文献速递｜Journal of Financial and Quantitative Analysis

文献速递｜Journal of Financial and Quantitative Analysis | 2017年第2期

Original 2017-06-25 全进陈前前 会计学术联盟会计学术联盟

今6月25截稿｜会计学术联盟第八期Seminar(石大,7月8-9日)

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CONTENT

1. Upper Bounds on Return Predictability

2.Best Practice for Cost-of-Capital Estimates

3.Institutional Investment Constraints and Stock Prices

4.The Timing and Source of Long-Run Returns Following Repurchases

5.CEO Tournaments: A Cross-Country Analysis of Causes, Cultural Influences, and Consequences

6.The Effect of Labor Unions on CEO Compensation

7.CEO Turnover–Performance Sensitivity in Private Firms

8.Policy Uncertainty and Mergers and Acquisitions

9.Why Do Short Sellers Like Qualitative News?

10.Stapled Financing, Value Certification, and Lending Efficiency

11.Informed Trading around Stock Split Announcements: Evidence from the Option Market

12.Information Characteristics and Errors in Expectations: Experimental Evidence

13.Gender and Board Activeness: The Role of a Critical Mass

14.Should Indirect Brokerage Fees Be Capped? Lessons from Mutual Fund Marketing and Distribution Expenses

15.Annual Report Readability, Tone Ambiguity, and the Cost of Borrowing

ABSTRACT

1. Upper Bounds on Return Predictability

Journal of Financial and Quantitative Analysis 2017年4月

Dashan Huang (Singapore Management University)

Guofu Zhou (Washington University)

Can the degree of predictability found in data be explained by existing asset pricing models? We provide two theoretical upper bounds on the of predictive regressions. Using data on the market portfolio and component portfolios, we find that the empirical s are significantly greater than the theoretical upper bounds. Our results suggest that the most promising direction for future research should aim to identify new state variables that are highly correlated with stock returns instead of seeking more elaborate stochastic discount factors.

2.Best Practice for Cost-of-Capital Estimates

Journal of Financial and Quantitative Analysis 2017年4月

Yaron Levi (University of Southern Californial)

Ivo Welch ( University of California at Los Angeles）

Cost-of-capital assessments with factor models require quantitative forward-looking estimates. We recommend estimating Vasicek-shrunk betas with 1-4 years of daily stock returns and then shrinking betas a second time (and more for smaller stocks and longer-term projects), because the underlying betas are themselves time-varying. Such estimators also work well in other developed countries and for small-minus-big (SMB) and high-minus-low (HML) exposures. If own historical stock returns are not available, peer betas based on market cap should be used. Historical industry averages have almost no predictive power and should never be used.

3.Institutional Investment Constraints and Stock Prices

Journal of Financial and Quantitative Analysis 2017年4月

Jie Cao (Chinese University of Hong Kong)

Bing Han (University of Toronto, Shanghai Jiao Tong University)

Qinghai Wang (University of Central Florida)

We test the hypothesis that investment constraints in delegated portfolio management may distort demand for stocks, leading to price underreaction to news and stock return predictability. We find that institutions tend not to buy more of a stock with good news that they already overweight; they are reluctant to sell a stock with bad news that they already underweight. Stocks with good news overweighted by institutions subsequently significantly outperform stocks with bad news underweighted by institutions. The impact of institutional investment constraints sheds new light on asset pricing anomalies such as stock price momentum and post–earnings announcement drift.

4.The Timing and Source of Long-Run Returns Following Repurchases

Journal of Financial and Quantitative Analysis 2017年4月

Leonce Bargeron (University of Kentucky)

Alice Bonaime (University of Arizona)

Shawn Thomas (University of Pittsburgh)

This paper investigates the timing and source of anomalous positive long-run abnormal returns following repurchase authorizations. Returns between program authorization and completion announcements are indistinguishable from 0. Abnormal returns occur only after completion announcements. Long-run returns are largely attributable to announcement returns at subsequent authorizations and takeover attempts; that is, anomalous post-authorization returns are not persistent drifts but rather step functions. These findings have important implications for prior papers examining this most persistent and widespread anomaly. Further, our results serve to refocus the search for a rational explanation for the anomaly on subsequent repurchase announcements and takeover bids.

