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Project risk and the bank monitored credit line 项目风险和银行监控的信贷额度
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-05-28 DOI: 10.1111/jfir.12411
Eric Van Tassel
{"title":"Project risk and the bank monitored credit line","authors":"Eric Van Tassel","doi":"10.1111/jfir.12411","DOIUrl":"10.1111/jfir.12411","url":null,"abstract":"<p>In this paper we investigate the role a monitored credit line plays in managing a firm's liquidity needs and influencing the firm's project risk. We develop a theoretical model where a firm finances a risky project that is subject to a liquidity shock. External lenders are imperfectly informed about both project risk and the firm's liquidity, which leads to moral hazard. We identify conditions under which it is optimal for the firm to fund the project using a term loan from a less informed lender and manage liquidity using a line of credit from an informed lender.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"149-166"},"PeriodicalIF":1.5,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196656","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
Debt dispersion and corporate liquidity 债务分散与公司流动性
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-05-21 DOI: 10.1111/jfir.12410
Goutham Abotula, Douglas (DJ) Fairhurst
{"title":"Debt dispersion and corporate liquidity","authors":"Goutham Abotula,&nbsp;Douglas (DJ) Fairhurst","doi":"10.1111/jfir.12410","DOIUrl":"10.1111/jfir.12410","url":null,"abstract":"<p>Cash holdings are significantly lower for firms with dispersed debt maturity, and this finding is robust to entropy balancing and allowing for the simultaneous selection of dispersion and cash holdings. The relation is strongest for firms with shorter debt maturity and firms that rely on precautionary cash, such as financially constrained firms and firms with volatile cash flows. Markets place a lower value on the cash of firms with high or increasing dispersion, and these firms retain less cash. Collectively, the evidence implies that firms can hedge rollover risk with dispersed debt maturity as an alternative to holding costly cash.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"41-72"},"PeriodicalIF":1.5,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141118067","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 role of existing shareholders in private equity placements in China 现有股东在中国私募股权投资中的作用
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-05-15 DOI: 10.1111/jfir.12405
Yini Liu, Di Lu, Suhua Tian
{"title":"The role of existing shareholders in private equity placements in China","authors":"Yini Liu,&nbsp;Di Lu,&nbsp;Suhua Tian","doi":"10.1111/jfir.12405","DOIUrl":"10.1111/jfir.12405","url":null,"abstract":"<p>In this article, we investigate how the participation of firms’ existing shareholders affects the pricing and valuation of private investments in public equity (PIPEs). Using a large sample of PIPEs issued by Chinese listed firms from 2006 to 2019, we find that the effective discount and long-term buy-and-hold abnormal stock returns of PIPEs with existing shareholder participation are significantly higher than those with only new investor participation, after controlling for heterogeneous types of PIPE investors. However, the superior post-PIPE stock performance of deals with existing shareholders is not driven by improved operating performance but by tunneling activities such as frequent dividend announcements, related-party transactions, and positive earnings management during the lock-up period. Our findings suggest that the effect of existing shareholders’ participation in private equity placements is more consistent with the tunneling hypothesis than the certification hypothesis. We document that the tunneling incentives are stronger when firms face greater financial constraints and can be mitigated when the firm's corporate governance is stronger.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"351-385"},"PeriodicalIF":1.5,"publicationDate":"2024-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140972625","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
Synthetic long stock and option trading: Evidence from stock splits 合成多头股票和期权交易：股票分割的证据
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-05-03 DOI: 10.1111/jfir.12404
Yifan Liu, Louis R. Piccotti
{"title":"Synthetic long stock and option trading: Evidence from stock splits","authors":"Yifan Liu,&nbsp;Louis R. Piccotti","doi":"10.1111/jfir.12404","DOIUrl":"10.1111/jfir.12404","url":null,"abstract":"<p>We theoretically and empirically identify synthetic long stock as an alternative driver of option trading. Our model proves that the use of synthetic long stocks by capital-constrained traders contributes to at-the-money (ATM) option trading. Using an event study based on stock splits, we document empirical evidence consistent with the model's predictions. ATM option trading declines after stock splits, and these declines are more pronounced for stock splits with higher stock split factors and for more illiquid stocks but are less pronounced for more illiquid options. Our study implies that option trading can occur even without information or opinion dispersion.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"321-350"},"PeriodicalIF":1.5,"publicationDate":"2024-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140838335","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
