Financial Management最新文献

We explore the effect of debt heterogeneity on the cross-sectional relationship between market leverage and equity returns. Specifically, we discover that firms with high debt heterogeneity exhibit a stronger, positive association between leverage and equity returns. Any alternative economic rationale cannot explain this anomaly. We also find that leverage interacts with debt heterogeneity, making firms with heterogeneous debt structure more financially distressed or constrained. Therefore, this analysis suggests that leverage exerts more pronounced effect on equity returns among firms with heterogeneous debt composition because those firms experience higher financial distress or constraint due to the compounding interaction effect with leverage.

Hassan et al. (2019) quantified firm-specific political risk during corporate conference calls. We argue that this metric captures voluntary risk disclosure by firms rather than just their level of political risk. Studying the impact of political risk disclosure (PRD) on stock price crash risk (SPCR) allows us to test how well their score captures firm-specific risk or disclosure. Consistent with our disclosure perspective, we document that PRD significantly reduces SPCR. Our cross-sectional analyses further indicate that the negative effect of PRD on SPCR is more pronounced for firms with poor monitoring and governance and those with more opaque information environments.

Using several approaches to compute firms’ credit risk correlation, we provide robust empirical evidence that lenders charge higher loan spreads to borrowers with higher credit risk correlation. Consistent with the theoretical literature, we find that the credit risk correlation effect is concentrated in investment-grade firms, driven by tightening lending conditions, and more pronounced for firms with higher rollover risk. We also show that banks whose borrowers have higher average credit risk correlation, have greater default risk themselves. Overall, our results indicate that banks view credit risk correlation as an important risk factor.

We document robust amplification of stock market anomaly returns associated with elevated option trading volume driven by disagreement trades. Consistent with the correction of mispricing associated with biased beliefs, anomaly returns are higher when disagreement option volume is high prior to earnings announcements. Additionally, we demonstrate that disagreement-based option volume is negatively related to future stock returns among stocks that are overpriced based on anomaly characteristics. Our findings also concentrate in stocks that are also difficult to short, emphasizing the combined impact of investor bias and shorting costs. Leveraging the staggered adoption of eXtensible Business Reporting Language, we establish a plausibly identified link between investor disagreement and short-horizon mispricing in stocks.

We show empirically that firms increase cash holdings starting as early as one year before prescheduled (i.e., predictable) elections. Then, for four quarters around elections when uncertainty and external financing costs are high, firms decrease investment and draw down saved cash balances to avoid tapping external financing. We use a dynamic model of firm investment and saving to demonstrate the importance of anticipation of future financing costs to firms' pre-election precautionary saving behavior. Theoretically, if election uncertainty were only to affect potential investment, lower firm investment would result in higher contemporaneous cash balances, which is inconsistent with our empirical results.

I explore the impact of social distancing on trading activity during the COVID-19 pandemic using real-time location tracking data from Facebook users. I find that stocks categorized as “harder-to-value,” which are typically smaller, less transparent, less visible, and less profitable, experience decreased abnormal trading with more social distancing in their headquarters counties. In contrast, “easier-to-value” stocks show an increase in abnormal trading due to high social distancing in their headquarters counties. These findings indicate that greater firm-specific information asymmetry arises from increased social distancing within the firm headquarters counties. Although “easier-to-value” stocks can use alternative information sources to mitigate the information asymmetry, “harder-to-value” stocks fail to do so and face negative impact on trading. Additional analyses using alternative information channels, market sidedness, and liquidity confirm this hypothesis.

By analyzing portfolio holdings, we find that a significant subset of hedged mutual funds (HMFs) and smart-beta exchange-traded funds (ETFs) tilt their portfolios toward well-known anomaly characteristics and that such tilts are highly persistent. Short positions of HMFs are important for amplifying their factor tilts. Moreover, HMFs with large factor tilts outperform corresponding ETFs, or HMFs with contrary tilts, both before and after accounting for implementation costs and fees. We link this outperformance to the use of short positions and higher factor-related returns. Finally, we show that only HMFs achieve similar performance (net of costs) as the academic factors.

Political partisanship significantly shapes firm executives’ economic outlook. We find that firms, whose managers share political alignment with the US president, achieve superior innovation outcomes, including higher patent counts, increased patent citations, and greater patent value. We establish a causal relationship through a difference-in-differences approach, focusing on periods around US presidential elections. This effect is more pronounced in firms with overconfident CEOs and during periods of heightened policy uncertainty, suggesting that partisan optimism stimulates innovation incentives. Firms led by partisan-aligned managers generate patents with greater originality, generality, and an exploratory style.

This study investigates the effect of the US–China trade war on corporate innovation in the context of China. We find that the first-order effect of the trade war on corporate innovation is significantly negative. That is, Chinese firms exposed to the US–China trade war have lower numbers of patent applications and invention patent applications. Underlying mechanisms include reductions in market expansion and innovation input. Our findings are more pronounced for firms connected to the United States and those suffering financial distress and for non-state-owned enterprises. We further contribute to the literature by showing that firms with developed managerial ability, more confident managers, and better corporate social responsibility performance tend to increase innovation for competitiveness in response to the trade war. Finally, we explore the effect of Chinese retaliatory tariff shocks on corporate innovation and find that US tariffs and Chinese retaliatory tariffs hinder corporate innovation in China.

This study examines the influence of corporate site visits on information acquisition and dissemination by independent directors (IDs). Employing two unique sources of data from Chinese listed firms based on the mandatory disclosure of IDs’ (i) site visit activities and (ii) opinions about corporate decisions, we find that the acquisition of firm-specific information and the dissemination of such information to the market are greater among IDs who conduct visits than their counterparts without such visits. Moreover, this effect is more pronounced in firms with complex information environments, in firms with lower proprietary costs, and among IDs with greater internal information asymmetry, superior external information, and stronger incentives and abilities to perform their duties. Furthermore, the firm-specific information disseminated by IDs leads to stronger market reactions and improves stock price efficiency. Our study shows that site visits contribute to the informational role of IDs, and our evidence offers important corporate governance and regulatory implications.