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Political polarization in financial news 财经新闻中的政治两极分化
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-12 DOI: 10.1016/j.jfineco.2024.103816
Eitan Goldman , Nandini Gupta , Ryan Israelsen
{"title":"Political polarization in financial news","authors":"Eitan Goldman ,&nbsp;Nandini Gupta ,&nbsp;Ryan Israelsen","doi":"10.1016/j.jfineco.2024.103816","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103816","url":null,"abstract":"<div><p>Comparing coverage of the same corporate financial news by the conservative <em>Wall Street Journal</em> and the liberal <em>New York Times</em>, we find strong evidence of political polarization in their reporting on both the intensive and extensive margins of coverage. We show that this politics-induced disagreement in corporate financial news leads to an increase in abnormal trading volume for the most politically extreme firms. Our results highlight a new source of investor disagreement, arising out of polarized reporting of corporate financial news, that generates trade among investors.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103816"},"PeriodicalIF":8.9,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140112873","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Production complementarity and information transmission across industries 跨行业的生产互补性和信息传递
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-10 DOI: 10.1016/j.jfineco.2024.103812
Charles M.C. Lee , Terrence Tianshuo Shi , Stephen Teng Sun , Ran Zhang
{"title":"Production complementarity and information transmission across industries","authors":"Charles M.C. Lee ,&nbsp;Terrence Tianshuo Shi ,&nbsp;Stephen Teng Sun ,&nbsp;Ran Zhang","doi":"10.1016/j.jfineco.2024.103812","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103812","url":null,"abstract":"<div><p>Economic theory suggests that production complementarity is an important driver of sectoral co-movements and business cycle fluctuations. We operationalize this concept using a measure of production complementarity proximity (<em>COMPL</em>) between any two companies. We show firms from different industries but are closely aligned in <em>COMPL</em> exhibit strong co-movement in their operating, investing, and financing activities, as well as quarterly earnings revisions and monthly returns. We further document a lead-lag effect in their returns, such that a long-short strategy based on recent <em>COMPL</em> peer returns yields a monthly 6-factor alpha of 122 basis points. This inter-industry momentum spillover effect is not explained by other network-based mechanisms, such as shared analyst coverage. We conclude information transmission takes place along complementarity networks, but stock prices do not update instantaneously.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103812"},"PeriodicalIF":8.9,"publicationDate":"2024-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140095919","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Missing values handling for machine learning portfolios 处理机器学习投资组合的缺失值
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-08 DOI: 10.1016/j.jfineco.2024.103815
Andrew Y. Chen , Jack McCoy
{"title":"Missing values handling for machine learning portfolios","authors":"Andrew Y. Chen ,&nbsp;Jack McCoy","doi":"10.1016/j.jfineco.2024.103815","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103815","url":null,"abstract":"<div><p>We characterize the structure and origins of missingness for 159 cross-sectional return predictors and study missing value handling for portfolios constructed using machine learning. Simply imputing with cross-sectional means performs well compared to rigorous expectation-maximization methods. This stems from three facts about predictor data: (1) missingness occurs in large blocks organized by time, (2) cross-sectional correlations are small, and (3) missingness tends to occur in blocks organized by the underlying data source. As a result, observed data provide little information about missing data. Sophisticated imputations introduce estimation noise that can lead to underperformance if machine learning is not carefully applied.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103815"},"PeriodicalIF":8.9,"publicationDate":"2024-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140062637","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 female leadership on contracting from Capitol Hill to Main Street 从国会山到大街小巷，女性领导力对合同签订的影响
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-05 DOI: 10.1016/j.jfineco.2024.103817
Jonathan Brogaard , Nataliya Gerasimova , Maximilian Rohrer
