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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
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":"47 1","pages":"5-25"},"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":"46 3","pages":"875-898"},"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":"46 3","pages":"791-823"},"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":"46 3","pages":"825-847"},"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
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