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Democracy and stock market returns 民主与股市回报
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2024-04-28 DOI: 10.1111/jfir.12402
Xun Lei, Tomasz Piotr Wisniewski
{"title":"Democracy and stock market returns","authors":"Xun Lei, Tomasz Piotr Wisniewski","doi":"10.1111/jfir.12402","DOIUrl":"https://doi.org/10.1111/jfir.12402","url":null,"abstract":"In this article, we empirically examine the relation between democracy level and stock index returns in a sample of 74 countries. Compared with democracies, autocratic states are characterized by lower returns despite exhibiting higher return volatility. Even though this higher volatility can be mostly attributed to diversifiable country‐specific risk, the capital asset pricing model cannot explain the return differential. Instead, it is the level of investor protection that can fully account for the phenomenon described here. Autocratic leaders may be reluctant to promulgate regulations shielding investors, and the resultant expropriation depresses the returns realized by outsiders.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"75 1","pages":""},"PeriodicalIF":3.5,"publicationDate":"2024-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140811510","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
Military independent directors and merger activity 军事独立董事和兼并活动
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-04-26 DOI: 10.1111/jfir.12401
Zhe Li, Megan Ramsey
{"title":"Military independent directors and merger activity","authors":"Zhe Li,&nbsp;Megan Ramsey","doi":"10.1111/jfir.12401","DOIUrl":"10.1111/jfir.12401","url":null,"abstract":"<p>In this article, we examine the relation between independent directors with past military service and merger activity. We find that firms with a greater proportion of independent directors with military experience complete fewer mergers, and the deals are of smaller value. Our results are robust to instrumental variable estimation. The reduction in merger and acquisition activity is concentrated in firms with weak CEOs, suggesting independent directors with military service do not improve firm agency problems.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 4","pages":"1119-1134"},"PeriodicalIF":1.5,"publicationDate":"2024-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140800126","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
Predictable time‐series biases in analyst target prices and stock returns 分析师目标价格和股票回报中可预测的时间序列偏差
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2024-04-17 DOI: 10.1111/jfir.12400
Ahmadreza Vafaeimehr
{"title":"Predictable time‐series biases in analyst target prices and stock returns","authors":"Ahmadreza Vafaeimehr","doi":"10.1111/jfir.12400","DOIUrl":"https://doi.org/10.1111/jfir.12400","url":null,"abstract":"Target prices often draw criticism because of their optimistic nature and lack of substantial investment value. I provide evidence that removing predictable time‐series biases in target prices significantly improves the information content of these estimates. Empirical tests do not support that these benefits stem from market underreaction to predictable biases. Instead, evidence indicates the informativeness of unbiased estimates about priced risk factors beyond common factors. Unbiasing target prices may improve their ability to capture time‐series momentum. Finally, I delve into the methodological facets of the unbiasing procedure, leading to the development of frameworks that possess tangible practical relevance.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"126 1","pages":""},"PeriodicalIF":3.5,"publicationDate":"2024-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140613036","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 asset growth return premium and anchoring on the 52‐week high 资产增长回报溢价和锚定 52 周高点
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2024-04-12 DOI: 10.1111/jfir.12399
Benjamin M. Blau, Brad Cannon
{"title":"The asset growth return premium and anchoring on the 52‐week high","authors":"Benjamin M. Blau, Brad Cannon","doi":"10.1111/jfir.12399","DOIUrl":"https://doi.org/10.1111/jfir.12399","url":null,"abstract":"Research shows that year‐over‐year growth in a firm's assets is associated with a negative stock return premium. A possible explanation for this premium is based on mispricing correction, due in part to investors' overvaluation related to investment. In this article, we argue that a correction of any type is more likely to occur when stock prices are further away from their 52‐week high. To the extent that the 52‐week high acts as a viable anchor, when stocks are closer to this anchor, investors might become less inclined to contribute to the typical downward correction for these types of growth firms. In several tests, we find that stocks that are furthest away exhibit the strongest return premium. The return premium, however, begins to disappear as stocks approach their 52‐week high. These results are robust to various risk factors and cross‐sectional tests that include several firm‐specific characteristics.","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"26 1","pages":""},"PeriodicalIF":3.5,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140560714","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
Bond pairs and the term structure 债券对和期限结构
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-03-28 DOI: 10.1111/jfir.12396
Antonio Diaz, Miles Livingston
{"title":"Bond pairs and the term structure","authors":"Antonio Diaz,&nbsp;Miles Livingston","doi":"10.1111/jfir.12396","DOIUrl":"10.1111/jfir.12396","url":null,"abstract":"<p>In the US Treasury bond market, the existence of a bond pair (two bonds with the same maturity but different coupons) is shown to allow the computation of the zero-coupon interest rate for that maturity directly from the bond prices, as well as the zero-coupon interest rates for adjacent maturity bonds with the same number of coupon payments. Since the 2008–2009 financial crisis, the number of bond pairs has increased, allowing for the direct estimation from bond prices of the zero-coupon interest rates for an average of 180 individual maturities for bond maturities between 6 months and 30 years. The bond pairs approach outperforms popular yield-curve-fitting models in accurately reproducing original bond prices.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 4","pages":"1021-1054"},"PeriodicalIF":1.5,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12396","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140370367","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 connections and innovation in diversified conglomerates 多元化企业集团的社会联系与创新
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-03-28 DOI: 10.1111/jfir.12395
Tomas Jandik, Tatiana Salikhova
