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The effect of liquidity and arbitrage on the price efficiency of Chinese ETFs 流动性和套利对中国ETF价格效率的影响
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-07-14 DOI: 10.1111/jfir.12349
Yuan Fu, Christine Jiang
{"title":"The effect of liquidity and arbitrage on the price efficiency of Chinese ETFs","authors":"Yuan Fu,&nbsp;Christine Jiang","doi":"10.1111/jfir.12349","DOIUrl":"10.1111/jfir.12349","url":null,"abstract":"<p>We study the potential factors that determine the large and persistent price deviations in Chinese equity exchange-traded funds (ETFs). Our results suggest that ETF liquidity and arbitrage activity are positively correlated with ETF price efficiency, and the relation is more pronounced with higher institutional ownership. We also evaluate the effect of two exogenous shocks in the Chinese market. Using a policy change that added market makers to ETFs on the Shenzhen Stock Exchange (SZSE) and Shanghai Stock Exchange (SSE), we find that market makers improve price efficiency and that the impact is stronger for ETFs with lower liquidity. We also exploit a change in trading rules on the SZSE and show that the relaxation of arbitrage restrictions improves price efficiency. Altogether, these findings provide evidence that lack of liquidity, due to the unique market structure and regulations of the Chinese market, contributes to price inefficiency of Chinese ETFs.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 4","pages":"1103-1140"},"PeriodicalIF":3.5,"publicationDate":"2023-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42454628","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
Board gender diversity and acquisition choices 董事会性别多样性和收购选择
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-07-12 DOI: 10.1111/jfir.12345
Abeyratna Gunasekarage, Mehdi Khedmati, Kristina Minnick, Syed Shams
{"title":"Board gender diversity and acquisition choices","authors":"Abeyratna Gunasekarage,&nbsp;Mehdi Khedmati,&nbsp;Kristina Minnick,&nbsp;Syed Shams","doi":"10.1111/jfir.12345","DOIUrl":"10.1111/jfir.12345","url":null,"abstract":"<p>We investigate the influence of gender diversity on the acquisition choices of bidding firms and find that firms with greater gender diversity are more likely to acquire nonlisted targets, use cash as the method of payment, and purchase firms in similar industries. Results show that these preferences are significantly influenced by female directors' financial expertise, target industry experience, mergers and acquisitions (M&amp;A) experience, academic and professional qualifications, and networks. The percentage of female directors on boards is positively correlated with the market response to the announcement of acquisition choices preferred by female directors. Furthermore, bidders improve efficiency and accumulate long-term value gains through the contributions made by their female directors to these acquisition choices.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 4","pages":"949-991"},"PeriodicalIF":3.5,"publicationDate":"2023-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46338889","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
Ambiguity and risk factors in bank stocks 银行股的模糊性与风险因素
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-07-12 DOI: 10.1111/jfir.12346
Luis García-Feijóo, Ariel M. Viale
{"title":"Ambiguity and risk factors in bank stocks","authors":"Luis García-Feijóo,&nbsp;Ariel M. Viale","doi":"10.1111/jfir.12346","DOIUrl":"10.1111/jfir.12346","url":null,"abstract":"<p>The determinants of banks' cost of equity are not well understood. We depart from prior work assuming rational expectations and instead explore the impact of Knightian uncertainty or ambiguity on bank stocks. We test a large set of asset pricing models and find that investors' lack of confidence in both the drift and correlation structure driving bank stock returns affects banks' cost of capital. We also investigate the economic relation among ambiguity, market liquidity, and banks' capital shortfall, which reveals the transmission channels through which ambiguity may increase the probability of a systemic crisis. Our findings have implications for macroprudential policy.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 4","pages":"993-1019"},"PeriodicalIF":3.5,"publicationDate":"2023-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46396430","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
CEO prior uncertainty and pay–performance sensitivity CEO先验不确定性与薪酬绩效敏感性
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-07-12 DOI: 10.1111/jfir.12347
Jiyoon Lee
