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Commodity tail risk and equity risk premia 商品尾部风险和股票风险溢价
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-10-16 DOI: 10.1111/jfir.12440
Zhenyu Lu, Ying Jiang, Xiaoquan Liu
{"title":"Commodity tail risk and equity risk premia","authors":"Zhenyu Lu,&nbsp;Ying Jiang,&nbsp;Xiaoquan Liu","doi":"10.1111/jfir.12440","DOIUrl":"https://doi.org/10.1111/jfir.12440","url":null,"abstract":"<p>We explore the asset pricing implication of the commodity tail risk, constructed by aggregating individual commodity's exposure to left-tail realizations of systematic risks, in cross-sectional stock returns. Using Chinese data from 2005 to 2022, we find that the risk-adjusted return differential between extreme portfolios is highly significant at 1.39% per month. The economic rationale is that a high level of commodity tail risk signals adverse economic conditions, and stocks that hedge the tail risk offer a low premium. Our findings highlight the informational role of commodity futures prices and the link between commodity and equity markets in China.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1350-1407"},"PeriodicalIF":2.1,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935493","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
Unintended consequences of discrimination litigation caps 歧视诉讼上限的意外后果
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-10-15 DOI: 10.1111/jfir.12443
Spencer Barnes
{"title":"Unintended consequences of discrimination litigation caps","authors":"Spencer Barnes","doi":"10.1111/jfir.12443","DOIUrl":"https://doi.org/10.1111/jfir.12443","url":null,"abstract":"<p>On July 14, 1992, the U.S. Equal Employment Opportunity Commission (EEOC) implemented a policy that caps punitive damage payouts from discrimination litigation at different employee counts allowing for a “difference-in-discontinuities” design. I find that these kink points incentivize firms to restrict their number of employees, which reduces their maximum discrimination litigation exposure to between 40% and 60% of their yearly median revenues. In turn, firm growth decreases for firms below these EEOC thresholds after the implementation of the policy. These firms reduce financing and are not motivated to decrease growth by relative changes in cash flows from discrimination risk exposure.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1315-1349"},"PeriodicalIF":2.1,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144934919","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
Dividend mispricing: Evidence from all-stock merger deals 股息错误定价：全股票合并交易的证据
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-10-08 DOI: 10.1111/jfir.12441
Kerron Joseph, Palani-Rajan Kadapakkam
{"title":"Dividend mispricing: Evidence from all-stock merger deals","authors":"Kerron Joseph,&nbsp;Palani-Rajan Kadapakkam","doi":"10.1111/jfir.12441","DOIUrl":"https://doi.org/10.1111/jfir.12441","url":null,"abstract":"<p>Stock prices of targets in all-stock merger deals should reflect acquirer share values, net of expected dividend payments before deal completion. This setting provides a unique opportunity to examine whether market prices of target stocks reflect the price reducing impact of impending acquirer dividends. We find evidence that target stock returns on the acquirer ex-day are negatively related to the size of the dividend payments, indicating an incomplete adjustment on the last cum-day. However, given the size of typical quarterly dividends, the magnitude of the estimated 30% incomplete adjustment to the dividend does not represent a viable arbitrage opportunity. Examining a longer window, we find that roughly 70% of the acquirer dividend is incorporated into the target stock price in the period two days after the dividend announcement to the ex-day. Overall, our results are consistent with target stock prices adjusting slowly over time to reflect impending acquirer dividends.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1067-1100"},"PeriodicalIF":2.1,"publicationDate":"2024-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935305","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
Variance of deviation from optimal leverage 偏离最优杠杆的方差
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-09-24 DOI: 10.1111/jfir.12438
Mustafa O. Caglayan, Diogo Duarte, Xiaomeng Lu
