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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 1.5 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,&nbsp;Mark Wu","doi":"10.1111/jfir.12428","DOIUrl":"10.1111/jfir.12428","url":null,"abstract":"<p>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.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"725-756"},"PeriodicalIF":1.5,"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 1.5 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,&nbsp;Jiawei Chen,&nbsp;Valeriya Posylnaya","doi":"10.1111/jfir.12426","DOIUrl":"10.1111/jfir.12426","url":null,"abstract":"<p>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.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"431-472"},"PeriodicalIF":1.5,"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 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-07-23 DOI: 10.1111/jfir.12425
George Jiang, Ping McLemore, Ao Wang
{"title":"Mutual fund partial liquidation and future performance","authors":"George Jiang,&nbsp;Ping McLemore,&nbsp;Ao Wang","doi":"10.1111/jfir.12425","DOIUrl":"10.1111/jfir.12425","url":null,"abstract":"<p>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.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"757-784"},"PeriodicalIF":1.5,"publicationDate":"2024-07-23","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 1.5 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,&nbsp;Chen Cui,&nbsp;Chen Zheng,&nbsp;Grantley Taylor","doi":"10.1111/jfir.12424","DOIUrl":"10.1111/jfir.12424","url":null,"abstract":"<p>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.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"503-543"},"PeriodicalIF":1.5,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12424","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":"OA","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 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-07-09 DOI: 10.1111/jfir.12423
Evarist Stoja, Arnold Polanski, Linh H. Nguyen
{"title":"The taxonomy of tail risk","authors":"Evarist Stoja,&nbsp;Arnold Polanski,&nbsp;Linh H. Nguyen","doi":"10.1111/jfir.12423","DOIUrl":"10.1111/jfir.12423","url":null,"abstract":"<p>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.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"701-724"},"PeriodicalIF":1.5,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12423","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":"OA","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 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-06-26 DOI: 10.1111/jfir.12422
Dobrina Jandik, Tomas Jandik, Weineng Xu
{"title":"Personal connections, financial advisors and M&A outcomes","authors":"Dobrina Jandik,&nbsp;Tomas Jandik,&nbsp;Weineng Xu","doi":"10.1111/jfir.12422","DOIUrl":"10.1111/jfir.12422","url":null,"abstract":"<p>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&amp;A) outcomes. M&amp;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&amp;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.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"605-643"},"PeriodicalIF":1.5,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12422","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":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Foreign corporations as large shareholders 外国公司作为大股东
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-06-26 DOI: 10.1111/jfir.12421
Fuxiu Jiang, Kenneth A. Kim, John R. Nofsinger, Bing Zhu
{"title":"Foreign corporations as large shareholders","authors":"Fuxiu Jiang,&nbsp;Kenneth A. Kim,&nbsp;John R. Nofsinger,&nbsp;Bing Zhu","doi":"10.1111/jfir.12421","DOIUrl":"https://doi.org/10.1111/jfir.12421","url":null,"abstract":"<p>In this article, we examine foreign corporate shareholders in China. We find that they play an active and effective corporate governance role that improves firm performance. The results are robust to tests that address endogeneity, selection bias, and direction-of-causality concerns. The methods for which foreign corporations exert effective oversight are identified: (1) they actively and effectively monitor firms (i.e., they are more likely to fire [reward] managers for poor [good] firm performance), (2) they invest more in innovation, (3) they are better at selecting investment projects, and (4) they help generate more foreign sales.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"877-904"},"PeriodicalIF":1.5,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144214208","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
Social connections and information leakage: Evidence from target stock price run-up in takeovers 社会关系与信息泄露：来自收购中目标股价上涨的证据
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-06-18 DOI: 10.1111/jfir.12420
Iftekhar Hasan, Lin Tong, An Yan
{"title":"Social connections and information leakage: Evidence from target stock price run-up in takeovers","authors":"Iftekhar Hasan,&nbsp;Lin Tong,&nbsp;An Yan","doi":"10.1111/jfir.12420","DOIUrl":"https://doi.org/10.1111/jfir.12420","url":null,"abstract":"<p>Does information leakage in a target's social networks increase its stock price prior to a merger announcement? Evidence reveals that a target with more social connections indeed experiences a higher pre-announcement price run-up. This effect does not exist during or after the merger announcement, or in windows ending two months before the announcement. It is more pronounced among targets with severe asymmetric information, and weaker when the information about the upcoming merger is publicly available prior to the announcement. It is also weaker in expedited deals such as tender offers.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"645-672"},"PeriodicalIF":1.5,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144213993","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
Distracted institutional shareholders and debt maturity 机构股东分心和债务到期
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-06-14 DOI: 10.1111/jfir.12419
Adrian (Wai Kong) Cheung, Joye Khoo, Rui Wang
{"title":"Distracted institutional shareholders and debt maturity","authors":"Adrian (Wai Kong) Cheung,&nbsp;Joye Khoo,&nbsp;Rui Wang","doi":"10.1111/jfir.12419","DOIUrl":"10.1111/jfir.12419","url":null,"abstract":"<p>We examine whether institutional shareholders’ distraction affects corporate debt maturity decisions. We find that firms with distracted shareholders are associated with lengthened debt maturity. The effect becomes stronger for firms with high information asymmetry or those with high levels of financial constraint. When distraction is high and debt maturity is low, firms hold more cash and use that cash in value-destroying acquisitions. This supports the prevalence of agency problems when institutional shareholders are distracted. The impact of distraction is persistent and affects the debt maturity decision in the future. Our findings are robust to endogeneity and other concerns.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"545-577"},"PeriodicalIF":1.5,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141340268","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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