发布求助
文献互助 智能选刊 最新文献

Financial Management最新文献

筛选
英文 中文
Projects with no cost of capital
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-10-13 DOI: 10.1111/fima.12482
Moshe Levy
{"title":"Projects with no cost of capital","authors":"Moshe Levy","doi":"10.1111/fima.12482","DOIUrl":"https://doi.org/10.1111/fima.12482","url":null,"abstract":"<p>It is generally accepted that any project has an appropriate cost of capital reflecting its riskiness and that this cost of capital can be employed to calculate the project's net present value (NPV). Consequently, any future cashflow with a positive expected value has some positive present value. We show that this is not generally true. A risky cashflow with a positive expected value may have a negative present value if the cashflow is correlated with market returns. Thus, there are many realistic projects for which no cost of capital exists. We suggest a simple test to screen out such projects.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"54 1","pages":"177-191"},"PeriodicalIF":2.9,"publicationDate":"2024-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fima.12482","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581383","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
Upstream propagation of shocks in supply chains: Evidence from earthquakes
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-10-07 DOI: 10.1111/fima.12480
Xianhang Qian, Shanyun Qiu, Le Zhang
{"title":"Upstream propagation of shocks in supply chains: Evidence from earthquakes","authors":"Xianhang Qian,&nbsp;Shanyun Qiu,&nbsp;Le Zhang","doi":"10.1111/fima.12480","DOIUrl":"https://doi.org/10.1111/fima.12480","url":null,"abstract":"<p>We investigate how natural disaster shocks to customers propagate upstream to suppliers’ investment. Using data from the major customers of Chinese listed firms and earthquake information during 2009–2019, we investigate the impact of customers’ earthquake exposure on corporate investment. We find that firms significantly reduce investment after their customers experience earthquakes, particularly for non-state-owned enterprises, firms with higher product uniqueness, firms in competitive industries, and firms in nondurable goods industries. Furthermore, our analysis highlights firms’ sales as one of the potential channels through which customers’ earthquake exposure influences firm investment. We also find that following an earthquake supplier firms reduce their transactions with the affected customers and develop alternative customers.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"54 1","pages":"147-175"},"PeriodicalIF":2.9,"publicationDate":"2024-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581410","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
Predicting the equity premium with a high-threshold risk level and the price of risk
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-10-04 DOI: 10.1111/fima.12474
Naresh Bansal, Chris Stivers
{"title":"Predicting the equity premium with a high-threshold risk level and the price of risk","authors":"Naresh Bansal,&nbsp;Chris Stivers","doi":"10.1111/fima.12474","DOIUrl":"https://doi.org/10.1111/fima.12474","url":null,"abstract":"<p>Over 1990 to 2023, we show that time variation in the U.S. equity premium is captured well by a parsimonious model with the CBOE's implied-volatility index VIX and the sentiment index of Baker and Wurgler (2006, <i>Journal of Finance</i>, <i>61</i>, 1645–1680). The equity premium declines linearly with sentiment but increases nonlinearly with VIX, stepping up appreciably when VIX exceeds a threshold around its 80th to 85th percentile. For 6- and 12-month forecasting horizons, the predictive adjusted <i>R</i><sup>2</sup> values are about 19% and 29%, respectively. Our predictive findings are robustly evident for 1-, 3-, 6-, and 12-month horizons, in subperiods, for in-sample and out-of-sample evaluations, and when adding control variables. Our interpretation is that a high-VIX threshold identifies episodes of market stress that generally have both a sharply higher level of risk and an elevated price of risk. Sentiment complements VIX and seems particularly effective in identifying times with a low price of risk.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"54 1","pages":"123-145"},"PeriodicalIF":2.9,"publicationDate":"2024-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581401","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 impact of unions on compensation consultants and CEO pay 工会对薪酬顾问和首席执行官薪酬的影响
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-09-29 DOI: 10.1111/fima.12472
Vikram Nanda, Takeshi Nishikawa, Andrew Prevost
