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Market Liquidity in a Natural Experiment: Evidence from CDS Standard Coupons 自然实验中的市场流动性：CDS 标准票据的证据
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2024-03-01 DOI: 10.1017/s0022109024000176
Xinjie Wang, Ge Wu, Z. Zhong
{"title":"Market Liquidity in a Natural Experiment: Evidence from CDS Standard Coupons","authors":"Xinjie Wang, Ge Wu, Z. Zhong","doi":"10.1017/s0022109024000176","DOIUrl":"https://doi.org/10.1017/s0022109024000176","url":null,"abstract":"The CDS Big Bang introduced two standard coupons for CDS trading. We exploit the setting of the two standard coupons as a natural experiment to quantify the components of the bid-ask spreads in over-the-counter markets. We find that a significant portion of the difference in the bid-ask spread between the two coupons is explained by the difference in funding costs. Furthermore, search intensity also explains the variation in the difference in bid-ask spread. The liquidity typically concentrates on one of the standard coupons and can suddenly switch to the other coupon. Using the sudden switch of the primary coupon, we provide further evidence to support the predictions of search-based liquidity models.","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140083135","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
Bank Competition and Information Production 银行竞争与信息生产
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2024-02-23 DOI: 10.1017/s0022109024000152
Filippo De Marco, Silvio Petriconi
{"title":"Bank Competition and Information Production","authors":"Filippo De Marco, Silvio Petriconi","doi":"10.1017/s0022109024000152","DOIUrl":"https://doi.org/10.1017/s0022109024000152","url":null,"abstract":"<p>We show that bank competition diminishes banks’ incentives to produce information about prospective borrowers. We exploit the deregulation of U.S. interstate branching as a shock to competition and use borrowers’ stock returns after loan announcements to measure bank information production. Positive loan announcement returns are reduced in states that deregulate interstate branching, especially for opaque and bank-dependent firms and smaller banks that rely on soft information. Existing (i.e., inside) banks reduce information production more than new (i.e., outside) banks after deregulation, suggesting that they do so to deter borrower poaching. Furthermore, the probability of a covenant violation increases following deregulation.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140926195","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
How Does Labor Mobility Affect Corporate Leverage and Investment? 劳动力流动如何影响企业杠杆和投资？
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2024-02-14 DOI: 10.1017/s0022109024000115
Ali Sanati
{"title":"How Does Labor Mobility Affect Corporate Leverage and Investment?","authors":"Ali Sanati","doi":"10.1017/s0022109024000115","DOIUrl":"https://doi.org/10.1017/s0022109024000115","url":null,"abstract":"<p>I develop a dynamic model to investigate how labor mobility impacts firms’ decisions. In the model, firms make investment and financing decisions, hire labor with different skill and mobility levels, and set wages through bargaining. The model predicts that, in response to an increase in labor mobility, high-skill firms operate with lower financial leverage, become less responsive to investment opportunities, and invest at lower rates, while low-skill firms remain unaffected. I confirm these predictions in the data using shocks to workers’ mobility across firms. The results are useful in understanding the effects of labor mobility changes driven by government policies or technological shocks, such as the rise of remote work.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140926154","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
Book-to-Market, Mispricing, and the Cross Section of Corporate Bond Returns 账面价值、错误定价和公司债券收益率的横截面
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2024-02-12 DOI: 10.1017/s0022109024000048
Söhnke M. Bartram, Mark Grinblatt, Yoshio Nozawa
{"title":"Book-to-Market, Mispricing, and the Cross Section of Corporate Bond Returns","authors":"Söhnke M. Bartram, Mark Grinblatt, Yoshio Nozawa","doi":"10.1017/s0022109024000048","DOIUrl":"https://doi.org/10.1017/s0022109024000048","url":null,"abstract":"<p>Corporate bonds’ book-to-market ratios predict returns computed from transaction prices. Senior bonds (even investment grade) with the 20% highest ratios outperform the 20% lowest by 3%–4% annually after non-parametrically controlling for numerous liquidity, default, microstructure, and priced-risk attributes: yield-to-maturity, bid–ask spread, duration/maturity, credit spread/rating, past returns, coupon, size, age, industry, and structural model equity hedges. Spreads for all-bond samples are larger. An efficient bond market would not exhibit the observed decay in the ratio’s predictive efficacy with implementation delays, small yield-to-maturity spreads, or similar-sized spreads across bonds with differing risks. A methodological innovation avoids liquidity filters and censorship that bias returns.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2024-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141866571","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
Factor Model Comparisons with Conditioning Information 因子模型与条件信息的比较
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2024-01-29 DOI: 10.1017/s002210902400005x
Wayne E. Ferson, Andrew F. Siegel, Junbo L. Wang
