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JFQ volume 58 issue 5 Cover and Back matter JFQ第58卷第5期封面和封底
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-08-01 DOI: 10.1017/s0022109023000923
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引用次数: 0
Deep Learning in Characteristics-Sorted Factor Models 特征排序因子模型中的深度学习
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-07-24 DOI: 10.1017/s0022109023000893
Guanhao Feng, Jingyu He, Nicholas G. Polson, Jianeng Xu
{"title":"Deep Learning in Characteristics-Sorted Factor Models","authors":"Guanhao Feng, Jingyu He, Nicholas G. Polson, Jianeng Xu","doi":"10.1017/s0022109023000893","DOIUrl":"https://doi.org/10.1017/s0022109023000893","url":null,"abstract":"<p>This article presents an augmented deep factor model that generates latent factors for cross-sectional asset pricing. The conventional security sorting on firm characteristics for constructing long–short factor portfolio weights is nonlinear modeling, while factors are treated as inputs in linear models. We provide a structural deep-learning framework to generalize the complete mechanism for fitting cross-sectional returns by firm characteristics through generating risk factors (hidden layers). Our model has an economic-guided objective function that minimizes aggregated realized pricing errors. Empirical results on high-dimensional characteristics demonstrate robust asset pricing performance and strong investment improvements by identifying important raw characteristic sources.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"112 2-3","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524190","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
Earnings Autocorrelation and the Post-Earnings-Announcement Drift: Experimental Evidence 盈余自相关与盈余公告后漂移:实验证据
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-07-24 DOI: 10.1017/s0022109023000881
Josef Fink, Stefan Palan, Erik Theissen
{"title":"Earnings Autocorrelation and the Post-Earnings-Announcement Drift: Experimental Evidence","authors":"Josef Fink, Stefan Palan, Erik Theissen","doi":"10.1017/s0022109023000881","DOIUrl":"https://doi.org/10.1017/s0022109023000881","url":null,"abstract":"<p>Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of the experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and correlated earnings surprises, confirming that earnings autocorrelation is not a necessary condition for PEAD. Instead, it acts as an accelerator: PEAD is stronger when earnings surprises are correlated. We further show that market prices underadjust to fundamental value changes, and that trading strategies can profitably exploit the PEAD.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"20 3","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524193","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
Friends During Hard Times: Evidence from the Great Depression 困难时期的朋友：大萧条时期的证据
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-07-19 DOI: 10.1017/s0022109023000765
Tania Babina, Diego García, Geoffrey Tate
{"title":"Friends During Hard Times: Evidence from the Great Depression","authors":"Tania Babina, Diego García, Geoffrey Tate","doi":"10.1017/s0022109023000765","DOIUrl":"https://doi.org/10.1017/s0022109023000765","url":null,"abstract":"<p>Using a novel data set of over 3,500 public and private firms, we construct the network of executive and director connections prior to the 1929 financial market crash. We find that more connected firms have 17% higher 10-year survival rates. Consistent with a working capital channel, the results are strongest for small, private, cash-poor firms, and firms located in counties with high bank suspension rates. Moreover, connections to cash-rich firms that increase accounts receivable matter the most. Our results suggest that network connections can play a stabilizing role during a financial crisis by easing the flow of capital to constrained firms.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"145 1","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139588795","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 Redenomination Risk 货币重新兑换风险
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-07-19 DOI: 10.1017/s002210902300087x
Lukas Kremens
{"title":"Currency Redenomination Risk","authors":"Lukas Kremens","doi":"10.1017/s002210902300087x","DOIUrl":"https://doi.org/10.1017/s002210902300087x","url":null,"abstract":"<p>A eurozone exit or breakup exposes bondholders to currency redenomination risk. I quantify redenomination risk since the sovereign debt crisis: It contributes substantially to credit spreads around changes in government in France and Italy. Bond prices suggest that markets have priced a potential Italian exit as isolated, and a French one as a breakup. Unlike conventional default risk, redenomination risk can be negative depending on the strength of the national “shadow” currency. Countries with strong shadow currencies earn breakup-insurance premia from the eurozone analog of “exorbitant privilege.” Yield effects are quantitatively large for implied exit probabilities as low as 1%.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"43 1","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138568920","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
Hiring High-Skilled Labor Through Mergers and Acquisitions 通过并购雇佣高技能劳动力
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-07-19 DOI: 10.1017/s0022109023000856
Jun Chen, Shenje Hshieh, Feng Zhang
{"title":"Hiring High-Skilled Labor Through Mergers and Acquisitions","authors":"Jun Chen, Shenje Hshieh, Feng Zhang","doi":"10.1017/s0022109023000856","DOIUrl":"https://doi.org/10.1017/s0022109023000856","url":null,"abstract":"<p>Using random H-1B visa lotteries as a natural experiment, we find that firms respond to shortages of high-skilled workers by acquiring firms that employ such workers. The effect is stronger among firms with high human capital and more senior workforces, firms facing tight labor markets and legal barriers to poaching workers, and firms lacking foreign affiliates. The acquired workers are highly educated, sharing skills and occupations similar to those of the acquirer’s existing workers. Our findings suggest skilled labor is an important driver of acquisitions and acquiring is an effective means of obtaining skilled labor.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"21 5","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524214","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
TAXI! Do Mutual Funds Pursue and Exploit Information on Local Companies? 出租车!共同基金是否追求和利用当地公司的信息?
