Journal of Financial Research最新文献

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Estimating background risk hedging demands from cross‐sectional data 从横截面数据估算背景风险对冲需求

IF 3.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-09-12 DOI: 10.1111/jfir.12432

James Brugler, Joachim Inkmann, Adrian Rizzo

Based on a theory of portfolio choice with non‐tradable assets, we estimate hedging demands due to background risks before and after the Great Recession for U.S households. Hedging demands related to human capital, residential property and business assets reduce financial risk‐taking, but these effects decline over the Great Recession, as does expected risk‐adjusted stock market performance. We also estimate the appropriate discount rate to compute the risk‐adjusted value of human capital, which declines by around eight percent over the period. Unlike previous literature requiring panel data with large time dimensions, our approach only requires cross‐sectional data to identify hedging demands.

基于不可交易资产的投资组合选择理论，我们估算了大衰退前后美国家庭因背景风险而产生的对冲需求。与人力资本、住宅财产和商业资产相关的对冲需求降低了金融风险承担，但这些影响在大衰退期间有所下降，预期风险调整后的股市表现也是如此。我们还估算了适当的贴现率，以计算经风险调整后的人力资本价值，该价值在此期间下降了约 8%。与以往需要大时间维度的面板数据的文献不同，我们的方法只需要截面数据来确定对冲需求。

引用次数: 0

Local labor match and corporate investments: Evidence from new flight routes 当地劳动力匹配与企业投资：来自新航线的证据

IF 3.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-09-12 DOI: 10.1111/jfir.12433

Nasim Sabah, Linh Thompson

We exploit new flight connections from small cities to international airports as a quasi‐natural experiment to study the effects of local labor match on corporate investments. Using a cosine similarity of occupational makeups, we find that corporate investment rates are higher for firms with human capital profiles that are more similar to those of the local labor. The effects are more pronounced among financially constrained firms and less evident among firms with higher unionization membership and coverage. Firms with better local labor match are also more likely to downsize their employments when experiencing negative cash flow shocks. Collectively, our findings suggest that local labor match spurs corporate investments by lowering labor costs and increasing ex‐ante investment incentives.

我们利用从小城镇到国际机场的新航线作为准自然实验，研究当地劳动力匹配对企业投资的影响。利用职业构成的余弦相似性，我们发现，人力资本状况与当地劳动力更为相似的企业，其企业投资率更高。这种效应在资金紧张的企业中更为明显，而在工会会员人数和覆盖率较高的企业中则不那么明显。当地劳动力匹配度较高的企业在遇到负现金流冲击时也更有可能缩减员工人数。总之，我们的研究结果表明，本地劳动力匹配通过降低劳动力成本和增加事前投资激励来刺激企业投资。

引用次数: 0

Sink or swim? Managerial ability and trade credit 沉浮？管理能力和贸易信贷

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-09-04 DOI: 10.1111/jfir.12434

Md Mahmudul Hasan, Sayan Sarkar, Andrew C. Spieler

In this article, we examine the relation between managerial ability and the use of supplier-provided trade credit. The literature documents the positive effects of high-ability managers, including more accurate earnings forecasts, improved earnings quality, and overall improvement in corporate disclosure policies. We argue that customers (those seeking trade credit) with high-ability managers are better able to negotiate with suppliers, provide more transparent disclosure, and maintain strong relationships. Likewise, suppliers are willing to provide more trade credit to customers with high-ability managers because of reduced information asymmetry, creating an environment of trust and transparency. Our empirical results show that suppliers extend more trade credit to customers with high-ability managers and that this relation is more pronounced for financially constrained firms.

在本文中，我们研究了管理能力与使用供应商提供的贸易信贷之间的关系。文献记载了高能力经理人的积极影响，包括更准确的盈利预测、盈利质量的提高以及企业信息披露政策的整体改善。我们认为，拥有高能力经理人的客户（那些寻求贸易信贷的人）能够更好地与供应商谈判，提供更透明的信息披露，并保持稳固的合作关系。同样，由于信息不对称的减少，供应商也愿意向高能力经理人的客户提供更多的贸易信贷，从而创造一个信任和透明的环境。我们的实证结果表明，供应商向高能力经理人的客户提供更多的贸易信贷，而且这种关系在财务紧张的企业中更为明显。

引用次数: 0

‘And forgive us our debts’: Christian moralities and over‐indebtedness 免我们的债"：基督教道德与过度负债

IF 3.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-09-04 DOI: 10.1111/jfir.12436

Iftekhar Hasan, Felix Noth, Konstantin Kiesel

This paper analyzes whether Christian moralities and rules formed differently by Catholics and Protestants impact the likelihood of households becoming over‐indebted. We find that over‐indebtedness is lower in regions in which Catholics outweigh Protestants, indicating that Catholics' forgiveness culture and stricter enforcement of rules by Protestants serve as explanations for our results. Our results provide evidence that religion affects the financial situations of individuals and show that even 500 years after the split between Catholics and Protestants, the differences in the mindsets of both denominations play an important role in situations of severe financial conditions.