{"title":"Factor Model Comparisons with Conditioning Information","authors":"Wayne E. Ferson, Andrew F. Siegel, Junbo L. Wang","doi":"10.1017/s002210902400005x","DOIUrl":"https://doi.org/10.1017/s002210902400005x","url":null,"abstract":"<p>We develop methods for testing factor models when the weights in portfolios of factors and test assets can vary with lagged information. We derive and evaluate consistent standard errors and finite sample bias adjustments for unconditional maximum squared Sharpe ratios and their differences. Bias adjustment using a second-order approximation performs well. We derive optimal zero-beta rates for models with dynamically trading portfolios. Factor models’ Sharpe ratios are larger but standard test asset portfolios’ maximum Sharpe ratios are larger still when there is dynamic trading. As a result, most of the popular factor models are rejected.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2024-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140926153","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
Household Financial Decision-Making After Natural Disasters: Evidence from Hurricane Harvey 自然灾害后的家庭财务决策：哈维飓风的证据
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2024-01-09 DOI: 10.1017/s0022109023000728
Alejandro del Valle, Therese Scharlemann, Stephen Shore
{"title":"Household Financial Decision-Making After Natural Disasters: Evidence from Hurricane Harvey","authors":"Alejandro del Valle, Therese Scharlemann, Stephen Shore","doi":"10.1017/s0022109023000728","DOIUrl":"https://doi.org/10.1017/s0022109023000728","url":null,"abstract":"<p>We study household credit responses to Hurricane Harvey using new, geographically granular data on credit cards, mortgages, and flooding. Estimates from a differences-in-differences design that exploits the flooding gradient show that affected households only borrow at low-interest rates, often using promotional (zero interest) cards and that they quickly pay down balances. We also document that take-up of forbearance (borrowing by missing mortgage payments without penalty) increases with flooding. These results are attenuated in floodplains, particularly in structures subject by code to physical hardening. Our results indicate that credit acts as a substitute for the lack of physical hardening.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2024-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139412739","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 Effect of Takeover Protection in Quiet Life and Bonding Firms 宁静生活和保税公司的收购保护效果
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2024-01-02 DOI: 10.1017/s0022109023001473
Eliezer M. Fich, Jarrad Harford, Adam S. Yore
{"title":"The Effect of Takeover Protection in Quiet Life and Bonding Firms","authors":"Eliezer M. Fich, Jarrad Harford, Adam S. Yore","doi":"10.1017/s0022109023001473","DOIUrl":"https://doi.org/10.1017/s0022109023001473","url":null,"abstract":"<p>Antitakeover measures are controversial because the evidence of their net effect on shareholders is mixed. We propose that, for many firms, the potential bonding benefits outweigh the agency costs of the quiet life, explaining the mixed results. We study business combination and poison pill laws as exogenous shocks to takeover vulnerability and use shareholder valuation of internal slack as an indicator of the net effect of takeover protection. Firms susceptible to quiet life agency problems exhibit a decrease in the market-assessed value of internal slack. Conversely, cash appreciates at companies where takeover protection bonds commitments with major counterparties.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2024-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141774854","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
How Do Foreign Labor Regulations Affect Firms’ Operating Strategies? 外国劳工法规如何影响企业的运营战略？
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2024-01-02 DOI: 10.1017/s0022109023001497
S. K. Moon, Giorgo Sertsios
{"title":"How Do Foreign Labor Regulations Affect Firms’ Operating Strategies?","authors":"S. K. Moon, Giorgo Sertsios","doi":"10.1017/s0022109023001497","DOIUrl":"https://doi.org/10.1017/s0022109023001497","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2024-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139389782","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
Currency Carry, Momentum, and Global Interest Rate Volatility 货币套利、动量和全球利率波动性
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-12-27 DOI: 10.1017/s0022109023001485
Ming Zeng
{"title":"Currency Carry, Momentum, and Global Interest Rate Volatility","authors":"Ming Zeng","doi":"10.1017/s0022109023001485","DOIUrl":"https://doi.org/10.1017/s0022109023001485","url":null,"abstract":"<p>Returns to currency carry and momentum compensate for the risk of global interest rate volatility (IRV), with risk exposures explaining 92% of the cross-sectional return variations. This unified explanation stems from its impact on foreign exchange intermediaries. An intermediary-based exchange rate model shows that a higher global IRV increases the uncertainty of future risk-taking and tightens current financial constraints. Position unwinding triggers loss of carry and momentum. Additional empirical results confirm this economic channel. Global IRV risk is also negatively priced in other currency strategies and momentum. The explanatory power is not driven by existing measures of uncertainty or intermediary constraints.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141169748","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 Corporate Investment Benefits of Mutual Fund Dual Holdings 共同基金双重持股的企业投资优势
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-12-15 DOI: 10.1017/s0022109023001436
Rex Wang Renjie, P. Verwijmeren, Shuo Xia
{"title":"The Corporate Investment Benefits of Mutual Fund Dual Holdings","authors":"Rex Wang Renjie, P. Verwijmeren, Shuo Xia","doi":"10.1017/s0022109023001436","DOIUrl":"https://doi.org/10.1017/s0022109023001436","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":null,"pages":null},"PeriodicalIF":3.9,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138996091","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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