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Stock returns and inflation shocks in weaker economic times 经济疲软时期的股票回报和通胀冲击
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-11-20 DOI: 10.1111/fima.12385
Robert A. Connolly, Chris Stivers, Licheng Sun
{"title":"Stock returns and inflation shocks in weaker economic times","authors":"Robert A. Connolly,&nbsp;Chris Stivers,&nbsp;Licheng Sun","doi":"10.1111/fima.12385","DOIUrl":"https://doi.org/10.1111/fima.12385","url":null,"abstract":"<p>We show that the concurrent relation between quarterly stock returns and inflation shocks is economically and robustly significant only over weaker economic (WE) times, strongly negative prior to the late 1990s, and strongly positive afterwards. Conversely, in the stronger economic times over our 1981 to 2017 sample, this stock-inflation relation is relatively much smaller and usually marginally negative. Our evidence suggests a role for two complementary channels. First, we find consistent state-dependent patterns in how inflation shocks are related to expected economic growth and the equity risk premium, indicating that inflation nonneutrality is stronger over WE times. Second, our findings imply that the inflation signal about the underlying economic state intensifies during WE times, due to the elevated economic-state uncertainty then. We also contribute by contrasting subjective (survey-based) versus objective inflation shocks and by evaluating the relation between inflation shocks and forward equity yields.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 3","pages":"827-867"},"PeriodicalIF":2.8,"publicationDate":"2021-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91854822","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
Dynamics of managerial power and CEO compensation in the course of corporate distress: Evidence from 1992 to 2019 企业困境过程中管理层权力与ceo薪酬的动态关系:1992 - 2019年的证据
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-11-11 DOI: 10.1111/fima.12384
Sheng Guo, Qiang Kang, Oscar A. Mitnik
{"title":"Dynamics of managerial power and CEO compensation in the course of corporate distress: Evidence from 1992 to 2019","authors":"Sheng Guo,&nbsp;Qiang Kang,&nbsp;Oscar A. Mitnik","doi":"10.1111/fima.12384","DOIUrl":"10.1111/fima.12384","url":null,"abstract":"<p>We study the dynamics of two governance constructs, managerial influence over the board of directors and chief executive officer (CEO) compensation, in firms undergoing distress during 1992–2019. Data show a clear trend that governance improves over time, which confounds the inference about the effects of distress on governance. Controlling for the secular changes with a bias-corrected matching estimator, we find that distressed firms reduce managerial board appointments and CEO pay, intensify managerial incentive alignment, and increase CEO turnover. The bulk of CEO compensation changes in distressed firms derives from the performance-related part of compensation, consistent with the “shareholder value” view of CEO compensation.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 3","pages":"797-825"},"PeriodicalIF":2.8,"publicationDate":"2021-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49237530","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
Should hedge funds deviate from the benchmark? 对冲基金是否应该偏离基准?
