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Determinants of commodity market liquidity 商品市场流动性的决定因素
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-09-30 DOI: 10.1111/fire.12366
Pankaj K. Jain, Ayla Kayhan, Esen Onur
{"title":"Determinants of commodity market liquidity","authors":"Pankaj K. Jain,&nbsp;Ayla Kayhan,&nbsp;Esen Onur","doi":"10.1111/fire.12366","DOIUrl":"10.1111/fire.12366","url":null,"abstract":"<p>Using positions data for 18 commodity futures during 2001–2020, we examine systematic and idiosyncratic determinants of Amihud price impact and microstructure noise proxying for permanent and transitory components of commodity futures liquidity. Idiosyncratic factors have the largest economic impact: while excess hedging demand increases PI and noise, active position-taking (by market-makers) in excess of the hedging demand reduces noise. Systematic factors, including the lack of competition among liquidity providers, adversely impact liquidity, but this effect is mitigated if liquidity providers are well-capitalized. Supplementary leverage ratio (SLR) makes holding inventory costlier and is associated with lower liquidity.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"59 1","pages":"9-30"},"PeriodicalIF":3.2,"publicationDate":"2023-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136342170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Share repurchases and managerial reference points 股票回购和管理参考点
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-08-28 DOI: 10.1111/fire.12364
Nicholas Clarke, Dylan Norris, Andrew Schrowang
{"title":"Share repurchases and managerial reference points","authors":"Nicholas Clarke,&nbsp;Dylan Norris,&nbsp;Andrew Schrowang","doi":"10.1111/fire.12364","DOIUrl":"10.1111/fire.12364","url":null,"abstract":"<p>This study examines the relationship between managerial reference points and corporate payout policy. We find that share repurchase activity increases as a firm's current stock price declines in relation to the price at which it previously repurchased shares. To facilitate a behavioral interpretation of this relation, we show that it weakens around stock splits, is asymmetric over gains and losses, and strengthens when prior repurchase prices are more salient. Further, the relation is not explained by traditional repurchase motives. The results suggest a behavioral pattern in which managers use prior repurchase prices as reference points for current repurchases.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"59 1","pages":"57-87"},"PeriodicalIF":3.2,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90311977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Board cultural diversity and firm performance under competitive pressures 竞争压力下的董事会文化多样性与企业绩效
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-08-25 DOI: 10.1111/fire.12365
Olga Dodd, Bart Frijns, Robin Kaiji Gong, Shushu Liao
{"title":"Board cultural diversity and firm performance under competitive pressures","authors":"Olga Dodd,&nbsp;Bart Frijns,&nbsp;Robin Kaiji Gong,&nbsp;Shushu Liao","doi":"10.1111/fire.12365","DOIUrl":"10.1111/fire.12365","url":null,"abstract":"<p>We examine the impact of board cultural diversity, based on directors' ancestry, on firm performance conditional on product market competition. We argue that culturally diverse boards foster critical thinking and offer creative solutions that help firms thrive in competitive environments. We document that culturally diverse boards are associated with superior performance for firms operating in highly competitive industries. To address potential endogeneity issues, we use a quasi-natural experiment of the U.S. import tariff cuts. The positive impact of board cultural diversity on firm performance in competitive markets manifests itself in firms that innovate more, require creative inputs, and face heightened predation risk due to their high interdependence with industry rivals, in line with culturally diverse boards effectively performing their advisory role. Lastly, we find no evidence that board cultural diversity is associated with enhanced monitoring as its benefits fade in the presence of powerful CEOs.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"59 1","pages":"89-111"},"PeriodicalIF":3.2,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12365","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75489600","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The determinants of limit order cancellations 限价盘取消的决定因素
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-08-01 DOI: 10.1111/fire.12363
Petter Dahlström, Björn Hagströmer, Lars L. Nordén
{"title":"The determinants of limit order cancellations","authors":"Petter Dahlström,&nbsp;Björn Hagströmer,&nbsp;Lars L. Nordén","doi":"10.1111/fire.12363","DOIUrl":"10.1111/fire.12363","url":null,"abstract":"<p>Almost all limit orders are canceled. We examine two economic channels that can motivate cancellations: reductions in the expected profit at execution, and reductions in the probability of execution. An order-level analysis shows that changes in depth at the best bid and offer prices, as well as changes in the order queue position, influence cancellation in a way consistent with the former channel, that market makers monitor the expected profit at execution of each limit order. Although buy-side investors use passive orders extensively, our findings indicate that limit order cancellations on aggregate are best understood through models of liquidity provision.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"59 1","pages":"181-201"},"PeriodicalIF":3.2,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12363","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90588080","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Where does ex-dividend trading occur: An examination of trading venues around dividends 除息交易在哪里进行？围绕股息的交易场所研究
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-08-01 DOI: 10.1111/fire.12362
Justin Cox, Kathleen P. Fuller, Robert Van Ness
