| 1. |
- Adams, Renée, B., et al.
(författare)
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A Theory of Friendly Boards
- 2007
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Ingår i: Journal of Finance. - : Blackwell Publishing Inc. - 1540-6261 .- 0022-1082. ; 62:1, s. 217-250
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Tidskriftsartikel (refereegranskat)abstract
- We analyze the consequences of the board's dual role as advisor as well as monitor of management. Given this dual role, the CEO faces a trade-off in disclosing information to the board: If he reveals his information, he receives better advice; however, an informed board will also monitor him more intensively. Since an independent board is a tougher monitor, the CEO may be reluctant to share information with it. Thus, management-friendly boards can be optimal. Using the insights from the model, we analyze the differences between sole and dual board systems. We highlight several policy implications of our analysis.
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| 2. |
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| 3. |
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| 4. |
- Friberg, Richard, et al.
(författare)
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Exchange rates and cash flows in differentiated product industries : a simulation approach
- 2007
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 62:5, s. 2475-2502
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Tidskriftsartikel (refereegranskat)abstract
- How do exchange rate changes impact firms' cash flows? We extend a simulation method developed in industrial organization to answer this question. We use prices, quantities, and product characteristics for differentiated products, coupled with a discrete choice framework and an assumption of price competition, to estimate marginal costs for all producers. Using a Monte Carlo approach we generate counterfactual prices and profits for different levels of exchange rates. We illustrate the method using the market for bottled water. Our results stress that even in a relatively simple market such as this one, different brands face very different exchange rate risks.
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| 5. |
- Johannesson, Magnus, et al.
(författare)
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Genetic Variation in Financial Decision-Making
- 2010
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Ingår i: Journal of Finance. - : Wiley. - 1540-6261 .- 0022-1082. ; 65:5, s. 1725-1754
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Tidskriftsartikel (refereegranskat)abstract
- Individuals differ in how they construct their investment portfolios, yet empirical models of portfolio risk typically account only for a small portion of the cross-sectional variance. This paper asks whether genetic variation can explain some of these individual differences. Following a major pension reform Swedish adults had to form a portfolio from a large menu of funds. We match data on these investment decisions with the Swedish Twin Registry and find that approximately 25% of individual variation in portfolio risk is due to genetic variation. We also find that these results extend to several other aspects of financial decision-making.
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| 6. |
- Kaplan, Steven N, et al.
(författare)
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Should Investors Bet on the Jockey or the Horse? Evidence from the Evolution of Firms from Early Business Plans to Public Companies
- 2009
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Ingår i: Journal of Finance. - : Wiley. - 1540-6261 .- 0022-1082. ; 64:1, s. 75-115
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Tidskriftsartikel (refereegranskat)abstract
- We study how firm characteristics evolve from early business plan to initial public of-fering (IPO) to public company for 50 venture capital (VC)-financed companies. Firmbusiness lines remain remarkably stable while management turnover is substantial.Management turnover is positively related to alienable asset formation. We obtain similar results using all 2004 IPOs, suggesting that our main results are not specific to VC-backed firms or the time period. The results suggest that, at the margin, in-vestors in start-ups should place more weight on the business (“the horse”) than onthe management team (“the jockey”). The results also inform theories of the firm.
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| 7. |
- Strömberg, Per, et al.
(författare)
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Private Equity and Long-Run Investment : The Case of Innovation
- 2011
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Ingår i: Journal of Finance. - : Wiley. - 1540-6261 .- 0022-1082. ; 66:2, s. 445-477
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Tidskriftsartikel (refereegranskat)abstract
- A long-standing controversy is whether leveraged buyouts (LBOs) relieve managers from short-term pressures from public shareholders, or whether LBO funds themselves sacrifice long-term growth to boost short-term performance. We examine one form of long-run activity, namely, investments in innovation as measured by patenting activity. Based on 472 LBO transactions, we find no evidence that LBOs sacrifice long-term investments. LBO firm patents are more cited (a proxy for economic importance), show no shifts in the fundamental nature of the research, and become more concentrated in important areas of companies' innovative portfolios.
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| 8. |
- Vlachos, Jonas, 1970-, et al.
(författare)
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Do Entrenched Managers Pay their Workers More?
