顶级财务期刊，Journal of Financial Economics十三篇文章！
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2021 Financial Markets and Corporate Governance Conference
The Journal of Financial Economics or JFE is a peer-reviewed academic journal covering theoretical and empirical topics in financial economics. Together with the Journal of Finance and the Review of Financial Studies, it is considered to be among the top three finance journals.
Journal of Financial Economics
2021年1月目录摘要
01
目录
Picking funds with confidence
Reputation and investor activism: A structural approach
Windfall gains and stock market participation
Mutual fund flows and fluctuations in credit and business cycles
Common ownership and competition in product market
Are return seasonalities due to risk or mispricing?
Impact investing
Creditor control rights and resource allocation within firms
Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices
Global market inefficiencies
Identifying and boosting “Gazelles”: Evidence from business accelerators
Procyclicality of the comovement between dividend growth and consumption growth
The difference a day makes: Timely disclosure and trading efficiency in the munimarket
02
作者与摘要
1.Picking funds with confidence
Niels Grønborg (Aarhus University and Danish Finance Institute)
Asger Lunde (Aarhus University)
Allan Timmermann (University of California San Diego and Aarhus University)
Russ Wermers (University of Maryland)
Abstract
We
present a new approach to selecting actively managed mutual funds that
uses both portfolio holdings and fund return information to eliminate
funds with predicted inferior performance through a sequence of pairwise
fund comparisons. Our methodology determines both the number of skilled
funds and their identities, and locates funds with substantially higher
risk-adjusted returns than those identified by conventional
alpha-ranking methods. We find strong evidence of time-series variation
in both the number of funds identified as superior using our approach,
as well as in their performance across different economic states.
2.Reputation and investor activism: A structural approach
Travis Johnson (The University of Texas at Austin)Nathan Swem (Board of Governors of the Federal Reserve System)
Abstract
We measure the impact of reputation for proxy fighting on investor activism by estimating a dynamic model in which activists engage a sequence of target firms. Our estimation produces an evolving reputation measure for each activist and quantifies its impact on campaign frequency and outcomes. We find that high reputation activists initiate 3.5 times as many campaigns and extract 85% more settlements from targets, and that reputation-building incentives explain 20% of campaign initiations and 19% of proxy fights. Our estimates indicate these reputation effects combine to nearly double the value that activism adds for target shareholders.
3.Windfall gains and stock market participation
Erik Lindqvist (SOFI, Stockholm University and IFN)Robert Östling (Stockholm School of Economics)
Abstract
We exploit the randomized assignment of lottery prizes in a large administrative Swedish data set to estimate the causal effect of wealth on stock market participation. A $150,000 windfall gain increases the stock market participation probability by 12 percentage points among prelottery nonparticipants but has no discernible effect on prelottery stock owners. A structural life cycle model significantly overpredicts entry rates even for very high entry costs (up to $31,000). Additional analyses implicate pessimistic beliefs regarding equity returns as a major source of this overprediction and suggest that both recent and early-life return realizations affect beliefs.
4.Mutual fund flows and fluctuations in credit and business cycles
Jaewon Choi (University of Illinois at Urbana-Champaign and Yonsei University)Itay Goldstein (University of Pennsylvania)
Abstract
Several
measures of credit-market booms are known to precede downturns in real
economic activity. We offer an early indicator for all known measures of
credit booms. Our measure is based on intra-family flow shifts towards
high-yield bond mutual funds. It predicts indicators such as growth in
financial intermediary balance sheets, increase in shares of high-yield
bond issuers, and downturns of various measures of credit spreads. It
also directly predicts the business cycle by positively predicting GDP
growth and negatively predicting unemployment. Our results provide
support for the investor demand-based narrative of credit cycles and can
be useful for policymakers.
5.Common ownership and competition in product markets
Shawn Thomas (University of Pittsburgh)
Abstract
We
investigate the relation between common institutional ownership of the
firms in an industry and product market competition. We find that common
ownership is neither robustly positively related with industry
profitability or output prices nor is it robustly negatively related
with measures of nonprice competition, as would be expected if common
ownership reduces competition. This conclusion holds regardless of
industry classification choice, common ownership measure, profitability
measure, nonprice competition proxy, or model specification. Our point
estimates are close to zero with tight bounds, rejecting even modestly
sized economic effects. We conclude that antitrust restrictions seeking
to limit intra-industry common ownership are not currently warranted.
6.Are return seasonalities due to risk or mispricing?
Abstract
Stocks tend to earn high or low returns relative to other stocks every year in the same month (Heston and Sadka, 2008). We show these seasonalities are balanced out by seasonal reversals: a stock that has a high expected return relative to other stocks in one month has a low expected return relative to other stocks in the other months. The seasonalities and seasonal reversals add up to zero over the calendar year, which is consistent with seasonalities being driven by temporary mispricing. Seasonal reversals are economically large and statistically highly significant, and they resemble, but are distinct from, long-term reversals.