{"title":"The impact of unions on compensation consultants and CEO pay","authors":"Vikram Nanda,&nbsp;Takeshi Nishikawa,&nbsp;Andrew Prevost","doi":"10.1111/fima.12472","DOIUrl":"https://doi.org/10.1111/fima.12472","url":null,"abstract":"<p>Research on executive compensation finds unions to be associated with lower executive compensation, particularly incentive pay, while other work documents the role of compensation consultants in facilitating stronger CEO incentives and pay. We propose and test the implications of a simple theoretical framework that integrates these empirical findings. We find empirical support for our model's prediction that in environments less favorable to union organization (e.g., right-to-work states), firms with higher unionization rates strategically engage consultants to counter union influence, place greater value on their advice as gauged by consultant fees, and offer managers greater equity incentives opposed by unions. On the other hand, in strongly prolabor environments, unions are more successful at curtailing consultant use and have greater influence on the level of pay and incentives.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"54 1","pages":"89-122"},"PeriodicalIF":2.9,"publicationDate":"2024-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143582070","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
Zero-beta risks and required returns: ESG and CAPM
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-09-26 DOI: 10.1111/fima.12475
David Johnstone, Andrew Grant
{"title":"Zero-beta risks and required returns: ESG and CAPM","authors":"David Johnstone,&nbsp;Andrew Grant","doi":"10.1111/fima.12475","DOIUrl":"https://doi.org/10.1111/fima.12475","url":null,"abstract":"<p>We ask how idiosyncratic zero-beta risks (e.g., the risk of litigation or R&amp;D failing) affect the firm's cost of capital under capital asset pricing model (CAPM). Surprisingly, perhaps, CAPM theory reveals that adding an idiosyncratic risk to the firm's payoff distribution will usually although not necessarily increase the firm's cost of capital. Lintner's famous original CAPM expositions revealed that the firm's CAPM cost of capital is a function of the ratio of the covariance of its cash payoff with the market to its payoff mean. Lintner proved that an idiosyncratic risk that affects the firm's payoff covariance <i>per unit of mean</i> is“priced” in the sense that it necessarily alters the firm's CAPM discount rate. We explain and clarify Lintner's argument using elementary CAPM equations and numerical examples.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"54 1","pages":"33-52"},"PeriodicalIF":2.9,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fima.12475","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581990","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
Are investor-paid credit ratings superior?
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-09-26 DOI: 10.1111/fima.12476
Nan Qin, Lei Zhou
{"title":"Are investor-paid credit ratings superior?","authors":"Nan Qin,&nbsp;Lei Zhou","doi":"10.1111/fima.12476","DOIUrl":"https://doi.org/10.1111/fima.12476","url":null,"abstract":"<p>We conduct pairwise comparisons of corporate bond ratings between three issuer-paid credit rating agencies (CRAs) and one investor-paid CRA regarding rating standard, accuracy, stability, and market impact. We find that neither compensation model results in more stringent or accurate ratings. While issuer-paid S&amp;P ratings are more stringent and accurate than investor-paid Egan-Jones ratings (EJR), issuer-paid Fitch ratings are less stringent and have similar or lower accuracy compared to EJR ratings. In contrast, investor- and issuer-paid ratings exhibit different rating change behaviors. EJR updates its ratings more frequently with fewer multinotch downgrades but also has a higher likelihood of rating reversals, while rating change behaviors are similar among the three issuer-paid CRAs. Finally, issuer-paid rating changes trigger stronger market responses.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"54 1","pages":"53-87"},"PeriodicalIF":2.9,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581991","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
Does common institutional ownership mitigate hold-up problems along the supply chain? 共同的机构所有权能否缓解供应链上的搁置问题？
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-09-18 DOI: 10.1111/fima.12473
Yongning Deng, Jing Li, Qilin Peng, Wentao Yao
{"title":"Does common institutional ownership mitigate hold-up problems along the supply chain?","authors":"Yongning Deng,&nbsp;Jing Li,&nbsp;Qilin Peng,&nbsp;Wentao Yao","doi":"10.1111/fima.12473","DOIUrl":"10.1111/fima.12473","url":null,"abstract":"<p>We show that common institutional ownership (CIO) along the supply chain mitigates hold-up problems faced by supplier–customer relationships resulting from incomplete contracts. Suppliers make more relationship-specific investments (RSIs) measured by R&amp;D and patent filings toward their customers that share common institutional investors. Such effect is stronger as the CIO network between a supplier and customer pair becomes wider and deeper. We establish causality by exploiting exogenous shocks to CIO using a broad sample of mergers between financial institutions and further find the CIO effects on suppliers’ innovation specificity are stronger for those who ex ante face severer hold-up concerns. Lastly, we provide evidence that CIO involvement increases the combined valuations of supply chain pairs (mainly for customers). Our work sheds light on the hold-up mitigation effect of CIO on firms’ decision to make RSIs along the supply chain.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"54 1","pages":"3-31"},"PeriodicalIF":2.9,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fima.12473","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142268144","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
