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Treasury auction method and underpricing: Evidence from Iceland 国债拍卖方法与定价不足：冰岛的证据
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2024-08-07 DOI: 10.1111/jfir.12428
Antoine Noel, Mark Wu
{"title":"Treasury auction method and underpricing: Evidence from Iceland","authors":"Antoine Noel, Mark Wu","doi":"10.1111/jfir.12428","DOIUrl":"https://doi.org/10.1111/jfir.12428","url":null,"abstract":"The Central Bank of Iceland replaced the discriminatory method used for auctioning treasury securities with the uniform‐price method in 2009. We analyze underpricing before and after this institutional reform with a sample of 516 auctions organized from 2000 to 2018. After controlling for auction characteristics and financial market conditions, we find that underpricing is lower under the uniform‐price method. However, this underpricing decline does not translate into a reduction in sovereign issuance cost. The emergence of overpricing, observed in the late part of our sample, coincides with the growing importance of commissions paid to primary dealers. Our results provide practical implications for governments, regulators, and market participants.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"6 1","pages":""},"PeriodicalIF":3.5,"publicationDate":"2024-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141949379","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
Insider trading restriction enforcement, investor protection, and innovation 内幕交易限制的执行、投资者保护和创新
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2024-08-01 DOI: 10.1111/jfir.12426
D. Brian Blank, Jiawei Chen, Valeriya Posylnaya
{"title":"Insider trading restriction enforcement, investor protection, and innovation","authors":"D. Brian Blank, Jiawei Chen, Valeriya Posylnaya","doi":"10.1111/jfir.12426","DOIUrl":"https://doi.org/10.1111/jfir.12426","url":null,"abstract":"US Securities and Exchange Commission (SEC) enforcement actions are intended to protect investors and limit expropriation by firm insiders, but these SEC actions could affect insiders' incentives to contribute to value‐enhancing activities. Therefore, we explore how corporate innovation and performance respond to insider trading restrictions imposed by regulators and firms. Using manually collected data on SEC indictments against corporate insiders, we document more innovative activity following external insider trading restrictions. External restrictions are also followed by higher corporate investment, capital access, and operating performance. Similarly, internal blackout restrictions to insider trading are linked to more innovation as well. We use SEC and congressional rule changes as quasi‐natural experiments resulting in shocks in enforcement and indictments for identification and inference. Our results suggest insider trading restrictions and enforcement actions affect subsequent firm activities and managerial decisions by protecting outside investment, resulting in more investment in innovation.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"12 1","pages":""},"PeriodicalIF":3.5,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141880662","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
Mutual fund partial liquidation and future performance 共同基金部分清算与未来业绩
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2024-07-24 DOI: 10.1111/jfir.12425
George Jiang, Ping McLemore, Ao Wang
{"title":"Mutual fund partial liquidation and future performance","authors":"George Jiang, Ping McLemore, Ao Wang","doi":"10.1111/jfir.12425","DOIUrl":"https://doi.org/10.1111/jfir.12425","url":null,"abstract":"We examine the determinants of mutual fund partial liquidation and the effect of a negative shock to fund size on performance. We find that older funds from a smaller family with a large number of share classes are more likely to conduct partial liquidation. As fund size decreases after partial liquidation, its performance improves. This effect is more pronounced for funds with stronger pre‐event liquidity constraint and funds that subsequently experience a larger decrease in liquidity, suggesting that liquidity constraint is a contributing factor of fund performance. These findings are consistent with mutual funds having decreasing returns to scale.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"62 1","pages":""},"PeriodicalIF":3.5,"publicationDate":"2024-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141770613","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
Artificial intelligence innovation and stock price crash risk 人工智能创新与股价暴跌风险
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2024-07-17 DOI: 10.1111/jfir.12424
Junru Zhang, Chen Cui, Chen Zheng, Grantley Taylor