{"title":"Variance of deviation from optimal leverage","authors":"Mustafa O. Caglayan,&nbsp;Diogo Duarte,&nbsp;Xiaomeng Lu","doi":"10.1111/jfir.12438","DOIUrl":"https://doi.org/10.1111/jfir.12438","url":null,"abstract":"<p>We show that deviations from the firm's target leverage are priced in the cross-section of stock returns and that the relation between these quantities is nonlinear. The concave nonlinear relation between deviation from the target leverage and next-period return is strong during economic expansions and vanishes during recessions. Our portfolio analysis provides support for the concave relation between deviation from the target leverage and next-period returns as well. We develop a factor named variance of deviation from optimal leverage (VDOL) and show that it is an important risk factor that has been omitted in the literature.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1408-1442"},"PeriodicalIF":2.1,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935530","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
Do dividends and share repurchases convey information about financial strength? An exploration of the disparities between banks and industrial firms 股息和股票回购是否传达了财务实力的信息？银行与工业企业之间差异的探讨
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-09-24 DOI: 10.1111/jfir.12439
Yi Zheng, S. Drew Peabody, Jinglin Jiang
{"title":"Do dividends and share repurchases convey information about financial strength? An exploration of the disparities between banks and industrial firms","authors":"Yi Zheng,&nbsp;S. Drew Peabody,&nbsp;Jinglin Jiang","doi":"10.1111/jfir.12439","DOIUrl":"https://doi.org/10.1111/jfir.12439","url":null,"abstract":"<p>Differing from prior literature, this article suggests dividends are positively associated with financial strength for both financial institutions (i.e., banks) and non-financial firms (i.e., industrials), and that this relationship is much more pronounced for banks. We also find that the signaling impacts of dividend changes on financial strength are asymmetric for these two groups as a decrease (increase) in dividends is more powerful than an increase (decrease) for banks (industrials). This suggests that dividend cuts send a more significant negative signal of bank financial strength than similar decreases by industrial firms, and that dividend increases say more about industrials' improvements in financial strength than those by banks. Similar to dividends, share repurchases are indications of financial strength for industrials but not for banks. This suggests that share repurchases serve more as a buffer (substitute) of dividends for banks (industrials).</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1218-1248"},"PeriodicalIF":2.1,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935531","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
Import competition, credit reallocation, and small business lending 进口竞争、信贷再分配和小企业贷款
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-09-12 DOI: 10.1111/jfir.12398
Saiying Deng, Xiaoling Pu
{"title":"Import competition, credit reallocation, and small business lending","authors":"Saiying Deng,&nbsp;Xiaoling Pu","doi":"10.1111/jfir.12398","DOIUrl":"https://doi.org/10.1111/jfir.12398","url":null,"abstract":"<p>Using import competition from China as a funding shock, we find that banks curtail small business loans in non-exposed counties, while preserving their core markets with branch presence. The results are robust to alternative measures of bank exposure to import competition, alternative classifications of exposed counties, placebo tests, reverse causality, and others. Bank capital mitigates the propagation of trade shocks to non-exposed counties, and banks increase small business lending in non-exposed counties with less social capital. We also document the effects of import competition on local establishments and private sector wages of non-exposed counties via the bank lending channel.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 1","pages":"195-226"},"PeriodicalIF":1.5,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12398","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638739","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
Estimating background risk hedging demands from cross-sectional data 从横截面数据估算背景风险对冲需求
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-09-12 DOI: 10.1111/jfir.12432
James Brugler, Joachim Inkmann, Adrian Rizzo
{"title":"Estimating background risk hedging demands from cross-sectional data","authors":"James Brugler,&nbsp;Joachim Inkmann,&nbsp;Adrian Rizzo","doi":"10.1111/jfir.12432","DOIUrl":"10.1111/jfir.12432","url":null,"abstract":"<p>Based on a theory of portfolio choice with non-tradable assets, we estimate hedging demands due to background risks before and after the Great Recession for U.S households. Hedging demands related to human capital, residential property and business assets reduce financial risk-taking, but these effects decline over the Great Recession, as does expected risk-adjusted stock market performance. We also estimate the appropriate discount rate to compute the risk-adjusted value of human capital, which declines by around eight percent over the period. Unlike previous literature requiring panel data with large time dimensions, our approach only requires cross-sectional data to identify hedging demands.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 2","pages":"579-604"},"PeriodicalIF":1.5,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12432","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142204836","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
