《Journal of Financial Economics》2017年第5期目录｜摘要

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Original 2017-05-26 全进姜悦 会计学术联盟

会计学术联盟第七期Seimnar(武汉，5.28)｜旁听报名

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本期目录

1. Financial dependence and innovation: The case of public versus private firms

2.Dark pooltrading strategies, market quality and welfare

3.The value oftrading relations in turbulent times

4.Do exogenous changes in passive institutional ownership affect corporate governance and firmvalue?

5.Compensationgoals and firm performance

6.Uncovering expected returns: Information in analyst coverage proxies

7.Socioeconomicstatus and learning from financial information

8.It pays to writewell

9.Credit defaultswaps, exacting creditors and corporate liquidity management

10.Variance riskpremiums and the forward premium puzzle

本期摘要

1. Financial dependence and innovation:The case of public versus private firms

Viral Acharya（New York University）

Zhaoxia Xu（New York University）

Abstract

In this paper, weexamine the relation between innovation and a firm’s financial dependence usinga sample of privately held and publicly traded US firms. We find that publicfirms in external finance dependent industries spend more on research anddevelopment and generate a better patent portfolio than their privatecounterparts. However, public firms in internal finance dependent industries donot have a better innovation profile than private firms. The results are robustto various empirical strategies that address selection bias. The findings indicatethat the influence of public listing on innovation depends on the need forexternal capital.

2. Dark pool trading strategies, marketquality and welfare

Sabrina Buti（University of Toronto）

Barbara Rindi（Bocconi University and IGIER）

Ingrid Werner（Ohio State University）

Abstract

We show that whena continuous dark pool is added to a limit order book that opens illiquid, bookand consolidated fill rates and volume increase, but spread widens, depthdeclines, and welfare deteriorates. The adverse effects on market quality andwelfare are mitigated when book-liquidity builds but so are the positiveeffects on trading activity. All effects are stronger when traders’ valuationsare less dispersed, access to the dark pool is greater, horizon is longer, andrelative tick size larger.

3. The value of trading relations inturbulent times

Marco Di Maggio（Harvard Business School, and NBER）

Amir Kermani（University of California, and NBER）

Zhaogang Song（The John Hopkins Carey Business School）

Abstract

This paperinvestigates how dealers’ trading relations shape their trading behavior in thecorporate bond market. Dealers charge lower spreads to dealers with whom theyhave the strongest ties and more so during periods of market turmoil.Systemically important dealers exploit their connections at the expense ofperipheral dealers as well as clients, charging higher markups than to othercore dealers. Also, intermediation chains lengthened by 20% following thecollapse of a flagship dealer in 2008 and even more for institutions stronglyconnected to this dealer. Finally, dealers drastically reduced their inventoryduring the crisis.

4. Do exogenous changes in passiveinstitutional ownership affect corporate governance and firm value?

Cornelius Schmidt（Norwegian School of Economics (NHH), andDirectorate-General for Competition, European Commission）

Rüdiger Fahlenbrach（Ecole Polytechnique Fédérale de Lausanne (EPFL)）

Abstract

We investigatewhether corporations and their executives react to an exogenous change inpassive institutional ownership and alter their corporate governance structure.We find that exogenous increases in passive ownership lead to increases in CEOpower and fewer new independent director appointments. Consistent with thesechanges not being beneficial for shareholders, we observe negative announcementreturns to the appointments of new independent directors. We also show thatfirms carry out worse mergers and acquisitions after exogenous increases inpassive ownership. These results suggest that the changed ownership structurecauses higher agency costs.

5. Compensation goals and firmperformance

Benjamin Bennett（Ohio State University）

Carr Bettis（Arizona State University）

RadhakrishnanGopalan（Washington University）

Todd Milbourn（Washington University）

Abstract

Using a large dataset of performance goals employed in executive incentive contracts, we findthat a disproportionately large number of firms exceed their goals by a smallmargin as compared to the number that fall short of the goal by a similarmargin. This asymmetry is particularly acute for earnings goals, whencompensation is contingent on a single goal, when the pay-performancerelationship around the goal is concave-shaped, and for grants withnon-equity-based payouts. Firms that exceed their compensation target by asmall margin are more likely to beat the target the next period and CEOs offirms that miss their targets are more likely to experience a forced turnover.Firms that just exceed their Earnings Per Share (EPS) goals have higherabnormal accruals and lower Research and Development (R&D) expenditures,and firms that just exceed their profit goals have lower Selling, General andAdministrative (SG&A) expenditures. Overall, our results highlight some ofthe costs of linking managerial compensation to specific compensation targets.