{"title":"Where does ex-dividend trading occur: An examination of trading venues around dividends","authors":"Justin Cox,&nbsp;Kathleen P. Fuller,&nbsp;Robert Van Ness","doi":"10.1111/fire.12362","DOIUrl":"10.1111/fire.12362","url":null,"abstract":"<p>We examine the fragmentation of trading around the ex-dividend date. We argue that the taker-maker and dark trading venues provide potential dividend capture traders a more favorable platform than the maker-taker venue(s) given the price improvement, lower queues, and lower net transaction costs. Our evidence indicates that taker-maker (dark) venue market share decreases (increases) on cum-dividend days but reverts to normal levels on the ex-dividend day. Additionally, we find fragmented trading impacts the ex-dividend price change and improves price efficiency. Finally, we find evidence that retail trades are associated with potential dividend-capture trading.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"59 1","pages":"31-55"},"PeriodicalIF":3.2,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87905845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Credit information sharing and cost of debt: Evidence from the introduction of credit bureaus in developing countries 信贷信息共享与债务成本：发展中国家设立信贷局的证据
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-07-25 DOI: 10.1111/fire.12361
Samuel Fosu, Henry Agyei-Boapeah, Neytullah Ciftci
{"title":"Credit information sharing and cost of debt: Evidence from the introduction of credit bureaus in developing countries","authors":"Samuel Fosu,&nbsp;Henry Agyei-Boapeah,&nbsp;Neytullah Ciftci","doi":"10.1111/fire.12361","DOIUrl":"https://doi.org/10.1111/fire.12361","url":null,"abstract":"<p>We investigate the effect of credit information sharing on cost of debt, with particular focus on the introduction of credit bureaus in developing countries. Using a large dataset of firms from 28 developing countries over the period 2004–2019, we find that firms’ average cost of debt significantly declines following the introduction of credit bureaus. This finding is robust to an alternative measure of cost of debt, several firm- and country-level controls and to firm- and year-fixed effects. The reduction in cost of debt is more pronounced for less transparent firms and for firms domiciled in countries with weak institutional framework.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"58 4","pages":"783-810"},"PeriodicalIF":3.2,"publicationDate":"2023-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12361","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50143922","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Repeated innovations and excessive spin-offs 重复创新和衍生产品过多
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-07-10 DOI: 10.1111/fire.12360
Pierre Mella-Barral, Hamid Sabourian
{"title":"Repeated innovations and excessive spin-offs","authors":"Pierre Mella-Barral,&nbsp;Hamid Sabourian","doi":"10.1111/fire.12360","DOIUrl":"10.1111/fire.12360","url":null,"abstract":"<p>Firms can voluntarily create independent firms to implement their technologically distant innovations and capture their value through capital markets. We argue that when firms repeatedly compete to make innovations, there is inefficient external implementation of innovations and “excessive” creation of such firms. This inefficiency is most exacerbated in the early stages of an industry, when the number of firms is still limited.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"59 1","pages":"155-179"},"PeriodicalIF":3.2,"publicationDate":"2023-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12360","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87767760","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bank competition and the design of syndicated loans 银行竞争与银团贷款的设计
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-07-06 DOI: 10.1111/fire.12359
Chongyang Chen, Robert Kieschnick
{"title":"Bank competition and the design of syndicated loans","authors":"Chongyang Chen,&nbsp;Robert Kieschnick","doi":"10.1111/fire.12359","DOIUrl":"10.1111/fire.12359","url":null,"abstract":"<p>We study the effect of bank competition on the design of syndicate loans. We find that competition in the lead lender's market plays a significant role in determining the terms of the syndicate loans. Specifically, higher concentration leads to higher yield spreads, larger issues, shorter maturities, greater contract intensity, and more collateral requirements, but with a greater likelihood of performance pricing. We also find the prior banking relationships, anti-takeover provisions and whether the lead bank is a national, regional, or state bank influence the designs of these loans.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"59 1","pages":"227-251"},"PeriodicalIF":3.2,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85350070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The papers I can't write 我不会写的论文
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-07-04 DOI: 10.1111/fire.12358
Paul Schultz
{"title":"The papers I can't write","authors":"Paul Schultz","doi":"10.1111/fire.12358","DOIUrl":"10.1111/fire.12358","url":null,"abstract":"<p>In this future directions in finance article, I discuss several topics that I believe are promising areas for research. The topics fall into three areas: the microstructure of fixed income markets, equity market microstructure, and short selling. Both theoretical and empirical work is needed in these areas.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"59 1","pages":"5-8"},"PeriodicalIF":3.2,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12358","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75855713","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The price impact of analyst revisions and the state of the economy: Evidence around the world 分析师修正案对价格的影响和经济状况：世界各地的证据
IF 3.2
FINANCIAL REVIEW Pub Date : 2023-07-04 DOI: 10.1111/fire.12357
Chen Su
{"title":"The price impact of analyst revisions and the state of the economy: Evidence around the world","authors":"Chen Su","doi":"10.1111/fire.12357","DOIUrl":"https://doi.org/10.1111/fire.12357","url":null,"abstract":"<p>This paper examines the price impact of analyst revisions in distinct economic states around the world. We find stronger average 2-day cumulative abnormal returns in bad times, though this pattern is mainly observed in developed countries. In addition, trading strategies following analyst revisions, with holding periods from 1 to 6 months, are generally more profitable in good times with lower macroeconomic uncertainty, after controlling for market and common risk factors. The profitability, however, disappears or declines substantially after accounting for time-varying risk premia conditioned on lagged macroeconomic information, indicating a reduced information production role played by analysts in recent decades.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"58 4","pages":"887-930"},"PeriodicalIF":3.2,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12357","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50127839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","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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