Journal of Financial Economics | 2016年第12期目录摘要

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Journal of Financial Economics

Volume 122, Issue3

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1. Playing it safe? Managerial preferences, risk, and agency conflicts

Todd A. Gormley, David A. Matsa

2. Should we be afraid of the dark? Dark trading and market quality

Sean Foley, Tālis J. Putniņš

3. Failure to refinance

Benjamin J. Keys, Devin G. Pope, Jaren C. Pope

4. Say on pay laws, executive compensation, pay slice, and firm valuation around the world

Ricardo Correa, Ugur Lel

5. Cyclicality, performance measurement, and cash flow liquidity in private equity

David T. Robinson, Berk A. Sensoy

6. Short selling meets hedge fund 13F: An anatomy of informed demand

Yawen Jiao, Massimo Massa, Hong Zhang

7. Information tradeoffs in dynamic financial markets

Efstathios Avdis

8. Socially responsible firms

Allen Ferrell, Hao Liang, Luc Renneboog

9. Limited attention, marital events and hedge funds

Yan Lu, Sugata Ray, Melvyn Teo

10. Have financial markets become more informative?

Jennie Bai, Thomas Philippon, Alexi Savov

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1. Playing it safe? Managerial preferences, risk, and agency conflicts

Todd A. Gormley, David A. Matsa

Journal of Financial Economics, 2016, 122(3):431-455

Abstract：This article examines managers’ incentive to play it safe. We find that, after managers are insulated by the adoption of an antitakeover law, they take value-destroying actions that reduce their firms’ stock volatility and risk of distress. To illustrate one such action, we show that managers undertake diversifying acquisitions that target firms likely to reduce risk, have negative announcement returns, and are concentrated among firms with managers who gain the most from reducing risk. Our findings suggest that instruments typically used to motivate managers, such as greater financial leverage and larger ownership stakes, exacerbate risk-related agency challenges.

2. Should we be afraid of the dark? Dark trading and market quality

Sean Foley, Tālis J. Putniņš

Journal of Financial Economics, 2016, 122(3):456-481

Abstract：We exploit a unique natural experiment—recent restrictions of dark trading in Canada and Australia—and proprietary trade-level data to analyze the effects of dark trading. Disaggregating two types of dark trading, we find that dark limit order markets are beneficial to market quality, reducing quoted, effective, and realized spreads and increasing informational efficiency. In contrast, we do not find consistent evidence that dark midpoint crossing systems significantly affect market quality. Our results support recent theory that dark limit order markets encourage aggressive competition in liquidity provision. We discuss implications for the regulation of dark trading and tick sizes.

3. Failure to refinance

Benjamin J. Keys, Devin G. Pope, Jaren C. Pope

Journal of Financial Economics, 2016, 122(3):482-499

Abstract：Households that fail to refinance their mortgage when interest rates decline lose out on substantial savings. Using a random sample of outstanding US mortgages in December 2010, we estimate that approximately 20% of unconstrained households for whom refinancing was optimal had not done so. The median household would save $160/month over the remaining life of the loan, for a total present-discounted value of forgone savings of $11,500, a particularly large consumer financial mistake. To shed light on possible mechanisms, we also provide results from a mail campaign targeted at a sample of homeowners who could benefit from refinancing.

4. Say on pay laws, executive compensation, pay slice, and firm valuation around the world

Ricardo Correa, Ugur Lel

Journal of Financial Economics, 2016, 122(3):500-520

Abstract：Using a large sample of firms from 38 countries over the 2001–2012 period, this study finds evidence that, following the adoption of say on pay (SoP) laws, chief executive officer (CEO) pay growth rates decline and the sensitivity of CEO pay to firm performance improves. These changes are concentrated in firms with high excess pay and shareholder dissent, long CEO tenure, and less independent boards. Further, the portion of top management pay captured by CEOs is lower in the post-SoP period, which is associated with higher firm valuations. Overall, these results suggest that SoP laws are associated with significant changes in CEO pay policies.

