{"title":"Report of the Editor of The Journal of Finance for the Year 2023","authors":"ANTOINETTE SCHOAR","doi":"10.1111/jofi.13329","DOIUrl":"https://doi.org/10.1111/jofi.13329","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1697-1706"},"PeriodicalIF":8.0,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140139174","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}
{"title":"Report of the 2024 Annual Membership Meeting","authors":"","doi":"10.1111/jofi.13326","DOIUrl":"https://doi.org/10.1111/jofi.13326","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1707-1708"},"PeriodicalIF":8.0,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140139220","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}
{"title":"Report of the Executive Secretary and Treasurer for the Fiscal Year Ending June 30, 2023","authors":"","doi":"10.1111/jofi.13327","DOIUrl":"https://doi.org/10.1111/jofi.13327","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1709"},"PeriodicalIF":8.0,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140139221","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}
We propose a novel factor model for option returns. Option exposures are estimated nonparametrically, and factor risk premia can vary nonlinearly with states. The model is estimated using regressions with minimal assumptions on factor and option return dynamics. We estimate the model using index options to characterize the conditional risk premia for factors of interest, such as the market return, market variance, tail and intermediary risk factors, higher moments, and the VIX term structure slope. Together, market return and variance explain more than 90% of option return variation. Unconditionally, the magnitude of the variance risk premium is plausible. It displays pronounced time variation, spikes during crises, and always has the expected sign.
{"title":"Modeling Conditional Factor Risk Premia Implied by Index Option Returns","authors":"MATHIEU FOURNIER, KRIS JACOBS, PIOTR ORŁOWSKI","doi":"10.1111/jofi.13324","DOIUrl":"10.1111/jofi.13324","url":null,"abstract":"<p>We propose a novel factor model for option returns. Option exposures are estimated nonparametrically, and factor risk premia can vary nonlinearly with states. The model is estimated using regressions with minimal assumptions on factor and option return dynamics. We estimate the model using index options to characterize the conditional risk premia for factors of interest, such as the market return, market variance, tail and intermediary risk factors, higher moments, and the VIX term structure slope. Together, market return and variance explain more than 90% of option return variation. Unconditionally, the magnitude of the variance risk premium is plausible. It displays pronounced time variation, spikes during crises, and always has the expected sign.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2289-2338"},"PeriodicalIF":8.0,"publicationDate":"2024-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13324","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140069820","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}
Existing research suggests that alternative data are mainly informative about short-term future outcomes. We show theoretically that the availability of short-term-oriented data can induce forecasters to optimally shift their attention from the long term to the short term because it reduces the cost of obtaining short-term information. Consequently, the informativeness of their long-term forecasts decreases, even though the informativeness of their short-term forecasts increases. We test and confirm this prediction by considering how the informativeness of equity analysts' forecasts at various horizons varies over the long run and with their exposure to social media data.
{"title":"Does Alternative Data Improve Financial Forecasting? The Horizon Effect","authors":"OLIVIER DESSAINT, THIERRY FOUCAULT, LAURENT FRESARD","doi":"10.1111/jofi.13323","DOIUrl":"10.1111/jofi.13323","url":null,"abstract":"<p>Existing research suggests that alternative data are mainly informative about short-term future outcomes. We show theoretically that the availability of short-term-oriented data can induce forecasters to optimally shift their attention from the long term to the short term because it reduces the cost of obtaining short-term information. Consequently, the informativeness of their long-term forecasts decreases, even though the informativeness of their short-term forecasts increases. We test and confirm this prediction by considering how the informativeness of equity analysts' forecasts at various horizons varies over the long run and with their exposure to social media data.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2237-2287"},"PeriodicalIF":8.0,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13323","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140064305","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}
We propose a model of due diligence and analyze its effect on prices, payoffs, and deal completion. In our model, if the seller accepts an offer, the winning bidder (or “acquirer”) can gather information and chooses when to complete the transaction. In equilibrium, the acquirer engages in “too much” due diligence. Our quantitative results suggest that the magnitude of the distortion is economically significant. Nevertheless, allowing for due diligence can improve both total surplus and the seller's payoff compared to a setting without due diligence. We use our framework to explore the timing of due diligence, bidder heterogeneity, and breakup fees.
