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Do bank managers signal through cash flow statements? 银行经理是否通过现金流量表发出信号?
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-21 DOI: 10.1111/jfir.12330
Yoshie Saito, Yukihiro Yasuda
{"title":"Do bank managers signal through cash flow statements?","authors":"Yoshie Saito,&nbsp;Yukihiro Yasuda","doi":"10.1111/jfir.12330","DOIUrl":"10.1111/jfir.12330","url":null,"abstract":"<p>We empirically examine the cash flow statements for Japanese banks and whether their managers engage in classification shifting to temper concerns about risk exposure. To create a buffer against liquidity shocks, they shift cash flows from investing and/or financing activities to operating activities. We also find robust evidence that classification shifting intensifies in higher risk situations. Although prior research on managerial discretion focuses on earning management, we are the first to show cash flow management to avoid sequential negative changes in operating cash flows. We show that these activities convey valuable information about changes in banks' risk exposure.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 3","pages":"733-762"},"PeriodicalIF":3.5,"publicationDate":"2023-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47319841","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 1
Debt enforcement, financial leverage, and product failures: Evidence from China and the United States 债务执行、金融杠杆和产品失效：来自中国和美国的证据
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-21 DOI: 10.1111/jfir.12331
Yaopan Yang, Songsong Li, Hengqin Wu
{"title":"Debt enforcement, financial leverage, and product failures: Evidence from China and the United States","authors":"Yaopan Yang,&nbsp;Songsong Li,&nbsp;Hengqin Wu","doi":"10.1111/jfir.12331","DOIUrl":"10.1111/jfir.12331","url":null,"abstract":"<p>Building on capital structure and product market interactions, and the role of debt enforcement in leveraged firms' investments, we examine whether cross-country debt enforcement can produce different associations between financial leverage and product failures. Results show that different debt enforcement systems can generate opposite leverage effects. In countries with weak/nearly ineffective debt enforcement, financial leverage shows an incentive investment effect due to low default costs, and thus highly leveraged firms tend to invest more and are less likely to have product failures. Conversely, in countries with strict/effective debt enforcement, distressed companies tend to have an underinvestment effect and more product failures.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 3","pages":"763-789"},"PeriodicalIF":3.5,"publicationDate":"2023-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49636663","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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 determinants of stock–bond return correlations 股票-债券收益相关性的决定因素
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-17 DOI: 10.1111/jfir.12329
Ghulam Sarwar
{"title":"The determinants of stock–bond return correlations","authors":"Ghulam Sarwar","doi":"10.1111/jfir.12329","DOIUrl":"10.1111/jfir.12329","url":null,"abstract":"<p>I study the options-implied market risks that affect US stock–bond correlations from 2007 to 2021. I discover that US stock and bond market uncertainty, stock market tail risk, and global credit-default risk are dominant contributors to changing stock–bond correlations during the global financial crisis (GFC) period. However, these market risks collectively contribute much less to time-varying correlations in the post-GFC period. Furthermore, stock–bond correlations rise in times of rising US and global bond market risks. Rising stock market uncertainty raises stock–bond correlations in the GFC period but lowers them in the post-GFC period. My results disentangle the risks of stock and bond markets and show that equity tail risk, bond market risk, and stock market uncertainty are dominant factors in changing stock–bond diversification benefits in periods of market turmoil.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 3","pages":"711-732"},"PeriodicalIF":3.5,"publicationDate":"2023-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12329","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43846061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Market-implied ratings and their divergence from credit ratings 市场隐含评级及其与信用评级的差异
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-12 DOI: 10.1111/jfir.12325
Iftekhar Hasan, Jianfu Shen, Gaiyan Zhang, Winnie P. H. Poon