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-07-05 DOI: 10.1017/s0022109023000868
David C. Cicero, Andy Puckett, Albert Y. Wang, Shen Zhang
{"title":"TAXI! Do Mutual Funds Pursue and Exploit Information on Local Companies?","authors":"David C. Cicero, Andy Puckett, Albert Y. Wang, Shen Zhang","doi":"10.1017/s0022109023000868","DOIUrl":"https://doi.org/10.1017/s0022109023000868","url":null,"abstract":"<p>We use New York City (NYC) taxi data to identify trips between mutual fund offices and local firm headquarters. NYC funds overweight the stocks of local firms they visit via taxi, and firm visits are associated with superior investment performance. Firm visits are elevated prior to earnings announcements, and mutual fund trades that are associated with firm taxi visits predict earnings surprises. The results are generally stronger when fund and firm executives share educational connections. Additional tests support the conclusion that funds’ local bias and investment performance are driven by portfolio managers’ efforts and ability to actively gather material information.</p>","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":"1 1","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138524220","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
Fast-Moving Habit: Implications for Equity Returns 快速移动的习惯:对股票回报的影响
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-07-04 DOI: 10.1017/s0022109023000212
A. Lynch, O. Randall
{"title":"Fast-Moving Habit: Implications for Equity Returns","authors":"A. Lynch, O. Randall","doi":"10.1017/s0022109023000212","DOIUrl":"https://doi.org/10.1017/s0022109023000212","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":" ","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47649600","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
Gender and Managerial Job Mobility: Career Prospects for Executives Displaced by Acquisitions 性别与管理工作流动性：因收购而离职的高管的职业前景
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-29 DOI: 10.1017/s0022109023000820
Xiaohu Guo, Vishal K. Gupta, Sandra C. Mortal, Vikram Nanda
{"title":"Gender and Managerial Job Mobility: Career Prospects for Executives Displaced by Acquisitions","authors":"Xiaohu Guo, Vishal K. Gupta, Sandra C. Mortal, Vikram Nanda","doi":"10.1017/s0022109023000820","DOIUrl":"https://doi.org/10.1017/s0022109023000820","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":" ","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49386870","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
Credit Default Swaps, Fire Sale Risk and the Liquidity Provision in the Bond Market 信用违约互换、卖空风险与债券市场流动性准备金
IF 3.9 2区 经济学
Journal of Financial and Quantitative Analysis Pub Date : 2023-06-29 DOI: 10.1017/s0022109023000844
M. Massa, Lei Zhang
{"title":"Credit Default Swaps, Fire Sale Risk and the Liquidity Provision in the Bond Market","authors":"M. Massa, Lei Zhang","doi":"10.1017/s0022109023000844","DOIUrl":"https://doi.org/10.1017/s0022109023000844","url":null,"abstract":"","PeriodicalId":48380,"journal":{"name":"Journal of Financial and Quantitative Analysis","volume":" ","pages":""},"PeriodicalIF":3.9,"publicationDate":"2023-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44648191","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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