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Market structure and price clustering: Maker-taker versus taker-maker 市场结构和价格集群：做市商--做市商与做市商--做市商
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-01-22 DOI: 10.1111/jfir.12382
Justin S. Cox, Todd G. Griffith, Robert A. Van Ness
{"title":"Market structure and price clustering: Maker-taker versus taker-maker","authors":"Justin S. Cox,&nbsp;Todd G. Griffith,&nbsp;Robert A. Van Ness","doi":"10.1111/jfir.12382","DOIUrl":"10.1111/jfir.12382","url":null,"abstract":"<p>We examine whether the different fee structures on equity exchanges, maker-taker or taker-maker, affects the frequency with which security prices cluster on round increments. We find higher price clustering on traditional maker-taker venues relative to inverted taker-maker venues. These results generally hold at the individual exchange level and across transaction- and quotation-level clustering measures. Furthermore, we document that quoted depth, both inside and outside the best prices, is significantly greater on maker-taker venues than on taker-maker venues. We show that liquidity supply is the main economic driver behind the difference in price clustering between market structures. Our findings indicate that fees and rebates alter order-routing strategies, which affect the precision of asset prices.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 3","pages":"767-787"},"PeriodicalIF":1.5,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139560063","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
Hostile activism: Hostile tactics or hostile hedge funds? 敌对激进主义：敌对策略还是敌对对冲基金？
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-01-19 DOI: 10.1111/jfir.12377
Hugo Benedetti, Ehsan Nikbakht, Andrew C. Spieler
{"title":"Hostile activism: Hostile tactics or hostile hedge funds?","authors":"Hugo Benedetti,&nbsp;Ehsan Nikbakht,&nbsp;Andrew C. Spieler","doi":"10.1111/jfir.12377","DOIUrl":"10.1111/jfir.12377","url":null,"abstract":"<p>In this article, we examine reputation building by activist hedge funds and provide two new findings regarding hostile activism. First, we find evidence of a permanent reputation effect to hostile activism. Activist hedge funds that have engaged in hostile tactics receive on average a 3% higher cumulative abnormal return (CAR) [−10, +10] on their subsequent nonhostile campaigns compared to hedge funds that have not engaged in hostile tactics. This abnormal return is positively related to the level of the hostile reputation of the activist hedge fund. Second, we find that activist hedge funds with higher hostile reputations modify their nonhostile activism style to engage hostile-like targets and pursue hostile-like objectives but withhold the use of explicitly hostile tactics. These findings imply that (1) hedge funds can build a hostile reputation using their past engagement tactics and (2) market participants perceive and value such reputation as evidenced by the higher announcement return observed in subsequent targets.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 3","pages":"703-723"},"PeriodicalIF":1.5,"publicationDate":"2024-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518375","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
A European perspective on climate change and political tensions and conflicts 欧洲人对气候变化、政治紧张局势和冲突的看法
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2023-12-29 DOI: 10.1111/jfir.12381
William B. Elliott
{"title":"A European perspective on climate change and political tensions and conflicts","authors":"William B. Elliott","doi":"10.1111/jfir.12381","DOIUrl":"https://doi.org/10.1111/jfir.12381","url":null,"abstract":"","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 S1","pages":"S5-S6"},"PeriodicalIF":1.5,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143253746","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 the dual holder in mitigating underinvestment 双重持有人在缓解投资不足方面的作用
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-12-21 DOI: 10.1111/jfir.12376
Roman Bohdan, Tarun Mukherjee
{"title":"The role of the dual holder in mitigating underinvestment","authors":"Roman Bohdan,&nbsp;Tarun Mukherjee","doi":"10.1111/jfir.12376","DOIUrl":"10.1111/jfir.12376","url":null,"abstract":"<p>The literature on dual holding focuses exclusively on cases where the holder is primarily a creditor and buys the firm's stocks to reduce potential wealth transfer. However, wealth transfer is not a concern when the dual holder is a stockholder first and becomes a bondholder later. We hypothesize that the principal motive behind such dual holdings is to provide debt funding to an otherwise successful firm that cannot fund good projects because of internal capital allocation problems coupled with external capital constraints. We select samples from multinational corporations based on evidence that these firms are exposed to domestic underinvestment because they are reluctant to bring back foreign profits to avoid repatriation taxes. We choose hedge funds (HFs) as dual holders. The treatment group comprises firms where HFs are dual owners, and the control group comprises firms in which HFs own stocks only. The treatment group experiences steeper financial constraints, leading to deeper underinvestment problems and causing target firms to seek HF funding. The funding corresponds well to the amount of underinvestment. Targets improve investment efficiency by alleviating underinvestment, surpassing their predual performance and the control group's postdual performance.