{"title":"The effect of female leadership on contracting from Capitol Hill to Main Street","authors":"Jonathan Brogaard ,&nbsp;Nataliya Gerasimova ,&nbsp;Maximilian Rohrer","doi":"10.1016/j.jfineco.2024.103817","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103817","url":null,"abstract":"<div><p>This paper provides novel evidence that female politicians increase the proportion of US government procurement contracts allocated to women-owned firms. For identification, we use a regression discontinuity design on a sample of mixed-gender elections in the US House of Representatives. The effect grows over a female representative's tenure and concentrates in female representatives who are on powerful congressional committees. Changes in the pool of and behavior by government contractors cannot explain the result. The more gender-balanced representation in government contracting is not associated with economic costs.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103817"},"PeriodicalIF":8.9,"publicationDate":"2024-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140031120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Limited attention to detail in financial markets: Evidence from reduced-form and structural estimation 金融市场对细节的关注有限：简化形式和结构性估计的证据
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-04 DOI: 10.1016/j.jfineco.2024.103811
Henrik Cronqvist , Tomislav Ladika , Elisa Pazaj , Zacharias Sautner
{"title":"Limited attention to detail in financial markets: Evidence from reduced-form and structural estimation","authors":"Henrik Cronqvist ,&nbsp;Tomislav Ladika ,&nbsp;Elisa Pazaj ,&nbsp;Zacharias Sautner","doi":"10.1016/j.jfineco.2024.103811","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103811","url":null,"abstract":"<div><p>We show that firm valuations fell after a key expense became more visible in financial statements. FAS 123-R required firms to deduct option compensation costs from earnings, instead of disclosing them in footnotes. Firms that granted high option pay experienced earnings reductions, while fundamentals remained unchanged. These firms were more likely to miss earnings forecasts, and they experienced recommendation downgrades and valuation declines. Our findings suggest that market participants exhibited limited attention to option costs before FAS 123-R. As we reuse the FAS 123-R natural experiment, we show how one can address confounding channels by integrating reduced-form and structural estimation.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"154 ","pages":"Article 103811"},"PeriodicalIF":8.9,"publicationDate":"2024-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000345/pdfft?md5=8d3b9f63ff2bc7f4efe231fb7d54ffbd&pid=1-s2.0-S0304405X24000345-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140023998","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Demand-and-supply imbalance risk and long-term swap spreads 供需失衡风险与长期掉期利差
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-01 DOI: 10.1016/j.jfineco.2024.103814
Samuel G. Hanson , Aytek Malkhozov , Gyuri Venter
{"title":"Demand-and-supply imbalance risk and long-term swap spreads","authors":"Samuel G. Hanson ,&nbsp;Aytek Malkhozov ,&nbsp;Gyuri Venter","doi":"10.1016/j.jfineco.2024.103814","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103814","url":null,"abstract":"<div><p>We develop and test a model in which swap spreads are determined by end users' demand for and constrained intermediaries' supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital and for bearing convergence risk—i.e., the risk spreads will widen due to a future demand-and-supply imbalance. We show that a proxy for the intermediated quantity of swaps—dealers' net position in Treasuries—flipped sign during the Global Financial Crisis when swap spreads turned negative and that this variable predicts the excess returns on swap spread trades. Exploiting our model's sign restrictions, we identify shifts in demand and supply and find that both contribute significantly to the volatility of swap spreads.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"154 ","pages":"Article 103814"},"PeriodicalIF":8.9,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139999661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Persistent and transitory components of firm characteristics: Implications for asset pricing 公司特征的持久性和过渡性成分：对资产定价的影响
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-01 DOI: 10.1016/j.jfineco.2024.103808
Fahiz Baba-Yara , Martijn Boons , Andrea Tamoni
{"title":"Persistent and transitory components of firm characteristics: Implications for asset pricing","authors":"Fahiz Baba-Yara ,&nbsp;Martijn Boons ,&nbsp;Andrea Tamoni","doi":"10.1016/j.jfineco.2024.103808","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103808","url":null,"abstract":"<div><p>We study the horizon dimension of cross-sectional return predictability using a model where characteristics contain both persistent and transitory components. We test the implications of this model for the average returns of popular characteristic-based trading strategies at short versus long horizons after portfolio formation. Our evidence supports the claim that the relative compensation for persistent and transitory components varies across characteristics, in both magnitude and sign. Benchmark factor models cannot explain the returns of portfolios sorted on characteristics where either the persistent or transitory component is dominant. Finally, we discuss implications for the long-term discount rates of firms.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"154 ","pages":"Article 103808"},"PeriodicalIF":8.9,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X2400031X/pdfft?md5=5dd2bb4216f08f8f285655488a2442dd&pid=1-s2.0-S0304405X2400031X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139999660","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
