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Credit rating agencies during credit crunch 信贷紧缩期间的信用评级机构
IF 1.2
Review of Financial Economics Pub Date : 2024-01-03 DOI: 10.1002/rfe.1192
Ali Ebrahim Nejad, Saeid Hoseinzade, Ali Niazi
{"title":"Credit rating agencies during credit crunch","authors":"Ali Ebrahim Nejad, Saeid Hoseinzade, Ali Niazi","doi":"10.1002/rfe.1192","DOIUrl":"https://doi.org/10.1002/rfe.1192","url":null,"abstract":"In this paper, we study whether credit rating agencies (CRAs), as they claim, follow the rating through-the-cycle approach as opposed to a pro-cyclical approach. In particular, we compare the behavior of CRAs during the credit crunch and normal market conditions. Using the credit rating data by S&P, we find that CRAs assign lower credit ratings to firms during credit crunch relative to normal times. Nevertheless, this result does not necessarily imply that CRAs show an excessively pro-cyclical behavior if credit crunches have a long-term fundamental impact on firms. Our further investigation reveals that downgrades during a credit crunch will not be reversed over the subsequent 1–5 years, which supports through-the-cycle credit rating.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"10 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139373935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Geography of firms and propagation of local economic conditions 企业地理与当地经济状况的传播
Review of Financial Economics Pub Date : 2023-09-14 DOI: 10.1002/rfe.1191
Gennaro Bernile, Stefanos Delikouras, George M. Korniotis, Alok Kumar
{"title":"Geography of firms and propagation of local economic conditions","authors":"Gennaro Bernile, Stefanos Delikouras, George M. Korniotis, Alok Kumar","doi":"10.1002/rfe.1191","DOIUrl":"https://doi.org/10.1002/rfe.1191","url":null,"abstract":"Abstract This study shows that the geographic network of public firms facilitates the propagation of local economic conditions across the United States. We identify economic connections among U.S. states based on the 10‐K listings of public firms and show that the returns and liquidity of firms headquartered in connected states exhibit excess comovement. The economic connections also generate spillover effects where the economy of a state affects its connected states and amplifies the impact of local economic conditions on the U.S. economy. In particular, a 1% production increase in a large state like California is associated with a 6.71% change in annual U.S. GDP growth, relative to average GDP growth.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"146 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134970715","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Conventional or reverse magnitude effect for negative outcomes: A matter of framing 负面结果的常规或反向量级效应:框架问题
Review of Financial Economics Pub Date : 2023-09-03 DOI: 10.1002/rfe.1190
Wolfgang Breuer, Can Kalender Soypak, Bertram I. Steininger
{"title":"Conventional or reverse magnitude effect for negative outcomes: A matter of framing","authors":"Wolfgang Breuer, Can Kalender Soypak, Bertram I. Steininger","doi":"10.1002/rfe.1190","DOIUrl":"https://doi.org/10.1002/rfe.1190","url":null,"abstract":"Abstract We present and expand existing theories about why individuals may assess positive outcomes differently from negative outcomes in intertemporal choices. All of our theories—based on utility or cost considerations – predict a conventional magnitude effect for positive outcomes, that is, a negative relation between outcome size and subjective discount rates. For negative outcomes, however, implications are different for utility‐ and cost‐based approaches. We argue that the relevance of utility‐based aspects is strengthened in a money frame, leading to a conventional magnitude effect even for negative outcomes, whereas cost‐based considerations gain in importance in an interest rate frame, implying, in contrast, a “reverse” magnitude effect, that is, higher discount rates for (absolutely) higher outcome size. A web‐based experiment with 676 participants confirms our theoretical findings: the conventional magnitude effect prevails for positive outcomes in the money and the interest rate frame and negative outcomes in the money frame. However, there is a reverse magnitude effect for negative outcomes in the interest rate frame. Our results might help to better understand prevailing magnitude effects in practical applications and might also be apt to derive suggestions for better designing of intertemporal decision problems.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135498714","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Lottery demand, lottery factor, and anomalies 彩票需求、彩票因素和异常情况
IF 1.2
Review of Financial Economics Pub Date : 2023-09-01 DOI: 10.1002/rfe.1187
Turan G. Bali, Quan Wen
{"title":"Lottery demand, lottery factor, and anomalies","authors":"Turan G. Bali, Quan Wen","doi":"10.1002/rfe.1187","DOIUrl":"https://doi.org/10.1002/rfe.1187","url":null,"abstract":"We provide an overview of the literature investigating (retail) investors' demand for lottery‐like stocks. We summarize different sets of lottery proxies and discuss their implications for cross‐sectional pricing of individual stocks. We present empirical evidence and summarize the findings including (i) the robustness of the lottery demand effect using an extended data set, (ii) the economic underpinnings of the lottery demand effect, and (iii) the explanatory power of the lottery preference factor for established stock market anomalies.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49633460","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leverage target and R&D spending 利用目标和研发支出
IF 1.2
Review of Financial Economics Pub Date : 2023-08-23 DOI: 10.1002/rfe.1189
Sharier Azim Khan
{"title":"Leverage target and R&D spending","authors":"Sharier Azim Khan","doi":"10.1002/rfe.1189","DOIUrl":"https://doi.org/10.1002/rfe.1189","url":null,"abstract":"In this paper, I examine how capital structure (relative to target) affects the financing of R&D spending. Studies on capital structure have shown that firms adjust their debt levels toward target debt levels. I show that firms with below‐target debt are more likely to issue debt to finance R&D spending compared to firms that have above‐target debt. The results are stronger for firms that are smaller in size and firms that do not pay dividends. I also show that firms with below‐target debt are more likely to use a greater fraction of proceeds from net debt issuance to finance R&D spending (either directly or indirectly).","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49128237","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stakeholder orientation and product market performance: Evidence from a natural experiment 利益相关者导向与产品市场表现：来自自然实验的证据