{"title":"CEO prior uncertainty and pay–performance sensitivity","authors":"Jiyoon Lee","doi":"10.1111/jfir.12347","DOIUrl":"10.1111/jfir.12347","url":null,"abstract":"<p>A CEO's pay–performance sensitivity (PPS) is higher in the first year of their tenure than in the following years. I explain this finding with reference to chief executive officer (CEO) prior uncertainty: Because of information asymmetry and/or uncertainty about the quality of the match between a CEO and a firm, first-year compensation is often arranged to depend largely on performance. Consistent with this explanation, CEOs with higher prior uncertainty exhibit higher first-year PPS. Also, PPS is higher for outsider CEOs than insider CEOs. Among outsider CEOs, first-year PPS is lower for former executives of large public firms. An insider CEO's service time in a firm before becoming the CEO reduces first-year PPS.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 4","pages":"1021-1045"},"PeriodicalIF":3.5,"publicationDate":"2023-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138531248","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
Financial analysts' bundling across firms: Target prices and stock recommendations 金融分析师对公司的捆绑:目标价和股票推荐
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-07-12 DOI: 10.1111/jfir.12348
Yu-An Chen, Dan Palmon
{"title":"Financial analysts' bundling across firms: Target prices and stock recommendations","authors":"Yu-An Chen,&nbsp;Dan Palmon","doi":"10.1111/jfir.12348","DOIUrl":"10.1111/jfir.12348","url":null,"abstract":"<p>A rising trend is that analysts bundle earnings forecasts for multiple firms on the same day, and such forecast bundling is associated with low-quality forecasts. We explore target price bundling and recommendation bundling. Factors driving bundling revisions of an output for multiple firms vary across three outputs: forecasts, target prices, and recommendations. Target price (recommendation) revisions bundled for firms are less informative than stand-alone revisions. Although consistency in the direction of revisions between different outputs is typically associated with higher perceived quality, consistent revisions between outputs are not associated with higher informativeness of revisions bundled for multiple firms.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 4","pages":"1047-1102"},"PeriodicalIF":3.5,"publicationDate":"2023-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12348","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43505188","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
Managing other people's money: An agency theory in financial management industry 管理他人的钱:财务管理行业的代理理论
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-06-26 DOI: 10.1111/jfir.12344
Dimitris Papadimitriou, Konstantinos Tokis, Georgios Vichos, Panos Mourdoukoutas
{"title":"Managing other people's money: An agency theory in financial management industry","authors":"Dimitris Papadimitriou,&nbsp;Konstantinos Tokis,&nbsp;Georgios Vichos,&nbsp;Panos Mourdoukoutas","doi":"10.1111/jfir.12344","DOIUrl":"10.1111/jfir.12344","url":null,"abstract":"<p>We build an active asset management model to study the interplay between the career concerns of a manager and prevailing market conditions. We show that fund managers overinvest in market-neutral strategies, as these have a reputational benefit. This benefit is smaller in bull markets, when investors expect more managers to use high-beta strategies, making their performance less informative about their ability than in bear markets. Consequently, fund flows that follow high-beta strategies are less responsive to the fund's performance, and flow-performance sensitivity is higher in bear markets than in bull markets.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 1","pages":"179-209"},"PeriodicalIF":3.5,"publicationDate":"2023-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12344","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138531264","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
Managerial characteristics and performance of eurozone mutual funds 欧元区共同基金的管理特点与绩效
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-06-24 DOI: 10.1111/jfir.12343
Konstantinos Tolikas, Marc Callonnec
{"title":"Managerial characteristics and performance of eurozone mutual funds","authors":"Konstantinos Tolikas,&nbsp;Marc Callonnec","doi":"10.1111/jfir.12343","DOIUrl":"10.1111/jfir.12343","url":null,"abstract":"<p>We investigate the relation between observable managerial characteristics (i.e., gender, age, tenure, professional qualifications, and advanced education) and performance in diversified equity mutual funds domiciled in the eurozone. We find that differences in the fund alphas are statistically significant only in groups based on age, tenure, and professional qualifications (i.e., chartered financial analyst [CFA]). We also find a significant positive relation for age and CFA certification with a fund's risk-adjusted performance and a significant negative relation for tenure. However, we find no significant effect for gender and advanced education (i.e., master of business administration [MBA]). The differences in risk taking are significantly related only with age and tenure; the former has a negative and the latter a positive relation with risk taking.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 4","pages":"925-947"},"PeriodicalIF":3.5,"publicationDate":"2023-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12343","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46053466","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