本文分析了天主教徒和新教徒形成的不同基督教道德和规则是否会影响家庭过度负债的可能性。我们发现，在天主教徒多于新教徒的地区，过度负债率较低，这表明天主教徒的宽恕文化和新教徒更严格地执行规则可以解释我们的结果。我们的研究结果提供了宗教影响个人财务状况的证据，并表明即使在天主教和新教分裂 500 年后，两个教派的思想差异仍在严重的财务状况下发挥着重要作用。

引用次数: 0

Lending discrimination and the role of community banks 贷款歧视与社区银行的作用

IF 3.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-08-30 DOI: 10.1111/jfir.12435

Arthur M. Tran, Drew B. Winters

First‐time minority borrowers often receive less desirable outcomes than first‐time White borrowers. Relationship lenders, who use both hard information and soft (community) information about new borrowers, can gain insights into a borrower's creditworthiness even without an existing bank–borrower relationship and provide more loan opportunities for new minority borrowers than transactional lenders. Our results show that borrowing from a relationship lender reduces lending outcome discrepancies between new minority borrowers and new White borrowers, not only in loan acceptance rates but also in borrower perceptions. These results suggest that borrowers' soft information is an important part of relationship lenders' decision‐making process.

与首次借款的白人相比，首次借款的少数族裔往往得不到理想的结果。关系贷款人利用新借款人的硬信息和软（社区）信息，即使没有现有的银行-借款人关系，也能深入了解借款人的信用度，并为新的少数族裔借款人提供比交易贷款人更多的贷款机会。我们的研究结果表明，向关系型贷款人借款可以减少新的少数族裔借款人与新的白人借款人之间的贷款结果差异，这不仅体现在贷款接受率上，也体现在借款人的认知上。这些结果表明，借款人的软信息是关系贷款人决策过程的重要组成部分。

引用次数: 0

Deposit flows and the January effect in deposit rates 存款流量和存款利率的一月效应

IF 3.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-08-28 DOI: 10.1111/jfir.12430

Vladimir Kotomin, Artem Meshcheryakov

Noninterest‐bearing deposits (NIBDs) flow out of U.S. banks in January and February. Banks respond to this seasonal outflow by increasing interest‐bearing deposit (IBD) rates. We document that branch‐level deposit spreads are 4 to 11 basis points higher in January than in December. Increasing rates works as banks replace four‐fifths of the lost NIBDs with IBDs. We also find that, following NIBD outflows, banks resist cutting lending but pass the increases in the cost of funds onto borrowers. Banks do cut lending in response to total deposit outflows, but only in the pre‐crisis period.

1 月和 2 月，无息存款（NIBD）从美国银行流出。银行通过提高计息存款（IBD）利率来应对这种季节性外流。根据我们的记录，1 月份分行一级的存款利差比 12 月份高出 4 到 11 个基点。由于银行用 IBD 取代了五分之四流失的 NIBD，因此提高利率起到了作用。我们还发现，在无担保银行同业拆借资金流出后，银行会抵制削减贷款，但会将资金成本的增加转嫁给借款人。银行确实会因总存款外流而削减贷款，但仅限于危机前时期。

引用次数: 0

The impact of changing disclosure requirements, competition, and private capital on firm exit methods and premiums 不断变化的披露要求、竞争和私人资本对企业退出方式和溢价的影响

IF 3.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-08-26 DOI: 10.1111/jfir.12431

James C. Brau, Ninon K. Sutton, Qiancheng Zheng

Changing disclosure requirements and the evolution of US markets in the 21st century have created historic shifts in the exit strategies and payoffs for private firms. The propensity to sell to an acquirer has dominated firm exits in recent decades, especially for smaller private firms in highly concentrated industries. Exceptions to the merger exit preference are venture capital‐backed firms, which exhibit an enduring preference for IPOs, likely due to the reputation effects associated with this strategy. While the premium for IPO exits has exceeded that for M&A exits in the past, we document a reversal in this pricing trend: in more recent years firms that sell out earn higher risk‐adjusted premiums than firms that conduct IPOs. Our empirical tests examine potential drivers of this effect. We believe we are the first to document this reversal in the economics of the exit decision.

