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The discount for lack of marketability term structure 由于缺乏适销性期限结构而产生的折扣
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2025-02-06 DOI: 10.1111/jfir.12457
John D. Finnerty
{"title":"The discount for lack of marketability term structure","authors":"John D. Finnerty","doi":"10.1111/jfir.12457","DOIUrl":"https://doi.org/10.1111/jfir.12457","url":null,"abstract":"<p>I empirically estimate a discount for lack of marketability (DLOM) term structure for restriction periods up to 10 years. I model the multi-year DLOM by annually compounding the 1-year DLOM plus a term premium over the restriction period. I fit the model to a sample of 5,333 private equity placement implied DLOMs between 1985 and 2017. I estimate different DLOM term structures for the last and earlier pre-initial public offering (IPO) private equity transactions. DLOM term structures exhibit level, slope, and curvature shifts similar to an interest rate term structure.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 4","pages":"1738-1764"},"PeriodicalIF":2.1,"publicationDate":"2025-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145659757","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
IPO proceeds deployment and firm performance IPO资金配置与公司业绩
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2025-02-05 DOI: 10.1111/jfir.12458
Mark R. Huson, Chong Meng
{"title":"IPO proceeds deployment and firm performance","authors":"Mark R. Huson,&nbsp;Chong Meng","doi":"10.1111/jfir.12458","DOIUrl":"https://doi.org/10.1111/jfir.12458","url":null,"abstract":"<p>Newly public incumbents (NPIs) experience negative price reactions to industry followers' initial public offerings (IPOs). We find that deploying IPO proceeds rapidly amplifies the negative impact of peer IPOs. These effects are larger for unprofitable NPIs and smaller for NPIs with better capital market access. Our findings underscore the importance of maintaining financial flexibility over the pursuit of a first-mover advantage in shaping NPIs' performance.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 4","pages":"1765-1790"},"PeriodicalIF":2.1,"publicationDate":"2025-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145659618","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
Selection effects in the births of mutual funds 共同基金诞生中的选择效应
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2025-01-27 DOI: 10.1111/jfir.12437
André de Souza
{"title":"Selection effects in the births of mutual funds","authors":"André de Souza","doi":"10.1111/jfir.12437","DOIUrl":"https://doi.org/10.1111/jfir.12437","url":null,"abstract":"<p>Newborn funds disproportionately hold popular stocks, representing long-lived strategic choices. This suggests that when choosing strategies in which to launch new funds, families do not consider only expectations for their own performance but also consider investor sentiment toward those strategies. The two motives for entry result in an interaction effect between competitive entry and strategy popularity, which affects performance and flows for both existing and newborn funds. Newborn funds' expectations for performance are partly driven by fund manager skill in those strategies, but this is not the only factor, leaving a role for time-varying investment opportunities.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1101-1130"},"PeriodicalIF":2.1,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935452","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
Dependence matters! Investor sentiment and stock returns: A sliced inverse regression approach 依赖事项!投资者情绪与股票回报：切片逆回归方法
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2025-01-21 DOI: 10.1111/jfir.12454
Lingyu He, Jing Shi, Yizhi Wang, Qiaoqiao Zhu
{"title":"Dependence matters! Investor sentiment and stock returns: A sliced inverse regression approach","authors":"Lingyu He,&nbsp;Jing Shi,&nbsp;Yizhi Wang,&nbsp;Qiaoqiao Zhu","doi":"10.1111/jfir.12454","DOIUrl":"https://doi.org/10.1111/jfir.12454","url":null,"abstract":"<p>We construct a new investor sentiment index by exploiting the information of the sentiment proxies with the sliced inverse regression approach. We show that the new index is a strong negative predictor of future aggregate stock returns in both in-sample and out-of-sample tests. Further evidence indicates that the new sentiment index generates large utility gains for a mean-variance investor who optimally allocates between equities and risk-free assets. In addition, we show that this sentiment index exhibits the strongest return predictability for portfolios sorted on size, value, momentum, and industry.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 4","pages":"1791-1820"},"PeriodicalIF":2.1,"publicationDate":"2025-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145659631","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 value of social capital in small business lending: Evidence from the Small Business Administration program 社会资本在小企业贷款中的价值：来自小企业管理项目的证据
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-12-25 DOI: 10.1111/jfir.12451
Huu Nhan Duong, Thu Ha Nguyen, Van Hoang Vu
{"title":"The value of social capital in small business lending: Evidence from the Small Business Administration program","authors":"Huu Nhan Duong,&nbsp;Thu Ha Nguyen,&nbsp;Van Hoang Vu","doi":"10.1111/jfir.12451","DOIUrl":"https://doi.org/10.1111/jfir.12451","url":null,"abstract":"<p>We explore how social capital influences small business lending under the Small Business Administration (SBA) program. We find that banks reduce loan spreads for SBA borrowers located in counties with high social capital. This effect is stronger among SBA Express lenders or when lenders face higher information asymmetry, but weaker during periods of more government assistance and SBA guarantee. Firms located in higher social capital counties are also less likely to default on their loans. Overall, our findings highlight the role of social capital—as an important source of soft information— in the pricing and performance of small business loans.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 4","pages":"1506-1545"},"PeriodicalIF":2.1,"publicationDate":"2024-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145659699","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 efficacy of market timing and value creation 市场时机和价值创造的有效性
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-12-24 DOI: 10.1111/jfir.12447
Chunhua Lan