Treasury return predictability and investor sentiment 国债收益的可预测性和投资者情绪
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-05-31 DOI: 10.1111/jfir.12342
Chen Gu, Xu Guo, Ruwan Adikaram, Kam C. Chan, Jing Lu
{"title":"Treasury return predictability and investor sentiment","authors":"Chen Gu,&nbsp;Xu Guo,&nbsp;Ruwan Adikaram,&nbsp;Kam C. Chan,&nbsp;Jing Lu","doi":"10.1111/jfir.12342","DOIUrl":"10.1111/jfir.12342","url":null,"abstract":"<p>We document that the Treasury market investor sentiment (TSENT) of institutional investors is a powerful predictor of bond risk premia. Specifically, TSENT positively predicts Treasury bond excess returns in and out of sample. The forecasting gains of TSENT are incremental to those in conventional bond return predictors: Fama–Bliss forward spreads, Cochrane–Piazzesi forward rate factor, and Ludvigson–Ng macro factor, as well as equity market sentiment proxies such as the investor sentiment index and the partial least squares sentiment index. Asset allocation analysis indicates the forecasting power of TSENT is economically valuable to investors. Finally, we show that the time-series bond risk premia predictability associated with TSENT relates to its predictive power for macroeconomic performance, such as payroll employment, unemployment rate, and industrial production.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 4","pages":"905-924"},"PeriodicalIF":3.5,"publicationDate":"2023-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47555574","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
IRS Private Letter Rulings: Initial Evidence on Determinants and Consequences 美国国税局私人信件裁决:决定因素和后果的初步证据
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-05-25 DOI: 10.1111/jfir.12338
Elizabeth Devos, Erik Devos, David B. Farber, He Li, Shofiqur Rahman
{"title":"IRS Private Letter Rulings: Initial Evidence on Determinants and Consequences","authors":"Elizabeth Devos,&nbsp;Erik Devos,&nbsp;David B. Farber,&nbsp;He Li,&nbsp;Shofiqur Rahman","doi":"10.1111/jfir.12338","DOIUrl":"10.1111/jfir.12338","url":null,"abstract":"<p>This study examines the determinants of firms' requests for Private Letter Rulings (PLRs) from the US Internal Revenue Service (IRS) and their impact on firms' cash holdings. Our results show that PLR requests tend to be made by firms with more active tax planning, more acquisitions, higher analyst following, higher leverage, and less in-house tax expertise. We also show that firms with IRS audit red flags are less likely to request a PLR. We use a difference-in-difference approach to assess changes in cash holdings following PLR requests and report a decrease in cash holdings for PLR firms, consistent with the notion that PLRs act to reduce tax uncertainty. Our study provides the first empirical evidence about the determinants of PLR requests and complements prior work on tax uncertainty and cash holdings (Hanlon, Maydew and Saavedra, 2017).</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 3","pages":"849-873"},"PeriodicalIF":3.5,"publicationDate":"2023-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48451382","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
Capital gain overhang and risk–return trade-off: An international study 资本收益过剩与风险回报权衡:一项国际研究
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-05-23 DOI: 10.1111/jfir.12341
Dazhi Zheng, Huimin Li, Fengyun Li
{"title":"Capital gain overhang and risk–return trade-off: An international study","authors":"Dazhi Zheng,&nbsp;Huimin Li,&nbsp;Fengyun Li","doi":"10.1111/jfir.12341","DOIUrl":"10.1111/jfir.12341","url":null,"abstract":"<p>In this article, we examine the risk–return relation under the impact of investors' price reference points in international markets. We calculate capital gain overhang (<i>CGO</i>) to measure the psychological evaluation of past returns. Using a double-sorting methodology, we find that a negative risk–return trade-off generally exists in international markets when <i>CGO</i> is low; results using the Fama–MacBeth procedure confirm our findings. The <i>CGO</i> effect is more prominent in less developed, less transparent, and less legally protected markets. It is stronger in markets with collectivistic, higher power-distanced, and feminine cultures. The evidence also indicates that the price reference effect is more pronounced when the market is in crisis. Finally, the <i>CGO</i> effect on the risk–return relation reverses as the holding period becomes longer.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 1","pages":"211-242"},"PeriodicalIF":3.5,"publicationDate":"2023-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41721089","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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