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JFQ volume 58 issue 4 Cover and Back matter JFQ第58卷第4期封面和封底
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-01 DOI: 10.1017/s002210902300056x
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引用次数: 0
JFQ volume 58 issue 4 Cover and Front matter JFQ第58卷第4期封面和封面问题
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-01 DOI: 10.1017/s0022109023000558
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引用次数: 0
Minimum Wage Hikes and Technology Adoption: Evidence from U.S. Establishments 最低工资上涨和技术采用:来自美国企业的证据
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-23 DOI: 10.1017/s0022109023000376
X. Dai, Yue Qiu
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引用次数: 1
Measuring Firm Complexity 衡量企业复杂性
2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-15 DOI: 10.1017/s0022109023000716
Tim Loughran, Bill McDonald
{"title":"Measuring Firm Complexity","authors":"Tim Loughran, Bill McDonald","doi":"10.1017/s0022109023000716","DOIUrl":"https://doi.org/10.1017/s0022109023000716","url":null,"abstract":"Abstract In business research, firm size is both ubiquitous and readily measured. Complexity, another firm-related construct, is also relevant, but difficult to measure and not well-defined. As a result, complexity is less frequently incorporated in empirical designs. We argue that most extant measures of complexity are one-dimensional, have limited availability, and/or are frequently misspecified. Using both machine learning and an application-specific lexicon, we develop a text solution that uses widely available data and provides an omnibus measure of complexity. Our proposed measure, used in tandem with 10-K file size, provides a useful proxy that dominates traditional measures.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136215807","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
Fintech Lending and Credit Market Competition 金融科技贷款与信贷市场竞争
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-15 DOI: 10.1017/s0022109023000698
Yinxiao Chu, Jianxing Wei
{"title":"Fintech Lending and Credit Market Competition","authors":"Yinxiao Chu, Jianxing Wei","doi":"10.1017/s0022109023000698","DOIUrl":"https://doi.org/10.1017/s0022109023000698","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":" ","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45920911","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 Smart Beta Mirage 智能Beta幻影
2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-11 DOI: 10.1017/s0022109023000674
Shiyang Huang, Yang Song, Hong Xiang
{"title":"The Smart Beta Mirage","authors":"Shiyang Huang, Yang Song, Hong Xiang","doi":"10.1017/s0022109023000674","DOIUrl":"https://doi.org/10.1017/s0022109023000674","url":null,"abstract":"Abstract We document and explain the sharp performance deterioration of smart beta indexes after the corresponding exchange-traded funds (ETFs) are launched for investment. While smart beta is purported to deliver excess returns through factor exposures, the market-adjusted return of smart beta indexes drops from about 3% “on paper” before ETF listings to about −0.50% to −1% after ETF listings. This performance decline cannot be explained by variation in factor premia, strategic timing, or diminishing returns to scale. Instead, we find strong evidence of data mining in the construction of smart beta indexes, which helps ETFs attract flows, as investors respond positively to backtests.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135473436","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
Labor Mobility and Loan Origination 劳动力流动和贷款发放
2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-11 DOI: 10.1017/s0022109023000649
Sumit Agarwal, Yupeng Lin, Yunqi Zhang, Zilong Zhang
{"title":"Labor Mobility and Loan Origination","authors":"Sumit Agarwal, Yupeng Lin, Yunqi Zhang, Zilong Zhang","doi":"10.1017/s0022109023000649","DOIUrl":"https://doi.org/10.1017/s0022109023000649","url":null,"abstract":"Abstract We find that mortgage loans originated after the adoption of the inevitable disclosure doctrine (IDD; a mechanism discouraging loan officers’ labor mobility) have a lower default probability, a higher loan modification rate, and a lower foreclosure rate. These effects are unaccompanied by any reduction in loan supply and contribute to more stable housing prices. Using the adoption of the Uniform Trade Secrets Act as an alternative identification generates consistent results. Overall, our findings suggest that restricting loan officers’ labor mobility leads to better ex ante screening and ex post monitoring, improving the origination efficiency for U.S. residential mortgage loans.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135421551","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: 1
Standing Out from the Crowd via CSR Engagement: Evidence from Non-Fundamental-Driven Price Pressure 通过企业社会责任参与脱颖而出：来自非基本面驱动价格压力的证据
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-11 DOI: 10.1017/s0022109023000686
Lei Gao, J. He, J. Wu
{"title":"Standing Out from the Crowd via CSR Engagement: Evidence from Non-Fundamental-Driven Price Pressure","authors":"Lei Gao, J. He, J. Wu","doi":"10.1017/s0022109023000686","DOIUrl":"https://doi.org/10.1017/s0022109023000686","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":" ","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43773645","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: 2
Government Stock Purchase Undermines Price Informativeness: Evidence from China’s “National Team” 政府购买股票破坏了价格信息:来自中国“国家队”的证据
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-08 DOI: 10.1017/s0022109023000637
Tri Vi Dang, Wei Li, Yongqing Wang
{"title":"Government Stock Purchase Undermines Price Informativeness: Evidence from China’s “National Team”","authors":"Tri Vi Dang, Wei Li, Yongqing Wang","doi":"10.1017/s0022109023000637","DOIUrl":"https://doi.org/10.1017/s0022109023000637","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":" ","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42666720","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: 2
Uncovering Financial Constraints 揭露财务限制
2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-05-05 DOI: 10.1017/s0022109023000650
Matthew Linn, Daniel Weagley
{"title":"Uncovering Financial Constraints","authors":"Matthew Linn, Daniel Weagley","doi":"10.1017/s0022109023000650","DOIUrl":"https://doi.org/10.1017/s0022109023000650","url":null,"abstract":"Abstract We use a random forest model to classify firms’ financial constraints using only financial variables. Our methodology expands the range of classified firms compared to text-based measures while maintaining similar levels of informativeness. We construct two versions of our constraint measures, one using many firm characteristics and the other using a small set of more primitive characteristics. Using our measures, we find that institutional investors hold a lower percentage of shares in equity-focused constrained firms, while retail investors show a preference for them. Equity issuance and investment of constrained firms also increases during periods of high investor sentiment.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"111 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136096360","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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