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Why Momentum Concentrates among Overvalued Stocks 为什么动力集中在估值过高的股票上
2区 经济学
Review of Finance Pub Date : 2023-09-29 DOI: 10.1093/rof/rfad033
Jack Favilukis, Terry Zhang
{"title":"Why Momentum Concentrates among Overvalued Stocks","authors":"Jack Favilukis, Terry Zhang","doi":"10.1093/rof/rfad033","DOIUrl":"https://doi.org/10.1093/rof/rfad033","url":null,"abstract":"Abstract We uncover a link between momentum and overvaluation: assets that generate strong momentum profits have lower risk-adjusted unconditional returns; conversely, trading momentum within overvalued assets doubles the profit of the standard momentum strategy. We compute the profits of a momentum strategy within various portfolios; portfolios within which momentum is profitable are defined as momentum trading opportunity (MTO). High-MTO assets have negative unconditional alphas and concentrate in the short legs of most anomalies; controlling for MTO reduces anomaly alphas by up to half. These results imply that the existence of other anomalies is closely linked to the existence of momentum and they should be studied jointly.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135194073","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Securities Law Precedents, Legal Liability, and Financial Reporting Quality 证券法判例、法律责任与财务报告质量
2区 经济学
Review of Finance Pub Date : 2023-09-28 DOI: 10.1093/rof/rfad032
Benedikt Franke, Allen H Huang, Reeyarn Z Li, Hui Wang
{"title":"Securities Law Precedents, Legal Liability, and Financial Reporting Quality","authors":"Benedikt Franke, Allen H Huang, Reeyarn Z Li, Hui Wang","doi":"10.1093/rof/rfad032","DOIUrl":"https://doi.org/10.1093/rof/rfad032","url":null,"abstract":"Abstract In common-law systems, firms’ litigation risk depends both on written laws and how courts interpret these laws. Using 321 US circuit court rulings, we introduce a novel measure capturing courts’ attitudes toward defendants in securities lawsuits. Our results confirm that financial misreporting firms in more defendant-friendly circuits face fewer lawsuits. Consistent with lower expected litigation costs, firms in these circuits face less negative market reactions when misreporting is revealed, invest less in preventing misreporting, and are more likely to engage in aggressive misreporting. We conclude that defendant-friendly precedents reduce firms’ legal liability and worsen their financial reporting quality.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135344402","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Firm Financing through Insider Stock Pledges 通过内部股票质押的公司融资
2区 经济学
Review of Finance Pub Date : 2023-09-27 DOI: 10.1093/rof/rfad030
Xiaofei Pan, Meijun Qian
{"title":"Firm Financing through Insider Stock Pledges","authors":"Xiaofei Pan, Meijun Qian","doi":"10.1093/rof/rfad030","DOIUrl":"https://doi.org/10.1093/rof/rfad030","url":null,"abstract":"Abstract This paper documents fund usages of insider share pledge loans based on transactions data and subsequent corporate activities in Chinese firms. We find that the market has expanded 111 times since 2003, reaching 2.9 trillion RMB by 2017. The expansion is driven by share pledges for financing firms, including focal listed firms and other firms. Among transactions for financing focal listed firms (17.4%), 87% of the funds flow into the firms. Each 1% increase in controlling shareholders’ ownership is associated with a 7.8%∼11.7% increase in the likelihood of pledging shares to finance the focal listed firms and an additional 2.1% to 5.7% for financially constrained firms. The stock market reacts to transactions for financing focal listed firms with abnormal returns around 0.26%∼0.65% and an additional 0.29%∼4.37% for financially constrained firms. These patterns do not exist for share pledges for other purposes or by noncontrolling shareholders.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135534677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 Start Matters: Time-Varying Investor Demand, Hedge Fund Inceptions and Performance 开始很重要:时变投资者需求，对冲基金的创立和业绩
2区 经济学
Review of Finance Pub Date : 2023-09-20 DOI: 10.1093/rof/rfad031
Lin Sun, Zheng Sun, Lu Zheng
{"title":"The Start Matters: Time-Varying Investor Demand, Hedge Fund Inceptions and Performance","authors":"Lin Sun, Zheng Sun, Lu Zheng","doi":"10.1093/rof/rfad031","DOIUrl":"https://doi.org/10.1093/rof/rfad031","url":null,"abstract":"Abstract We examine whether time-varying investor demand affects hedge fund companies’ decision to start new funds. We find significantly more fund inceptions in hot markets than in cold markets. Funds opened in hot markets exhibit weaker long-term performance, shorter survival time, and greater fraud risk. Investor clientele also varies with market conditions. Investors in hot markets appear to be less sophisticated, which may provide opportunities for more low-quality funds to enter the industry. Overall, inceptions due to high investor demand are not in the best interest of investors.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136375731","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Big Broad Banks: How Does Cross-Selling Affect Lending? 大型银行:交叉销售如何影响贷款?
