootstrap simulations further confirm that the superior recommendation performance in bad market conditions is not due to random chance; analysts have certain skills in making valuable up/downward revisions in bad markets.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"29 2","pages":"65-89"},"PeriodicalIF":0.0,"publicationDate":"2020-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12126","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47312313","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: 5

Incentive-compatible contracts in merger negotiations: The role of acquirer idiosyncratic stock return volatility 并购谈判中的激励相容契约:收购方特殊股票收益波动的作用

Financial Markets, Institutions and Instruments Pub Date : 2019-09-29 DOI: 10.1111/fmii.12124

Dimitris Alexakis, Leonidas G. Barbopoulos

{"title":"Incentive-compatible contracts in merger negotiations: The role of acquirer idiosyncratic stock return volatility","authors":"Dimitris Alexakis, Leonidas G. Barbopoulos","doi":"10.1111/fmii.12124","DOIUrl":"https://doi.org/10.1111/fmii.12124","url":null,"abstract":"We show that the acquiring firm's idiosyncratic stock return volatility (sigma) is an important determinant of the selection and perceived valuation effects of earnouts in Mergers and Acquisitions (M&As). Earnout-based M&As are more often announced by high-sigma acquirers (nearly 40% of all earnout-based M&As), yet the documented higher risk-adjusted returns accrued to acquirers in earnout-based M&As, relative to M&As settled in cash, stock or mixed payments (the earnout effect), appear in deals announced by low-sigma acquirers (nearly 20% of all earnout-based M&As). High-sigma acquirers employing earnouts appear to break even, or even experience losses, relative to their counterparts employing single up-front payments. These results are confirmed based on a quasi-experimental design through which the earnout effect is measured in isolation. We argue that in M&As announced by high-sigma acquirers, the earnout effect is potentially elusive due to the presence of an acquirer-specific information revelation effect, resulting from the heightened extent of information asymmetry between (small) acquirers’ managers and outside investors. On the contrary, the use of earnouts in M&As announced by low-sigma (large) acquirers, whereby the acquirer-specific information revelation effect is likely negligible, sends a strong signal for value creation that also prevents investors from inducing a size-related discount.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"29 1","pages":"3-40"},"PeriodicalIF":0.0,"publicationDate":"2019-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12124","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109175747","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: 7

Investor behaviour and reaching for yield: Evidence from the sterling corporate bond market† 投资者行为和对收益的追求:来自英镑公司债券市场的证据†

Financial Markets, Institutions and Instruments Pub Date : 2019-09-02 DOI: 10.1111/fmii.12122

Robert Czech, Matt Roberts-Sklar

引用次数: 16

Managerial ability and bond rating changes 管理能力与债券评级变化

Financial Markets, Institutions and Instruments Pub Date : 2019-08-30 DOI: 10.1111/fmii.12123

Joel Harper, Kristopher J. Kemper, Li Sun

引用次数: 6

The impact of multilateral trading facilities on price discovery: Further evidence from the European markets 多边贸易设施对价格发现的影响:来自欧洲市场的进一步证据

Financial Markets, Institutions and Instruments Pub Date : 2019-08-27 DOI: 10.1111/fmii.12121

Mike Buckle, Jing Chen, Qian Guo, Xiaoxi Li

{"title":"The impact of multilateral trading facilities on price discovery: Further evidence from the European markets","authors":"Mike Buckle, Jing Chen, Qian Guo, Xiaoxi Li","doi":"10.1111/fmii.12121","DOIUrl":"https://doi.org/10.1111/fmii.12121","url":null,"abstract":"This study examines relative price discovery for three major European indices, FTSE, CAC, and DAX, their futures and exchange traded funds (ETFs) using the data on 5-minute intraday transaction prices over a four-year period. We computed both Hasbrouck (1995) information share with error bounds and Gonzalo and Granger's (1995) common factor weights approach. Gonzalo and Granger's (1995) common factor weights suggest the index futures contracts play a dominant role in price discovery in the CAC market: the CAC 40 index futures lead the price discovery and Lyxor CAC 40 ETFs serving the second resort for information transmission. This could be due to the less frequent trading of ETFs. More importantly, CAC40 under the Gonzalo & Granger (1995) test shows upper and lower error bounds in good range may be the main reason to drive for the meaningful results. In contrast, the upper and lower bounds estimated from the Hasbrouck (1995) are far distant for most cases. Finally, FTSE and DAX markets offer compelling evidence to show that ETFs lead price discovery and spots and futures follows.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 4","pages":"321-343"},"PeriodicalIF":0.0,"publicationDate":"2019-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12121","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91875869","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

ESG in credit ratings and the impact on financial markets ESG在信用评级和对金融市场的影响

Financial Markets, Institutions and Instruments Pub Date : 2019-05-20 DOI: 10.1111/fmii.12114

Florian Kiesel, Felix Lücke

引用次数: 34

Motivating high-impact innovation: Evidence from managerial compensation contracts 激励高影响力创新:来自管理层薪酬合同的证据

Financial Markets, Institutions and Instruments Pub Date : 2019-05-20 DOI: 10.1111/fmii.12115

Bill B. Francis, Iftekhar Hasan, Zenu Sharma, Maya Waisman

{"title":"Motivating high-impact innovation: Evidence from managerial compensation contracts","authors":"Bill B. Francis, Iftekhar Hasan, Zenu Sharma, Maya Waisman","doi":"10.1111/fmii.12115","DOIUrl":"https://doi.org/10.1111/fmii.12115","url":null,"abstract":"We investigate the relationship between Chief Executive Officer (CEO) compensation and firm innovation and find that long‐term incentives in the form of options, especially unvested options, and protection from managerial termination in the form of golden parachutes are positively related to corporate innovation, and particularly to high‐impact, exploratory (new knowledge creation) invention. Conversely, non‐equity pay has a detrimental effect on the input, output and impact of innovation. Tests using the passage of an option expensing regulation (FAS 123R) as an exogenous shock to option compensation suggest a causal interpretation for the link between long‐term pay incentives, patents and citations. Furthermore, we find that the decline in option pay following the implementation of FAS 123R has led to a significant reduction in exploratory innovation and therefore had a detrimental effect on innovation output. Overall, our findings support the idea that compensation contracts that protect from early project failure and incentivize long‐term commitment are more suitable for inducing high‐impact corporate innovation.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 3","pages":"291-318"},"PeriodicalIF":0.0,"publicationDate":"2019-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12115","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91854223","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: 6

Editorial of special issue 2016 Portsmouth – Fordham conference on Banking and Finance 2016年朴茨茅斯-福特汉姆银行与金融会议特刊编辑

Financial Markets, Institutions and Instruments Pub Date : 2019-04-04 DOI: 10.1111/fmii.12105

Ioannis Chatziantoniou, Iftekhar Hasan, Fotios Pasiouras

引用次数: 0

The impact of business group affiliation on stock price informativeness: Evidence from an emerging market 企业集团隶属关系对股价资讯性的影响:来自新兴市场的证据

Financial Markets, Institutions and Instruments Pub Date : 2019-03-05 DOI: 10.1111/fmii.12111

A. Melih Küllü, Doug Dyer, Gokhan Yilmaz, Zenu Sharma

引用次数: 3