{"title":"Market-implied ratings and their divergence from credit ratings","authors":"Iftekhar Hasan,&nbsp;Jianfu Shen,&nbsp;Gaiyan Zhang,&nbsp;Winnie P. H. Poon","doi":"10.1111/jfir.12325","DOIUrl":"10.1111/jfir.12325","url":null,"abstract":"<p>In this article, we investigate the divergence between credit ratings (CRs) and Moody's market-implied ratings (MIRs). Our evidence shows that rating gaps provide incremental information to the market regarding issuers' default risk over CRs alone in the short horizon and outperform CRs over extended horizons. The predictive ability of rating gaps is greater for more opaque and volatile issuers. Such predictability was more pronounced during the 2008 financial crisis but weakened in the post–Dodd–Frank Act period. This finding is consistent with credit rating agencies’ efforts to improve their performance when facing regulatory pressure. Moreover, our analysis identifies rating-gap signals that do (do not) lead to subsequent Moody's actions to place issuers on negative outlook and watchlists. We find that negative signals from MIR gaps have a real economic impact on issuers’ fundamentals such as profitability, leverage, investment, and default risk, thus supporting the recovery-efforts hypothesis.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 2","pages":"251-289"},"PeriodicalIF":3.5,"publicationDate":"2023-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48493938","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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 effect of the Money Market Mutual Fund Liquidity Facility (MMLF) on corporate short-term borrowing costs 货币市场共同基金流动性融资机制（MMLF）对企业短期借贷成本的影响
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-11 DOI: 10.1111/jfir.12326
Karen Y. Jang
{"title":"The effect of the Money Market Mutual Fund Liquidity Facility (MMLF) on corporate short-term borrowing costs","authors":"Karen Y. Jang","doi":"10.1111/jfir.12326","DOIUrl":"https://doi.org/10.1111/jfir.12326","url":null,"abstract":"<p>In this article, I study the effect of the Money Market Fund Liquidity Facility (MMLF) on corporate short-term borrowing costs. Although MMLF loans accept a broader range of collateral acquired from money market funds (MMFs) than Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF) loans, their higher loan rates could make the intervention less effective. I find the average yield has decreased by 20–24 basis points. The yield-decreasing effects of the MMLF are stronger for securities issued by eligible non-US firms, non-asset-backed commercial paper securities that are newly accepted as collateral under the MMLF, and securities held by affiliated MMFs. However, I do not find an additional yield-decreasing effect of the MMLF on lower rated securities or nonfinancial sector securities. After the implementation of the MMLF, domestic MMFs seem to increase the weight of nonfinancial sector securities, which helps them achieve a higher return.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 3","pages":"605-629"},"PeriodicalIF":3.5,"publicationDate":"2023-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12326","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50128181","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Blockholder mutual fund participation in private in-house meetings 区块持有人共同基金参与私人内部会议
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-10 DOI: 10.1111/jfir.12327
Robert M. Bowen, Shantanu Dutta, Songlian Tang, Pengcheng Zhu
{"title":"Blockholder mutual fund participation in private in-house meetings","authors":"Robert M. Bowen,&nbsp;Shantanu Dutta,&nbsp;Songlian Tang,&nbsp;Pengcheng Zhu","doi":"10.1111/jfir.12327","DOIUrl":"https://doi.org/10.1111/jfir.12327","url":null,"abstract":"<p>The Shenzhen Stock Exchange (SZSE) in China is unique worldwide in requiring disclosure of the timing, participants, and selected content of private in-house meetings between firm managers and outsider investors. We investigate whether these private meetings benefit hosting firms and their major outside institutional investors—blockholder mutual funds (i.e., funds with ownership ≥5%). Using a large data set of SZSE firms, we find that blockholder mutual funds have more access to private in-house meetings, and top management is more likely to be present, especially when a meeting is associated with negative news. Furthermore, when blockholder mutual funds attend negative-news meetings with top management, they are less likely to sell shares, their investment relationship with the hosting firm lasts longer, and hosting firms experience lower postmeeting stock return volatility. These findings suggest that private in-house meetings are an informative disclosure channel that improves social bonding between top management and blockholder mutual funds in ways that benefit hosting firms.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 3","pages":"631-679"},"PeriodicalIF":3.5,"publicationDate":"2023-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12327","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50127130","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 1
Swap variance hedging and efficiency: The role of high moments 掉期方差套期保值与效率:高位时刻的作用
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-09 DOI: 10.1111/jfir.12328
K. Victor Chow, Bingxin Li, Zhan Wang