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-11-01 DOI: 10.1111/fima.12383
Ekaterini Panopoulou, Nikolaos Voukelatos
{"title":"Should hedge funds deviate from the benchmark?","authors":"Ekaterini Panopoulou,&nbsp;Nikolaos Voukelatos","doi":"10.1111/fima.12383","DOIUrl":"https://doi.org/10.1111/fima.12383","url":null,"abstract":"<p>We examine the relationship between deviating from the benchmark and subsequent performance for hedge funds. We propose a simple new measure of benchmark deviations, termed the dispersion contribution index, which is based on a fund's return-distance from the mean return of same-style funds. We find that funds which deviate the most from their benchmark tend to underperform relative to their less distinctive peers, after accounting for their risk profile and various fund characteristics. This relative underperformance stems primarily from the higher subsequent risk exposure associated with pursuing a unique strategy. Our results are indicative of risk shifting by fund managers attempting to maximize the value of their compensation contracts.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 3","pages":"767-795"},"PeriodicalIF":2.8,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91789476","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 role of credit default swaps in determining corporate payout policy 信用违约掉期在决定公司支出政策中的作用
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-10-14 DOI: 10.1111/fima.12381
Hwang Hee Lee, Frederick Dongchuhl Oh
{"title":"The role of credit default swaps in determining corporate payout policy","authors":"Hwang Hee Lee,&nbsp;Frederick Dongchuhl Oh","doi":"10.1111/fima.12381","DOIUrl":"10.1111/fima.12381","url":null,"abstract":"<p>We examine how the introduction of credit default swap (CDS) trading on the debt of individual firms affects corporate payout policy. We find that firms increase payouts to shareholders after the introduction of CDS trading on their debt. This suggests that CDS-referenced firms are more likely to be affected by decreased creditor monitoring than by tougher CDS-insured creditors when determining total payout amount. Moreover, the increase in payouts after CDS introduction is more pronounced in firms with smaller institutional ownership and greater bank debt dependency. Finally, we show that CDS-referenced firms tend to prefer stock repurchases that have a financial flexibility advantage over dividends to protect against the potential threat of tougher CDS-insured creditors.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 2","pages":"635-661"},"PeriodicalIF":2.8,"publicationDate":"2021-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41324478","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
Industry centrality: Weak ties, industry attributes, and managerial contracting 产业中心性:弱联系、产业属性与管理契约
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-10-05 DOI: 10.1111/fima.12380
Rasha Ashraf, Nishant Dass, Vikram Nanda
{"title":"Industry centrality: Weak ties, industry attributes, and managerial contracting","authors":"Rasha Ashraf,&nbsp;Nishant Dass,&nbsp;Vikram Nanda","doi":"10.1111/fima.12380","DOIUrl":"10.1111/fima.12380","url":null,"abstract":"<p>Centrality in the network of interindustry trade relationships provides novel insights into an industry's economic attributes and managerial incentive contracts prevalent in the industry. More “central” industries trade with a large number of industries, implying numerous but relatively weaker interindustry ties. Weakness of interindustry ties suggests that relationship-specific investment (RSI) will be less important and output will be relatively more commoditized in central industries. As predicted, central industry firms are less innovative, face greater competition, and have lower idiosyncratic risk. Further, CEOs in central industries receive lower pay and weaker incentives. Tournament incentives are also weaker in more central industries.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 2","pages":"663-699"},"PeriodicalIF":2.8,"publicationDate":"2021-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44944509","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
Investor learning and mutual fund flows 投资者学习和共同基金流动
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-10-03 DOI: 10.1111/fima.12378
Jennifer Huang, Kelsey D. Wei, Hong Yan
{"title":"Investor learning and mutual fund flows","authors":"Jennifer Huang,&nbsp;Kelsey D. Wei,&nbsp;Hong Yan","doi":"10.1111/fima.12378","DOIUrl":"https://doi.org/10.1111/fima.12378","url":null,"abstract":"<p>This paper investigates how volatility of performance affects the sensitivity of mutual fund flows to past performance, and examines how investor learning may contribute to this effect. We illustrate theoretically that when sophisticated investors learn from past fund performance to form their posterior expectations of managerial ability, the flow-performance sensitivity should be weaker for funds with more volatile past performance. Moreover, the dampening effect of performance volatility on the flow-performance sensitivity should be stronger for funds attracting more sophisticated investors. We provide supporting evidence for this investor learning hypothesis using mutual fund flows and demonstrate variations in the volatility dampening effect across funds with differing levels of sophistication among investors, such as load versus no-load, high-expense versus low-expense, retail versus institutional, and star versus nonstar funds.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 3","pages":"739-765"},"PeriodicalIF":2.8,"publicationDate":"2021-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91813736","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 perception of social issues affect portfolio choices? Evidence from the #MeToo movement 对社会问题的认知是否会影响投资组合的选择?来自#MeToo运动的证据
