国际顶刊《Journal of Financial Economics》 2022年11期刊文速递！

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本文转载金融学/财务学国际顶级期刊《Journal of Financial Economics》11月目录摘要，提供财务研究领域最新学术动态。

Journal of Financial Economics是国际公认的经济管理类顶级期刊，与Review of Financial Studies和Journal of Finance并称国际顶尖三大财务学期刊。

01. A unified model of distress risk puzzles

作者

Zhiyao Chen (Lingnan University)

Dirk Hackbarth (Boston University and CEPR)

Ilya Strebulaev (Stanford University and NBER)

摘要

We document that (i) debt-to-equity ratios and levered equity betas negatively covary with the market risk premium in distressed firms; (ii) the negative covariance generates negative alphas among those firms. We build a dynamic credit risk model to understand the negative covariance between equity betas and the market risk premium, via endogenous and dynamic debt financing over the business cycles. Because of endogenous debt financing and distress, our model naturally connects the negative failure probability-return relation to the positive distress risk premium-return relation.

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02. Debt dynamics with fixed issuance costs

作者

Luca Benzoni (Federal Reserve Bank of Chicago)

Lorenzo Garlappi (University of British Columbia)

Robert Goldstein (University of Minnesota and NBER)

ChaoYing (Chinese University of Hong Kong Business School)

摘要

We investigate equilibrium debt dynamics for a firm that cannot commit to a future debt policy and is subject to a fixed restructuring cost. We formally characterize equilibria when the firm is not required to repurchase outstanding debt prior to issuing additional debt. For realistic values of issuance costs and debt maturity, the no-commitment policy generates tax benefits that are similar to those obtained by a benchmark policy with commitment. For positive but arbitrarily small issuance costs, there are maturities for which shareholders extract essentially the entire claim to cash-flows.

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03. Dissecting green returns

作者

Ľuboš Pástor (University of Chicago, NBER, CEPR and National Bank of Slovakia)

Robert Stambaugh (University of Pennsylvania and NBER)

Lucian Taylor (University of Pennsylvania)

摘要

Green assets delivered high returns in recent years. This performance reflects unexpectedly strong increases in environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the “greenium” widened, and U.S. green stocks outperformed brown as climate concerns strengthened. Despite that outperformance, we estimate lower expected returns for green stocks than for brown, consistent with theory. We estimate expected returns in two ways: ex ante, using implied costs of capital, and ex post, using realized returns purged of shocks from climate concerns and earnings. A theoretically motivated green factor explains much of value stocks’ recent underperformance.

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04. Size-adapted bond liquidity measures and their asset pricing implication

作者

Michael Reichenbacher (Karlsruhe Institute of Technology)

Philipp Schuster (University of Stuttgart)

摘要

We develop new liquidity measures for bond markets. Existing measures suffer from the combination of two effects. First, transaction costs in OTC markets strongly depend on trade size. Second, many bonds trade only scarcely with strongly differing trading volumes. Therefore, changes in average transaction costs often indicate changing trade sizes rather than changing liquidity. We combine full-sample information for the size-cost relation with individual transaction data to eliminate such measurement problems. We find that size-adapted measures make a difference when analyzing liquidity dynamics in the U.S. corporate bond market, liquidity differences between bonds, and the asset pricing implications of liquidity.

05. Overallocation and secondary market outcomes in corporate bond offerings

作者

Hendrik Bessembinder (Arizona State University)

Stacey Jacobsen (Southern Methodist University)

William Maxwell (Southern Methodist University)

KumarVenkataraman (Southern Methodist University)

摘要

Bond underwriters, lacking “Greenshoe options” and formal systems to track “flipping” activity, have fewer tools than equity underwriters to manage secondary market order flow uncertainty. We show that bond underwriters respond by selectively “overallocating” some issues to attain net short positions. Overallocations are economically substantive, facilitate the syndicate's price stabilization efforts, and are largely offset in the days after issuance. These issues on average experience more net selling by institutional investors and, despite large syndicate purchases, appreciate less in the secondary market. Thus, overallocation is an observable indicator that underwriters anticipate weakness in net secondary market demand.

06. Bank transparency and deposit flows

作者

Qi Chen (Duke University)

Itay Goldstein (University of Pennsylvania)

Zeqiong Huang (Yale University)

Rahul Vashishtha (Duke University)

摘要

One of the most widely discussed issues in banking regulation and research is transparency. Yet, whether depositors – banks’ most important claimholders – are affected by transparency, is an empirical open question. Analyzing US commercial banks from 1994 to 2019, we show that uninsured deposit flows are more sensitive to information about bank performance when banks are more transparent. We also link transparency to deposit rates, banks’ investment funding patterns, and profitability. In addition, we find consistent evidence from a differences-in-difference analysis using the Sarbanes-Oxley Act of 2002 as a shock to transparency. Overall, our findings demonstrate that transparency is important in shaping depositors’ behavior and highlight its potential costs.