{"title":"Due Diligence","authors":"BRENDAN DALEY, THOMAS GEELEN, BRETT GREEN","doi":"10.1111/jofi.13322","DOIUrl":"10.1111/jofi.13322","url":null,"abstract":"<p>We propose a model of due diligence and analyze its effect on prices, payoffs, and deal completion. In our model, if the seller accepts an offer, the winning bidder (or “acquirer”) can gather information and chooses when to complete the transaction. In equilibrium, the acquirer engages in “too much” due diligence. Our quantitative results suggest that the magnitude of the distortion is economically significant. Nevertheless, allowing for due diligence can improve both total surplus and the seller's payoff compared to a setting without due diligence. We use our framework to explore the timing of due diligence, bidder heterogeneity, and breakup fees.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2115-2161"},"PeriodicalIF":8.0,"publicationDate":"2024-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13322","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140032370","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}
We formalize the concept of “dark matter” in asset pricing models by quantifying the additional informativeness of cross-equation restrictions about fundamental dynamics. The dark-matter measure captures the degree of fragility for models that are potentially misspecified and unstable: a large dark-matter measure indicates that the model lacks internal refutability (weak power of optimal specification tests) and external validity (high overfitting tendency and poor out-of-sample fit). The measure can be computed at low cost even for complex dynamic structural models. To illustrate its applications, we provide quantitative examples applying the measure to (time-varying) rare-disaster risk and long-run risk models.
{"title":"Measuring “Dark Matter” in Asset Pricing Models","authors":"HUI CHEN, WINSTON WEI DOU, LEONID KOGAN","doi":"10.1111/jofi.13317","DOIUrl":"10.1111/jofi.13317","url":null,"abstract":"<div>\u0000 \u0000 <p>We formalize the concept of “dark matter” in asset pricing models by quantifying the additional informativeness of cross-equation restrictions about fundamental dynamics. The dark-matter measure captures the degree of fragility for models that are potentially misspecified and unstable: a large dark-matter measure indicates that the model lacks internal refutability (weak power of optimal specification tests) and external validity (high overfitting tendency and poor out-of-sample fit). The measure can be computed at low cost even for complex dynamic structural models. To illustrate its applications, we provide quantitative examples applying the measure to (time-varying) rare-disaster risk and long-run risk models.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"843-902"},"PeriodicalIF":8.0,"publicationDate":"2024-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140032377","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}
FRANKLIN ALLEN, JUN (QJ) QIAN, CHENYU SHAN, JULIE LEI ZHU
Domestically listed Chinese (A-share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A-share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross-country and within-A-share samples. Institutional deficiencies in listing and delisting processes and weak corporate governance in terms of shareholder value creation are consistent with the underperformance in stock returns and net cash flows.
2000 年至 2018 年期间，在国内上市的中国（A 股）企业的股票回报率低于在国外上市的中国、发达国家和新兴国家企业。它们的净现金流也低于匹配的非上市中国企业。大型 A 股公司在股票回报和会计回报方面的不佳表现更为明显，而小型公司在这两个维度上均没有不佳表现。投资者情绪解释了跨国和 A 股样本中股票回报率低的原因。上市和退市过程中的制度缺陷以及在股东价值创造方面薄弱的公司治理与股票回报和净现金流表现不佳是一致的。
{"title":"Dissecting the Long-Term Performance of the Chinese Stock Market","authors":"FRANKLIN ALLEN, JUN (QJ) QIAN, CHENYU SHAN, JULIE LEI ZHU","doi":"10.1111/jofi.13312","DOIUrl":"10.1111/jofi.13312","url":null,"abstract":"<div>\u0000 \u0000 <p>Domestically listed Chinese (A-share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A-share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross-country and within-A-share samples. Institutional deficiencies in listing and delisting processes and weak corporate governance in terms of shareholder value creation are consistent with the underperformance in stock returns and net cash flows.</p>\u0000 </div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"993-1054"},"PeriodicalIF":8.0,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140083491","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}
Using novel data from the pharmaceutical industry, we study product prices and innovation around mergers. Exploiting within-deal variation in product market consolidation, we show that prices increase more for drugs in consolidating markets than for matched control drugs. Estimates indicate a 2% average price effect that persists for about one year. Price increases expand with acquirer-target product similarity and are more pronounced within less competitive product markets with fewer players and no generic competition. Examination of trade-offs reveals these deals generate significant shareholder value. They also spur labeling and other manufacturing-related innovation, but not the development of new drugs.
{"title":"Mergers, Product Prices, and Innovation: Evidence from the Pharmaceutical Industry","authors":"ALICE BONAIMÉ, YE (EMMA) WANG","doi":"10.1111/jofi.13321","DOIUrl":"10.1111/jofi.13321","url":null,"abstract":"<div>\u0000 \u0000 <p>Using novel data from the pharmaceutical industry, we study product prices and innovation around mergers. Exploiting within-deal variation in product market consolidation, we show that prices increase more for drugs in consolidating markets than for matched control drugs. Estimates indicate a 2% average price effect that persists for about one year. Price increases expand with acquirer-target product similarity and are more pronounced within less competitive product markets with fewer players and no generic competition. Examination of trade-offs reveals these deals generate significant shareholder value. They also spur labeling and other manufacturing-related innovation, but not the development of new drugs.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2195-2236"},"PeriodicalIF":8.0,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140015617","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}
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