5.CEO Tournaments: A Cross-Country Analysis of Causes, Cultural Influences, and Consequences

Journal of Financial and Quantitative Analysis 2017年4月

Natasha Burns (University of Texas at San Antonio)

Kristina Minnick (Bentley University)

Laura Starks (University of Texas at Austin)

Using a cross-country sample, we examine the chief executive officer (CEO) tournament structure (measured alternatively as the ratio and the difference of pay between the CEO and other top executives within a firm). We find the tournament structure to vary systematically with firm and country cultural characteristics. In particular, firm size and the cultural values of power distance, fair income differences, and competition are significantly associated with variations in tournament structures. We also establish support for the primary implication of tournament theory in that tournament structure tends to be positively related to firm value, even after controlling for endogeneity.

6.The Effect of Labor Unions on CEO Compensation

Journal of Financial and Quantitative Analysis 2017年4月

Qianqian Huang ( City University of Hong Kong)

Feng Jiang (State University of New York–Buffalo)

Erik Lie (University of Iowa)

Tingting Que ( University of Alabama in Huntsville)

We find evidence that labor unions affect chief executive officer (CEO) compensation. First, we find that firms with strong unions pay their CEOs less. The negative effect is robust to various tests for endogeneity, including cross-sectional variations and a regression discontinuity design. Second, we find that CEO compensation is curbed before union contract negotiations, especially when the compensation is discretionary and the unions have a strong bargaining position. Third, we report that curbing CEO compensation mitigates the chance of a labor strike, thus providing a rationale for firms to pay CEOs less when facing strong unions.

7.CEO Turnover–Performance Sensitivity in Private Firms

Journal of Financial and Quantitative Analysis 2017年4月

Huasheng Gao ( Nanyang Technological University)

Jarrad Harford (University of Washington)

Kai Li (University of British Columbia)

We compare chief executive officer (CEO) turnover in public and large private firms. Public firms have higher turnover rates and exhibit greater turnover–performance sensitivity (TPS) than private firms. When we control for pre-turnover performance, performance improvements are greater for private firms than for public firms. We investigate whether these differences are due to differences in quality of accounting information, the CEO candidate pool, CEO power, board structure, ownership structure, investor horizon, or certain unobservable differences between public and private firms. One factor contributing to public firms’ higher turnover rates and greater TPS appears to be investor myopia.

8Policy Uncertainty and Mergers and Acquisitions

Journal of Financial and Quantitative Analysis 2017年4月

Nam Nguyen (Université du Québec à Montréal)

Hieu Phan (University of Massachusetts Lowell)

This research examines the relationship between policy uncertainty and mergers and acquisitions (M&As). We find that policy uncertainty is negatively related to firm acquisitiveness and positively related to the time it takes to complete M&A deals. In addition, policy uncertainty motivates acquirers to use stock for payment and to pay lower bid premiums. Acquirers, on average, create larger shareholder value from M&A deals undertaken during periods of high policy uncertainty, which is attributable to their prudence as well as the wealth transfer from the financially constrained targets to acquirers.

9.Why Do Short Sellers Like Qualitative News?

Journal of Financial and Quantitative Analysis 2017年4月

Bastian von Beschwitz ( Federal Reserve Board)

Oleg Chuprinin (University of New South Wales)

Massimo Massa (INSEAD Finance Department)

Short sellers trade more on days with qualitative news, that is, news containing fewer numbers. We show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days. We document that liquidity and noise trading increase in the presence of qualitative news, enabling short sellers to better disguise their informed trades. Natural experiments support our findings. Qualitative news has a bigger effect on short sellers’ trading after a decrease in liquidity following the stock’s deletion from the Standard & Poor’s 500 index and a smaller effect when investor attention is distracted by the Olympic Games.

