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Improving Retirement Coverage Durability with Target Volatility Strategy for Changing Interest Rate Environment 利用目标波动率策略提高退休保障的持久性，应对不断变化的利率环境
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-12-07 DOI: 10.1111/ajfs.12455
Zefeng Bai, Victoria Steblovskaya, Kai Wallbaum
{"title":"Improving Retirement Coverage Durability with Target Volatility Strategy for Changing Interest Rate Environment","authors":"Zefeng Bai,&nbsp;Victoria Steblovskaya,&nbsp;Kai Wallbaum","doi":"10.1111/ajfs.12455","DOIUrl":"10.1111/ajfs.12455","url":null,"abstract":"<p>Motivated by the recent market turbulence triggered by the COVID-19 pandemic and the changing interest rate environment, we propose an improved investment strategy for extending retirement coverage in the pension decumulation stage. The newly proposed strategy with interest rate dependent volatility targets can significantly improve the durability of conventional retirement portfolios with constant risky and risk-free asset allocations. This conclusion follows from our analysis in the simulated financial market with stochastic interest rate and stochastic volatility, based on the Hybrid Heston-Vasicek model. Consequently, the proposed target volatility strategy could be a suitable option for more reliable retirement coverage after retirement.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 6","pages":"949-978"},"PeriodicalIF":1.5,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138569695","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Unintended Consequences of End-of-Year Rush Toward Innovation: Evidence from Patent Application Filings* 年末创新热潮的意外后果:来自专利申请文件的证据*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-11-28 DOI: 10.1111/ajfs.12452
Jiyoung Park, Hyun-Han Shin
{"title":"Unintended Consequences of End-of-Year Rush Toward Innovation: Evidence from Patent Application Filings*","authors":"Jiyoung Park,&nbsp;Hyun-Han Shin","doi":"10.1111/ajfs.12452","DOIUrl":"10.1111/ajfs.12452","url":null,"abstract":"<p>This study employs novel data on patents filed in Korea to investigate whether there is an end-of-year rush phenomenon for innovation. Our findings indicate that patent applications tend to be concentrated in the second half of the year more than in the first half of the year, and the number of application filings gradually increases toward the end of the year. We also examine the quality of patents and find that applications filed near the end of the year are more likely to be low-quality innovations. Firms in our sample that filed more patent applications in the second half of the year engaged in incremental innovation, which entails the exploitation of existing knowledge or research areas rather than the exploration of new knowledge in new areas. Furthermore, our study reveals that this end-of-year rush on innovation is more prevalent among firms with high free cash flow and among firms belonging to business groups. Our findings demonstrate that the end-of-year rush has unintended consequences for innovation.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 6","pages":"862-888"},"PeriodicalIF":1.5,"publicationDate":"2023-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138495169","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Procyclical Credit Rating Policy* 顺周期信用评级政策*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-10-30 DOI: 10.1111/ajfs.12450
Jun Kyung Auh
{"title":"Procyclical Credit Rating Policy*","authors":"Jun Kyung Auh","doi":"10.1111/ajfs.12450","DOIUrl":"https://doi.org/10.1111/ajfs.12450","url":null,"abstract":"<p>This paper examines whether credit rating agencies applied consistent rating standards to US corporate bonds in the periods surrounding the 2008 financial crisis. Based on estimates of issuing firms' credit quality from a structural model, I find that rating standards are in fact procyclical: ratings are stricter during an economic downturn than during an economic expansion. As a result, firms receive overly pessimistic ratings in a recession, relative to during an expansion. I further show that a procyclical rating policy amplifies the variation in corporate credit spreads, accounting for, on average, 11% of the increase in spreads during a recession. In the cross-section, firms with a higher rollover rate of debt, fewer alternative channels to convey their credit quality to the market, and firms with businesses that are more sensitive to economic cycles are more affected by the procyclical rating policy.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 5","pages":"707-761"},"PeriodicalIF":1.5,"publicationDate":"2023-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71987739","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Does Geographical Proximity Matter in Small Business Lending? Evidence from Changes in Main Bank Relationships* 地理邻近性对小企业贷款有影响吗？主银行关系变化的证据*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-10-17 DOI: 10.1111/ajfs.12447
Arito Ono, Yukiko U. Saito, Koji Sakai, Iichiro Uesugi