J'Accuse! Antisemitism and financial markets in the time of the Dreyfus Affair J'Accuse！德雷福斯事件时期的反犹太主义与金融市场
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-01 DOI: 10.1016/j.jfineco.2024.103809
Quoc-Anh Do , Roberto Galbiati , Benjamin Marx , Miguel A. Ortiz Serrano
{"title":"J'Accuse! Antisemitism and financial markets in the time of the Dreyfus Affair","authors":"Quoc-Anh Do ,&nbsp;Roberto Galbiati ,&nbsp;Benjamin Marx ,&nbsp;Miguel A. Ortiz Serrano","doi":"10.1016/j.jfineco.2024.103809","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103809","url":null,"abstract":"<div><p>We study the stock market performance of firms with Jewish board members during the “Dreyfus Affair” in 19th century France. In a context of widespread latent antisemitism, initial accusations made against the Jewish officer Alfred Dreyfus led to short-lived abnormal negative returns for Jewish-connected firms. However, investors betting on these firms earned higher returns during the period corresponding to Dreyfus' rehabilitation, starting with the publication of the famous op-ed <em>J'Accuse!</em> in 1898. Our conceptual framework illustrates how diminishing antisemitic biases among investors might plausibly explain these effects. Our paper provides novel insights on how antisemitism can increase and decrease over short periods of time at the highest socio-economic levels in response to certain events, which in turn can affect firm value in financial markets.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"154 ","pages":"Article 103809"},"PeriodicalIF":8.9,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000321/pdfft?md5=5235e1f1551fec04b94b65dffeb08ab1&pid=1-s2.0-S0304405X24000321-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140013995","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The proxy advisory industry: Influencing and being influenced 代理咨询业：影响与被影响
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-02-27 DOI: 10.1016/j.jfineco.2024.103810
Chong Shu
{"title":"The proxy advisory industry: Influencing and being influenced","authors":"Chong Shu","doi":"10.1016/j.jfineco.2024.103810","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103810","url":null,"abstract":"<div><p>This paper develops two new methods to infer a mutual fund's proxy advisors from SEC filings. It then applies these methods to characterize features of the proxy advice industry from 2007 to 2021: (i) As of 2021, ISS and Glass Lewis collectively control approximately 90 percent of the market. During this period, the market share of ISS remains stable, while that of Glass Lewis has increased. (ii) When a proxy advisor issues a recommendation opposing management, its customers are approximately 20 percentage points more likely to also oppose management compared to other investors. (iii) Funds that subscribe to both proxy advisors tend to vote more similarly to the recommendations of the advisor whose voting platform they use. (iv) Proxy advisors often change their advisory stance when investors disagree with their previous advice. I offer suggestive evidence that this adaptation reflects both learning from informed investors and a desire by proxy advisors to align with the preferences of their customers.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"154 ","pages":"Article 103810"},"PeriodicalIF":8.9,"publicationDate":"2024-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139975628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Siphoned apart: A portfolio perspective on order flow segmentation 虹吸分离：从投资组合角度看订单流细分
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-02-21 DOI: 10.1016/j.jfineco.2024.103807
Markus Baldauf , Joshua Mollner , Bart Zhou Yueshen
{"title":"Siphoned apart: A portfolio perspective on order flow segmentation","authors":"Markus Baldauf ,&nbsp;Joshua Mollner ,&nbsp;Bart Zhou Yueshen","doi":"10.1016/j.jfineco.2024.103807","DOIUrl":"10.1016/j.jfineco.2024.103807","url":null,"abstract":"<div><p>We study liquidity supply in fragmented markets. Market makers intermediate heterogeneous order flows, trading off spread revenue against inventory costs. Applying our model to payment for order flow (PFOF), we demonstrate that portfolio-based considerations of inventory management incentivize market makers to segment retail orders by siphoning them off-exchange. Banning order flow segmentation reduces total welfare, can make trading more costly for all investors, and can resolve a prisoner's dilemma among market makers. These results differentiate our inventory-based model from the existing information-based theories of PFOF.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"154 ","pages":"Article 103807"},"PeriodicalIF":8.9,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000308/pdfft?md5=0682fc27553a4b32b7262e57423aed8f&pid=1-s2.0-S0304405X24000308-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139925797","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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