- 2009
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Ingår i: Journal of Finance. - : Wiley. - 0022-1082 .- 1540-6261. ; 64:1, s. 309-339
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Tidskriftsartikel (refereegranskat)abstract
- Analyzing a panel that matches public firms with worker-level data, we find that managerial entrenchment affects workers' pay. CEOs with more control pay their workers more, but financial incentives through cash flow rights ownership mitigate such behavior. Entrenched CEOs pay more to employees closer to them in the corporate hierarchy, geographically closer to the headquarters, and associated with conflict-inclined unions. The evidence is consistent with entrenched CEOs paying more to enjoy private benefits such as lower effort wage bargaining and improved social relations with employees. Our results show that managerial ownership and corporate governance can play an important role for employee compensation.
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| 9. |
- Axelson, Ulf, et al.
(författare)
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Borrow cheap, buy high? : the determinants of leverage and pricing in buyouts
- 2013
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 68:6, s. 2223-2267
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Tidskriftsartikel (refereegranskat)abstract
- Private equity funds pay particular attention to capital structure when executing leveraged buyouts, creating an interesting setting for examining capital structure theories. Using a large, international sample of buyouts from 1980 to 2008, we find that buyout leverage is unrelated to the cross-sectional factors, suggested by traditional capital structure theories, that drive public firm leverage. Instead, variation in economy-wide credit conditions is the main determinant of leverage in buyouts. Higher deal leverage is associated with higher transaction prices and lower buyout fund returns, suggesting that acquirers overpay when access to credit is easier.
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| 10. |
- Baghai, Ramin, et al.
(författare)
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Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing
- 2014
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 69:5, s. 1961-2005
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Tidskriftsartikel (refereegranskat)abstract
- We show that rating agencies have become more conservative in assigning credit ratings to corporations over the period 1985 to 2009. Holding firm characteristics constant, average ratings have dropped by three notches (e.g., from A to BBB ) over time. Consistent with the view that this change has not been fully warranted, we find that defaults for both investment grade and non-investment grade firms have declined over time. The increased stringency has also affected capital structure, cash holdings, growth, and debt spreads. Firms that suffer more from this conservatism issue less debt, have lower leverage, and hold more cash; they are also less likely to obtain a debt rating and they experience lower sales growth. However, their debt spreads are lower compared to the spreads of firms with the same rating that have not suffered from this conservatism, which implies that the market partly undoes the impact of conservatism on debt prices. This evidence suggests that firms and capital markets do not perceive the increase in conservatism to be fully warranted.
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| 11. |
- Baghai, Ramin, et al.
(författare)
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Talent in Distressed Firms: Investigating the Labor Costs of Financial Distress
- 2021
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 76:6, s. 2907-2961
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Tidskriftsartikel (refereegranskat)abstract
- The importance of skilled labor and the inalienability of human capital expose firms to the risk of losing talent at critical times. Using Swedish microdata, we document that firms lose workers with the highest cognitive and noncognitive skills as they approach bankruptcy. In a quasi-experiment, we confirm that financial distress drives these results: following a negative export shock caused by exogenous currency movements, talent abandons the firm, but only if the exporter is highly leveraged. Consistent with talent dependence being associated with higher labor costs of financial distress, firms that rely more on talent have more conservative capital structures.
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| 12. |
- Becker, Bo, et al.
(författare)
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Disruption and Credit Markets
- 2023
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Ingår i: Journal of Finance. - : Wiley. - 1540-6261 .- 0022-1082. ; 78:1, s. 105-139
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Tidskriftsartikel (refereegranskat)abstract
- We show that over the past half-century, innovative disruptions were central to understanding corporate defaults. In a given year, industries experiencing abnormally high venture capital or initial public offering activity subsequently see higher default rates, higher segment exits by conglomerates, and higher yields on bonds issued by the firms in these industries. Overall, we find that disruption is a broad phenomenon, negatively affecting incumbent firms across the spectrum of age, valuation, and levers, with the exception of very large and low-leverage firms, in line with our central hypothesis.
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| 13. |
- Brown, James R., et al.