Institutional trading around M&A announcements 围绕并购公告的机构交易
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-09-04 DOI: 10.1111/fima.12469
Eliezer M. Fich, Viktoriya Lantushenko, Clemens Sialm
{"title":"Institutional trading around M&A announcements","authors":"Eliezer M. Fich,&nbsp;Viktoriya Lantushenko,&nbsp;Clemens Sialm","doi":"10.1111/fima.12469","DOIUrl":"10.1111/fima.12469","url":null,"abstract":"<p>We contrast the investment strategies of hedge funds and mutual funds around mergers and acquisitions (M&amp;A). We find that hedge funds, on average, increase their holdings of soon-to-be takeover targets by 7.5% during the quarter before M&amp;A announcements. Conversely, mutual funds, on average, reduce their equity holdings in impending targets by 3.0% over the same time period. The reduction in M&amp;A holdings by mutual funds is less pronounced for more actively managed funds. Our results suggest that hedge funds enjoy superior access to private information or possess superior ability to process public information related to M&amp;A transactions.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"53 4","pages":"643-680"},"PeriodicalIF":2.9,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180108","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
Disagreement exploitation and the cross-section of hedge fund performance 分歧利用与对冲基金业绩横截面
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-08-21 DOI: 10.1111/fima.12471
Gady Jacoby, Shi Li, Nanying Lin, Yan Yang
{"title":"Disagreement exploitation and the cross-section of hedge fund performance","authors":"Gady Jacoby,&nbsp;Shi Li,&nbsp;Nanying Lin,&nbsp;Yan Yang","doi":"10.1111/fima.12471","DOIUrl":"10.1111/fima.12471","url":null,"abstract":"<p>This study examines the role of market disagreement in explaining the cross-section of hedge fund performance. In a market where disagreement fluctuates, skilled arbitrageurs may employ trading strategies to exploit the mispricing caused by disagreement and short-sale constraints. Skilled hedge funds with high sensitivity to disagreement can take advantage of mispricing in high-disagreement periods to improve their performance. We show that hedge funds with a high disagreement beta tend to possess skill in exploiting disagreement and, as such, they can earn higher cross-sectional returns compared to other hedge funds lacking this skill. Existing risk factors and a tradable disagreement factor do not fully explain the difference in hedge fund performance between those with high and low disagreement betas. Further evidence shows that experienced hedge funds and hedge funds that charge a high incentive fee are likely to have high disagreement betas. Our empirical findings are robust in using various disagreement measures and methodologies to estimate disagreement beta.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"53 4","pages":"681-713"},"PeriodicalIF":2.9,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180109","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
Market leverage, debt heterogeneity, and equity returns 市场杠杆、债务异质性和股票回报
IF 2.9 3区 经济学
Financial Management Pub Date : 2024-08-12 DOI: 10.1111/fima.12470
Moonsoo Kang, Seungho Baek
{"title":"Market leverage, debt heterogeneity, and equity returns","authors":"Moonsoo Kang,&nbsp;Seungho Baek","doi":"10.1111/fima.12470","DOIUrl":"10.1111/fima.12470","url":null,"abstract":"<p>We explore the effect of debt heterogeneity on the cross-sectional relationship between market leverage and equity returns. Specifically, we discover that firms with high debt heterogeneity exhibit a stronger, positive association between leverage and equity returns. Any alternative economic rationale cannot explain this anomaly. We also find that leverage interacts with debt heterogeneity, making firms with heterogeneous debt structure more financially distressed or constrained. Therefore, this analysis suggests that leverage exerts more pronounced effect on equity returns among firms with heterogeneous debt composition because those firms experience higher financial distress or constraint due to the compounding interaction effect with leverage.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"53 4","pages":"715-747"},"PeriodicalIF":2.9,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180110","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
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信