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Does the Federal Open Market Committee cycle affect credit risk? 联邦公开市场委员会周期会影响信贷风险吗?
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-05-20 DOI: 10.1111/fima.12364
Difang Huang, Yubin Li, Xinjie Wang, Zhaodong (Ken) Zhong
{"title":"Does the Federal Open Market Committee cycle affect credit risk?","authors":"Difang Huang,&nbsp;Yubin Li,&nbsp;Xinjie Wang,&nbsp;Zhaodong (Ken) Zhong","doi":"10.1111/fima.12364","DOIUrl":"10.1111/fima.12364","url":null,"abstract":"<p>This paper studies the returns of credit default swap (CDS) indices over the Federal Open Market Committee (FOMC) cycle. We document that the CDS return is significantly higher in even weeks than in odd weeks of the FOMC cycle. The biweekly pattern in the CDS market is not a mere reflection of that in the stock market. A simple trading strategy based on the biweekly pattern yields an annual excess return of 8.8%. This pattern is linked to the resolution of macroeconomic uncertainty by the biweekly schedules of the Fed Reserve internal Board of Governors meetings. We provide further evidence that the Fed affects the CDS market via unexpected information signals and monetary policies that lead to reductions in the risk premium.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 1","pages":"143-167"},"PeriodicalIF":2.8,"publicationDate":"2021-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12364","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48077943","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: 7
Geographic proximity and price efficiency: Evidence from high-speed railway connections between firms and financial centers 地理邻近与价格效率:来自企业与金融中心之间高速铁路连接的证据
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-05-07 DOI: 10.1111/fima.12354
Hao Gao, Yuanyu Qu, Tao Shen
{"title":"Geographic proximity and price efficiency: Evidence from high-speed railway connections between firms and financial centers","authors":"Hao Gao,&nbsp;Yuanyu Qu,&nbsp;Tao Shen","doi":"10.1111/fima.12354","DOIUrl":"10.1111/fima.12354","url":null,"abstract":"We study how geographic proximity to financial centers affects price efficiency. Using high-speed railway connections between firm cities and their nearest financial centers in China as exogenous shocks, we find stocks of connected firms are more efficiently priced than those of firms that are not connected. Consistent with our hypothesis, ease of travel has a stronger effect on firms that are closer to financial centers, smaller, have less institutional ownership and financial analyst coverage, and are not on the short sales list. Our paper highlights the importance of the geographic proximity of firms to financial centers on financial market efficiency.","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 1","pages":"117-141"},"PeriodicalIF":2.8,"publicationDate":"2021-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12354","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47365413","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: 9
The impact of credit rating information on disclosure quality 信用评级信息对披露质量的影响
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-04-16 DOI: 10.1111/fima.12352
Yung-Ling Chi, Sean Flynn
{"title":"The impact of credit rating information on disclosure quality","authors":"Yung-Ling Chi,&nbsp;Sean Flynn","doi":"10.1111/fima.12352","DOIUrl":"https://doi.org/10.1111/fima.12352","url":null,"abstract":"<p>Do credit ratings affect the information content of corporate disclosure? Using novel data on rating analysts to obtain exogenous variation in rating information, we find that greater uncertainty in credit ratings increases the quality of information disclosed by the firm. This is consistent with the firm attempting to reduce overall uncertainty about value by improving the quality of its own disclosure. We further show that improved disclosure is beneficial to firms. Our results are consistent with theories in which improvements in one type of information can crowd out other types, and they suggest that policies aimed at improving rating accuracy may, in fact, reduce the quality of corporate disclosure.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 1","pages":"73-115"},"PeriodicalIF":2.8,"publicationDate":"2021-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12352","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91841087","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
Shorting activity and stock return predictability: Evidence from a mandatory disclosure shock 卖空活动与股票回报可预测性:来自强制性披露冲击的证据
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-03-19 DOI: 10.1111/fima.12351
Paul A. Griffin, Hyun A. Hong, Ivalina Kalcheva, Jeong-Bon Kim