(författare)
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Law, Stock Markets, and Innovation
- 2013
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Ingår i: Journal of Finance. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 68:4, s. 1517-1549
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Tidskriftsartikel (refereegranskat)abstract
- We study a broad sample of firms across 32 countries and find that strong shareholder protections and better access to stock market financing lead to substantially higher long-run rates of R&D investment, particularly in small firms, but are unimportant for fixed capital investment. Credit market development has a modest impact on fixed investment but no impact on R&D. These findings connect law and stock markets with innovative activities key to economic growth, and show that legal rules and financial developments affecting the availability of external equity financing are particularly important for risky, intangible investments not easily financed with debt.
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| 14. |
- Calvet, LE, et al.
(författare)
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Twin picks : Disentangling the determinants of risk-taking in household portfolios
- 2014
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 69:2, s. 867-906
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also affects risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our microfindings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative-agent models. © 2014 the American Finance Association.
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| 15. |
- Calvet, LE, et al.
(författare)
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Who Are the Value and Growth Investors?
- 2017
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 72:1, s. 5-46
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that, over the life cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away from value. While several behavioral biases seem evident in the data, the patterns we uncover are overall remarkably consistent with the portfolio implications of risk-based theories of the value premium.
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| 16. |
- Celerier, Claire, et al.
(författare)
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Can Security Design Foster Household Risk-Taking?
- 2023
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Ingår i: Journal of Finance. - : Wiley. - 1540-6261 .- 0022-1082. ; 78:4, s. 1917-1966
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Tidskriftsartikel (refereegranskat)abstract
- This paper shows that securities with nonlinear payoff designs can foster household risk-taking. We demonstrate this effect by exploiting the introduction of capital guarantee products in Sweden between 2002 and 2007. Their fast and broad adoption is associated with an increase in expected financial portfolio returns. The effect is especially strong for households with low-risk appetite ex ante. These empirical facts are consistent with a life-cycle model in which households have pessimistic beliefs or preferences combining loss aversion and narrow framing. Our results illustrate how security design can mitigate behavioral biases to increase mean household portfolio returns.
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| 17. |
- Chang, Yen-Cheng, et al.
(författare)
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Testing Disagreement Models
- 2022
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Ingår i: Journal of Finance. - : Wiley-Blackwell. - 1540-6261 .- 0022-1082. ; 77:4, s. 2239-2285
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Tidskriftsartikel (refereegranskat)abstract
- We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction in investor disagreement. Consistent with models of investor disagreement, EDGAR inclusion helps resolve disagreement around information events, leading to stock price corrections. The reduction in disagreement following EDGAR inclusion also reduces stock price crash risk, especially among stocks with binding short-sale constraints and high investor optimism.
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| 18. |
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| 19. |
- Chernov, Mikhail, et al.
(författare)
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Pricing Currency Risks
- 2023
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Ingår i: Journal of Finance. - : Wiley. - 1540-6261 .- 0022-1082. ; 78:2, s. 693-730
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Tidskriftsartikel (refereegranskat)abstract
- The currency market features a small cross-section, and conditional expected returns can be characterized by few signals: interest differential, trend, and mean reversion. We exploit these properties to construct the ex ante mean-variance efficient portfolio of individual currencies. The portfolio is updated in real time and prices all prominent currency trading strategies, conditionally and unconditionally. The fraction of risk in these assets that does not affect their risk premiums is at least 85%. Extant explanations of carry strategies based on intermediary capital or global volatility are related to these unpriced components, while consumption growth is related to the priced component of returns.
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| 20. |
- Cremers, M, et al.
(författare)
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Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns
- 2015
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 70:2, s. 577-614
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Tidskriftsartikel (refereegranskat)abstract
- We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and volatility risk have low expected returns. Both can be measured separately and are important economically, with a two-standard-deviation increase in jump (volatility) factor loadings associated with a 3.5% to 5.1% (2.7% to 2.9%) drop in expected annual stock returns.
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| 21. |
- Dow, James, et al.