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 2","pages":"471-495"},"PeriodicalIF":3.5,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12376","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138825868","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 cash holdings and industry risk 企业现金持有量和行业风险
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-12-21 DOI: 10.1111/jfir.12374
Jinsook Lee
{"title":"Corporate cash holdings and industry risk","authors":"Jinsook Lee","doi":"10.1111/jfir.12374","DOIUrl":"10.1111/jfir.12374","url":null,"abstract":"<p>I conjecture that a firm's sensitivity to industry shocks escalates its need to retain a cash buffer. Consistent with this conjecture, I find that a 1 <i>SD</i> increase in a firm's industry risk exposure increases cash holdings by 10%. In fact, industry risk has a greater effect on corporate cash holdings than does economywide and idiosyncratic risk in my sample. The effect of industry risk exposure on corporate cash holdings is greater for firms in highly competitive industries, as well as for firms with high leverage, a greater fraction of short-term debt, and few tangible assets.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 2","pages":"435-470"},"PeriodicalIF":3.5,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12374","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138950440","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
Excess cash and equity option liquidity 现金和股票期权流动性过剩
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-12-20 DOI: 10.1111/jfir.12379
Min Deng, Minh Nguyen
{"title":"Excess cash and equity option liquidity","authors":"Min Deng,&nbsp;Minh Nguyen","doi":"10.1111/jfir.12379","DOIUrl":"10.1111/jfir.12379","url":null,"abstract":"<p>We examine the relation between excess corporate cash holdings and equity option market liquidity from January 3, 2005 to December 31, 2019. We show that the level of cash reserve in excess of what can be captured by firm characteristics significantly explains stock option liquidity. Trading volume and option open interest increase in companies with a higher magnitude of excess cash, whereas the bid–ask spreads of stock options decline in excess cash. Our findings confirm the theoretical prediction that excess cash improves option market liquidity as it reduces adverse selection problems caused by uncertainty in firm valuations. This relation remains more pronounced with put options, out-of-the-money contracts, and short-maturity contracts. In addition, excess cash has a stronger impact on option liquidity within firms that have a greater degree of informed trading and during high-volatility periods in financial markets. Our results show that when uncertainty about firm prospects rises, excess cash becomes more valuable and affects option market liquidity.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 2","pages":"401-433"},"PeriodicalIF":3.5,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12379","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138825773","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
Tweets versus broadsheets: Sentiment impact on stock markets around the world 推文与大报：情绪对全球股市的影响
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2023-12-20 DOI: 10.1111/jfir.12380
Baoqing Gan, Vitali Alexeev, Danny Yeung
{"title":"Tweets versus broadsheets: Sentiment impact on stock markets around the world","authors":"Baoqing Gan,&nbsp;Vitali Alexeev,&nbsp;Danny Yeung","doi":"10.1111/jfir.12380","DOIUrl":"10.1111/jfir.12380","url":null,"abstract":"<p>We contrast sentiment derived from social and news media to investigate its impact across 14 international markets. We find that heightened media sentiment during nontrading periods significantly affects the next day's opening returns even after accounting for the previous-day activity. Markedly, only the US market exhibits strong reactions to social media, whereas other markets are more responsive to the news. We find that most variability in overnight returns is explained by sentiment aggregated 3 h before markets open. Our findings suggest that the overnight sentiment does not simply subsume previous-day market activity but contains additional information that helps improve predictability in return forecasting models.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 3","pages":"601-633"},"PeriodicalIF":1.5,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12380","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138826560","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
