FINANCIAL REVIEW最新文献

We use decimalization of the tick size, which exogenously increases stock liquidity and thereby heightens blockholder governance, to identify its effect on corporate social responsibility (CSR). We find that enhanced blockholder governance after decimalization leads to lower excessive CSR performance and higher firm value. Compared to active blockholders, passive blockholders, relying on the threat of selling shares and exiting, drive our results. The inverse relationship between blockholder governance and CSR is more pronounced for firms with poor corporate governance prior to decimalization. Our evidence suggests that blockholder exit threat can serve as a governance device to alleviate agency-driven CSR.

We exploit Employment Non-Discrimination Acts, Paid Family Medical Leave Acts, and Lilly Ledbetter Fair Pay Act as quasi-natural experiments to study the value of talents. Our findings suggest that firms with larger capacity to secure and maintain talent pipelines enjoy higher valuations. We further identify a channel through which talents increase firm value: innovation. The value of talents is more significant among high innovation intensity industries in which talents exhibit their value most evidently. Our findings also indicate that talents are costly to obtain and replace.

We study whether psychological responses to trauma are associated with financial risk-taking behavior. Posttraumatic stress disorder (PTSD) symptoms for individuals, assessed after the traumatic experiences, are used as psychological responses to the events. Individuals who experience moderate-level PTSD symptoms are 1.5% more likely to invest in risky assets, whereas individuals with high-level PTSD symptoms are 2.4% less likely to invest in risky assets. Further analysis suggests that the association between PTSD symptoms and risk-taking comes through a preferences channel rather than a beliefs channel.

We document a dramatic swing of high-beta stock returns around pre-scheduled macroeconomic announcements—from being negative on the day before, to positive on the day of, and negative again on the day after the announcements. A feasible long-short strategy of betting against beta (BAB) and betting on beta (BOB) yields annualized 25.28% return over the 3-day announcement window. We explore potential explanations based on liquidity, risk, and investor risk appetite. Our results show that changes in liquidity, risk, and investor risk appetite around the announcements at best partially account for variations in high-beta stock returns. The finding of our study highlights the dynamic effect of macroeconomic announcements on asset prices.

We present a novel predictor for the Dollar factor: variance risk premia imbalances (VPI), defined as the difference in variance risk premium between the U.S. and non-U.S. countries. We argue that VPI theoretically proxies the average volatility differential between the U.S. and non-U.S. stochastic discount factors. VPI significantly predicts monthly U.S. dollar movements, explains roughly 10% of next-month Dollar factor variation, and generates significant economic value for investors. We rationalize our findings in a simple consumption-based asset pricing model.

This paper investigates how product market competition affects the performance of closely held small and medium enterprises (SMEs) in developing economies. In contrast to prior findings that focus on large publicly traded companies in developed economies, we find that market competition has a negative effect on firm performance. Our findings are robust to different measures of competition and firm performance and survive after addressing endogeneity issues. We provide evidence that the adverse effect of competition is channeled through increased corruption. Our findings further suggest that firms respond to competition by attempting to acquire more financial resources and government support, adopt quality improvement and cost reduction policies. The adverse effect of competition is especially strong for smaller firms.

We examine the mechanism by which social media sentiment affects stock prices. Specifically, we assess the impact of Twitter feeds on stock returns at the intraday level. We find that an increase in buyer-initiated trades has a significantly positive price impact. This impact, however, is stronger with an increase in the number of tweets and sentiment, and persists even after controlling for volatility, liquidity shock, and limit-order activity. The impact of Twitter sentiment on prices causes a lingering mispricing effect that is not fully assimilated at the intraday level. Rather, this mispricing takes several days to correct.

We explore investment efficiency before and after a spin-off to assess whether post-spinoff managerial structure helps maintain investment efficiency. Our findings reveal that the investment efficiency of parent firms remains significant when there is a clear separation of management between the parent and spun-off firms. However, a considerable decline in efficiency is observed after the spin-off in cases where there is overlapping management. This decrease in efficiency is particularly pronounced when the parent and spun-off firms operate in different industries and are geographically distant from each other. Furthermore, we show that inefficient alignment of incentives for the overlapped management exacerbates this decline in investment efficiency.

We employ a time-varying price of risk model that allows us to track the change in prices of risk. We find that the output gap generates the time-varying prices of market and momentum risks, but the exposures to the output gap have the opposite signs. In contrast, we do not observe that the output gap is linked to time variations in the prices of value and investment risks. We uncover that the output gaps impact the prices of market risk for European and Japanese portfolios, while there are weak relationships between the prices of momentum risk and output gaps.

The emergence of digital financial technology emerges as a promising solution, allowing banks to leverage unique digital footprints to alleviate information asymmetry and mitigate the light asset company's financing constraints. Through a theoretical analysis, we reveal that the digital transformation of banks significantly increases loan allocations to SMEs within the cultural industry. This development toward inclusive finance is further substantiated by robust empirical evidence, indicating a notable alleviation of financing constraints, and confirming the quantitative and structural transmission pathways influenced by bank digitalization.