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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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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
Tax policies and agency costs 税收政策和代理成本
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-01-26 DOI: 10.1111/jfir.12321
Diogo Duarte, Brice Dupoyet, Sandrine Docgne, Florent Rouxelin
{"title":"Tax policies and agency costs","authors":"Diogo Duarte,&nbsp;Brice Dupoyet,&nbsp;Sandrine Docgne,&nbsp;Florent Rouxelin","doi":"10.1111/jfir.12321","DOIUrl":"10.1111/jfir.12321","url":null,"abstract":"<p>We show that when large corporations are subject to a different tax system than smaller firms, the agency cost of under- and overinvestment is significantly altered. In contrast to the findings in the literature, the gap between the first- and second-best investment trigger prices do not move in lockstep with variations in the corporate tax rate, as in the case of a linear tax system. We show that the gap can either widen or shrink, depending on the tax policy design and regime. In addition, we find that the agency cost under a progressive tax regime is considerably larger than the agency cost under a regressive tax regime when equityholders have to bear all the investment costs. These results are reversed when managers have the ability to issue additional debt to finance the firm's expansion and transfer part of the investment costs to bondholders.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43671414","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
Institutional trading and information processing: Evidence from complicated firms and easy-to-analyze firms 机构交易和信息处理：来自复杂企业和易于分析的企业的证据
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-01-26 DOI: 10.1111/jfir.12320
Dallin M. Alldredge
{"title":"Institutional trading and information processing: Evidence from complicated firms and easy-to-analyze firms","authors":"Dallin M. Alldredge","doi":"10.1111/jfir.12320","DOIUrl":"10.1111/jfir.12320","url":null,"abstract":"<p>In this article, I examine institutional trading within two groups of firms with different demands on investor information processing: conglomerate firms and stand-alone firms. On average, institutional trading in conglomerate firm stocks yields significantly lower returns than institutional trading in stand-alone firm stocks. Inferior returns following institutional trading in conglomerate firm stocks persist across small and large firms. Moreover, financial institutions with a low concentration of conglomerate firms in their portfolios are more profitable in their trading. This study provides evidence that skilled institutional investors intentionally focus their information-processing efforts on easy-to-analyze firms.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46357604","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
De facto time-varying indices-based benchmarks for mutual fund returns 事实上的时变指数——基于共同基金回报的基准
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-01-26 DOI: 10.1111/jfir.12318
Tingting Cheng, Cheng Yan, Yayi Yan
{"title":"De facto time-varying indices-based benchmarks for mutual fund returns","authors":"Tingting Cheng,&nbsp;Cheng Yan,&nbsp;Yayi Yan","doi":"10.1111/jfir.12318","DOIUrl":"10.1111/jfir.12318","url":null,"abstract":"<p>We question time-invariant indices as fund benchmarks and propose a regime-switching methodology to identify time-varying de facto benchmarks from a pool of market-based indices, with or without a risk-free asset. To ameliorate the benchmark mismatch issue, we highlight the importance of using time-varying indices-based benchmarks for fund performance evaluation. Our de facto benchmark captures fund styles better than other benchmark choices, substantially improves the identification of significant fund alphas, and provides better out-of-sample forecasts. We uncover several new findings in terms of fund performance evaluation using our de facto benchmarks.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48767136","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
Venture capital and private equity investors, governance, and success of IPOs: Evidence from India 风险投资和私募股权投资者、治理与IPO成功：来自印度的证据
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-01-26 DOI: 10.1111/jfir.12319
Sridhar Gogineni, Arun Upadhyay
{"title":"Venture capital and private equity investors, governance, and success of IPOs: Evidence from India","authors":"Sridhar Gogineni,&nbsp;Arun Upadhyay","doi":"10.1111/jfir.12319","DOIUrl":"https://doi.org/10.1111/jfir.12319","url":null,"abstract":"<p>In this article, we examine the role of domestic and foreign venture capital and private equity (VCPE) firms in India. We find robust evidence that portfolio firms backed by foreign VCPE firms incorporate effective governance structures after the initial public offering (IPO). Specifically, these firms are associated with smaller, more independent, and gender-diverse boards. Furthermore, our results suggest that foreign VCPE firms continue their association with their portfolio firms in the post-IPO period by nominating directors to the boards. Our results also suggest that portfolio firms backed by foreign VCPE firms are associated with better long-term operating performance and profitability. This positive effect is exacerbated by the presence of independent and female directors. Collectively, our results support the view that good governance practices are key to the long-term success of a business, especially in economies that lack good legal systems, developed financial markets, and alternative investment opportunities and where developing trust between parties in a transaction is crucial.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50154567","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
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