Short sellers and capital structure dynamics 卖空者和资本结构动态
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2023-12-20 DOI: 10.1111/jfir.12378
Suchismita Mishra, Özde Öztekin, Anisur Rahman
{"title":"Short sellers and capital structure dynamics","authors":"Suchismita Mishra,&nbsp;Özde Öztekin,&nbsp;Anisur Rahman","doi":"10.1111/jfir.12378","DOIUrl":"10.1111/jfir.12378","url":null,"abstract":"<p>Managers tend to issue equity when a firm is overvalued. Short selling is more frequent among overvalued firms. By conditioning short selling on overvaluation, we show that short selling increases leverage, lenghtens debt maturity, and speeds up adjustment to target leverage. The leverage increase is more pronounced in firms with independent boards and an increased likelihood of misvaluation, is driven by overvaluation relative to long-run value, and occurs through lower equity issuance and higher long-term debt issuance. Analyses using the exogenous shock to the short-selling environment from the US Securities and Exchange's Reg SHO pilot program suggest these results are causal.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 3","pages":"725-766"},"PeriodicalIF":1.5,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138825763","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
Predicting corporate restructuring and financial distress in banks: The case of the Swiss banking industry 预测银行的企业重组和财务困境：瑞士银行业案例
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-12-20 DOI: 10.1111/jfir.12375
Daniel Boos, Nikolaos Karampatsas, Wolfgang Garn, Lampros K. Stergioulas
{"title":"Predicting corporate restructuring and financial distress in banks: The case of the Swiss banking industry","authors":"Daniel Boos,&nbsp;Nikolaos Karampatsas,&nbsp;Wolfgang Garn,&nbsp;Lampros K. Stergioulas","doi":"10.1111/jfir.12375","DOIUrl":"10.1111/jfir.12375","url":null,"abstract":"<p>The global financial crisis of 2007–2009 is widely regarded as the worst since the Great Depression and threatened the global financial system with a total collapse. This article distinguishes itself from the vast literature of bankruptcy, bank failure, and bank exit prediction models by introducing novel categorical parameters inspired by Switzerland's banking landscape. We evaluate data from 274 banks in Switzerland from 2007 to 2017 using generalized linear model logit and multinomial logit regressions and examine the determinants of corporate restructuring and financial distress. We complement our results with a robustness test via a Bayesian inference framework. We find that total assets and net interest margin affect bank exit and mergers and acquisitions, and that banks operating in the Zurich area have a higher likelihood of exiting and becoming takeover targets relative to banks operating in the Geneva area.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 2","pages":"497-533"},"PeriodicalIF":3.5,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12375","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138825772","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
Economic policy uncertainty and short-term reversals 经济政策的不确定性和短期逆转
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2023-12-12 DOI: 10.1111/jfir.12371
Zhaobo Zhu, Licheng Sun
{"title":"Economic policy uncertainty and short-term reversals","authors":"Zhaobo Zhu,&nbsp;Licheng Sun","doi":"10.1111/jfir.12371","DOIUrl":"10.1111/jfir.12371","url":null,"abstract":"<p>In this article, we provide new evidence on the impact of economic policy uncertainty (EPU) on asset pricing. Specifically, we find that short-term return reversals are stronger following high-EPU periods, likely due to an uncertainty-induced decrease in stock market liquidity. However, EPU does not appear to have a significant effect on accounting-based anomalies, possibly because these anomalies are not driven by stock illiquidity. Our findings suggest that EPU affects short-term asset prices mainly through stock liquidity. However, EPU may contain incremental information beyond stock liquidity. Moreover, the arrival of the latest fundamental information could significantly mitigate the effect of EPU on short-term reversals.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 3","pages":"877-899"},"PeriodicalIF":1.5,"publicationDate":"2023-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138630332","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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