{"title":"Swap variance hedging and efficiency: The role of high moments","authors":"K. Victor Chow,&nbsp;Bingxin Li,&nbsp;Zhan Wang","doi":"10.1111/jfir.12328","DOIUrl":"10.1111/jfir.12328","url":null,"abstract":"<p>In this article, we propose a new theoretical approach for developing hedging strategies based on swap variance (<i>SwV</i>). <i>SwV</i> is a generalized risk measure equivalent to a polynomial combination of all moments of a return distribution. Using the S&amp;P 500 index and West Texas Intermediate (WTI) crude oil spot and futures price data, as well as simulations by varying the distribution of asset returns, we investigate the dynamic differences between hedge ratios and portfolio performances based on <i>SwV</i> (with high moments) and variance (without high moments). We find that, on average, the minimizing-<i>SwV</i> hedging suggests more short futures contracts than minimizing-variance hedging; however, when market conditions deteriorate, the minimizing-<i>SwV</i> hedging suggests fewer short positions in futures. The superior posthedge performances of the mean-<i>SwV</i> hedged portfolios over the mean-variance hedged portfolios in highly volatile or extremely calm markets confirm the efficiency of the mean-<i>SwV</i> hedging strategy.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 3","pages":"681-709"},"PeriodicalIF":3.5,"publicationDate":"2023-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46016264","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Dividends and share repurchases during the COVID-19 economic crisis COVID - 19经济危机期间的股息和股票回购
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-03-30 DOI: 10.1111/jfir.12324
Mieszko Mazur, Man Dang, Thi Thuy Anh Vo
{"title":"Dividends and share repurchases during the COVID-19 economic crisis","authors":"Mieszko Mazur,&nbsp;Man Dang,&nbsp;Thi Thuy Anh Vo","doi":"10.1111/jfir.12324","DOIUrl":"10.1111/jfir.12324","url":null,"abstract":"<p>In this article, we examine dividends and share repurchases of S&amp;P 1500 firms during the COVID-19 crisis characterized by the stock market crash and a relatively quick stock price recovery propelled by technology stocks. We find that the great majority of firms either maintain or increase the level of dividends during the crisis period. Yet, the relation between the dividend payout and reported earnings is negative and significant. This relation also holds for other types of payouts, including share repurchases and special dividends. Moreover, we find that both forecasted and realized earnings of up to 1 year into the future are negatively associated with current dividends, implying that existing payout policies are unsustainable in the longer term. Surprisingly, the difference-in-differences test shows that firms strongly affected by the COVID-19 crisis have higher dividend payouts (relative to net earnings) compared to unaffected firms. The same test indicates that strongly affected firms significantly reduce repurchases.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 2","pages":"291-314"},"PeriodicalIF":3.5,"publicationDate":"2023-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12324","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41376363","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 1
Performance and diversification benefits of IPO-focused mutual funds 以IPO为重点的共同基金的业绩和多元化收益
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-03-22 DOI: 10.1111/jfir.12323
Manel Kammoun, Habiba Mrissa Bouden
{"title":"Performance and diversification benefits of IPO-focused mutual funds","authors":"Manel Kammoun,&nbsp;Habiba Mrissa Bouden","doi":"10.1111/jfir.12323","DOIUrl":"10.1111/jfir.12323","url":null,"abstract":"<p>We investigate whether mutual funds that invest in initial public offerings (IPOs) outperform the Renaissance IPO Index, IPOX® 100 U.S. Index, and other comparable equity funds that do not invest in IPOs. We also explore whether investors gain diversification benefits by investing in IPO-focused mutual funds. Using a sample of active open-ended US equity mutual funds, we find that IPO-focused funds outperform the Renaissance IPO Index and comparable funds that do not invest in IPOs. Moreover, they provide investors with the benefit of diversification along with better returns. We also find the value added by active management based on IPO strategy.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 2","pages":"315-341"},"PeriodicalIF":3.5,"publicationDate":"2023-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12323","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49243512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Corporate social responsibility and bank liquidity creation 企业社会责任与银行流动性创造
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-02-17 DOI: 10.1111/jfir.12322
Chen Zheng, Adrian (Wai Kong) Cheung, Junru Zhang, Imran Haider
{"title":"Corporate social responsibility and bank liquidity creation","authors":"Chen Zheng,&nbsp;Adrian (Wai Kong) Cheung,&nbsp;Junru Zhang,&nbsp;Imran Haider","doi":"10.1111/jfir.12322","DOIUrl":"10.1111/jfir.12322","url":null,"abstract":"<p>Under the stakeholder theory hypothesis, reputable corporate social responsibility (CSR) banks are expected to attract more loans and deposits, which in turn strengthens their ability to create liquidity. Our findings support this view. Further analyses reveal that the positive effect of CSR on liquidity creation differs depending on bank size, bank capital, and type of financial crisis. In addition, deposit growth, loan growth, lending rate, and funding rate are potential channels through which CSR influences bank liquidity creation. The findings are not driven by an endogeneity issue.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 2","pages":"343-382"},"PeriodicalIF":3.5,"publicationDate":"2023-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49401829","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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: 1
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