5. Cyclicality, performance measurement, and cash flow liquidity in private equity

David T. Robinson, Berk A. Sensoy

Journal of Financial Economics, 2016, 122(3):521-543

Abstract：We study the liquidity properties of private equity cash flows using data from 837 buyout and venture capital funds from 1984 to 2010. Most cash flow variation at a point in time is diversifiable — either idiosyncratic to a given fund or explained by the fund’s age. Both capital calls and distributions also have a procyclical systematic component. Distributions are more sensitive than calls, implying procyclical aggregate net cash flows. A consequence is that the well-known finding that funds raised in hot markets underperform in absolute terms is sharply attenuated when comparing to public equities. Consistent with a liquidity premium for calling capital in bad times, we find that funds with a relatively high propensity to do so perform better in both absolute and relative terms. Venture capital cash flows and performance are considerably more cyclical than buyout, and the links between cyclical cash flows and performance are likewise stronger.

6. Short selling meets hedge fund 13F: An anatomy of informed demand

Yawen Jiao, Massimo Massa, Hong Zhang

Journal of Financial Economics, 2016, 122(3):544-567

Abstract：The existing literature treats the short side (i.e., short selling) and the long side of hedge fund trading (i.e., fund holdings) independently. The two sides, however, complement each other: opposite changes in the two are likely to be driven by information, whereas simultaneous increases (decreases) of the two may be motivated by hedging (unwinding) considerations. We use this intuition to identify informed demand and document that it exhibits highly significant predictive power over returns (approximately 10% per year). We also find that informed demand forecasts future firm fundamentals, suggesting that hedge funds play an important role in information discovery.

7. Information tradeoffs in dynamic financial markets

Efstathios Avdis

Journal of Financial Economics, 2016, 122(3):568-584

Abstract：In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where it acts as “noise,” in dynamic markets stochastic supply contains information about risk premiums. Acquiring private dividend information helps investors disentangle dividend information from discount-rate information contained in prices. For uninformed investors, however, as more informed investors enter the economy prices become more informative about dividends but less informative about discount rates. This tradeoff creates complementarities in information acquisition and multiple equilibria in the information market.

8. Socially responsible firms

Allen Ferrell, Hao Liang, Luc Renneboog

Journal of Financial Economics, 2016, 122(3):585-606

Abstract：In the corporate finance tradition, starting with Berle and Means (1932), corporations should generally be run to maximize shareholder value. The agency view of corporate social responsibility (CSR) considers CSR an agency problem and a waste of corporate resources. Given our identification strategy by means of an instrumental variable approach, we find that well-governed firms that suffer less from agency concerns (less cash abundance, positive pay-for-performance, small control wedge, strong minority protection) engage more in CSR. We also find that a positive relation exists between CSR and value and that CSR attenuates the negative relation between managerial entrenchment and value.

9. Limited attention, marital events and hedge funds

Yan Lu, Sugata Ray, Melvyn Teo

Journal of Financial Economics, 2016, 122(3):607-624

Abstract：We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event. Busy managers who manage multiple funds and who are not part of a team are more affected by marital transitions. Inattentive managers place fewer active bets relative to their style peers, load more on index stocks, exhibit higher R-squareds with respect to systematic factors, and are more prone to the disposition effect.

10. Have financial markets become more informative?

Jennie Bai, Thomas Philippon, Alexi Savov

Journal of Financial Economics, 2016, 122(3):625-654

Abstract：The finance industry has grown, financial markets have become more liquid, information technology has been revolutionized. But have financial market prices become more informative? We derive a welfare-based measure of price informativeness: the predicted variation of future cash flows from current market prices. Since 1960, price informativeness has increased at longer horizons (three to five years). The increase is concentrated among firms with greater institutional ownership and share turnover, firms with options trading, and growth firms. Prices have also become a stronger predictor of investment, and investment a stronger predictor of cash flows. These findings suggest increased revelatory price efficiency.

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本期小编：南开大学商学院 陈沉 博士

                   河北工业大学 马焕超

本期审核：北京物资学院  陈前前博士