6. Uncovering expected returns:Information in analyst coverage proxies

Charles Lee（Stanford University Graduate School of Business）

Eric So（Massachusetts Institute of Technology SloanSchool of Management）

Abstract

We show thatanalyst coverage proxies contain information about expected returns. Wedecompose analyst coverage into abnormal and expected components using a simplecharacteristic-based model and show that firms with abnormally high analystcoverage subsequently outperform firms with abnormally low coverage byapproximately 80 basis points per month. We also show abnormal coverage risesfollowing exogenous shocks to underpricing and predicts improvements in firms’fundamental performance, suggesting that return predictability stems fromanalysts more heavily covering underpriced stocks. Our findings highlight theusefulness of analysts’ actions in expected return estimations, and a potentialinference problem when coverage proxies are used to study information asymmetryand dissemination.

7. Socioeconomic status and learningfrom financial information

Camelia Kuhnen（University of North Carolina, and NBER）

Andrei Miu（Babes-Bolyai University）

Abstract

The majority oflower socioeconomic status (SES) households in the U.S. and Europe do not havestock investments, which is detrimental to wealth accumulation. Here, weexamine one explanation for this puzzling fact, namely, that economic adversitymay influence how people learn from financial information. Using experimental andsurvey data from the U.S. and Romania, we find that lower SES individuals formmore pessimistic beliefs about the distribution of stock returns and are lesslikely to invest in stocks when these investments are likely to have goodoutcomes. SES-related differences in pessimism may help explain variation ininvestments across households.

8. It pays to write well

Byoung-Hyoun Hwang（Cornell University, and Korea University）

Hugh Hoikwang Kim（University of South Carolina）

Abstract

We quantify theeffects of easy-to-read disclosure documents on firm value by analyzingshareholder reports of closed-end investment companies in which the company’svalue can be estimated separately from the value of the company’s underlying assets.Using a copyediting software application that counts the pervasiveness of themost important ‘writing faults’ that make a document harder to read, ouranalysis provides evidence that issuing financial disclosure documents with lowreadability causes firms to trade at significant discounts relative to thevalue of their fundamentals. Our estimates suggest that a onestandard-deviation decrease in readability decreases firm value by a full 2.5%.In situations in which investors are more likely to rely on annual reports, thereadability effect on firm value increases to 3.3%.

9. Credit default swaps, exactingcreditors and corporate liquidity management

Marti Subrahmanyam（New York University）

Dragon YongjunTang（The University of Hong Kong）

Sarah Qian Wang（University of Warwick）

Abstract

We investigate theliquidity management of firms following the inception of credit default swaps(CDS) markets on their debt, which allow hedging and speculative trading oncredit risk to be carried out by creditors and other parties. We find thatreference firms hold more cash after CDS trading commences on their debt. Theincrease in cash holdings is more pronounced for CDS firms that do not paydividends and have a higher marginal value of liquidity. For CDS firms withhigher cash flow volatility, these increased cash holdings do not entail higherleverage. Overall, our findings are consistent with the view thatCDS-referenced firms adopt more conservative liquidity policies to avoidnegotiations with more exacting creditors.

10. Variance risk premiums and theforward premium puzzle

Juan London（Federal Reserve Board）

Hao Zhou（Tsinghua University）

Abstract

We provide newempirical evidence that world currency and U.S. stock variance risk premiumshave no redundant and significant predictive power for the appreciation ratesof 22 with respect to the U.S. dollar, especially at the four-month andone-month horizons, respectively. The heterogeneous exposures of currencies tothe currency variance risk premium are systematically rising along the line ofinflation risk. We rationalize these findings in a consumption-based assetpricing model, with local consumption uncertainty and global inflationuncertainty characterized, respectively, by the stock and currency variancerisk premiums.

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《审计与经济研究》2017年第1期目录摘要

《审计与经济研究》 2017年第2期目录摘要