{"title":"Social connections and innovation in diversified conglomerates","authors":"Tomas Jandik,&nbsp;Tatiana Salikhova","doi":"10.1111/jfir.12395","DOIUrl":"10.1111/jfir.12395","url":null,"abstract":"<p>We study the effect of social connections between divisional managers and CEO on the scale and success of innovation activities in US diversified conglomerates. Divisional managers who previously worked or studied with the CEO file a greater number of patents during their tenure at the segment. These patents receive more citations in the future and represent a greater scientific and economic value. To provide causal support for our findings, we exploit plausibly exogenous variation in connections caused by CEO nonperformance-related retirements. The difference-in-differences estimation shows that after the CEO leaves the office, connected segments experience a drop in the quantity and quality of innovation activities. The effect of connections to the CEO on innovation outcomes is stronger in firms with high internal information asymmetry. These findings can imply that social connections help to mitigate adverse selection problems associated with risky R&amp;D investments.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 4","pages":"1135-1163"},"PeriodicalIF":1.5,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140370807","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
Intraday variation in trading costs: Evidence from the TSPP 交易成本的日内变化：来自 TSPP 的证据
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-03-18 DOI: 10.1111/jfir.12394
Justin Cox, Bonnie Van Ness, Robert Van Ness
{"title":"Intraday variation in trading costs: Evidence from the TSPP","authors":"Justin Cox,&nbsp;Bonnie Van Ness,&nbsp;Robert Van Ness","doi":"10.1111/jfir.12394","DOIUrl":"10.1111/jfir.12394","url":null,"abstract":"<p>We examine changes in the intraday pattern of trading costs between pilot and control stocks during the US Securities and Exchange Commission tick size pilot program (TSPP). We find that intraday trading costs are relatively unchanged between pilot and control stocks in pre<i>-</i> and post-TSPP periods. We find that differences in trading costs between pilot and control stocks during the TSPP are lower in the morning and greater toward the close. We also find that intraday differences in quoted depth between pilot and control stocks during the TSPP is lower at the beginning of the day, increases during the day, and falls toward the close of trading.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 4","pages":"1277-1292"},"PeriodicalIF":1.5,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140170089","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
How does the JOBS act affect the rule 144A market? JOBS 法案对 144A 市场有何影响？
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-03-03 DOI: 10.1111/jfir.12392
Kelly Cai, Hui Zhu
{"title":"How does the JOBS act affect the rule 144A market?","authors":"Kelly Cai,&nbsp;Hui Zhu","doi":"10.1111/jfir.12392","DOIUrl":"10.1111/jfir.12392","url":null,"abstract":"<p>In this article, we examine the effects of Title II of the Jumpstart Our Business Startups (JOBS) Act on the cost and issue size of Rule 144 debts for a sample from 2002 to 2019. We find that after the enactment of the JOBS Act, the average cost (issue size) of the Rule 144 A offers decreases (increases) significantly. The findings are robust after controlling for issue-, issuer-, and country-specific characteristics as well as market conditions. Evidence based on the propensity-score-matched sample, including public debt issues, subsample analyses, difference-in-differences tests, and alternative event windows, further shows that domestic firms benefit more from the JOBS Act as they have a greater reduction in the cost of debt and increase in the issue size. Overall, our results are consistent with the increased investor base hypothesis and suggest that Title II of the JOBS Act satisfies Congress's goal of making it more cost efficient for Rule 144 A issuers.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 4","pages":"1245-1276"},"PeriodicalIF":1.5,"publicationDate":"2024-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12392","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140054061","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
Toeholds and information quality in common-value takeover auctions 共同价值收购拍卖中的 "脚手架 "和信息质量
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-02-29 DOI: 10.1111/jfir.12393
Anna Dodonova
{"title":"Toeholds and information quality in common-value takeover auctions","authors":"Anna Dodonova","doi":"10.1111/jfir.12393","DOIUrl":"10.1111/jfir.12393","url":null,"abstract":"<p>In this article I analyze the effect of the sensitivity of firm value on the information available to potential acquirers in common-value takeover auctions with toeholds. I show that the quality of information does not affect equilibrium when bidders have equal toeholds but has a significant effect when toeholds are different. My article demonstrates that increasing the relative information quality of the bidder with a smaller toehold makes both bidders bid more aggressively and leads to a higher price. I also analyze the combined effect of toeholds and information quality on equilibrium bidding strategies and discuss ways target shareholders can increase the expected final price.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 4","pages":"1229-1244"},"PeriodicalIF":1.5,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12393","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140025150","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
Threats to human capital: The effect of health risk on corporate financial policy 对人力资本的威胁：健康风险对公司财务政策的影响
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-02-21 DOI: 10.1111/jfir.12391
Özde Öztekin
{"title":"Threats to human capital: The effect of health risk on corporate financial policy","authors":"Özde Öztekin","doi":"10.1111/jfir.12391","DOIUrl":"10.1111/jfir.12391","url":null,"abstract":"<p>I examine the relation between threats to human capital and corporate financial policy using morbidity and mortality data related to infectious diseases. I observe a strong association between deteriorating health and declines in leverage, which seems to be influenced by increasing human capital costs offsetting debt benefits. Firms consider reducing debt as a strategic response to perceived employee valuation of human capital insurance, which tends to be affected by a disease-induced rise in human capital costs. This association appears more pronounced in technology firms, distressed firms, and labor-intensive firms, and during higher disease-induced labor uncertainty, with some moderation by labor unions.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 4","pages":"1165-1206"},"PeriodicalIF":1.5,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139948627","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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