IF 1.2
Review of Financial Economics Pub Date : 2023-08-22 DOI: 10.1002/rfe.1188
Juntai Lu, Jia Wei
{"title":"Stakeholder orientation and product market performance: Evidence from a natural experiment","authors":"Juntai Lu, Jia Wei","doi":"10.1002/rfe.1188","DOIUrl":"https://doi.org/10.1002/rfe.1188","url":null,"abstract":"We examine the causal effect of stakeholder orientation on firms' product market performance. Using the staggered enactment of constituency statutes across different states as an exogenous shock that increases the extent of the stakeholder orientation, difference‐in‐difference estimations suggest that on average firms incorporated in states that adopted constituency statutes increase sales growth by 1.7% relative to firms incorporated in states that did not adopt such statutes. The effect is stronger if a firm has higher labor intensity and if a firm operates in a durable goods industry. In addition, we find that stakeholder orientation improves the quality of innovation.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48656336","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Illiquidity and the cost of equity capital: Evidence from actual estimates of capital cost for U.S. data 非流动性和权益资本成本:来自美国数据资本成本实际估计的证据
IF 1.2
Review of Financial Economics Pub Date : 2023-07-06 DOI: 10.1002/rfe.1179
Amit Goyal, Avanidhar Subrahmanyam, Bhaskaran Swaminathan
{"title":"Illiquidity and the cost of equity capital: Evidence from actual estimates of capital cost for U.S. data","authors":"Amit Goyal, Avanidhar Subrahmanyam, Bhaskaran Swaminathan","doi":"10.1002/rfe.1179","DOIUrl":"https://doi.org/10.1002/rfe.1179","url":null,"abstract":"Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002, <i>Journal of Financial Markets</i>, 5, 31) measure of illiquidity is negatively related to CoC estimates. A difference-in-differences analysis around exogenous brokerage closures reveals that Amihud illiquidity increases without an impact on CoC. Nonetheless, other illiquidity measures, such as those based on serial covariances, zero returns, and price impact, do show a strong positive relation with CoC. However, we do not find evidence that liquidity risk and the probability of informed trade influence CoC<i>.</i> Overall, our results advance our understanding of precisely which illiquidity measures influence required firm returns.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"5 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138529158","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Night trading: Lower risk but higher returns? 夜盘交易:低风险高回报?
IF 1.2
Review of Financial Economics Pub Date : 2023-07-06 DOI: 10.1002/rfe.1180
Marie-Eve Lachance
{"title":"Night trading: Lower risk but higher returns?","authors":"Marie-Eve Lachance","doi":"10.1002/rfe.1180","DOIUrl":"https://doi.org/10.1002/rfe.1180","url":null,"abstract":"This paper demonstrates that overnight returns are subject to highly persistent biases and examines the profitability of overnight-only investments in that context. Overnight returns tend to exceed their intraday counterparts, and the paper first reconciles these patterns by introducing a model that factors in systematic biases. This model identifies one-fifth of stocks as having positive and statistically significant overnight biases. Investing overnight in these stocks in the next year yields twice the market's return for a third of the market beta. Results also have implications for daytime investors as these stocks underperform intraday. Implementation costs and issues are discussed.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"195 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138529159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Mean‐reversion risk and the random walk hypothesis 均值回归风险和随机游走假设
IF 1.2
Review of Financial Economics Pub Date : 2023-07-06 DOI: 10.1002/rfe.1184
C. K. Jones
{"title":"Mean‐reversion risk and the random walk hypothesis","authors":"C. K. Jones","doi":"10.1002/rfe.1184","DOIUrl":"https://doi.org/10.1002/rfe.1184","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"1 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42794974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Value investing via Bayesian inference 通过贝叶斯推理进行价值投资
IF 1.2
Review of Financial Economics Pub Date : 2023-07-06 DOI: 10.1002/rfe.1185
Bernd Huefner, Marcel Rueenaufer, Martin Boesch
{"title":"Value investing via Bayesian inference","authors":"Bernd Huefner, Marcel Rueenaufer, Martin Boesch","doi":"10.1002/rfe.1185","DOIUrl":"https://doi.org/10.1002/rfe.1185","url":null,"abstract":"Classic value investing à la Graham &amp; Dodd (Security analysis: The classic, McGrawHill, New York, 1934) focuses on selecting stocks that seem cheap relative to their intrinsic value and fundamental quality. We use Bayesian inference to account for a large amount of uncertainty within intrinsic value estimation. We find that an undervalued-minus-overvalued factor that invests in cheap quality stocks and sells expensive junk stocks selected via Bayesian inference yields high risk-adjusted returns and Sharpe ratios for equal-weighted portfolios. We also find that using value-weighted portfolios introduces size-based dilutions and shifts the focus away from actual quality characteristics like profitability, payout, safety, and past growth. Our findings suggest that while the relative benefit of accounting for uncertainty via Bayesian inference is not large over shorter holding periods, it pays off for investment horizons longer than a month.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"16 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138529156","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","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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