{"title":"Artificial intelligence innovation and stock price crash risk","authors":"Junru Zhang, Chen Cui, Chen Zheng, Grantley Taylor","doi":"10.1111/jfir.12424","DOIUrl":"https://doi.org/10.1111/jfir.12424","url":null,"abstract":"This study examines the association between artificial intelligence innovation (AII) and stock price crash risk (SPCR). AII serves as a governance mechanism that can bolster strength in internal controls, leading to increased financial transparency and thereby reducing the likelihood of future SPCR. The results hold after accounting for possible endogeneity issues Further, we find that monitoring through corporate governance mechanisms, level of following by equity analysts, and the reduced information asymmetry constitute important channels that mediate the association between AII and SPCR. Additionally, the relationship between AII and SPCR varies across corporate life cycle stages and workplace culture.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 1","pages":""},"PeriodicalIF":3.5,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141742383","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 taxonomy of tail risk 尾部风险分类法
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2024-07-10 DOI: 10.1111/jfir.12423
Evarist Stoja, Arnold Polanski, Linh H. Nguyen
{"title":"The taxonomy of tail risk","authors":"Evarist Stoja, Arnold Polanski, Linh H. Nguyen","doi":"10.1111/jfir.12423","DOIUrl":"https://doi.org/10.1111/jfir.12423","url":null,"abstract":"We use tail events at different levels of severity to define an asset's tail risk and to decompose the latter into a systematic and an idiosyncratic component. The systematic component captures an asset's tendency to experience joint tail losses with the market and generalizes a classic tail dependence coefficient. However, the idiosyncratic component consists of two parts: idiosyncratic tail risk that leads to asset‐specific tail losses and tail risk cushioning that dampens the tail losses emanating from the market. Tail risk cushioning is a novel concept that arises naturally in our framework, is consistent with the previous two and completes the taxonomy of tail risk. We examine the performance of our tail risk decomposition on a large dataset, confirming some previous results on tail risk and uncovering new theoretical and empirical findings.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"16 1","pages":""},"PeriodicalIF":3.5,"publicationDate":"2024-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141586998","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
Personal connections, financial advisors and M&A outcomes 人脉、财务顾问和并购结果
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2024-06-27 DOI: 10.1111/jfir.12422
Dobrina Jandik, Tomas Jandik, Weineng Xu
{"title":"Personal connections, financial advisors and M&A outcomes","authors":"Dobrina Jandik, Tomas Jandik, Weineng Xu","doi":"10.1111/jfir.12422","DOIUrl":"https://doi.org/10.1111/jfir.12422","url":null,"abstract":"Personal connections (based on prior employment, educational, or social club membership overlaps) between top executives and board members of the bidding firm and those of the bidder financial advisor affect Mergers and Acquisition (M&A) outcomes. M&A deals where bidder top managers share past personal work‐related connections with their advisors are associated with 1.7% lower bidder announcement returns compared to the returns for deals without such connections. We also show M&A deals advised by personally connected financial advisors are more likely to be completed but take longer to get finalized. Last, when connections exist, the bidder CEO receives a higher cash bonus upon completion of the deal, and the financial advisors are rewarded by higher advisor fees. Overall, our findings suggest that personal connections between bidders and their financial advisors could be detrimental.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"31 1","pages":""},"PeriodicalIF":3.5,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141503764","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
Asset versus equity acquisitions by financial institutions 金融机构的资产收购与股权收购
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-06-16 DOI: 10.1111/jfir.12415
Jennifer Brodmann, Charles Armah Danso, Surendranath Rakesh Jory, Thanh Ngo
{"title":"Asset versus equity acquisitions by financial institutions","authors":"Jennifer Brodmann,&nbsp;Charles Armah Danso,&nbsp;Surendranath Rakesh Jory,&nbsp;Thanh Ngo","doi":"10.1111/jfir.12415","DOIUrl":"https://doi.org/10.1111/jfir.12415","url":null,"abstract":"<p>We examine the impact of asset versus equity acquisitions in generating firm value for financial institutions. We find that acquirers experience statistically and economically significantly higher cumulative abnormal returns in asset acquisitions compared to equity acquisitions. We analyze the announcement-period returns and find that investors' reaction to asset acquisitions by financial institutions is met more favorably than are equity acquisitions. When employing the difference-in-differences approach, we find that asset acquisitions entail improved operating performance.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"387-423"},"PeriodicalIF":1.5,"publicationDate":"2024-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12415","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638665","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