{"title":"Shorting activity and stock return predictability: Evidence from a mandatory disclosure shock","authors":"Paul A. Griffin,&nbsp;Hyun A. Hong,&nbsp;Ivalina Kalcheva,&nbsp;Jeong-Bon Kim","doi":"10.1111/fima.12351","DOIUrl":"https://doi.org/10.1111/fima.12351","url":null,"abstract":"<p>We study the effect of a mandatory improvement in public disclosure due to the adoption of International Financial Reporting Standards (IFRS) on the stock return predictability of shorting activity. To assess the impact of the disclosure shock, we measure monthly changes in the demand for and supply of stocks for shorting and whether those changes predict negative returns in the following month. We provide international evidence that the ability of increases in shorting demand and supply to predict negative returns declines after the shock. The predictive ability of shorting in the month before a negative earnings surprise and news of a firm's questionable merger and acquisitions transaction also declines after the shock. These findings imply that the shock of the mandatory accounting change crowds out some of short-sellers’ value-relevant information in the equity lending market. Thus, although the democratization of information from a structured accounting change may make sophisticated investors worse off by reducing their ability to predict future returns, this change may also benefit all investors through timely stock price discovery.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 1","pages":"27-71"},"PeriodicalIF":2.8,"publicationDate":"2021-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12351","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91563376","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
Heterogeneous preferences, investment, and asset pricing 异质性偏好、投资和资产定价
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-03-17 DOI: 10.1111/fima.12350
Bo Liu, Lei Lu, Congming Mu, Jinqiang Yang
{"title":"Heterogeneous preferences, investment, and asset pricing","authors":"Bo Liu,&nbsp;Lei Lu,&nbsp;Congming Mu,&nbsp;Jinqiang Yang","doi":"10.1111/fima.12350","DOIUrl":"https://doi.org/10.1111/fima.12350","url":null,"abstract":"<p>We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rate. Compared to the exchange economy, the aggregate consumption-capital ratio and aggregate consumption volatility is reduced. The risk premium and the volatility of stock return increase when moving from the exchange economy to the production economy. We also find that the volatility of Tobin's <i>q</i> exhibits an inverted-U-shape and Tobin's <i>q</i> is procyclical.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"50 4","pages":"1169-1193"},"PeriodicalIF":2.8,"publicationDate":"2021-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12350","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109170865","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 real effects of institutional spatial concentration 制度空间集中的真实效应
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-03-05 DOI: 10.1111/fima.12347
Xiaoran Huang, Zheng Qiao, Lei Zhang
{"title":"The real effects of institutional spatial concentration","authors":"Xiaoran Huang,&nbsp;Zheng Qiao,&nbsp;Lei Zhang","doi":"10.1111/fima.12347","DOIUrl":"10.1111/fima.12347","url":null,"abstract":"<p>We present evidence that spatially concentrated institutional investors enhance corporate innovation. These investors can coordinate more efficiently, leading to lower turnover of the holding firms’ stocks and more diversified portfolios, which enables the holding firms to increases corporate risk-taking and focus more on long-term investments. Consistent with this argument, we find that firms with spatially concentrated investors take higher risk, invest more heavily in innovative projects, generate more patents, and have more patent citations. Our results are robust to using instrumental variables and the introduction of a new airline route as an exogenous shock to spatial concentration among institutional investors.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"50 4","pages":"1113-1167"},"PeriodicalIF":2.8,"publicationDate":"2021-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12347","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44220369","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: 2
Rating labels and style investing: Evidence from Moody's rating recalibration 评级标签和风格投资:来自穆迪评级重新校准的证据
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-02-26 DOI: 10.1111/fima.12348
Xinyuan Tao, Chunchi Wu
{"title":"Rating labels and style investing: Evidence from Moody's rating recalibration","authors":"Xinyuan Tao,&nbsp;Chunchi Wu","doi":"10.1111/fima.12348","DOIUrl":"10.1111/fima.12348","url":null,"abstract":"<p>This paper investigates the role of style investing in comovement and return predictability. Using Moody's rating recalibration event to isolate the style effect, we find that changes in rating labels have powerful effects on comovement of municipal bond returns, trading activity, and volatility. Volatility-based comovement adds to the return comovement. Rating style investing induces return predictability and affects return formation, which interacts with investor sentiment. Shifts in the rating label drive these results through correlated trading activities, and the effects are reinforced by behavioral biases and trading frictions.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"50 4","pages":"1047-1084"},"PeriodicalIF":2.8,"publicationDate":"2021-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12348","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46319800","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
