Journal of Financial Research最新文献

We use a Japanese dataset with unique regulatory features to examine information absorption in stocks with short-selling constraints. Japanese stock exchanges place short-sales restrictions on a specific subset of stocks and have distinctive regulations pertaining to seasoned equity offerings (SEOs). In sharp contrast to the United States, no offer-related information is released on the Japanese SEO issue date. We observe a significant price reaction on the issue date only for short- sales restricted stocks, manifested when additional shares are introduced. We posit that the phenomenon is attributable to short-sales restrictions causing a delayed reaction to the stale publicly available information, to which the market has already reacted at its announcement.

We examine the impact of customer horizontal mergers on suppliers' cash holdings. We show that suppliers strategically reduce their cash holdings after the merger to counteract the increased bargaining power of merged customers. This effect is more pronounced when the supplier relies on customers and less when the supplier operates in a concentrated industry. Consistent with the bargaining power hypothesis of cash holdings, we find that cash-reducing suppliers experience higher postmerger cash-flow margins. Finally, we show that suppliers are more likely to use cash reserves to finance their research and development investments to credibly reduce liquidity.

I empirically estimate a discount for lack of marketability (DLOM) term structure for restriction periods up to 10 years. I model the multi-year DLOM by annually compounding the 1-year DLOM plus a term premium over the restriction period. I fit the model to a sample of 5,333 private equity placement implied DLOMs between 1985 and 2017. I estimate different DLOM term structures for the last and earlier pre-initial public offering (IPO) private equity transactions. DLOM term structures exhibit level, slope, and curvature shifts similar to an interest rate term structure.

Newly public incumbents (NPIs) experience negative price reactions to industry followers' initial public offerings (IPOs). We find that deploying IPO proceeds rapidly amplifies the negative impact of peer IPOs. These effects are larger for unprofitable NPIs and smaller for NPIs with better capital market access. Our findings underscore the importance of maintaining financial flexibility over the pursuit of a first-mover advantage in shaping NPIs' performance.

Newborn funds disproportionately hold popular stocks, representing long-lived strategic choices. This suggests that when choosing strategies in which to launch new funds, families do not consider only expectations for their own performance but also consider investor sentiment toward those strategies. The two motives for entry result in an interaction effect between competitive entry and strategy popularity, which affects performance and flows for both existing and newborn funds. Newborn funds' expectations for performance are partly driven by fund manager skill in those strategies, but this is not the only factor, leaving a role for time-varying investment opportunities.

We construct a new investor sentiment index by exploiting the information of the sentiment proxies with the sliced inverse regression approach. We show that the new index is a strong negative predictor of future aggregate stock returns in both in-sample and out-of-sample tests. Further evidence indicates that the new sentiment index generates large utility gains for a mean-variance investor who optimally allocates between equities and risk-free assets. In addition, we show that this sentiment index exhibits the strongest return predictability for portfolios sorted on size, value, momentum, and industry.

We explore how social capital influences small business lending under the Small Business Administration (SBA) program. We find that banks reduce loan spreads for SBA borrowers located in counties with high social capital. This effect is stronger among SBA Express lenders or when lenders face higher information asymmetry, but weaker during periods of more government assistance and SBA guarantee. Firms located in higher social capital counties are also less likely to default on their loans. Overall, our findings highlight the role of social capital—as an important source of soft information— in the pricing and performance of small business loans.

In this article, I use a total timing measure that differentiates between cash-flow timing and discount-rate timing to assess value creation among actively managed US equity mutual funds. My findings indicate that some funds exhibit cash-flow timing skills. Collectively, the top 20% of timing funds generate $3.4 billion annually in constant January 2000 dollars. Both sector rotation and individual stock selection contribute to executing timing techniques. Skilled timing funds shift their stockholdings toward cyclical sectors when anticipating positive changes in aggregate cash flows and toward defensive sectors when anticipating negative changes. Sector funds demonstrate similar cash-flow timing skills through their individual stock bets.

We examine how mutual funds' trading and performance respond to corporate misconduct. We exploit a combined dataset of corporate misconduct and holding information of mutual funds and find that mutual funds tend to not only sell but also buy more stocks of corporations with misconduct. Moreover, the exposure to misconduct stocks is negatively related to mutual funds' future performance. The top quintile portfolio of funds with the highest level of misconduct exposure underperforms the bottom quintile by 1.57% to 1.97% on an annualized basis. This performance gap is wider when it is easier for fund managers to gain information advantages.

We examine the cross-section of credit default swap (CDS) returns by forming CDS portfolios based on the implied volatility curves of equity options. We document that CDS protection sellers earn higher average returns for: (1) firms with higher at-the-money implied volatility and (2) firms with steeper volatility skew when conditioning on high implied volatility. We find that, relative to bond returns, CDS returns are better explained by our proposed measures interacted with standard credit determinants. Our reasoning is that the large degree of informed trading in the CDS market makes it more in sync with the equity options market, which is also known to attract informed traders.