Who can see the iceberg's peak? How icebergs are used by information and liquidity traders 谁能看到冰山的顶峰？信息和流动性交易者如何利用冰山
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-06-04 DOI: 10.1111/jfir.12414
Paul Lajbcygier, Van Hoang Vu
{"title":"Who can see the iceberg's peak? How icebergs are used by information and liquidity traders","authors":"Paul Lajbcygier,&nbsp;Van Hoang Vu","doi":"10.1111/jfir.12414","DOIUrl":"10.1111/jfir.12414","url":null,"abstract":"<p>Iceberg orders are partially disclosed limit orders that only reveal a small portion of their hidden volume at any time. Once traded, the iceberg order automatically replenishes until all its hidden volume executes. Consistent with theory, icebergs appeal to both information and liquidity traders. Information traders place orders at aggressive prices in the limit order book, which transact immediately as marketable orders. Liquidity traders use non-aggressive orders, which sit on the book as limit orders. Iceberg traders adjust the aggressiveness of their orders as market conditions change. We find the market discovers iceberg orders through repeated replenishments.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"227-265"},"PeriodicalIF":1.5,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12414","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141266705","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
VC ownership post-IPO: When, why, and how do VCs exit? 首次公开募股后的风险投资所有权：风险投资何时、为何、如何退出？
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-05-28 DOI: 10.1111/jfir.12412
Anup Basnet, Kuntara Pukthuanthong, Harry Turtle, Thomas Walker
{"title":"VC ownership post-IPO: When, why, and how do VCs exit?","authors":"Anup Basnet,&nbsp;Kuntara Pukthuanthong,&nbsp;Harry Turtle,&nbsp;Thomas Walker","doi":"10.1111/jfir.12412","DOIUrl":"10.1111/jfir.12412","url":null,"abstract":"<p>We examine the evolution of lead venture capital firm (VC) ownership after their portfolio companies (PCs) are publicly listed. We find that, on average, lead VCs retain their shares for three years post-IPO. Higher liquidity pressure and better stock market performance lead to faster VC exits, while higher VC reputation, better VC monitoring, and higher quality PCs lead to slower exits. VCs mostly use sales in the open market, share distributions, and mergers and acquisitions to divest their shares. Higher liquidity pressure incentivizes VCs to use majority share distributions, while better stock market performance increases their preference for continuous sales.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"73-102"},"PeriodicalIF":1.5,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12412","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196716","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
Social media and cost of debt financing: Evidence from stock forum text analysis 社交媒体与债务融资成本：股票论坛文本分析的证据
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-05-28 DOI: 10.1111/jfir.12413
Qingxi Meng, Shenwei Mo, Xiaofeng Quan, Joseph H. Zhang
{"title":"Social media and cost of debt financing: Evidence from stock forum text analysis","authors":"Qingxi Meng,&nbsp;Shenwei Mo,&nbsp;Xiaofeng Quan,&nbsp;Joseph H. Zhang","doi":"10.1111/jfir.12413","DOIUrl":"10.1111/jfir.12413","url":null,"abstract":"<p>In this article, we examine whether and how small investors’ social media activity is associated with subsequent bond credit spreads. We use extensive data from posts/comments on social media 30 days before the bond issuance announcement date to identify their implied power and find that the more posts/comments, the smaller the bond issuance spreads. We further find that information quality improvement of posts increases this negative relation between social media activity and bond cost, and that posts directly related to issuers’ fundamentals and/or debt financing drive our main results. Additional tests show that the effect is more salient when there is a greater demand for information quality or when macroeconomic conditions worsen.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"103-131"},"PeriodicalIF":1.5,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196721","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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