SSCI顶级期刊-JFE-2020年第3期目录及摘要

张梦瑶孙玥会计学术联盟 2023-02-24

The Journal of Financial Economics (JFE) is a leading peer-reviewed academic journal covering theoretical and empirical topics in financial economics. It provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.

Journal Metrics

CiteScore: 7.34

Impact Factor: 4.693

5-Year Impact Factor: 7.976

Source Normalized Impact per Paper (SNIP): 4.942

SCImago Journal Rank (SJR): 13.636

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Journal of Financial Economics

Volume135 issue3

[1].Empirical analysis of corporate tax reforms: What is the null and where did it come from?

Christopher A. Hennessy, Akitada Kasahara, Ilya A. Strebulaev

[2].Leveraged buyouts and bond credit spreads

Yael Eisenthal-Berkovitz, Peter Feldhütter, Vikrant Vig

[3].Do fire sales create externalities?

Sergey Chernenko, Adi Sunderam

[4].Betting against correlation: Testing theories of the low-risk effect

Cliff Asness, Andrea Frazzini, Niels Joachim Gormsen, Lasse Heje Pedersen

[5].Are early stage investors biased against women?

Michael Ewens, Richard R. Townsend

[6].Employment effects of unconventional monetary policy: Evidence from QE

Stephan Luck, Tom Zimmermann

[7].Governance through shame and aspiration: Index creation and corporate behavior

Akash Chattopadhyay, Matthew D. Shaffer, Charles C.Y. Wang

[8].Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns

Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas, A. Doruk Gunaydin

[9].Pricing structured products with economic covariates

Yong Seok Choi, Hitesh Doshi, Kris Jacobs, Stuart M. Turnbull

[10].Time series momentum: Is it there?

Dashan Huang, Jiangyuan Li, Liyao Wang, Guofu Zhou

[11].A comparison of some structural models of private information arrival

Jefferson Duarte, Edwin Hu, Lance Young

[12].Portfolio rebalancing in general equilibrium

Miles S. Kimball, Matthew D. Shapiro, Tyler Shumway, Jing Zhang

Empirical analysis of corporate tax reforms: What is the null and where did it come from?

Christopher A. Hennessy

London Business School, Regent’s Park, London, NW1 4SA, UK

CEPR, 33 Great Sutton St, Clerkenwell, London EC1V 0DX, UK

ECGI, c/o the Royal Academies of Belgium, Palace of the Academies, Rue Ducale 1 Hertogsstraat, Brussels 1000, Belgium

Akitada Kasahara

Graduate School of Economics, Osaka University, 1-7 Machikaneyama, Toyonaka, Osaka, 560-0043, Japan

Ilya A. Strebulaev

Corresponding author at: Graduate School of Business, Stanford University, 655 Knight Way, Stanford, CA 94305, USA.

Abstract：Absent theoretical guidance, empiricists have been forced to rely upon numerical comparative statics from constant tax rate models in formulating testable implications of tradeoff theory in the context of natural experiments. We fill the theoretical void by solving in closed-form a dynamic tradeoff theoretic model in which corporate taxes follow a Markov process with exogenous rate changes. We simulate ideal difference-in-differences estimations, finding that constant tax rate models offer poor guidance regarding testable implications. While constant rate models predict large symmetric responses to rate changes, our model with stochastic tax rates predicts small, asymmetric, and often statistically insignificant responses. Even with very long regimes (one decade), under plausible parameterizations, the true underlying theory—that taxes matter—is incorrectly rejected in about half the simulated natural experiments. Moreover, tax response coefficients are actually smaller in simulated economies with larger tax-induced welfare losses.

Keywords：Capital structure， Corporate taxation， Difference-in-differences estimation， Natural experiments， Tradeoff model

Leveraged buyouts and bond credit spreads

Yael Eisenthal-Berkovitz

Arison School of Business, IDC Herzliya, Israel

Peter Feldhütter

Copenhagen Business School, Solberg Plads 3, A4.02, 2000 Frederiksberg, Denmark

Vikrant Vig

London Business School, Regent’s Park, London NW1 4SA, UK

Abstract：Recent decades have witnessed several waves of buyout activity. We find leveraged buyouts (LBOs) to be a significant concern for bondholders by showing that a) intra-industry credit spreads increase upon an LBO announcement, b) yields on bonds without event risk covenants are, on average, 21 basis points higher than those on same-firm bonds with such covenants, and c) structural models calibrated to historical LBO events imply an impact of 18–21 basis points on 10-year credit spreads. The impact is strongest in expansion periods and for bonds with maturities of 10–20 years.

Keywords：Credit spreads，LBO risk，Structural models，Leveraged buyouts

Do fire sales create externalities?

