顶级财务期刊-JFQA- 2020年第2期十篇会计与财务类文章

Journal of Financial 

& Quantitative Analysis

Volume 55   Issue2

目录

★

1.Stock Return Asymmetry: Beyond Skewness 

Lei Jiang, Ke Wu, Guofu Zhou, Yifeng Zhu 

2.The Real Effect of Smoking Bans: Evidence from Corporate Innovation

Huasheng Gao, Po-Hsuan Hsu, Kai Li, Jin Zhang 

3.Media Coverage and the Cost of Debt 

Haoyu Gao, Junbo Wang, Yanchu Wang, Chunchi Wu,  Xi Dong 

4.Employee-Manager Alliances and Shareholder Returns from Acquisitions

Ronald W. Masulis, Cong Wang, Fei Xie 

5.Competition and Operating Volatilities around the World 

Tanakorn Makaew, Vojislav Maksimovic 

6.Googling Investor Sentiment around the World 

Zhenyu Gao, Haohan Ren, Bohui Zhang 

7.Are Generalists Beneficial to Corporate Shareholders?Evidence from Exogenous Executive Turnovers 

André Betzer, Hye Seung (Grace) Lee, Peter Limbach, Jesus M. Salas 

8.Venture Capital Communities 

Amit Bubna, Sanjiv R. Das, and Nagpurnan,Prabhala 

9.Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times 

Rutger-Jan Lange, Daniel Ralph, Kristian Støre 

10.Rhetoric, Reality, and Reputation: Do CSR and Political Lobbying Protect Shareholder Wealth against Environmental Lawsuits? 

Chelsea Liu, Chee Seng Cheong, Ralf Zurbruegg 

摘要

壹

Stock Return Asymmetry: Beyond Skewness

Lei Jiang

Tsinghua University School of Economics and Management

Ke Wu

Renmin University of China Hanqing Advanced Institute of Economics and Finance

Guofu Zhou

Washington University in St. Louis Olin Business School

Yifeng Zhu

Central University of Finance and Economics School of Finance.

Abstract：In this article, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that the greater upside asymmetries calculated using our new measures imply lower average returns in the cross section of stocks. In contrast, when using the skewness measure, the relationship between asymmetry and returns is inconclusive. 

贰

The Real Effect of Smoking Bans: Evidence from Corporate Innovation

Huasheng Gao

Fudan University Fanhai International

 School of Finance

Po-Hsuan Hsu

National Tsing Hua University College of Technology Management and National Taiwan University Center for Research in Econometric Theory and Applications

Kai Li

UBC Sauder School of Business, University of British Columbia

Jin Zhang

Monash University Business School

Abstract：We identify a positive causal effect of healthy working environments on corporate innovation, using the staggered passage of U.S. state-level laws that ban smoking in workplaces.We fifind a signifificant increase in patents and patent citations for fifirms headquartered in states that have adopted such laws relative to fifirms headquartered in states without such laws. The increase is more pronounced for fifirms in states with stronger enforcement of such laws and in states with weaker preexisting tobacco controls. We present suggestive evidence that smoke-free laws affect innovation by improving inventor health and productivity and by attracting more productive inventors. 

叁

Media Coverage and the Cost of Debt

Haoyu GaoRenmin University of China Hanqing Advanced Institute of Economics and FinanceJunbo WangCity University of Hong Kong Department of Economics and FinanceYanchu WangShanghai University of Finance and Economics and Shanghai Institute of International Finance and EconomicsChunchi WuState University of New York at Buffalo School of ManagementXi DongBaruch College Department of Economics and Finance

Abstract：This paper investigates the relation between media coverage and offering yield spreads using a comprehensive dataset of 5,338 industrial bonds issued from 1990 to 2011. We fifind that media coverage is negatively associated with fifirms’ cost of debt. This association is robust to controlling for standard yield determinants, different model specififications, and endogeneity. We identify 4 economic channels through which media coverage inflfluences the cost of debt: Information asymmetry, governance, liquidity, and default risk. Importantly, media coverage has an independent inflfluence beyond the effects of these economic mechanisms and is not a proxy for other fifirm attributes. 

肆

Employee-Manager Alliances and Shareholder Returns from Acquisitions

Ronald W. MasulisUniversity of New South Wales, UNSW Business SchoolCong WangThe Chinese University of Hong KongFei XieUniversity of Delaware Lerner College of Business & Economics and ECGI

Abstract：We examine the potential for management-worker alliances when employees have substantial voting rights, and how such alliances affect the balance of power between managers and shareholders. We fifind that substantial employee voting rights exacerbate the manager shareholder conflflicts. Specififically, they entrench incumbent managers and allow them to pursue value-destroying acquisitions by undercutting the disciplinary inflfluence of the corporate control market. Importantly, employee support for managers is conditional on favorable treatment of employees. Our fifindings are consistent with Pagano and Volpin’s theory of worker-management alliances and highlight the potential risks associated with large employee voting power. 