2区 经济学
Review of Finance Pub Date : 2023-09-12 DOI: 10.1093/rof/rfad028
Yingjie Qi
{"title":"Big Broad Banks: How Does Cross-Selling Affect Lending?","authors":"Yingjie Qi","doi":"10.1093/rof/rfad028","DOIUrl":"https://doi.org/10.1093/rof/rfad028","url":null,"abstract":"Abstract This article investigates how cross-selling affects relationship lending using internal data from a large bank and the Swedish credit registry. I show that within a bank–firm relationship, profit earned from non-loan products cross-subsidizes loans and increases (1) credit supply and (2) the likelihood of the bank’s pausing or waiving interest payments for delinquent loans (lenience in delinquency). For identification, I exploit the Basel II-induced exogenous variation in products’ profitability while holding constant the firm’s creditworthiness and relationship informativeness. I find that the average affected firm experienced a decrease of 6 percent ($400,000) in credit supply and 30 percent (9.8 pp) in lenience in delinquency. The results highlight the importance of cross-subsidization as a mechanism through which cross-selling affects bank–firm relationships and inform optimal regulatory design for lenders who multi-produce.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135825193","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Asset Complexity and the Return Gap 资产复杂性与收益差距
IF 4.4 2区 经济学
Review of Finance Pub Date : 2023-08-31 DOI: 10.1093/rof/rfad027
P. Gao, Allen Hu, Peter W. Kelly, Cameron Peng, Ning Zhu
{"title":"Asset Complexity and the Return Gap","authors":"P. Gao, Allen Hu, Peter W. Kelly, Cameron Peng, Ning Zhu","doi":"10.1093/rof/rfad027","DOIUrl":"https://doi.org/10.1093/rof/rfad027","url":null,"abstract":"\u0000 Existing research finds that investors’ returns vary with their wealth and level of sophistication. We bring a new perspective from the supply side by showing that return heterogeneity can be magnified as assets offered by the market become more complex. Using detailed account-level data, we examine the trading of B funds—complex, structured products in the Chinese market. During a three-year market cycle, the return gap between the naive and sophisticated is an order-of-magnitude greater when trading B funds than when trading simple, non-structured funds. In an event study, we confirm that this disparity is driven by differences in investors’ understanding of product complexity.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":" ","pages":""},"PeriodicalIF":4.4,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48332924","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 3
Measuring Climate Transition Risk Spillovers 衡量气候变化风险外溢
IF 4.4 2区 经济学
Review of Finance Pub Date : 2023-08-16 DOI: 10.1093/rof/rfad026
M. Caporin
{"title":"Measuring Climate Transition Risk Spillovers","authors":"M. Caporin","doi":"10.1093/rof/rfad026","DOIUrl":"https://doi.org/10.1093/rof/rfad026","url":null,"abstract":"\u0000 In this paper, we study the transition risk spillover among six major financial markets from 2013 to 2021. The US is the main transition risk contributor, while Japan and China are the net risk receivers. Risk spillover may change over time and change according to different types of transition risk shocks. It takes around six weeks for transition risks to be fairly transmitted. On average, around 50% of local climate shocks to a given financial market originate from other markets. Transmission channels include the transmission of information and the economic connections between countries.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":" ","pages":""},"PeriodicalIF":4.4,"publicationDate":"2023-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45696310","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 Anomalies Really Predict Market Returns? New Data and New Evidence 异常现象真的能预测市场回报吗？新数据和新证据
IF 4.4 2区 经济学
Review of Finance Pub Date : 2023-08-09 DOI: 10.1093/rof/rfad025
Nusret Cakici, C. Fieberg, Daniel Metko, Adam Zaremba