Sergey Chernenko

Krannert School of Management, Purdue University, 403W. State Street, West Lafayette, IN 47907, United States

Adi Sunderam

Harvard University and NBER, Harvard Business School, Baker Library 359, Boston, MA 02163, United States

Abstract：We develop three novel measures of the incentives of equity mutual funds to internalize the price impact of their trading. We show that mutual funds with stronger incentives to internalize their price impact accommodate inflows and outflows by adjusting their cash buffers instead of trading in portfolio securities. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results provide evidence of meaningful fire sale externalities in the equity mutual fund industry.

Keywords：Fire sales，Liquidity management，Mutual funds

Betting against correlation: Testing theories of the low-risk effect

Cliff Asness

AQR Capital Management, LLC, Two Greenwich Plaza, Greenwich, CT 06830, USA

Andrea Frazzini

AQR Capital Management, LLC, Two Greenwich Plaza, Greenwich, CT 06830, USA

Niels Joachim Gormsen

University of Chicago, Booth School of Business, 5807 South Woodlawn Avenue, Chicago, IL 60637, USA

Lasse Heje Pedersen

AQR Capital Management, LLC, Two Greenwich Plaza, Greenwich, CT 06830, USA

Department of Finance, Copenhagen Business School, A4.12, Solbjerg Plads 3, 2000 Frederiksberg, Denmark

Centre for Economic Policy Research (CEPR), London, UK

Abstract：We test whether the low-risk effect is driven by leverage constraints and, thus, risk should be measured using beta versus behavioral effects and, thus, risk should be measured by idiosyncratic risk. Beta depends on volatility and correlation, with only volatility related to idiosyncratic risk. We introduce a new betting against correlation (BAC) factor that is particularly suited to differentiate between leverage constraints and behavioral explanations. BAC produces strong performance in the US and internationally, supporting leverage constraint theories. Similarly, we construct the new factor SMAX to isolate lottery demand, which also produces positive returns. Consistent with both leverage and lottery theories contributing to the low-risk effect, we find that BAC is related to margin debt while idiosyncratic risk factors are related to sentiment.

Keywords：Asset pricing，Leverage constraints，Lottery demand，Margin，Sentiment

Are early stage investors biased against women?

Michael Ewens

California Institute of Technology, 1200 E California Blvd, MC 228-77, Pasadena, CA 91125

Richard R. Townsend

University of California San Diego, Rady School of Management, 9500 Gilman Dr, La Jolla, CA 92093

Abstract：We study whether early stage investors have gender biases using a proprietary data set from AngelList that allows us to observe private interactions between investors and fundraising startups. We find that male investors express less interest in female entrepreneurs compared to observably similar male entrepreneurs. In contrast, female investors express more interest in female entrepreneurs. These findings do not appear to be driven by within-gender screening/monitoring advantages or gender differences in risk preferences. Moreover, the male-led startups that male investors express interest in do not outperform the female-led startups they express interest in—they underperform. Overall, the evidence is consistent with gender biases.

Keywords：Gender gap， Entrepreneurship， Angel investors， Bias

Employment effects of unconventional monetary policy: Evidence from QE

Stephan Luck

Federal Reserve Bank of New York, 33 Liberty St, New York City, NY 10045, United States

Tom Zimmermann

University of Cologne, Universitätsstr. 24, Building 101, 50937 Cologne, Germany

Abstract：This paper investigates employment effects of the Federal Reserve’s quantitative easing policies (QE) via a bank lending channel. We find that banks with higher mortgage-backed securities holdings refinanced relatively more mortgages after the first round of QE, which increased local consumption and employment in the nontradable goods sector. In contrast, banks increased lending to firms and home purchase mortgage origination after the third round of QE, which led to a sizable increase in overall employment. Our findings are supported by new confidential loan-level data that show firms with stronger ties to affected banks increased employment and capital investment more during QE3.

Keywords：Bank lending channel，Quantitative easing

Governance through shame and aspiration: Index creation and corporate behavior

Akash Chattopadhyay

University of Toronto, Canada

Matthew D. Shaffer

University of Southern California, Marshall School of Business, Los Angeles, CA 90089, United States

Charles C.Y. Wang

Harvard Business School, Boston, MA 02163, United States

Abstract：After decades of de-prioritizing shareholders’ economic interests and low corporate profitability, Japan introduced the JPX-Nikkei400 in 2014. The index highlighted the country’s “best-run” companies by annually selecting the 400 most profitable of its large and liquid firms. We find that managers competed for inclusion in the index by significantly increasing return on equity (ROE), and they did so at least in part due to their reputational or status concerns. The ROE increase was predominantly driven by improvements in margins, which were in turn partially driven by cutting research and development (R&D) intensity. Our findings suggest that indexes can affect managerial behavior through reputational or status incentives.