Local labor match and corporate investments: Evidence from new flight routes 当地劳动力匹配与企业投资：来自新航线的证据
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-09-12 DOI: 10.1111/jfir.12433
Nasim Sabah, Linh Thompson
{"title":"Local labor match and corporate investments: Evidence from new flight routes","authors":"Nasim Sabah,&nbsp;Linh Thompson","doi":"10.1111/jfir.12433","DOIUrl":"10.1111/jfir.12433","url":null,"abstract":"<p>We exploit new flight connections from small cities to international airports as a quasi-natural experiment to study the effects of local labor match on corporate investments. Using a cosine similarity of occupational makeups, we find that corporate investment rates are higher for firms with human capital profiles that are more similar to those of the local labor. The effects are more pronounced among financially constrained firms and less evident among firms with higher unionization membership and coverage. Firms with better local labor match are also more likely to downsize their employments when experiencing negative cash flow shocks. Collectively, our findings suggest that local labor match spurs corporate investments by lowering labor costs and increasing ex-ante investment incentives.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1160-1184"},"PeriodicalIF":2.1,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142204835","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
Sink or swim? Managerial ability and trade credit 沉浮？管理能力和贸易信贷
IF 1.5 3区 经济学
Journal of Financial Research Pub Date : 2024-09-04 DOI: 10.1111/jfir.12434
Md Mahmudul Hasan, Sayan Sarkar, Andrew C. Spieler
{"title":"Sink or swim? Managerial ability and trade credit","authors":"Md Mahmudul Hasan,&nbsp;Sayan Sarkar,&nbsp;Andrew C. Spieler","doi":"10.1111/jfir.12434","DOIUrl":"10.1111/jfir.12434","url":null,"abstract":"<p>In this article, we examine the relation between managerial ability and the use of supplier-provided trade credit. The literature documents the positive effects of high-ability managers, including more accurate earnings forecasts, improved earnings quality, and overall improvement in corporate disclosure policies. We argue that customers (those seeking trade credit) with high-ability managers are better able to negotiate with suppliers, provide more transparent disclosure, and maintain strong relationships. Likewise, suppliers are willing to provide more trade credit to customers with high-ability managers because of reduced information asymmetry, creating an environment of trust and transparency. Our empirical results show that suppliers extend more trade credit to customers with high-ability managers and that this relation is more pronounced for financially constrained firms.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 4","pages":"1055-1082"},"PeriodicalIF":1.5,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142204841","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
‘And forgive us our debts’: Christian moralities and over-indebtedness 免我们的债"：基督教道德与过度负债
IF 2.1 3区 经济学
Journal of Financial Research Pub Date : 2024-09-04 DOI: 10.1111/jfir.12436
Iftekhar Hasan, Felix Noth, Konstantin Kiesel
{"title":"‘And forgive us our debts’: Christian moralities and over-indebtedness","authors":"Iftekhar Hasan,&nbsp;Felix Noth,&nbsp;Konstantin Kiesel","doi":"10.1111/jfir.12436","DOIUrl":"10.1111/jfir.12436","url":null,"abstract":"<p>This paper analyzes whether Christian moralities and rules formed differently by Catholics and Protestants impact the likelihood of households becoming over-indebted. We find that over-indebtedness is lower in regions in which Catholics outweigh Protestants, indicating that Catholics' forgiveness culture and stricter enforcement of rules by Protestants serve as explanations for our results. Our results provide evidence that religion affects the financial situations of individuals and show that even 500 years after the split between Catholics and Protestants, the differences in the mindsets of both denominations play an important role in situations of severe financial conditions.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"48 3","pages":"1013-1031"},"PeriodicalIF":2.1,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142204840","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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