MIDAS and dividend growth predictability: Revisiting the excess volatility puzzle MIDAS 和股息增长的可预测性：重新审视过度波动之谜
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-05-03 DOI: 10.1111/jfir.12403
Enoch Quaye, Radu Tunaru, Nikolaos Voukelatos
{"title":"MIDAS and dividend growth predictability: Revisiting the excess volatility puzzle","authors":"Enoch Quaye,&nbsp;Radu Tunaru,&nbsp;Nikolaos Voukelatos","doi":"10.1111/jfir.12403","DOIUrl":"10.1111/jfir.12403","url":null,"abstract":"<p>We examine dividend growth predictability and the excess volatility puzzle across a large sample of international equity markets using a mixed-frequency data sampling (MIDAS) regression approach. We find that accounting for dividend seasonality under the MIDAS framework significantly improves dividend growth predictability compared to simple regressions with annually aggregated data. Moreover, variance bounds tests that allow for nonstationary dividends consistently fail to reject the market efficiency hypothesis across all countries. Our findings suggest that the common rejection of market efficiency in the literature is most likely driven by the annual aggregation of dividend data as well as by the assumption of stationary dividends.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"295-319"},"PeriodicalIF":1.5,"publicationDate":"2024-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12403","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140838660","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
Democracy and stock market returns 民主与股市回报
IF 1.5 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,&nbsp;Tomasz Piotr Wisniewski","doi":"10.1111/jfir.12402","DOIUrl":"10.1111/jfir.12402","url":null,"abstract":"<p>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.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"5-39"},"PeriodicalIF":1.5,"publicationDate":"2024-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12402","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":"OA","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
Income and balance sheet diversification effects on banks' cost and profit efficiency: Evidence from the United States 收入和资产负债表多元化对银行成本和利润效率的影响：来自美国的证据
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-04-22 DOI: 10.1111/jfir.12397
Faisal Abbas, Ghulame Rubbaniy, Shoaib Ali, Walayet A. Khan
{"title":"Income and balance sheet diversification effects on banks' cost and profit efficiency: Evidence from the United States","authors":"Faisal Abbas,&nbsp;Ghulame Rubbaniy,&nbsp;Shoaib Ali,&nbsp;Walayet A. Khan","doi":"10.1111/jfir.12397","DOIUrl":"10.1111/jfir.12397","url":null,"abstract":"<p>Using two-step system generalized method of moments approach, we provide empirical evidence on the impact of income, asset, and funding diversification on the cost and profit efficiency of US commercial banks from 2002 to 2019. Furthermore, we use two-stage least squares to examine the interdependence between cost efficiency and profit efficiency. Our results show that funding and income (assets) diversification has a positive (detrimental) effect on the cost efficiency of banks, whereas funding (income and assets) diversification has a significantly negative (positive) effect on profit efficiency. Our findings reveal that during the global financial crisis, asset diversification is not beneficial for banks, whereas funding ‎diversification has a positive effect on cost and profit efficiency.‎ Our results confirm bidirectional causality between cost and profit efficiency in US commercial banks. Our mixed results on the influence of income, asset, and funding diversification on the cost and profit efficiency of banks with varying characteristics have useful implications for policymakers and regulators‎.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"267-293"},"PeriodicalIF":1.5,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140675514","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 1.5 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":"10.1111/jfir.12400","url":null,"abstract":"<p>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.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"167-194"},"PeriodicalIF":1.5,"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 1.5 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,&nbsp;Brad Cannon","doi":"10.1111/jfir.12399","DOIUrl":"10.1111/jfir.12399","url":null,"abstract":"<p>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.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"133-148"},"PeriodicalIF":1.5,"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
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