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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":null,"pages":null},"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":null,"pages":null},"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
Cultural, trust, and transparency effects on the use of anchoring in mergers and acquisitions 文化、信任和透明度对并购中锚定使用的影响
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-05-22 DOI: 10.1111/jfir.12340
Stephen P. Ferris, Narayanan Jayaraman, Min-Yu (Stella) Liao
{"title":"Cultural, trust, and transparency effects on the use of anchoring in mergers and acquisitions","authors":"Stephen P. Ferris,&nbsp;Narayanan Jayaraman,&nbsp;Min-Yu (Stella) Liao","doi":"10.1111/jfir.12340","DOIUrl":"10.1111/jfir.12340","url":null,"abstract":"<p>Although price anchoring is a global phenomenon, we find that country cultures, trust levels, and information/legal transparency affect its use in determining target offer prices. Price anchoring is associated with cultures that deemphasize long-term orientation, uncertainty avoidance, and personal indulgence. Acquirers from countries with low levels of trust in people or the legal system are more likely to anchor their bids. Anchoring is more frequently observed in countries where information and legal transparency is poor. We find that the use of anchoring can result in reduced long-term performance by acquirers.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41462069","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
Is idiosyncratic asymmetry priced in commodity futures? 商品期货中有特殊的不对称定价吗？
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-05-22 DOI: 10.1111/jfir.12339
Yufeng Han, Xuan Mo, Zhi Su, Yifeng Zhu
{"title":"Is idiosyncratic asymmetry priced in commodity futures?","authors":"Yufeng Han,&nbsp;Xuan Mo,&nbsp;Zhi Su,&nbsp;Yifeng Zhu","doi":"10.1111/jfir.12339","DOIUrl":"10.1111/jfir.12339","url":null,"abstract":"<p>In this article, we use a recently introduced asymmetry measure, IE, to measure the idiosyncratic asymmetry of commodity futures returns and find that idiosyncratic asymmetry negatively and significantly predicts commodity futures returns cross sectionally. Furthermore, we find that a long–short trading strategy based on idiosyncratic asymmetry generates significant abnormal returns, which cannot be explained by traditional risk factors in commodity futures and persists up to 12 months. Moreover, idiosyncratic asymmetry appears to be a priced factor in commodity futures with significant risk premium. Finally, we confirm that IE is better at capturing the pricing effect of idiosyncratic asymmetry than the traditional skewness measure.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12339","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43568537","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
Decomposing industry leverage: The special cases of real estate investment trusts and technology & hardware companies 分解行业杠杆:房地产投资信托和科技硬件公司的特例
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-05-10 DOI: 10.1111/jfir.12332
Wolfgang Breuer, Linh D. Nguyen, Bertram I. Steininger
{"title":"Decomposing industry leverage: The special cases of real estate investment trusts and technology & hardware companies","authors":"Wolfgang Breuer,&nbsp;Linh D. Nguyen,&nbsp;Bertram I. Steininger","doi":"10.1111/jfir.12332","DOIUrl":"10.1111/jfir.12332","url":null,"abstract":"<p>Different industries exhibit significantly different leverage; companies in the real estate investment trust (REIT) and technology/hardware sectors are extreme examples. In the United States, the leverage ratio is twice as high for REITs (50%) as compared to non-real-estate firms (around 25%), and the technology/hardware sector has the lowest ratio (around 17%). We theoretically and empirically analyze their differences. By decomposing the difference into three channels, we find that the industry-specific channel explains around 67% for REITs and 68% for technology/hardware firms; the value-based channel is mostly responsible for the remaining portion. Taking the nonlinear influences of extreme values into account, the relevance of the industry-specific channel is considerably reduced.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12332","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45935162","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
Capacity overhang and corporate disinvestment decisions 产能过剩和企业撤资决策
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-05-03 DOI: 10.1111/jfir.12333
Ilker Karaca, Travis R. A. Sapp
{"title":"Capacity overhang and corporate disinvestment decisions","authors":"Ilker Karaca,&nbsp;Travis R. A. Sapp","doi":"10.1111/jfir.12333","DOIUrl":"10.1111/jfir.12333","url":null,"abstract":"<p>We use a stochastic frontier model to estimate a firm's capacity overhang. We find that excess capacity is positively related to a drop in new capital expenditures, an accumulation of depleted long-term assets, and outright sales of investment assets. However, the sale of long-term assets (property, plant, and equipment [PP&amp;E]) peaks for intermediate levels of excess capacity and then declines. We attribute this to growth options. We test for evidence of a preference ordering in the firm's choice of responding to excess capacity and find evidence for a pecking order in firm disinvestment, where sales of long-term assets are a measure of last resort.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12333","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46229859","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
Do bank managers signal through cash flow statements? 银行经理是否通过现金流量表发出信号?