Keywords：JPX-Nikkei 400 index，Corporate governance，Index inclusion，Reputation incentives，Status incentives

Return on equity，Capital efficiency，Social norms

Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns

Yigit Atilgan

Sabanci University, School of Management, Orhanli Tuzla 34956, Istanbul, Turkey

Turan G. Bali

Georgetown University, McDonough School of Business, Washington, D.C. 20057, USA

K. Ozgur Demirtas

Sabanci University, School of Management, Orhanli Tuzla 34956, Istanbul, Turkey

A. Doruk Gunaydin

Sabanci University, School of Management, Orhanli Tuzla 34956, Istanbul, Turkey

Abstract：This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the US and international countries. We provide a behavioral explanation to this anomaly based on the idea that investors underestimate the persistence in left-tail risk and overprice stocks with large recent losses. Thus, low returns in the left-tail of the distribution persist into the future causing left-tail return momentum. We find that the left-tail risk anomaly is stronger for stocks that are more likely to be held by retail investors, that receive less investor attention, and that are costlier to arbitrage.

Keywords：Left-tail risk，Momentum，Equity returns，Retail investors，Costly arbitrage，Investor inattention

Pricing structured products with economic covariates

Yong Seok Choi

Federal Home Loan Bank of Des Moines, 909 Locust St, Des Moines, IA 50309, United States

Hitesh Doshi

C.T. Bauer College of Business, University of Houston, 4750 Calhoun Rd, Houston, TX 77004, United States

Kris Jacobs

C.T. Bauer College of Business, University of Houston, 4750 Calhoun Rd, Houston, TX 77004, United States

Stuart M. Turnbull

C.T. Bauer College of Business, University of Houston, 4750 Calhoun Rd, Houston, TX 77004, United States

Abstract：We introduce a top-down no-arbitrage model for pricing structured products. Losses are described by Cox processes whose intensities depend on economic variables. The model provides economic insight into the impact of structured products on financial institutions’ risk exposure and systemic risk. We estimate the model using CDO data and find that spreads decrease with higher interest rates and increase with volatility and leverage. Volatility is the primary determinant of variation in tranche spreads. Leverage and interest rates are more closely associated with rare credit events. Model-implied risk premiums and the probabilities of tranche losses increase substantially during the financial crisis.

Keywords：Structured product，Collateralized debt obligation，Tranche pricing，Economic determinants，Risk premiums

Time series momentum: Is it there?

Dashan Huang

Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, 178899, Singapore

Jiangyuan Li

Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, 178899, Singapore

Liyao Wang

School of Economics, Singapore Management University, 90 Stamford Road, 178903, Singapore

Guofu Zhou

Olin School of Business, Washington University in St. Louis, 1 Brookings Drive, St. Louis, MO 63130, USA

China Academy of Financial Research (CAFR), 211 West Huaihai Road, Shanghai 200030, China

Abstract：Time series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return and is the focus of several recent influential studies. This paper shows that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and nonparametric bootstraps. From an investment perspective, the TSM strategy is profitable, but its performance is virtually the same as that of a similar strategy that is based on historical sample mean and does not require predictability. Overall, the evidence on TSM is weak, particularly for the large cross section of assets.

Keywords：Time series momentum，Risk premium，Return predictability，Pooled regression

A comparison of some structural models of private information arrival

Jefferson Duarte

Jesse H. Jones School of Business at Rice University, 321 McNair Hall, MS 531, 6100 Main Street, Houston, TX 77005, USA

Edwin Hu

US Securities and Exchange Commission, 100 F St NE, Washington, DC 20549, USA

Lance Young

Michael G. Foster School of Business at the University of Washington, 428 PACCAR Hall, Box 353226, Seattle, WA 98195, USA

Abstract：We show that the PIN and the Duarte and Young (2009) (APIN) models do not match the variability of noise trade in the data and that this limitation has severe implications for how these models identify private information. We examine two alternatives to these models, the Generalized PIN model (GPIN) and the Odders-White and Ready (2008) model (OWR). Our tests indicate that measures of private information based on the OWR and GPIN models are promising alternatives to the APIN’s Adj. PIN and PIN.

Keywords：Liquidity，Information asymmetry

Portfolio rebalancing in general equilibrium

Miles S. Kimball

University of Colorado, United States

NBER, United States

Matthew D. Shapiro

University of Michigan, United States

NBER, United States

Tyler Shumway

University of Michigan, United States

Jing Zhang

Federal Reserve Bank of Chicago, United States

Abstract：This paper develops an overlapping generations model of optimal rebalancing where agents differ in age and risk tolerance. Equilibrium rebalancing is driven by a leverage effect that influences levered and unlevered agents in opposite directions, an aggregate risk tolerance effect that depends on the distribution of wealth, and an intertemporal hedging effect. After a negative macroeconomic shock, relatively risk-tolerant investors sell risky assets, while more risk-averse investors buy them. Owing to interactions of leverage and changing wealth, however, all agents have higher exposure to aggregate risk after a negative macroeconomic shock and lower exposure after a positive shock.

Keywords：Household finance，Portfolio choice，Heterogeneity in risk tolerance and age

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