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07. Retail trader sophistication and stock market quality: Evidence from brokerage outages

作者

Gregory Eaton (Oklahoma State University)

Clifton Green (Emory University)

Brian Roseman (Oklahoma State University)

Yanbin Wu (University of Florida)

摘要

We study brokerage platform outages to examine the impact of retail investors on financial markets. We contrast outages at Robinhood, which caters to inexperienced investors, with outages at traditional retail brokers. For stocks with high retail interest, we find that negative shocks to Robinhood investor participation are associated with reduced market order imbalances, increased market liquidity, and lower return volatility, whereas the opposite relations hold following outages at traditional retail brokerages. The findings suggest that herding by inexperienced investors can create inventory risks that harm liquidity in stocks with high retail interest, while other retail trading improves market quality.

08. Count (and count-like) data in finance

作者

Jonathan Cohn (University of Texas at Austin)

Zack Liu (University of Houston)

Malcolm Wardlaw (University of Georgia)

摘要

This paper assesses different econometric approaches to working with count-based outcome variables and other outcomes with similar distributions, which are increasingly common in corporate finance applications. We demonstrate that the common practice of estimating linear regressions of the log of 1 plus the outcome produces estimates with no natural interpretation that can have the wrong sign in expectation. In contrast, a simple fixed-effects Poisson model produces consistent and reasonably efficient estimates under more general conditions than commonly assumed. We also show through replication of existing papers that economic conclusions can be highly sensitive to the regression model employed.

09. Corporate culture: Evidence from the field

作者

John Graham (Duke University and NBER)

Jillian Grennan (Santa Clara University)

Campbell Harvey (Duke University and NBER)

Shivaram Rajgopal (Columbia Business School)

摘要

Ninety-two percent of the 1348 North American executives we survey believe that improving corporate culture would increase firm value. A striking 84% believe their company needs to improve its culture. But how can that be achieved? Our paper provides some guidance by documenting the following: executives’ views on what corporate culture is and how it operates, distinguishing between stated values and everyday norms; the extent to which culture is perceived to influence value creation (productivity, mergers), ethical choices (compliance, short-termism), and innovation (creativity, risk-taking); and a list of obstacles that can prevent culture from being where it should be (inattentive leaders, misaligned incentive compensation). Finally, we provide evidence that the executives’ survey responses are consistent with external data.

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10. Flattening the curve: Pandemic-Induced revaluation of urban real estate

作者

Arpit Gupta (New York University)

Vrinda Mittal (Columbia Business School)

Jonas Peeters (University of Pennsylvania)

Stijn Van Nieuwerburgh (Columbia Business School)

摘要

We show that the COVID-19 pandemic brought house price and rent declines in city centers, and price and rent increases away from the center, thereby flattening the bid-rent curve in most U.S. metropolitan areas. Across MSAs, the flattening of the bid-rent curve is larger when working from home is more prevalent, housing markets are more regulated, and supply is less elastic. Housing markets predict an urban revival with urban rent growth exceeding suburban rent growth for the foreseeable future, as working from home recedes.

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11. Shielding firm value: Employment protection and process innovation

作者

Jan Bena (University of British Columbia)

Hernán Ortiz-Molina (University of British Columbia)

Elena Simintzi (The University of North Carolina at Chapel Hill and CEPR)

摘要

Following state-level legal changes that increase labor dismissal costs, firms increase their innovation in new processes that facilitate the adoption of cost-saving production methods, especially in industries with a large share of labor costs in total costs. Firms with high innovation ability exhibit larger increases in process innovation and capital-labor ratios, an effect driven by both increases in capital investment and decreases in employment. By facilitating the adjustment of the input mix when conditions in input markets change, innovation ability allows firms to mitigate value losses and is a key driver of their performance.

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12. More informative disclosures, less informative prices? Portfolio and price formation around quarter-ends

作者

Todd Gormley (Washington University in St. Louis)

Zachary Kaplan (Washington University in St. Louis)

Aadhaar Verma (Washington University in St. Louis)

摘要

Fund trades and stock prices vary systematically with the quarterly reporting cycle. Funds accelerate trades that complete the building of existing positions at quarter-end but delay trades that initiate the building of new positions until the start of the new quarter. Evidence suggests these trade dynamics are driven by a dual desire to make disclosures more informative about future holdings but avoid disclosing incomplete positions. Consistent with disclosure-based motives unrelated to new information about intrinsic values driving these quarterly trade dynamics, both stock price informativeness and commissions paid by funds drop at quarter-end.