不断变化的信息披露要求和 21 世纪美国市场的演变，使私营企业的退出战略和回报发生了历史性转变。近几十年来，向收购方出售的倾向一直主导着企业的退出，尤其是对于高度集中行业中的小型私营企业而言。风险投资支持的公司是并购退出偏好的例外，它们表现出对首次公开募股的持久偏好，这很可能是由于与这一战略相关的声誉效应。虽然过去 IPO 退出的溢价超过了并购退出，但我们发现这一定价趋势发生了逆转：近年来，出售退出的公司比进行 IPO 的公司获得了更高的风险调整溢价。我们的实证检验研究了这一效应的潜在驱动因素。我们相信，我们是第一个记录这种退出决策经济学逆转的人。

引用次数: 0

Time‐Series Factor Modeling and Selection 时间序列因子建模与选择

IF 3.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-08-23 DOI: 10.1111/jfir.12429

Michael Michaelides

The article proposes a statistical time‐series factor model that incorporates deterministic orthogonal trend polynomials. Such polynomials allow capturing variation in returns without initially identifying a set of robust time‐series factors. This modeling approach can serve as a coherent basis for testing and selecting the most relevant factors among a set of possible ones. Additionally, it can help identify whether any factors are missing from a time‐series asset pricing model. The use of the proposed model and empirical strategy is illustrated by two empirical applications from the literature, yielding results related to the Fama‐French five‐factor model and the factor zoo.

文章提出了一种包含确定性正交趋势多项式的统计时间序列因子模型。这种多项式可以捕捉收益率的变化，而无需初步确定一组稳健的时间序列因子。这种建模方法可以作为一个连贯的基础，在一系列可能的因素中测试和选择最相关的因素。此外，它还有助于确定时间序列资产定价模型中是否缺少任何因素。本文通过文献中的两个实证应用来说明所提出的模型和实证策略的使用方法，并得出了与法马-弗伦奇五因子模型和因子动物园相关的结果。

引用次数: 0

Do traders overweight experience from first movers? 贸易商是否从先行者那里获得了过多的经验？

IF 3.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-08-07 DOI: 10.1111/jfir.12427

Naomi Boyd, Shenru Li

We examine empirically how trading by peers on a new platform influences others' adoption decisions. We model the adoption process and find the relation to be U‐shaped, with first movers greatly discouraging their peers from adoption and late movers slightly discouraging or encouraging their peers. Further analysis shows that the U‐shape is explained by social transmission bias rather than profitability.

我们通过实证研究了同行在新平台上的交易如何影响他人的采用决定。我们对采用过程进行建模，发现这种关系呈 U 型，先行者会极大地阻碍同行采用新平台，而后来者则会轻微地阻碍或鼓励同行采用新平台。进一步的分析表明，这种 U 型关系是由社会传播偏差而不是盈利能力造成的。

引用次数: 0

Treasury auction method and underpricing: Evidence from Iceland 国债拍卖方法与定价不足：冰岛的证据

IF 3.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research

Pub Date : 2024-08-07 DOI: 10.1111/jfir.12428

Antoine Noel, Mark Wu

The Central Bank of Iceland replaced the discriminatory method used for auctioning treasury securities with the uniform‐price method in 2009. We analyze underpricing before and after this institutional reform with a sample of 516 auctions organized from 2000 to 2018. After controlling for auction characteristics and financial market conditions, we find that underpricing is lower under the uniform‐price method. However, this underpricing decline does not translate into a reduction in sovereign issuance cost. The emergence of overpricing, observed in the late part of our sample, coincides with the growing importance of commissions paid to primary dealers. Our results provide practical implications for governments, regulators, and market participants.

冰岛中央银行于 2009 年用统一价格法取代了国库券拍卖中使用的歧视性方法。我们以 2000 年至 2018 年组织的 516 次拍卖为样本，分析了这一制度改革前后的定价偏低情况。在控制了拍卖特征和金融市场条件后，我们发现统一价格法下的定价偏低。然而，定价不足的下降并没有转化为主权发行成本的降低。我们在样本后期观察到定价过高的现象，这与支付给一级交易商的佣金的重要性日益增加不谋而合。我们的研究结果为政府、监管机构和市场参与者提供了实际意义。

引用次数: 0

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