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Democracy and stock market returns 民主与股市回报
IF 3.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-04-28 DOI: 10.1111/jfir.12402
Xun Lei, Tomasz Piotr Wisniewski
In this article, we empirically examine the relation between democracy level and stock index returns in a sample of 74 countries. Compared with democracies, autocratic states are characterized by lower returns despite exhibiting higher return volatility. Even though this higher volatility can be mostly attributed to diversifiable country‐specific risk, the capital asset pricing model cannot explain the return differential. Instead, it is the level of investor protection that can fully account for the phenomenon described here. Autocratic leaders may be reluctant to promulgate regulations shielding investors, and the resultant expropriation depresses the returns realized by outsiders.
在本文中,我们以 74 个国家为样本,对民主水平与股指回报率之间的关系进行了实证研究。与民主国家相比,专制国家的回报率较低,但回报率波动性较大。尽管这种较高的波动性主要归因于可分散的特定国家风险,但资本资产定价模型无法解释收益率差异。相反,投资者保护水平可以完全解释这里描述的现象。专制的领导人可能不愿意颁布保护投资者的法规,由此产生的征用压低了外部投资者实现的回报。
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引用次数: 0
Military independent directors and merger activity 军事独立董事和兼并活动
IF 1.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-04-26 DOI: 10.1111/jfir.12401
Zhe Li, Megan Ramsey

In this article, we examine the relation between independent directors with past military service and merger activity. We find that firms with a greater proportion of independent directors with military experience complete fewer mergers, and the deals are of smaller value. Our results are robust to instrumental variable estimation. The reduction in merger and acquisition activity is concentrated in firms with weak CEOs, suggesting independent directors with military service do not improve firm agency problems.

在本文中,我们研究了曾在军队服役的独立董事与兼并活动之间的关系。我们发现,具有从军经历的独立董事比例越高的公司完成的兼并越少,交易的价值也越小。我们的结果对工具变量估计是稳健的。并购活动的减少主要集中在首席执行官较弱的公司,这表明有服兵役经历的独立董事并不能改善公司的代理问题。
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引用次数: 0
Predictable time‐series biases in analyst target prices and stock returns 分析师目标价格和股票回报中可预测的时间序列偏差
IF 3.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-04-17 DOI: 10.1111/jfir.12400
Ahmadreza Vafaeimehr
Target prices often draw criticism because of their optimistic nature and lack of substantial investment value. I provide evidence that removing predictable time‐series biases in target prices significantly improves the information content of these estimates. Empirical tests do not support that these benefits stem from market underreaction to predictable biases. Instead, evidence indicates the informativeness of unbiased estimates about priced risk factors beyond common factors. Unbiasing target prices may improve their ability to capture time‐series momentum. Finally, I delve into the methodological facets of the unbiasing procedure, leading to the development of frameworks that possess tangible practical relevance.
目标价格往往因其乐观性质和缺乏实质性投资价值而招致批评。我提供的证据表明,消除目标价格中可预测的时间序列偏差可显著提高这些估计值的信息含量。实证检验并不支持这些优势源于市场对可预测偏差的反应不足。相反,有证据表明,无偏估计值对普通因素以外的定价风险因素具有信息含量。无偏目标价格可能会提高其捕捉时间序列动量的能力。最后,我将深入探讨无偏程序的方法论层面,从而制定出具有实际意义的框架。
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引用次数: 0
The asset growth return premium and anchoring on the 52‐week high 资产增长回报溢价和锚定 52 周高点
IF 3.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-04-12 DOI: 10.1111/jfir.12399
Benjamin M. Blau, Brad Cannon
Research shows that year‐over‐year growth in a firm's assets is associated with a negative stock return premium. A possible explanation for this premium is based on mispricing correction, due in part to investors' overvaluation related to investment. In this article, we argue that a correction of any type is more likely to occur when stock prices are further away from their 52‐week high. To the extent that the 52‐week high acts as a viable anchor, when stocks are closer to this anchor, investors might become less inclined to contribute to the typical downward correction for these types of growth firms. In several tests, we find that stocks that are furthest away exhibit the strongest return premium. The return premium, however, begins to disappear as stocks approach their 52‐week high. These results are robust to various risk factors and cross‐sectional tests that include several firm‐specific characteristics.
研究表明,公司资产的逐年增长与负股票回报溢价相关。对这种溢价的一种可能解释是基于错误定价修正,部分原因是投资者对投资的高估。在本文中,我们认为当股价距离 52 周高点较远时,任何类型的修正都更有可能发生。如果 52 周高点是一个可行的锚点,那么当股价更接近这个锚点时,投资者可能就不太愿意促使这类成长型企业出现典型的向下修正。在多项测试中,我们发现距离最高点最远的股票表现出最强的回报溢价。然而,当股票接近 52 周高点时,回报溢价开始消失。这些结果对各种风险因素和包含若干公司特定特征的横截面测试都是稳健的。
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引用次数: 0
Bond pairs and the term structure 债券对和期限结构
IF 1.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-03-28 DOI: 10.1111/jfir.12396
Antonio Diaz, Miles Livingston

