JOURNAL OF ECONOMICS AND BUSINESS最新文献

We suggest that the intertemporal risk-return tradeoff is not necessarily positive but rather state dependent. We further explore the state dependent risk-return relation by examining how the positive risk-return relation is distorted in response to various market conditions, including extreme price changes, differing levels of investor sentiment, the introduction of stock options, and throughout business cycles. The tendency for uninformed investors to be optimistic (pessimistic) in response to good (bad) market news cause overpricing (underpricing), and the resulting trade activity of arbitrageurs that distorts the positive risk-return tradeoff, is documented consistently across these environments. We find that the attenuation (reinforcement) of the positive risk-return relation under investors’ optimistic (pessimistic) expectations is stronger in high (low) sentiment periods, in the presence of extreme returns, in the period after stock options became available, and during expansionary periods. We argue that the asymmetric intertemporal risk-return relation is a consequence of rational arbitrageurs’ trading to exploit mispricing through the selling of overpriced stocks conditional on good news and buying underpriced stocks conditional on bad news.

Acquisitions are complex strategic decisions and there is not a consensus about the outcomes of them. The complexity and the implications increase with international acquisitions (IA). We examine international acquisitions from a different perspective to see how they affect competitiveness of acquires using a sample of international acquisitions by U.S. firms applying a control sample methodology. Competitiveness outcomes of IAs vary based on the dimension used. They result with lower financial performance, profitability and productivity whereas have a positive effect on market power and innovation of acquirers. Negative performance is consistent with the general belief about agency theory, but our findings also provide support for the resource-based view of enhanced competitiveness. Regarding the success factors, we show that capabilities of acquirers matter more than their resources in explaining post-acquisition competitiveness of acquirers. Acquirers with greater acquisition experience benefit a lot more from IAs compared to firms without acquisition experience. We also show that relatedness of acquirer and target is crucial for creating synergies and efficiencies in terms of enhanced productivity.

Using microdata for Japan for 2007 and 2012, we examine whether and how financial constraints discourage individuals from starting a business. As proxies for financial constraints, we use prefectural variations in the share of firms relying on physical collateral and personal guarantees. We find that individuals are less likely to become nascent entrepreneurs if they live in a prefecture with a higher share of firms relying on personal guarantees. The negative effect of personal guarantees on becoming a nascent entrepreneur is insignificant when using a subsample for 2012, suggesting that administrative and legislative changes since the 2000s have made personal guarantees less costly for potential entrepreneurs over time. In contrast, we do not find a negative link between physical collateral and business startups. Our findings suggest that the low level of entrepreneurship in Japan is not due to financial constraints. If anything, it is due to a lack of risk-taking by potential entrepreneurs rather than a lack of collateralizable assets.

This paper proposes a new model to estimate the countercyclical bank solvency capital buffer established in Basel III. The model lies in a flexible semi-nonparametric approach to capture the probability distribution of the capital adequacy ratio, but also a stochastic Ornstein–Uhlenbeck process that incorporates components of the cyclical behavior. We measure the risk of breaching the minimum capital threshold that separates the countercyclical capital buffer from other capital components and analyze its relationship with macroeconomic variables such as interest rates, credit levels, and credit-to-GDP gaps. Furthermore, a vector autoregressive model is estimated to test the existence of the bank-capital channel and the risk-taking channel. The application to Germany and the Netherlands shows that countercyclical buffers are more accurate when skewness and kurtosis are considered and the probability of breaching the regulatory threshold is sensitive to macroeconomic signals. Overall, our model seems to be a useful tool for monitoring prudential policy and as a guide to establish countercyclical capital buffers.

This paper examines extrapolative patterns of analysts’ expectations in the cross-section of firms. Using analysts’ target prices, I estimate the degree of extrapolative weighting capturing the relative weight analysts place on recent versus distant realized returns when forming their price expectation. I show considerable levels of extrapolation in the overall sample and on firm level. Results suggest considerable cross-sectional variation of extrapolation with valuation difficulty having a positive impact on the degree of extrapolative weighting. Furthermore, I construct a time-series of the degree of extrapolative weighting and argue that its time-series variation is also explained by valuation difficulty.