| 1. |
- Dahlquist, Magnus, et al.
(författare)
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Direct Foreign Ownership, Institutional Investors, and Firm Characteristics
- 2001
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Ingår i: Journal of Financial Economics. - : Elsevier. - 0304-405X. ; 59:3, s. 413-440
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we characterize foreign ownership using a dataset of ownership and attributes of Swedish firms. The analysis reveals that foreigners show a preference for large firms, firms paying low dividends, and firms with large cash positions on their balance sheets. When we further analyze the preference for large firms, we find that market liquidity and presence in international markets, measured through export sales or listings on other exchanges, seem to characterize foreign holdings better than firm size alone. Foreigners also tend to underweight firms with a dominant owner. Importantly, we demonstrate that most of the features associated with foreign ownership are driven by the fact that foreign investors typically are mutual funds or other institutional investors. Hence, we identify an institutional investor bias rather than a foreign investor bias. Finally, using ownership data on a country level, we conclude that the results are particularly strong among U.S. investors, who comprise the largest institutions among foreign investors.
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| 2. |
- Koskinen, Yrjö, et al.
(författare)
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Corporate leverage and currency crises
- 2002
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Ingår i: Journal of financial economics. - : Elsevier. - 1879-2774 .- 0304-405X. ; 63:2, s. 275-310
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Tidskriftsartikel (refereegranskat)abstract
- Currency crises can arise because it is optimal to bail out financially distressed exporting firms through a currency depreciation. Exporting firms will not undertake profitable investments when high leverage causes debt overhang problems. A currency depreciation increases the profitability of new investments when revenues are foreign-currency denominated and domestic-currency costs are nominally rigid. Ex ante, currency depreciation leads to excessive investment in risky projects even if safer, more valuable projects are available. However, currency depreciation is optimal ex ante if the risky projects have higher expected returns and if firms must rely on debt financing because of underdeveloped equity markets.
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| 3. |
- Thorburn, Karin
(författare)
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Bankruptcy auctions: costs, debt recovery, and firm survival
- 2000
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Ingår i: Journal of Financial Economics. - : Elsevier. - 0304-405X. ; 58:3, s. 337-368
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Tidskriftsartikel (refereegranskat)abstract
- This paper provides some first, large-sample evidence on the Swedish auction bankruptcy system. Compared to U.S. Chapter 11 cases, the small-firm bankruptcy auctions examined here are substantially quicker, have lower costs, and avoid deviations from absolute priority. Three-quarters of the firms are auctioned as going concerns, which is similar to Chapter 11 survival rates. Moreover, based on market values, creditors in going-concern auctions recover a similar fraction of face value as creditors of much larger firms in Chapter 11 reorganizations. The evidence presented here suggests that the auction bankruptcy system is a surprisingly efficient restructuring mechanism for small firms.
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| 4. |
- Becker, Bo, et al.
(författare)
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Non-rating revenue and conflicts of interest
- 2018
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Ingår i: Journal of Financial Economics. - : Elsevier. - 1879-2774 .- 0304-405X. ; 127:1, s. 94-112
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Tidskriftsartikel (refereegranskat)abstract
- Rating agencies produce ratings used by investors, but obtain most of their revenue from issuers, leading to a conflict of interest. We employ a unique data set on the use of non-rating services, and the associated payments, in India, to test if this conflict affects ratings quality. Agencies rate issuers that pay them for non-rating services higher (than agencies not hired for such services). Such issuers also have higher default rates. Both effects are increasing in the amount paid. These results suggest that issuers which hire agencies for non-rating services receive higher ratings despite having higher default risk. (C) 2017 Elsevier B.V. All rights reserved.
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| 5. |
- Becker, Bo, et al.