{"title":"Does Geographical Proximity Matter in Small Business Lending? Evidence from Changes in Main Bank Relationships*","authors":"Arito Ono,&nbsp;Yukiko U. Saito,&nbsp;Koji Sakai,&nbsp;Iichiro Uesugi","doi":"10.1111/ajfs.12447","DOIUrl":"https://doi.org/10.1111/ajfs.12447","url":null,"abstract":"<p>We examine the causal link between the geographical distance between firms and their main bank and the termination of main bank relationships, using the exogenous change in firm–main bank distances brought about by bank branch consolidations in Japan. Our findings are threefold. First, an increase in lending distance increases the likelihood that firms switch their main bank. Second, the average lending distance for firms that switched to a new main bank decreased after the switch. Third, the lending distance of new firm–main bank relationships after the switch had a positive impact on the probability of default of small firms.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 5","pages":"819-855"},"PeriodicalIF":1.5,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71963962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 10
Does Environmental, Social and Governance Performance Lessen Analyst Optimistic Bias: Evidence from China* 环境、社会和治理绩效是否减轻了分析师的乐观偏见：来自中国的证据*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-10-09 DOI: 10.1111/ajfs.12446
Zaifeng Wang, Tiancai Xing
{"title":"Does Environmental, Social and Governance Performance Lessen Analyst Optimistic Bias: Evidence from China*","authors":"Zaifeng Wang,&nbsp;Tiancai Xing","doi":"10.1111/ajfs.12446","DOIUrl":"https://doi.org/10.1111/ajfs.12446","url":null,"abstract":"<p>We examine how analysts respond to non-financial information about environmental, social responsibility, and corporate governance (ESG) performance and find good ESG performance lessens analysts' optimistic bias. We verify the mediating role of financial transparency that superior ESG performance decreases the level of information asymmetry between firms and analysts and improves financial transparency, thus weakening optimistic bias. Analysts' optimistic bias rises with increased institutional holdings and diminishes with heightened economic policy uncertainty. Social responsibility makes a larger reducing effect on analyst optimistic bias than corporate governance and environmental protection. Our findings have important implications for encouraging firms to emphasize ESG performance and improving stock market efficiency.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 5","pages":"793-818"},"PeriodicalIF":1.5,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71949799","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Stock Pledge by Controlling Shareholder and Corporate Social Responsibility* 控股股东股权质押与企业社会责任*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-09-29 DOI: 10.1111/ajfs.12448
Wen Wen, Lijing Tong, Lu Xie, Siting Zhang
{"title":"Stock Pledge by Controlling Shareholder and Corporate Social Responsibility*","authors":"Wen Wen,&nbsp;Lijing Tong,&nbsp;Lu Xie,&nbsp;Siting Zhang","doi":"10.1111/ajfs.12448","DOIUrl":"https://doi.org/10.1111/ajfs.12448","url":null,"abstract":"<p>We examine the influence of stock pledge by controlling shareholders on corporate social responsibility (CSR). Results show that firms exhibit poorer CSR performance when the controlling shareholders have more shares under pledge to financial institutions. Further analyses suggest that the negative relation between stock pledge and CSR only exists in financially constrained firms and non-state-owned firms, in which the pledging controlling shareholders have greater incentive to increase stock price and maintain their control rights. Our findings support a margin call hypothesis that firms tend to cut off CSR spending to improve short-term financial performance and reduce the risk of losing control rights.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 5","pages":"762-792"},"PeriodicalIF":1.5,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71986431","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Does Differentiated Key Audit Matter in Unqualified Audit Reports Indicate Increased Financial Misstatement Risk? Evidence from China* 无保留审计报告中差异化的关键审计事项是否表明财务报表错误风险增加？来自中国的证据*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-08-09 DOI: 10.1111/ajfs.12444
Qianqun Ma, Jianan Zhou, Kongwen Wang, Qi Wang
{"title":"Does Differentiated Key Audit Matter in Unqualified Audit Reports Indicate Increased Financial Misstatement Risk? Evidence from China*","authors":"Qianqun Ma,&nbsp;Jianan Zhou,&nbsp;Kongwen Wang,&nbsp;Qi Wang","doi":"10.1111/ajfs.12444","DOIUrl":"https://doi.org/10.1111/ajfs.12444","url":null,"abstract":"<p>This study examines whether differentiated disclosure of key audit matter (KAM) in China indicates a higher financial misstatement risk. Our empirical study demonstrates that financial statements with less boilerplate KAM are more likely to be subsequently restated than those with more boilerplate KAM. This association is only pronounced for smaller auditing firms in stronger legal environments. Additionally, auditors who report differentiated KAM are likely to disclose more risk-related information. Moreover, clients are more likely to restate financial reports when the KAM relates to managers' subjective estimations.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 4","pages":"645-672"},"PeriodicalIF":1.5,"publicationDate":"2023-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50125512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Do Cost Behaviors Affect Cost of Equity: Evidence from Seasoned Equity Offering? 成本行为会影响股权成本吗？来自经验丰富的股权发行的证据？