{"title":"The efficacy of market timing and value creation","authors":"Chunhua Lan","doi":"10.1111/jfir.12447","DOIUrl":"https://doi.org/10.1111/jfir.12447","url":null,"abstract":"<p>In this article, I use a total timing measure that differentiates between cash-flow timing and discount-rate timing to assess value creation among actively managed US equity mutual funds. My findings indicate that some funds exhibit cash-flow timing skills. Collectively, the top 20% of timing funds generate $3.4 billion annually in constant January 2000 dollars. Both sector rotation and individual stock selection contribute to executing timing techniques. Skilled timing funds shift their stockholdings toward cyclical sectors when anticipating positive changes in aggregate cash flows and toward defensive sectors when anticipating negative changes. Sector funds demonstrate similar cash-flow timing skills through their individual stock bets.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1032-1066"},"PeriodicalIF":2.1,"publicationDate":"2024-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12447","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935395","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
How smart is smart money? Evidence from mutual funds' exposure on corporate misconduct 聪明的钱有多聪明？共同基金曝光公司不当行为的证据
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-12-18 DOI: 10.1111/jfir.12448
Dongmin Kong, Zhao Zhao
{"title":"How smart is smart money? Evidence from mutual funds' exposure on corporate misconduct","authors":"Dongmin Kong,&nbsp;Zhao Zhao","doi":"10.1111/jfir.12448","DOIUrl":"https://doi.org/10.1111/jfir.12448","url":null,"abstract":"<p>We examine how mutual funds' trading and performance respond to corporate misconduct. We exploit a combined dataset of corporate misconduct and holding information of mutual funds and find that mutual funds tend to not only sell but also buy more stocks of corporations with misconduct. Moreover, the exposure to misconduct stocks is negatively related to mutual funds' future performance. The top quintile portfolio of funds with the highest level of misconduct exposure underperforms the bottom quintile by 1.57% to 1.97% on an annualized basis. This performance gap is wider when it is easier for fund managers to gain information advantages.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1131-1159"},"PeriodicalIF":2.1,"publicationDate":"2024-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935469","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
Understanding the cross-section of CDS returns using equity options 利用股票期权了解CDS收益的横截面
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-12-16 DOI: 10.1111/jfir.12446
Diep Duong, Sunjin Park
{"title":"Understanding the cross-section of CDS returns using equity options","authors":"Diep Duong,&nbsp;Sunjin Park","doi":"10.1111/jfir.12446","DOIUrl":"https://doi.org/10.1111/jfir.12446","url":null,"abstract":"<p>We examine the cross-section of credit default swap (CDS) returns by forming CDS portfolios based on the implied volatility curves of equity options. We document that CDS protection sellers earn higher average returns for: (1) firms with higher at-the-money implied volatility and (2) firms with steeper volatility skew when conditioning on high implied volatility. We find that, relative to bond returns, CDS returns are better explained by our proposed measures interacted with standard credit determinants. Our reasoning is that the large degree of informed trading in the CDS market makes it more in sync with the equity options market, which is also known to attract informed traders.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"982-1012"},"PeriodicalIF":2.1,"publicationDate":"2024-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935371","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 financing, the pandemic, and Federal Reserve interventions 债务融资、疫情和美联储干预
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-11-01 DOI: 10.1111/jfir.12444
Grace E. Arnold, Takeshi Nishikawa, Meredith E. Rhodes
{"title":"Debt financing, the pandemic, and Federal Reserve interventions","authors":"Grace E. Arnold,&nbsp;Takeshi Nishikawa,&nbsp;Meredith E. Rhodes","doi":"10.1111/jfir.12444","DOIUrl":"https://doi.org/10.1111/jfir.12444","url":null,"abstract":"<p>Using data on newly issued corporate bonds and syndicated loans, we investigate the effects of the Federal Reserve's interventions during the pandemic on corporate debt activity. We document heterogeneous effects for participation rates across firm credit ratings and debt maturity, consistent with a default risk channel of policy transmission. Investment-grade firms disproportionately participate in debt markets following the Fed's announcements, which is driven by the riskiest firms (A and BBB ratings). We also find that BBB and BB-rated firms drive increased participation in short-term debt markets. These results provide evidence that the Fed's interventions improved credit market access to investment-grade firms and the highest-rated noninvestment-grade firms.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"929-949"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935262","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 effects of bank mergers on listed U.S. borrowers 银行合并对美国上市借款人的影响
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-10-20 DOI: 10.1111/jfir.12442
Shuangshuang Ji, David C. Mauer, Yilei Zhang
{"title":"The effects of bank mergers on listed U.S. borrowers","authors":"Shuangshuang Ji,&nbsp;David C. Mauer,&nbsp;Yilei Zhang","doi":"10.1111/jfir.12442","DOIUrl":"https://doi.org/10.1111/jfir.12442","url":null,"abstract":"<p>We examine the effects of U.S. bank mergers on listed U.S. borrowers. Target bank borrowers receive lower loan spreads and no change in loan amount post-merger in comparison to pre-merger. In contrast, acquiring bank borrowers receive an increase in loan amount and a relatively small decrease in loan spread in the post-merger period. Analysis shows that these benefits are available only when borrowers have bargaining power through lending relationships with non-merging banks. We examine how borrower size, merger type, bank size, and borrower relationship intensity affect our results. Overall, our analysis suggests that efficiency gains from bank consolidation outweigh market power effects.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"950-981"},"PeriodicalIF":2.1,"publicationDate":"2024-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12442","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144934785","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
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