Journal of Financial Economics

最新文章

• Incremental variables and the investment opportunity set AI翻译
  作者：Fama, Eugene F.; French, Kenneth R.
  作者单位：University of Chicago; Dartmouth College
  摘要：Variables with strong marginal explanatory power in cross-section asset pricing regressions typically show less power to produce increments to average portfolio returns, for two reasons. (1) Adding an explanatory variable can attenuate the slopes in a regression. (2) Adding a variable with marginal explanatory power always attenuates the values of other explanatory variables in the extremes of a regression's fitted values. Without a restriction on portfolio weights, the maximum Sharpe ratios i...
• Social learning and corporate peer effects AI翻译
  作者：Kaustia, Markku; Rantala, Ville
  作者单位：Aalto University
  摘要：We find that firms are more likely to split their stock if their peer firms have recently done so. The effect is comparable to an increase of 40-50% in the share price. Splitting probability is also increasing in the announcement returns of peer splits. These results are consistent with social learning from peers' actions and outcomes. The unique features of the setting and various further tests render alternative explanations unlikely. We find no clear benefit in following successful peer spl...
• Momentum has its moments AI翻译
  作者：Barroso, Pedro; Santa-Clara, Pedro
  作者单位：University of New South Wales Sydney; Universidade Nova de Lisboa; National Bureau of Economic Research; Centre for Economic Policy Research - UK
  摘要：Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually eliminates crashes and nearly doubles the Sharpe ratio of the momentum strategy. Risk-managed momentum is a much greater puzzle than the origin...
• Price support by bank-affiliated mutual funds AI翻译
  作者：Golez, Benjamin; Marin, Jose M.
  作者单位：University of Notre Dame; Universidad Carlos III de Madrid
  摘要：Fund managers are double agents; they serve both fund investors and owners of management firms. This conflict of interest may result in trading to support securities prices. Tests of this hypothesis in the Spanish mutual fund industry indicate that bank-affiliated mutual funds systematically increase their holdings in the controlling bank stock around seasoned equity issues, at the time of bad news about the controlling bank, before anticipated price drops, and after non-anticipated price drop...
• Excess control rights, bank capital structure adjustments, and lending AI翻译
  作者：Lepetit, Laetitia; Saghi-Zedek, Nadia; Tarazi, Amine
  作者单位：Universite de Limoges
  摘要：We investigate whether excess control rights of ultimate owners in pyramids affect banks' capital ratio adjustments. When control and cash flow rights are identical, to boost capital ratios banks issue equity without cutting lending. However, when control rights exceed cash flow rights, instead of issuing equity, banks downsize by reducing lending. Such a finding is mostly prevalent in countries with weak shareholder protection or for family-controlled banks. Other factors also explain the ext...
• A century of capital structure: The leveraging of corporate America AI翻译
  作者：Graham, John R.; Leary, Mark T.; Roberts, Michael R.
  作者单位：Duke University; Washington University (WUSTL); University of Pennsylvania; National Bureau of Economic Research
  摘要：Unregulated US corporations dramatically increased their debt usage over the past century. Aggregate leverage low and stable before 1945 more than tripled between 1945 and 1970 from 11% to 35%, eventually reaching 47% by the early 1990s. The median firm in 1946 had no debt, but by 1970 had a leverage ratio of 31%. This increase occurred in all unregulated industries and affected firms of all sizes. Changing firm characteristics are unable to account for this increase. Rather, changes in govern...
• Competition of the informed: Does the presence of short sellers affect insider selling? AI翻译
  作者：Massa, Massimo; Qian, Wenlan; Xu, Weibiao; Zhang, Hong
  作者单位：INSEAD Business School; National University of Singapore; Nankai University; Tsinghua University
  摘要：We study how the presence of short sellers affects the incentives of the insiders to trade on negative information. We show it induces insiders to sell more (shares from their existing stakes) and trade faster to preempt the potential competition from short sellers. An experiment and instrumental variable analysis confirm this causal relationship. The effects are stronger for opportunistic (i.e., more informed) insider trades and when short sellers' attention is high. Return predictability of ...
• Does realized skewness predict the cross-section of equity returns? AI翻译
  作者：Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; Vasquez, Aurelio
  作者单位：University of Quebec; University of Quebec Montreal; University of Toronto; Copenhagen Business School; CREATES; Aarhus University; University of Houston System; University of Houston; Instituto Tecnologico Autonomo de Mexico
  摘要：We use intraday data to compute weekly realized moments for equity returns and study their time-series and cross-sectional properties. Buying stocks in the lowest realized skewness decile and selling stocks in the highest realized skewness decile generates an average return of 19 basis points the following week with a t-statistic of 3.70. This result is robust across a wide variety of implementations and is not captured by the Fama-French and Carhart factors. The relation between realized kurt...
• Bank loans and troubled debt restructurings AI翻译
  作者：Demiroglu, Cem; James, Christopher
  作者单位：Koc University; State University System of Florida; University of Florida
  摘要：This paper examines the relation between the number and type of lenders that participate in corporate loan facilities and the nature of troubled debt restructurings. We find that loans from traditional bank lenders are significantly easier to restructure out of court than loans from institutional lenders. We also find that the existence of a past banking relationship between the borrower and the lead arranger of a syndicated loan adversely affects the ease of restructuring. Finally, we find th...
• Foreign corporations and the culture of transparency: Evidence from Russian administrative data AI翻译
  作者：Braguinsky, Serguey; Mityakov, Sergey
  作者单位：Carnegie Mellon University; Clemson University
  摘要：Firms from developed countries carry a culture of transparency in business transactions that is opposite to the culture of hiding and insider dealing in developing and transition economies. We employ Russian administrative data on reported earnings and market values of cars to measure wage misreporting for individual employees of domestic firms in Moscow. We show that closer ties to multinationals lead to improved transparency of wage reporting in private Russian companies. Employees located c...