In the US Treasury bond market, the existence of a bond pair (two bonds with the same maturity but different coupons) is shown to allow the computation of the zero-coupon interest rate for that maturity directly from the bond prices, as well as the zero-coupon interest rates for adjacent maturity bonds with the same number of coupon payments. Since the 2008–2009 financial crisis, the number of bond pairs has increased, allowing for the direct estimation from bond prices of the zero-coupon interest rates for an average of 180 individual maturities for bond maturities between 6 months and 30 years. The bond pairs approach outperforms popular yield-curve-fitting models in accurately reproducing original bond prices.

在美国国债市场上,债券对(期限相同但票面利率不同的两张债券)的存在表明,可以直接从债券价格计算出该期限债券的零息票利率,以及票面支付次数相同的相邻期限债券的零息票利率。自 2008-2009 年金融危机以来,债券对的数量有所增加,从而可以根据债券价格直接估算出平均 180 个期限在 6 个月至 30 年之间的债券的零息票利率。在准确再现原始债券价格方面,债券对方法优于流行的收益率曲线拟合模型。
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引用次数: 0
Social connections and innovation in diversified conglomerates 多元化企业集团的社会联系与创新
IF 1.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-03-28 DOI: 10.1111/jfir.12395
Tomas Jandik, Tatiana Salikhova

We study the effect of social connections between divisional managers and CEO on the scale and success of innovation activities in US diversified conglomerates. Divisional managers who previously worked or studied with the CEO file a greater number of patents during their tenure at the segment. These patents receive more citations in the future and represent a greater scientific and economic value. To provide causal support for our findings, we exploit plausibly exogenous variation in connections caused by CEO nonperformance-related retirements. The difference-in-differences estimation shows that after the CEO leaves the office, connected segments experience a drop in the quantity and quality of innovation activities. The effect of connections to the CEO on innovation outcomes is stronger in firms with high internal information asymmetry. These findings can imply that social connections help to mitigate adverse selection problems associated with risky R&D investments.

我们研究了部门经理与首席执行官之间的社会关系对美国多元化企业集团创新活动的规模和成功的影响。曾与首席执行官共事或学习过的部门经理在其任职期间会申请更多的专利。这些专利将来会得到更多的引用,代表着更高的科学和经济价值。为了给我们的发现提供因果支持,我们利用了首席执行官非绩效退休所导致的看似外生的联系变化。差分估计结果表明,在首席执行官离职后,与之有联系的部门在创新活动的数量和质量上都有所下降。在内部信息高度不对称的企业中,与首席执行官的联系对创新结果的影响更大。这些发现意味着,社会关系有助于缓解与高风险研发投资相关的逆向选择问题。
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引用次数: 0
Intraday variation in trading costs: Evidence from the TSPP 交易成本的日内变化:来自 TSPP 的证据
IF 1.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-03-18 DOI: 10.1111/jfir.12394
Justin Cox, Bonnie Van Ness, Robert Van Ness

We examine changes in the intraday pattern of trading costs between pilot and control stocks during the US Securities and Exchange Commission tick size pilot program (TSPP). We find that intraday trading costs are relatively unchanged between pilot and control stocks in pre- and post-TSPP periods. We find that differences in trading costs between pilot and control stocks during the TSPP are lower in the morning and greater toward the close. We also find that intraday differences in quoted depth between pilot and control stocks during the TSPP is lower at the beginning of the day, increases during the day, and falls toward the close of trading.