7.Impact investing
Abstract
We show that investors derive nonpecuniary utility from investing in dual-objective Venture Capital (VC) funds, thus sacrificing returns. Impact funds earn 4.7 percentage points (ppts) lower internal rates of return (IRRs) ex-post than traditional VC funds. In random utility/willingness-to-pay (WTP) models investors accept 2.5–3.7 ppts lower IRRs ex ante for impact funds. The positive WTP result is robust to fund access rationing and investor heterogeneity in fund expected returns. Development organizations, foundations, financial institutions, public pensions, Europeans, and United Nations Principles of Responsible Investment signatories have high WTP. Investors with mission objectives and/or facing political pressure exhibit high WTP; those subject to legal restrictions (e.g., Employee Retirement Income Security Act) exhibit low WTP.
8.Creditor control rights and resource allocation within firms
Abstract
We
examine the within-firm resource allocation and restructuring outcomes
at firms violating debt covenants. Using establishment-level data from
the US Census Bureau, we find that covenant violations are followed by
reductions in employment, investment, and more frequent establishment
closures among violating firms’ noncore business lines and less
productive establishments. These changes are concentrated among
establishments at which manager-shareholder agency costs are pronounced
and when key lenders have industry experience. Our findings suggest that
enhanced creditor control reduces managerial agency costs and
encourages a more efficient allocation of resources within the
boundaries of firms in technical default.
9.Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices
Abstract
We study how disclosure requirements for large short positions affect investor behavior and security prices. Short positions accumulate just below the applicable disclosure threshold as certain investors never disclose any of their positions. Further tests suggest that this secrecy is part of investors’ general policy of avoiding disclosure to protect their unique, profitable investment strategies against reverse engineering by competitors. No evidence supports the notion that short sellers avoid disclosure because of potential adverse effects on securities' lending fees, risk of recall, or short squeezes. Finally, the evasive behavior by short sellers in response to transparency regulations hampers price discovery.
10.Global market inefficiencies
Mark Grinblatt (UCLA Anderson School of Management and NBER)
Abstract
Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially Asia-Pacific, that are unrelated to known anomalies. The strategy's 40–70 basis point per month alpha difference between emerging and developed markets contrast with prior research findings. A country's pre-transaction cost alpha is positively related to its trading costs, but exceeds country-specific institutional trading costs. Thus, global equity markets are inefficient, particularly in countries with quantifiable market frictions, like trading costs, that deter arbitrageurs.
11.Identifying and boosting “Gazelles”: Evidence from business accelerators
Santiago Reyes (Inter-American Development Bank)
Abstract
Why
is high-growth entrepreneurship scarce in developing countries? Does
this scarcity reflect firm capabilities constraints? We explore these
questions using as a laboratory an accelerator in Colombia that selects
participants using scores from randomly assigned judges and offers them
training, advice, and visibility but no cash. Exploiting exogenous
differences in judges’ scoring generosity, we show that alleviating
constraints to firm capabilities unlocks innovative entrepreneurs’
potential but does not transform subpar ideas into high-growth firms.
The results demonstrate that some high-potential entrepreneurs in
developing economies face firm capabilities constraints and accelerators
can help identify these entrepreneurs and boost their growth.
12.Procyclicality of the comovement between dividend growth and consumption growth
Abstract
Duffee
(2005) shows that the amount of consumption risk (i.e., the conditional
covariance between market returns and consumption growth) is
procyclical. In light of this “Duffee Puzzle,” I empirically demonstrate
that the conditional covariance between dividend growth (i.e., the
immediate cash flow part of market returns) and consumption growth is
(1) procyclical and (2) a consistent source of procyclicality in the
puzzle. Moreover, I solve an external habit formation model that
incorporates realistic joint dynamics of dividend growth and consumption
growth. The procyclical dividend-consumption comovement entails two new
procyclical terms in the amount of consumption risk via cash flow and
valuation channels, respectively. These two procyclical terms play an
important role in generating a realistic magnitude of consumption risk.
In contrast to extant habit formation models, the conditional equity
premium no longer increases monotonically when a negative consumption
shock arrives because it might lower the amount of risk while increasing
the price of risk.
13.The difference a day makes: Timely disclosure and trading efficiency in the muni market
Abstract
The Real-Time Transaction Reporting System (RTRS) reduced the delay in reporting municipal bond trades from one-day to 15 min. We find a significant reduction in secondary market trading costs after the introduction of the RTRS. Our estimates imply that retail investors benefited primarily from reduced dealer intermediation costs, while large trades benefited from reductions in bargaining costs. Bonds experienced increases in trading volume across the liquidity spectrum. We find higher dealer capital commitment, longer intermediation chains, and fewer pre-arranged trades, all suggesting increased market-making incentives for dealers. These results are largely consistent with predictions from search-based models.
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