{"title":"Do Anomalies Really Predict Market Returns? New Data and New Evidence","authors":"Nusret Cakici, C. Fieberg, Daniel Metko, Adam Zaremba","doi":"10.1093/rof/rfad025","DOIUrl":"https://doi.org/10.1093/rof/rfad025","url":null,"abstract":"\u0000 Using new data from U.S. and global markets, we revisit market risk premium predictability by equity anomalies. We apply a repertoire of machine learning methods to 42 countries to reach a simple conclusion: anomalies, as such, cannot predict aggregate market returns. Any ostensible evidence from the U.S. lacks external validity in two ways: it cannot be extended internationally and does not hold for alternative anomaly sets—regardless of the selection and design of factor strategies. The predictability—if any—originates from a handful of specific anomalies and depends heavily on seemingly minor methodological choices. Overall, our results challenge the view that anomalies as a group contain helpful information for forecasting market risk premia.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":" ","pages":""},"PeriodicalIF":4.4,"publicationDate":"2023-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43377825","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 4
Asymmetric Information and Corporate Lending: Evidence from SME Bond Markets 信息不对称与企业贷款:来自中小企业债券市场的证据
IF 4.4 2区 经济学
Review of Finance Pub Date : 2023-07-05 DOI: 10.1093/rof/rfad024
Alessandra Iannamorelli, Stefano Nobili, Antonio Scalia, Luana Zaccaria
{"title":"Asymmetric Information and Corporate Lending: Evidence from SME Bond Markets","authors":"Alessandra Iannamorelli, Stefano Nobili, Antonio Scalia, Luana Zaccaria","doi":"10.1093/rof/rfad024","DOIUrl":"https://doi.org/10.1093/rof/rfad024","url":null,"abstract":"Using a comprehensive dataset of Italian SMEs, we find that differences between private and public information on firm creditworthiness affect the decision to issue bonds. Our evidence supports favorable (rather than adverse) selection in corporate bond markets. Specifically, holding public information constant, firms with better private fundamentals are more likely to access bond markets. These effects are weaker for opaque firms and stronger for firms with worse publicly observable risk. Additionally, credit conditions improve for issuers following the bond placement, compared with a matched sample of non-issuers. This is consistent with a model where banks offer more flexibility than markets during financial distress and firms use market lending to signal credit quality to outside stakeholders.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":"7 1","pages":""},"PeriodicalIF":4.4,"publicationDate":"2023-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138494544","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Inefficient Regulation: Mortgages versus Total Credit 低效监管:抵押贷款与总信贷
2区 经济学
Review of Finance Pub Date : 2023-06-09 DOI: 10.1093/rof/rfad023
Artashes Karapetyan, Jens Soerlie Kvaerner, Maximilian Rohrer
{"title":"Inefficient Regulation: Mortgages versus Total Credit","authors":"Artashes Karapetyan, Jens Soerlie Kvaerner, Maximilian Rohrer","doi":"10.1093/rof/rfad023","DOIUrl":"https://doi.org/10.1093/rof/rfad023","url":null,"abstract":"Abstract We estimate the willingness-to-pay to bypass a loan-to-value (LTV) cap. Our identification relies on exogenous variation in debt exempt from the LTV regulation that can only be used as a substitute for a personal mortgage. Our baseline estimate reveals that homebuyers pay 7.3 Swedish Kroner (SEK) to avoid 1 SEK of equity down payment. The supply of debt not part of the LTV calculation increased by approximately 50% within 2 years after the LTV regulation. Financially weaker households drive the results.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135158650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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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