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13. Salience theory and the cross-section of stock returns: International and further evidence

作者

Nusret Cakici (Fordham University)

Adam Zaremba (Montpellier Business School and Poznan University of Economics and Business)

摘要

Motivated by existing evidence of the salience theory (ST) effect in the United States, we investigate its importance in 49 countries over the past three decades. Initial results suggest a negative relationship between the ST measure and future returns. The underperformance of low ST stocks is the strongest in countries with high idiosyncratic risk. However, the salience effect has three vital limitations. First, a substantial part of the anomaly can be attributed to the short-term return reversal. Second, it is priced primarily among microcaps. Third, the premium is realized predominantly following severe down markets and volatility spikes. Outside of microcaps and extreme market conditions, the salience effect does not exist.

14. Credit cycles with market-based household leverage

作者

William Diamond (University of Pennsylvania)

Tim Landvoigt (University of Pennsylvania and NBER)

摘要

We develop a general equilibrium model in which households’ mortgage leverage is determined by supply and demand forces, where the price of credit impacts the quantity of leverage households choose. Mortgages are supplied by financial intermediaries, who offer households a menu of mortgage contracts whose pricing varies with intermediaries’ equity capital. In the model, growth in the demand for safe assets that replicates the falling interest rates in the 2000s causes an empirically realistic boom in household borrowing, debt-financed consumption, and house prices. This boom results in a larger bust in asset prices and household borrowing in future financial crises. 

15. Expansionary yet different: Credit supply and real effects of negative interest rate policy

作者

Margherit Bottero (Bank of Italy)

Camelia Minoiu (Federal Reserve Board)

José-Luis Peydró (Imperial College London, ICREA-UPF-CREi-BSE and CEPR)

Andrea Polo (Luiss University, UPF, BSE, EIEF, CEPR, ECGI)

Andrea Presbitero (International Monetary Fund and CEPR)

Enrico Sette (Bank of Italy)

摘要

We show that negative interest rate policy (NIRP) has expansionary effects on credit supply through a portfolio rebalancing channel. By shifting down and flattening the yield curve, NIRP differs from rate cuts just above the zero-lower-bound and has effects similar to QE. For identification, we exploit ECB’s NIRP and the Italian credit register and, for external validity, European and U.S. datasets. NIRP affects more banks with higher ex-ante liquid assets, including net interbank positions. More exposed banks reduce liquid assets, expand credit supply, especially to financially-constrained firms, and cut loan rates, inducing firms to increase investment and the wage bill.

16. Employee output response to stock market wealth shocks

作者

Teng Li (Sun Yat-sen University)

Wenlan Qian (University of Hong Kong and National University of Singapore)

Wei Xiong (Shenzhen Stock Exchange)

Xin Zou (Hong Kong Baptist University)

摘要

This paper uses individual-level data linking stock investments with work performance to examine how changes in stock market wealth affect worker output. We document that a 10% increase in monthly income from stock market investments is associated with a decrease of 3.8% in the same investor's next-month work output. The negative output response is not driven by concurrent economic conditions and is unexplained by investor-specific liquidity needs. Consistent with the reference dependence interpretation, the response is short-lived and the effect is stronger when the total income has reached a reference income. Overall, our results highlight a novel channel of transmitting stock market fluctuation through labor supply.

17. Let the rich be flooded: The distribution of financial aid and distress after hurricane harvey

作者

Stephen Billings (University of Colorado Boulder)

Emily Gallagher (University of Colorado Boulder and Federal Reserve Bank of St. Louis)

Lowell Ricketts (Federal Reserve Bank of St. Louis)

摘要

Outside of flood hazard zones, households must decide whether to insure or rely on disaster assistance to manage flood risk. We use the quasi-random flooding generated by Hurricane Harvey, which hit Houston in August 2017, to understand the implications of flood losses for households with differing access to insurance and credit. Outside the floodplain, credit-constrained homeowners experience a 20% increase in bankruptcies and a 13% increase in the share of debt in severe delinquency in flooded blocks relative to non-flooded areas. Treatment effects are universally insignificant inside the floodplain, implying that flood insurance mitigates the financial impact of flooding across the credit distribution. Disaster assistance, on the other hand, does not appear to counteract the role of initial inequalities on post-disaster credit outcomes. We find SBA disaster loans and, more surprisingly, FEMA grants to both be regressive in allocation. Our results highlight that averages mask important heterogeneity after disasters, which challenges existing narratives of how effectively Federal disaster programs mitigate the financial burden of natural disasters.

来源：

1. https://academic.oup.com/rfs/issue/35/11

2. https://www.sciencedirect.com/journal/journal-of-financial-economics/vol/146/issue/2

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