伍

Competition and Operating Volatilities

around the World

Tanakorn MakaewSecurities and Exchange CommissionVojislav MaksimovicUniversity of Maryland Smith School of Business

Abstract：Numerous papers have shown that developing economies are more volatile. We show that,despite greater aggregate and industry stability, performance and size of individual fifirms indeveloped countries are more volatile. In developing countries, market imperfections insulate incumbent fifirms from competition. Consistent with this, fifirms in developing countries have higher profifit, higher market concentration, and less capital raising. Cross-country differences in operating risk and competition intensity are greater in industries that are dependent on external fifinance, where we expect higher impacts of capital-market imperfections.We show the inverse relation between aggregate and fifirm-level volatilities has important implications for international studies of cash holding.

陆

Googling Investor Sentiment around

 the World

Zhenyu GaoChinese University of Hong Kong Business SchoolHaohan RenFudan University School of ManagementBohui ZhangChinese University of Hong Kong Shenzhen Finance Institute and the School of Management and Economics

Abstract：We study how investor sentiment affects stock prices around the world. Relying on households’ Google search behavior, we construct a weekly measure of sentiment for 38 countries during 2004–2014. We validate the sentiment index in tests using sports outcomes and show that the sentiment measure is a contrarian predictor of country-level market returns. Furthermore, we document an important role of global sentiment in stock markets.

柒

Are Generalists Beneficial to Corporate Shareholders? Evidence from Exogenous Executive Turnovers

André BetzerUniversity of Wuppertal Schumpeter School of Business and EconomicsHye Seung (Grace) LeeFordham University Gabelli School of BusinessPeter LimbachUniversity of Cologne (Department of Business Administration and Finance) and Centre for Financial Research (CFR)Jesus M. SalasLehigh University College of Business and Economics

Abstract：This study fifinds a positive, economically meaningful impact of generalist chief executive offificers (CEOs) on shareholder value using 164 sudden deaths and 345 non-sudden exogenous turnovers. The higher a departing CEO’s general ability index (GAI), independently and relative to her successor, the lower is the abnormal stock return to turnover announcements. Returns reflflect post-turnover changes in operating performance. Further,CEOs’ and successors’ GAIs are signifificantly positively related, but only for non-sudden turnovers. Consistently, for sudden deaths, we fifind positive stock returns to appointments of generalist successors. The results provide a market-based explanation for the generalist pay premium. 

捌 

Venture Capital Communities

Amit BubnaCornerstone ResearchSanjiv R. DasSanta Clara University Leavey School of BusinessNagpurnanand PrabhalaJohns Hopkins University and University of Maryland College Park

Abstract：Although venture capitalists (VCs) can choose from thousands of potential syndicate partners, many co-syndicate with small groups of preferred partners. We term these groups “VC communities.” We apply computational methods from the physical sciences to 3 decades of syndication data to identify these communities. We fifind that communities comprise VCs that are similar in age, connectedness, and functional style but undifferentiated in spatial location. Machine-learning tools classify communities into 3 groups roughly ordered by their age and reach. Community VC fifinancing is associated with faster maturation and greater innovation, especially for early-stage fifirms without an innovation history. 

玖

Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times

Rutger-Jan Lange

Erasmus University Rotterdam Econometric Institute

Daniel Ralph

University of Cambridge Judge Business School

Kristian Støre

Nord University Business School

Abstract：We provide a new framework for valuing multidimensional real options where opportunities to exercise the option are generated by an exogenous Poisson process, which can be viewed as a liquidity constraint on decision times. This approach, which we call the Poisson optional stopping times (POST) method, fifinds the value function as a monotone sequence of lower bounds. In a case study, we demonstrate that the frequently used quasianalytic method yields a suboptimal policy and an inaccurate value function. The proposed method is demonstrably correct, straightforward to implement, reliable in computation,and broadly applicable in analyzing multidimensional option-valuation problems. 

拾

Rhetoric, Reality, and Reputation: Do CSR

and Political Lobbying

Protect Shareholder Wealth against

Environmental Lawsuits?

Chelsea Liu

University of Adelaide Business School

Chee Seng Cheong

University of Adelaide Business School

Ralf Zurbruegg

University of Adelaide Business School

Abstract：We investigate whether firms’ corporate social responsibility (CSR) reputations and environmental lobbying efforts protect shareholder wealth in the event of environmental lawsuits. Using a sample of lawsuits fifiled in United States Federal Courts, we fifind that fifirms with superior CSR reputations suffer worse market reactions to environmental allegations.In contrast, lobbying cushions fifiling-date valuation losses, providing insurance-like protection against lawsuits. Our results are robust to subsample analyses, a falsifification test,propensity score matching, and alternative empirical proxies and model specififications.

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整理：席佳慧 郑州升达经贸管理学院本科生

编辑：何艳敏  重庆理工大学研究生

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副主编：高佳欣  郑州大学本科生

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