我们研究了在美国证券交易委员会股票代码规模试点计划(TSPP)期间,试点股票与对照股票之间的日内交易成本模式的变化。我们发现,在 TSPP 之前和之后,试点股票和控制股票的日内交易成本相对没有变化。我们发现,在 TSPP 期间,试点股票和对照股票之间的交易成本差异在上午较小,在临近收盘时较大。我们还发现,在试点方案期间,试点股票与对照股票之间的日内报价深度差异在交易日开始时较低,在交易日期间增大,并在收盘时减小。
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引用次数: 0
How does the JOBS act affect the rule 144A market? JOBS 法案对 144A 市场有何影响?
IF 1.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-03-03 DOI: 10.1111/jfir.12392
Kelly Cai, Hui Zhu

In this article, we examine the effects of Title II of the Jumpstart Our Business Startups (JOBS) Act on the cost and issue size of Rule 144 debts for a sample from 2002 to 2019. We find that after the enactment of the JOBS Act, the average cost (issue size) of the Rule 144 A offers decreases (increases) significantly. The findings are robust after controlling for issue-, issuer-, and country-specific characteristics as well as market conditions. Evidence based on the propensity-score-matched sample, including public debt issues, subsample analyses, difference-in-differences tests, and alternative event windows, further shows that domestic firms benefit more from the JOBS Act as they have a greater reduction in the cost of debt and increase in the issue size. Overall, our results are consistent with the increased investor base hypothesis and suggest that Title II of the JOBS Act satisfies Congress's goal of making it more cost efficient for Rule 144 A issuers.

在本文中,我们以 2002 年至 2019 年为样本,研究了《启动我们的创业公司(JOBS)法案》第二章对第 144 条债务的成本和发行规模的影响。我们发现,在《JOBS 法案》颁布后,第 144 条 A 类要约的平均成本(发行规模)显著下降(上升)。在控制了发行、发行人和国家的具体特征以及市场条件后,研究结果是稳健的。基于倾向得分匹配样本(包括公共债务发行)、子样本分析、差异检验和替代事件窗口的证据进一步表明,国内企业从《JOBS 法案》中获益更多,因为它们的债务成本降低得更多,发行规模扩大得更多。总体而言,我们的研究结果与投资者基数增加的假说一致,并表明《JOBS 法案》第二章满足了国会的目标,即提高第 144 A 条发行人的成本效率。
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引用次数: 0
Toeholds and information quality in common-value takeover auctions 共同价值收购拍卖中的 "脚手架 "和信息质量
IF 1.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-02-29 DOI: 10.1111/jfir.12393
Anna Dodonova

In this article I analyze the effect of the sensitivity of firm value on the information available to potential acquirers in common-value takeover auctions with toeholds. I show that the quality of information does not affect equilibrium when bidders have equal toeholds but has a significant effect when toeholds are different. My article demonstrates that increasing the relative information quality of the bidder with a smaller toehold makes both bidders bid more aggressively and leads to a higher price. I also analyze the combined effect of toeholds and information quality on equilibrium bidding strategies and discuss ways target shareholders can increase the expected final price.

在本文中,我分析了在有脚趾持股的共同价值收购拍卖中,公司价值的敏感性对潜在收购者可用信息的影响。我的研究表明,当竞购者的趾持股比例相同时,信息质量不会影响均衡,但当趾持股比例不同时,信息质量会产生显著影响。我的文章证明,提高脚趾持股量较小的竞标者的相对信息质量,会使两个竞标者的出价都更加激进,从而导致更高的价格。我还分析了脚趾持股量和信息质量对均衡投标策略的综合影响,并讨论了目标股东提高预期最终价格的方法。
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引用次数: 0
Threats to human capital: The effect of health risk on corporate financial policy 对人力资本的威胁:健康风险对公司财务政策的影响
IF 1.5 3区 经济学 Q3 BUSINESS, FINANCE Pub Date : 2024-02-21 DOI: 10.1111/jfir.12391
Özde Öztekin

I examine the relation between threats to human capital and corporate financial policy using morbidity and mortality data related to infectious diseases. I observe a strong association between deteriorating health and declines in leverage, which seems to be influenced by increasing human capital costs offsetting debt benefits. Firms consider reducing debt as a strategic response to perceived employee valuation of human capital insurance, which tends to be affected by a disease-induced rise in human capital costs. This association appears more pronounced in technology firms, distressed firms, and labor-intensive firms, and during higher disease-induced labor uncertainty, with some moderation by labor unions.

我利用与传染病有关的发病率和死亡率数据,研究了人力资本威胁与公司财务政策之间的关系。我观察到健康状况恶化与杠杆率下降之间存在密切联系,这似乎受到人力资本成本增加抵消债务收益的影响。企业认为减少债务是对员工对人力资本保险估值的一种战略反应,而这种估值往往会受到疾病导致的人力资本成本上升的影响。这种关联在技术型企业、陷入困境的企业和劳动密集型企业中更为明显,在疾病引发的劳动力不确定性较高的情况下也更为明显,但工会在一定程度上起到了调节作用。
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引用次数: 0
期刊
Journal of Financial Research
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