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-10-01 DOI: 10.1111/fima.12379
Douglas O. Cook, Shikong (Scott) Luo
{"title":"Does perception of social issues affect portfolio choices? Evidence from the #MeToo movement","authors":"Douglas O. Cook,&nbsp;Shikong (Scott) Luo","doi":"10.1111/fima.12379","DOIUrl":"10.1111/fima.12379","url":null,"abstract":"<p>Did the #MeToo movement, inspired by a Twitter post in late 2017 following the Weinstein scandal, influence the asset allocation decision process of mutual fund managers intending to show support for women empowerment? We find evidence to support the influence of such attention. We utilize the breakout of the #MeToo movement as an exogenous shock to the perception of gender equity issues. Using a difference-in-differences framework, we show that, compared to passively managed mutual funds, actively managed mutual funds tilt their portfolios toward firms with greater female representation in the C-suite, but only after the breakout. Our results are not explained by performance seeking, but are in part attributable to catering incentives. Moreover, the results become less significant when the marginal impact of changing perception is small. Using Google search volume to capture public sentiment closely tied to the perception of gender equality yields consistent results based on a larger sample. Our study sheds light on the recent rise of “gender lens investing” in the mutual fund industry.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 2","pages":"613-634"},"PeriodicalIF":2.8,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48818495","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: 4
Oil price shocks and stock market anomalies 油价冲击和股市异常
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-09-04 DOI: 10.1111/fima.12377
Zhaobo Zhu, Licheng Sun, Jun Tu, Qiang Ji
{"title":"Oil price shocks and stock market anomalies","authors":"Zhaobo Zhu,&nbsp;Licheng Sun,&nbsp;Jun Tu,&nbsp;Qiang Ji","doi":"10.1111/fima.12377","DOIUrl":"10.1111/fima.12377","url":null,"abstract":"<p>This paper provides a novel perspective to the nexus of oil prices and stock markets by examining the impact of oil price shocks on stock market anomalies. After decomposing oil price shocks into three types , we find that aggregate demand shocks have the strongest influence on stock market anomalies. In contrast, oil supply shocks and oil-specific demand shocks have little impact. Similar results are also found in the industry analysis. Interestingly, the link between aggregate demand shocks and anomalies is the strongest among firms with either small size or high idiosyncratic risks. The documented effects are robust after controlling for investor sentiment as well as several well-known macroeconomic or market factors. Our findings are consistent with but also extend the sentiment-based explanation in that we show that uncertainty also plays a role in explaining stock market anomalies.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 2","pages":"573-612"},"PeriodicalIF":2.8,"publicationDate":"2021-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12377","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48465549","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: 4
Does dividend policy affect sales growth in product markets? Evidence from the 2003 dividend tax cut 股利政策是否影响产品市场的销售增长?证据来自2003年的股息税削减
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-08-28 DOI: 10.1111/fima.12376
Atsushi Chino, Joon Ho Kim
{"title":"Does dividend policy affect sales growth in product markets? Evidence from the 2003 dividend tax cut","authors":"Atsushi Chino,&nbsp;Joon Ho Kim","doi":"10.1111/fima.12376","DOIUrl":"10.1111/fima.12376","url":null,"abstract":"<p>We examine the effect of firms’ dividend policy on product market outcomes. Exploiting the 2003 dividend tax cut as the exogenous increase in demand for dividends from tax-sensitive shareholders, we show that firms that raised dividends in response to the tax cut recorded lower sales growth in product markets after the tax cut. These firms experienced a reduction in financial flexibility, which led to a decrease in investment activities. Despite the negative effects of dividends on sales growth, firm value increased on average, indicating that the firms raised dividends when the shareholder benefits outweighed the costs.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":"51 2","pages":"539-571"},"PeriodicalIF":2.8,"publicationDate":"2021-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12376","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48486239","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
Presidential power and stock returns 总统权力和股票回报
IF 2.8 3区 经济学
Financial Management Pub Date : 2021-08-12 DOI: 10.20472/iac.2019.048.026
YoungSook Kim, J. Park
{"title":"Presidential power and stock returns","authors":"YoungSook Kim, J. Park","doi":"10.20472/iac.2019.048.026","DOIUrl":"https://doi.org/10.20472/iac.2019.048.026","url":null,"abstract":"","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":" ","pages":""},"PeriodicalIF":2.8,"publicationDate":"2021-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47281195","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
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