10.Stapled Financing, Value Certification, and Lending Efficiency

Journal of Financial and Quantitative Analysis 2017年4月

Hadiye Aslan (Georgia State University)

Praveen Kumar ( University of Houston)

We examine whether financing commitments from a target firm’s financial advisor, in the form of stapled financing, provide certification of target value. Using a data set of leveraged buyouts spanning 2002–2011, and addressing endogeneity issues, we find that stapled financing has significant positive effects on sellers’ shareholder wealth, especially for targets suffering from greater adverse selection. Stapled financing facilitates deal financing by allowing buyers to obtain lower-cost and longer-maturity debt, and it is positively associated with bidding intensity. Investment banks offering stapled financing appear to trade off higher expected advisory fees against loss of lending efficiency ex post.

11.Informed Trading around Stock Split Announcements: Evidence from the Option Market

Journal of Financial and Quantitative Analysis 2017年4月

Philip Gharghori (Monash University)

Edwin Maberly (Monash University)

Annette Nguyen (Deakin University)

Prior research shows that splitting firms earn positive abnormal returns and that they experience an increase in stock return volatility. By examining option-implied volatility, we assess option traders’ perceptions on return and volatility changes arising from stock splits. We find that they do expect higher volatility following splits. There is only weak evidence, though, of option traders anticipating an abnormal increase in stock prices. We also show that our option measures can predict both stock volatility levels and changes after the announcement. However, there is little evidence that they can predict the returns of splitting firms.

12.Information Characteristics and Errors in Expectations: Experimental Evidence

Journal of Financial and Quantitative Analysis 2017年4月

Constantinos Antoniou (University of Warwick)

Glenn Harrison (Georgia State University)

Morten Lau (Durham University)

Daniel Read (University of Cape Town)

We design an experiment to test the hypothesis that, in violation of Bayes’ rule, some people respond more forcefully to the strength of information than to its weight. We provide incentives to motivate effort, use naturally occurring information, and control for risk attitude. We find that the strength–weight bias affects expectations but that its magnitude is significantly lower than originally reported. Controls for nonlinear utility further reduce the bias. Our results suggest that incentive compatibility and controls for risk attitude considerably affect inferences on errors in expectations.

13.Gender and Board Activeness: The Role of a Critical Mass

Journal of Financial and Quantitative Analysis 2017年4月

Miriam Schwartz-Ziv (Michigan State University)

This study analyzes detailed minutes of board meetings of business companies in which the Israeli government holds a substantial equity interest. Boards with at least 3 directors of each gender are found to be at least 79% more active at board meetings than those without such representation. This phenomenon is driven by women directors in particular; they are more active when a critical mass of at least 3 women is in attendance. Gender-balanced boards are also more likely to replace underperforming chief executive officers (CEOs) and are particularly active during periods when CEOs are being replaced.

14.Should Indirect Brokerage Fees Be Capped? Lessons from Mutual Fund Marketing and Distribution Expenses

Journal of Financial and Quantitative Analysis 2017年4月

Natalie Oh (University of New South Wales)

Jerry Parwada (University of New South Wales)

Eric Tan (University of Otago)

Theory predicts that capping brokers’ compensation exacerbates the exploitation of retail investors. We show that regulated caps on mutual fund 12b-1 fees, effectively sales commissions, are associated with negative equity fund performance, but only after a structural shift toward maximum permitted levels of the fees around 2000. Past this break point, flow–performance sensitivity shifts from the middle- to the highest-performing funds, suggesting that the fee cap increases performance-chasing behavior by constraining brokers’ incentives to learn about lower-ranked funds. The policy implication is that regulators must reevaluate the efficacy of caps on brokerage fees.

15.Annual Report Readability, Tone Ambiguity, and the Cost of Borrowing

Journal of Financial and Quantitative Analysis 2017年4月

Mine Ertugrul (University of Massachusetts Boston)

Jin Lei (Brock University)

Jiaping Qiu (McMaster University)

Chi Wan (University of Massachusetts Boston)

This paper investigates the impact of a firm’s annual report readability and ambiguous tone on its borrowing costs. We find that firms with larger 10-K file sizes and a higher proportion of uncertain and weak modal words in 10-Ks have stricter loan contract terms and greater future stock price crash risk. Our results suggest that the readability and tone ambiguity of a firm’s financial disclosures are related to managerial information hoarding. Shareholders of firms with less readable and more ambiguous annual reports not only suffer from less transparent information disclosure but also bear the increased cost of external financing.

资料整理：全进

本期编辑：全进

本期审核：陈前前