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-08-09 DOI: 10.1111/ajfs.12441
He Xiao
{"title":"Do Cost Behaviors Affect Cost of Equity: Evidence from Seasoned Equity Offering?","authors":"He Xiao","doi":"10.1111/ajfs.12441","DOIUrl":"https://doi.org/10.1111/ajfs.12441","url":null,"abstract":"<p>This study investigates the impact of firms' cost behavior on their seasoned equity offering (SEO) performance. The empirical findings show that cost-stickier SEO firms experience more negative SEO cumulative abnormal returns (CARs). The economic mechanism of this association is that cost-stickier SEO firms deal with higher information asymmetry and issue fewer debts, which reduce their SEO CARs. SEO firm cost behavior also affects corporate SEO decisions and announcement returns in different life cycles. Among the three economic mechanisms, the information asymmetry channel has been found as the dominant one. This study also indicates that cost-stickier firms are less likely to conduct SEOs than their counterparts. In contrast, the motivation for Chinese SEO issuance for cost-stickier firms is market timing rather than adjusting the capital structure or financing for investment and growth. Additionally, the negative impact of cost stickiness on corporate SEO returns is less pronounced for firms associated with industry-specialized auditors and greater corporate governance capacity but more substantial for SEO firms with higher free cash flow. All main findings are consistent in a number of endogenous tests, including the two-stage least squares test, the generalized method of moments estimation, and the control of alternative fixed effects. These conclusions also passed several robustness tests such as an alternative factor model and event windows and an alternative proxy of cost stickiness.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 4","pages":"565-608"},"PeriodicalIF":1.5,"publicationDate":"2023-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50125511","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Unintended Consequences of Leverage Regulation: Evidence from Korea* 杠杆监管的意外后果：来自韩国的证据*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-08-06 DOI: 10.1111/ajfs.12442
Taejin Jung, Natalie Kyung Won Kim, Woo-Jong Lee, Daniel Yang
{"title":"Unintended Consequences of Leverage Regulation: Evidence from Korea*","authors":"Taejin Jung,&nbsp;Natalie Kyung Won Kim,&nbsp;Woo-Jong Lee,&nbsp;Daniel Yang","doi":"10.1111/ajfs.12442","DOIUrl":"https://doi.org/10.1111/ajfs.12442","url":null,"abstract":"<p>During the 1997 Asian financial crisis, Korean regulators imposed a 200% leverage cap to curb excessive debt and restore economic stability. We examine the real effects and externalities of mandated capital structure changes resulting from this leverage ratio regulation. Our findings indicate that firms that met the leverage requirement experienced a significant decrease in firm risk. However, the effect varied depending on <i>how</i> firms adjusted their capital structure. Firms that chose to issue equity to lower their leverage ratio, as opposed to firms repaying debt, exhibited higher firm risk, lower investment-<i>q</i> sensitivity, and lower profitability in the post-regulation period.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 4","pages":"502-538"},"PeriodicalIF":1.5,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50122417","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Local Newspaper Layoffs and Workplace Safety* 当地报纸裁员与工作场所安全*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-08-03 DOI: 10.1111/ajfs.12440
Min Kim, Kwangjin Lee, Jason Shin
{"title":"Local Newspaper Layoffs and Workplace Safety*","authors":"Min Kim,&nbsp;Kwangjin Lee,&nbsp;Jason Shin","doi":"10.1111/ajfs.12440","DOIUrl":"https://doi.org/10.1111/ajfs.12440","url":null,"abstract":"<p>We investigate the role of the local media in curtailing undesirable behaviors of local corporations. We examine the effects of local newspaper layoffs on the workplace safety levels of local firms, finding that firms' total case rates of workplace injuries increase following newspaper layoffs. We also show the mechanisms of reductions in safety-related expenditures and increased workloads. Cross-sectional tests find that the monitoring role of these newspapers is more important for firms with weaker labor unions or lower institutional ownership. Overall, our results suggest that local newspapers serve as key corporate monitors and essential information intermediaries, mitigating firms' undesirable behavior.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 4","pages":"609-644"},"PeriodicalIF":1.5,"publicationDate":"2023-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50118822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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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