(författare)
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Reputations and credit ratings: Evidence from commercial mortgage-backed securities
- 2020
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Ingår i: Journal of Financial Economics. - : Elsevier. - 0304-405X. ; 135:2, s. 425-444
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Tidskriftsartikel (refereegranskat)abstract
- How do changes in a rating agency's reputation affect the ratings market? We study the dynamics of credit ratings after StandardXX1Poor's (S&P) was shut out of a large segment of the commercial mortgage-backed securities (CMBS) ratings market following a procedural mistake. Exploiting the fact that most CMBS have ratings from multiple agencies, we show that S&P subsequently eased its standards compared to other raters. This coincided with a partial recovery in the number of deals S&P was hired to rate. Our findings suggest that an agency can regain market share after suffering reputational damage by issuing optimistic ratings. (C) 2019 Elsevier B.V. All rights reserved.
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| 6. |
- Berger, David, et al.
(författare)
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What drives volatility persistence in the foreign exchange market?
- 2009
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Ingår i: Journal of Financial Economics. - : Elsevier BV. - 0304-405X. ; 94:2, s. 192-213
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Tidskriftsartikel (refereegranskat)abstract
- We propose a new empirical specification of volatility that links volatility to the information flow, measured as the order flow in the market, and to the price sensitivity to that information. The time-varying market sensitivity to information is estimated from high-frequency data, and movements in volatility can therefore be directly related to movements in order flow and market sensitivity. Empirically, the model explains a large share of the long-run variation in volatility. Importantly, the time variation in the market's sensitivity to information is at least as relevant in explaining the persistence of volatility as the rate of information arrival itself. This may be evidence of a link between changes over time in the aggregate behavior of market participants and the time-series properties of realized volatility.
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| 7. |
- Briggs, Joseph, et al.
(författare)
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Windfall gains and stock market participation
- 2021
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Ingår i: Journal of Financial Economics. - : Elsevier BV. - 0304-405X .- 1879-2774. ; 139:1, s. 57-83
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Tidskriftsartikel (refereegranskat)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 $150,00 0 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 $31,0 00). 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.
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| 8. |
- Broer, Tobias
(författare)
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Securitization bubbles : Structured finance with disagreement about default risk
- 2018
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Ingår i: Journal of Financial Economics. - : Elsevier BV. - 0304-405X .- 1879-2774. ; 127:3, s. 505-518
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Tidskriftsartikel (refereegranskat)abstract
- An additional reason for the structured finance boom of the 2000s may have been disagreement about default risk of collateral assets. When risk-neutral investors disagree about average default probabilities, structuring collateral cash flow raises prices by concentrating optimists' demand on risky tranches. With disagreement about default correlation, low-correlation investors believe in diversification and pay high prices for senior tranches they deem riskless. High-correlation investors value junior tranches they expect to pay whenever aggregate conditions are good. Risk aversion and short selling through credit default swaps reduce the prices of both pass-through and structured securitizations but may increase the return to tranching.
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| 9. |
- Burlon, Lorenzo, et al.
(författare)
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Is there a zero lower bound? The effects of negative policy rates on banks and firms
- 2022
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Ingår i: Journal of Financial Economics. - : Elsevier. - 1879-2774 .- 0304-405X. ; 144:3, s. 885-907
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Tidskriftsartikel (refereegranskat)abstract
- Exploiting confidential data from the euro area, we show that sound banks pass negative rates on to their corporate depositors and that pass-through is not impaired when policy rates move into negative territory. We do not observe a contraction in deposits, reflecting a general increase in corporate liquidity during the sample period. When their banks charge negative rates on deposits, firms with ex ante high liquidity invest more than comparable firms that are not charged negative rates and increase their liquid holdings less. These results challenge the common view that conventional monetary policy becomes ineffective at the zero lower bound. © 2021 The Authors
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| 10. |
- Cronqvist, Henrik, et al.
(författare)
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The choice between rights offerings and private equity placements
- 2005
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Ingår i: Journal of Financial Economics. - : Elsevier. - 0304-405X. ; 78:2, s. 375-407
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- private equity placement. Family controlled firms avoid issue methods that dilute control benefits or subject them to more monitoring, especially when the family's control margin is small and the wedge between votes and capital is large. Control considerations also affect security design. Private placements reduce contracting and ex post holdup Costs ill new product market relationships. Finally, firms with higher asymmetric information about firm value tend to involve underwriter certification in a rights offering, and to choose I private placement when information asymmetries are extreme. (c) 2005 Elsevier B.V. All rights reserved.
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