Defined benefit pension de-risking and corporate risk-taking 固定收益养老金风险规避与企业风险承担
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-02-10 DOI: 10.1111/fima.12346
Brian Silverstein
{"title":"Defined benefit pension de-risking and corporate risk-taking","authors":"Brian Silverstein","doi":"10.1111/fima.12346","DOIUrl":"10.1111/fima.12346","url":null,"abstract":"<p>U.S. corporate sponsors of defined benefit (DB) pension plans in recent years have been de-risking by paying premiums to transfer their pension plan assets and liabilities to the balance sheets of third-party insurers. The passage of the Moving Ahead for Progress in the 21st Century Act (MAP-21) in 2012 provided the pension funding relief necessary to make de-risking a mainstream corporate activity. This study provides the first empirical analysis of plan and firm factors that cause a firm to de-risk its DB pension plans. We find a positive association between de-risking and aggregate corporate risk-taking. The results also show that de-risking, on average, has a stronger effect on corporate financing policy than investment policy, leading to an increase in credit risk reflected in a firm's credit rating and cost of debt. Also, we present suggestive evidence that the reallocation of pension risk increases firm idiosyncratic risk and excess returns.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"50 4","pages":"1085-1111"},"PeriodicalIF":2.8,"publicationDate":"2021-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12346","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44638770","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: 3
Short selling, agency, and corporate investment 卖空、代理、公司投资
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-01-21 DOI: 10.1111/fima.12343
Mahdi Nezafat, Tao Shen, Qinghai Wang
{"title":"Short selling, agency, and corporate investment","authors":"Mahdi Nezafat,&nbsp;Tao Shen,&nbsp;Qinghai Wang","doi":"10.1111/fima.12343","DOIUrl":"https://doi.org/10.1111/fima.12343","url":null,"abstract":"<p>In this article, we examine corporate investment decisions in a model with short selling. We show that high short-selling activities can cause firms to overinvest and that the agency problems between managers and shareholders drive this overinvestment. Empirically, we find that short interest is positively associated with subsequent corporate investment and that the effect of short-selling activities on investment is stronger when the sensitivity of chief executive officer compensation to stock price performance is greater. The results are not explained by short-sale constraints or firm overvaluation. Additionally, short-selling-induced corporate investments can partly explain the negative relation between both short interest and corporate investment with subsequent stock returns.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"50 3","pages":"775-804"},"PeriodicalIF":2.8,"publicationDate":"2021-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12343","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109172466","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
Working hard for long-distance relationships: Geographic proximity and relationship-specific investments 为长距离关系努力工作:地理位置接近和特定关系的投资
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-01-20 DOI: 10.1111/fima.12338
Kershen Huang, Chenguang Shang, Chi Zhang
{"title":"Working hard for long-distance relationships: Geographic proximity and relationship-specific investments","authors":"Kershen Huang,&nbsp;Chenguang Shang,&nbsp;Chi Zhang","doi":"10.1111/fima.12338","DOIUrl":"10.1111/fima.12338","url":null,"abstract":"<p>Suppliers that are farther away from their customers make more relationship-specific investments (RSI). This association is more pronounced when it is less costly for the customer to switch to alternative suppliers and when the supplier operates in relatively opaque information environments. Using the introduction of new airline routes as an exogenous shock to the distance between supply chain partners, we show that the relation between supplier RSI and distance may be causal. We also provide evidence that suppliers with larger RSI are better able to maintain long-distance business relationships and are associated with higher firm value. These findings suggest an important dimension of supplier commitment: Suppliers use RSI as a signal of their willingness to fulfill on-going implicit claims.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"50 4","pages":"985-1011"},"PeriodicalIF":2.8,"publicationDate":"2021-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12338","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44520758","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: 6
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