Journal of Financial Research最新文献

Using data on newly issued corporate bonds and syndicated loans, we investigate the effects of the Federal Reserve's interventions during the pandemic on corporate debt activity. We document heterogeneous effects for participation rates across firm credit ratings and debt maturity, consistent with a default risk channel of policy transmission. Investment-grade firms disproportionately participate in debt markets following the Fed's announcements, which is driven by the riskiest firms (A and BBB ratings). We also find that BBB and BB-rated firms drive increased participation in short-term debt markets. These results provide evidence that the Fed's interventions improved credit market access to investment-grade firms and the highest-rated noninvestment-grade firms.

We examine the effects of U.S. bank mergers on listed U.S. borrowers. Target bank borrowers receive lower loan spreads and no change in loan amount post-merger in comparison to pre-merger. In contrast, acquiring bank borrowers receive an increase in loan amount and a relatively small decrease in loan spread in the post-merger period. Analysis shows that these benefits are available only when borrowers have bargaining power through lending relationships with non-merging banks. We examine how borrower size, merger type, bank size, and borrower relationship intensity affect our results. Overall, our analysis suggests that efficiency gains from bank consolidation outweigh market power effects.

We explore the asset pricing implication of the commodity tail risk, constructed by aggregating individual commodity's exposure to left-tail realizations of systematic risks, in cross-sectional stock returns. Using Chinese data from 2005 to 2022, we find that the risk-adjusted return differential between extreme portfolios is highly significant at 1.39% per month. The economic rationale is that a high level of commodity tail risk signals adverse economic conditions, and stocks that hedge the tail risk offer a low premium. Our findings highlight the informational role of commodity futures prices and the link between commodity and equity markets in China.

On July 14, 1992, the U.S. Equal Employment Opportunity Commission (EEOC) implemented a policy that caps punitive damage payouts from discrimination litigation at different employee counts allowing for a “difference-in-discontinuities” design. I find that these kink points incentivize firms to restrict their number of employees, which reduces their maximum discrimination litigation exposure to between 40% and 60% of their yearly median revenues. In turn, firm growth decreases for firms below these EEOC thresholds after the implementation of the policy. These firms reduce financing and are not motivated to decrease growth by relative changes in cash flows from discrimination risk exposure.

Stock prices of targets in all-stock merger deals should reflect acquirer share values, net of expected dividend payments before deal completion. This setting provides a unique opportunity to examine whether market prices of target stocks reflect the price reducing impact of impending acquirer dividends. We find evidence that target stock returns on the acquirer ex-day are negatively related to the size of the dividend payments, indicating an incomplete adjustment on the last cum-day. However, given the size of typical quarterly dividends, the magnitude of the estimated 30% incomplete adjustment to the dividend does not represent a viable arbitrage opportunity. Examining a longer window, we find that roughly 70% of the acquirer dividend is incorporated into the target stock price in the period two days after the dividend announcement to the ex-day. Overall, our results are consistent with target stock prices adjusting slowly over time to reflect impending acquirer dividends.

We show that deviations from the firm's target leverage are priced in the cross-section of stock returns and that the relation between these quantities is nonlinear. The concave nonlinear relation between deviation from the target leverage and next-period return is strong during economic expansions and vanishes during recessions. Our portfolio analysis provides support for the concave relation between deviation from the target leverage and next-period returns as well. We develop a factor named variance of deviation from optimal leverage (VDOL) and show that it is an important risk factor that has been omitted in the literature.

Differing from prior literature, this article suggests dividends are positively associated with financial strength for both financial institutions (i.e., banks) and non-financial firms (i.e., industrials), and that this relationship is much more pronounced for banks. We also find that the signaling impacts of dividend changes on financial strength are asymmetric for these two groups as a decrease (increase) in dividends is more powerful than an increase (decrease) for banks (industrials). This suggests that dividend cuts send a more significant negative signal of bank financial strength than similar decreases by industrial firms, and that dividend increases say more about industrials' improvements in financial strength than those by banks. Similar to dividends, share repurchases are indications of financial strength for industrials but not for banks. This suggests that share repurchases serve more as a buffer (substitute) of dividends for banks (industrials).

Using import competition from China as a funding shock, we find that banks curtail small business loans in non-exposed counties, while preserving their core markets with branch presence. The results are robust to alternative measures of bank exposure to import competition, alternative classifications of exposed counties, placebo tests, reverse causality, and others. Bank capital mitigates the propagation of trade shocks to non-exposed counties, and banks increase small business lending in non-exposed counties with less social capital. We also document the effects of import competition on local establishments and private sector wages of non-exposed counties via the bank lending channel.

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.

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.