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-21 DOI: 10.1111/jfir.12330
Yoshie Saito, Yukihiro Yasuda
{"title":"Do bank managers signal through cash flow statements?","authors":"Yoshie Saito,&nbsp;Yukihiro Yasuda","doi":"10.1111/jfir.12330","DOIUrl":"10.1111/jfir.12330","url":null,"abstract":"<p>We empirically examine the cash flow statements for Japanese banks and whether their managers engage in classification shifting to temper concerns about risk exposure. To create a buffer against liquidity shocks, they shift cash flows from investing and/or financing activities to operating activities. We also find robust evidence that classification shifting intensifies in higher risk situations. Although prior research on managerial discretion focuses on earning management, we are the first to show cash flow management to avoid sequential negative changes in operating cash flows. We show that these activities convey valuable information about changes in banks' risk exposure.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47319841","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: 1
Debt enforcement, financial leverage, and product failures: Evidence from China and the United States 债务执行、金融杠杆和产品失效：来自中国和美国的证据
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-21 DOI: 10.1111/jfir.12331
Yaopan Yang, Songsong Li, Hengqin Wu
{"title":"Debt enforcement, financial leverage, and product failures: Evidence from China and the United States","authors":"Yaopan Yang,&nbsp;Songsong Li,&nbsp;Hengqin Wu","doi":"10.1111/jfir.12331","DOIUrl":"10.1111/jfir.12331","url":null,"abstract":"<p>Building on capital structure and product market interactions, and the role of debt enforcement in leveraged firms' investments, we examine whether cross-country debt enforcement can produce different associations between financial leverage and product failures. Results show that different debt enforcement systems can generate opposite leverage effects. In countries with weak/nearly ineffective debt enforcement, financial leverage shows an incentive investment effect due to low default costs, and thus highly leveraged firms tend to invest more and are less likely to have product failures. Conversely, in countries with strict/effective debt enforcement, distressed companies tend to have an underinvestment effect and more product failures.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49636663","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 determinants of stock–bond return correlations 股票-债券收益相关性的决定因素
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-17 DOI: 10.1111/jfir.12329
Ghulam Sarwar
{"title":"The determinants of stock–bond return correlations","authors":"Ghulam Sarwar","doi":"10.1111/jfir.12329","DOIUrl":"10.1111/jfir.12329","url":null,"abstract":"<p>I study the options-implied market risks that affect US stock–bond correlations from 2007 to 2021. I discover that US stock and bond market uncertainty, stock market tail risk, and global credit-default risk are dominant contributors to changing stock–bond correlations during the global financial crisis (GFC) period. However, these market risks collectively contribute much less to time-varying correlations in the post-GFC period. Furthermore, stock–bond correlations rise in times of rising US and global bond market risks. Rising stock market uncertainty raises stock–bond correlations in the GFC period but lowers them in the post-GFC period. My results disentangle the risks of stock and bond markets and show that equity tail risk, bond market risk, and stock market uncertainty are dominant factors in changing stock–bond diversification benefits in periods of market turmoil.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jfir.12329","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43846061","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
Market-implied ratings and their divergence from credit ratings 市场隐含评级及其与信用评级的差异
IF 3.5 3区 经济学
Journal of Financial Research Pub Date : 2023-04-12 DOI: 10.1111/jfir.12325
Iftekhar Hasan, Jianfu Shen, Gaiyan Zhang, Winnie P. H. Poon
{"title":"Market-implied ratings and their divergence from credit ratings","authors":"Iftekhar Hasan,&nbsp;Jianfu Shen,&nbsp;Gaiyan Zhang,&nbsp;Winnie P. H. Poon","doi":"10.1111/jfir.12325","DOIUrl":"10.1111/jfir.12325","url":null,"abstract":"<p>In this article, we investigate the divergence between credit ratings (CRs) and Moody's market-implied ratings (MIRs). Our evidence shows that rating gaps provide incremental information to the market regarding issuers' default risk over CRs alone in the short horizon and outperform CRs over extended horizons. The predictive ability of rating gaps is greater for more opaque and volatile issuers. Such predictability was more pronounced during the 2008 financial crisis but weakened in the post–Dodd–Frank Act period. This finding is consistent with credit rating agencies’ efforts to improve their performance when facing regulatory pressure. Moreover, our analysis identifies rating-gap signals that do (do not) lead to subsequent Moody's actions to place issuers on negative outlook and watchlists. We find that negative signals from MIR gaps have a real economic impact on issuers’ fundamentals such as profitability, leverage, investment, and default risk, thus supporting the recovery-efforts hypothesis.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":3.5,"publicationDate":"2023-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48493938","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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