(författare)
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The Paradox of Financial Fire Sales: The Role of Arbitrage Capital in Determining Liquidity
- 2018
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 73:1, s. 229-274
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Tidskriftsartikel (refereegranskat)abstract
- How can fire sales for financial assets happen when the economy contains well-capitalized but nonspecialist investors? Our explanation combines rational expectations equilibrium and “lemons” models. When specialist (informed) market participants are liquidity-constrained, prices become less informative. This creates an adverse selection problem, decreasing the supply of high-quality assets, and lowering valuations by nonspecialist (uninformed) investors, who become unwilling to supply capital to support the price. In normal times, arbitrage capital can “multiply” itself by making uninformed capital function as informed capital, but in a crisis, this stabilizing mechanism fails. © 2017 the American Finance Association
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| 22. |
- Farre-Mensa, Joan, et al.
(författare)
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What Is a Patent Worth? Evidence from the US Patent "Lottery"
- 2020
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 75:2, s. 639-682
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Tidskriftsartikel (refereegranskat)abstract
- We provide evidence on the value of patents to startups by leveraging the quasi-random assignment of applications to examiners with different propensities to grant patents. Using unique data on all first-time applications filed at the U.S. Patent Office since 2001, we find that startups that win the patent "lottery" by drawing lenient examiners have, on average, 55% higher employment growth and 80% higher sales growth five years later. Patent winners also pursue more, and higher quality, follow-on innovation. Winning a first patent boosts a startup's subsequent growth and innovation by facilitating access to funding from venture capitalists, banks, and public investors.
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| 23. |
- Giannetti, Mariassunta, et al.
(författare)
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Corporate Scandals and Household Stock Market Participation
- 2016
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 71:6, s. 2591-2636
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Tidskriftsartikel (refereegranskat)abstract
- We show that, after the revelation of corporate fraud in a state, household stock market participation in that state decreases. Households decrease holdings in fraudulent as well as nonfraudulent firms, even if they do not hold stocks in fraudulent firms. Within a state, households with more lifetime experience of corporate fraud hold less equity. Following the exogenous increase in fraud revelation due to Arthur Andersen's demise, states with more Arthur Andersen clients experience a larger decrease in stock market participation. We provide evidence that the documented effect is likely to reflect a loss of trust in the stock market.
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| 24. |
- Giannetti, Mariassunta, et al.
(författare)
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Forced Asset Sales and the Concentration of Outstanding Debt: Evidence from the Mortgage Market
- 2017
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 72:3, s. 1081-1118
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Tidskriftsartikel (refereegranskat)abstract
- We provide evidence that lenders differ in their ex post incentives to internalize price-default externalities associated with the liquidation of collateralized debt. Using the mortgage market as a laboratory, we conjecture that lenders with a large share of outstanding mortgages on their balance sheets internalize the negative spillovers associated with the liquidation of defaulting mortgages and thus are less inclined to foreclose. We provide evidence consistent with our conjecture. Arguably as a consequence, zip codes with a higher concentration of outstanding mortgages experience smaller house prices declines. These results are not driven by unobservable zip code or lender characteristics.
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| 25. |
- Giannetti, Mariassunta, et al.
(författare)
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The Brain Gain of Corporate Boards: Evidence from China
- 2015
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 70:4, s. 1629-1982
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Tidskriftsartikel (refereegranskat)abstract
- We study the impact of directors with foreign experience on firm performance in emerging markets. Using a unique data set from China, we exploit the introduction of policies to attract talented emigrants and increase the supply of individuals with foreign experience in different provinces at different times. We document that performance increases after firms hire directors with foreign experience and identify the channels through which the emigration of talent may lead to a brain gain. Our findings provide evidence on how directors transmit knowledge about management practices and corporate governance to firms in emerging markets.
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| 26. |
- Hagströmer, Björn, 1981-, et al.
(författare)
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Information Revelation in Decentralized Markets
- 2019
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Ingår i: Journal of Finance. - : Wiley. - 0022-1082 .- 1540-6261. ; 74:5, s. 2751-2787
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Tidskriftsartikel (refereegranskat)abstract
- How does information get revealed in decentralized markets? We test several hypotheses inspired by recent dealer-network theory. To do so we construct an empirical map of information revelation where two dealers are connected based on the synchronicity of their quote changes. The tests, based on EUR/CHF quote data including the 2015 crash, largely support theory: Strongly connected (i.e., central) dealers are more informed. Connections are weaker when there is less to be learned. The crash serves to identify how a network forms when dealers are transitioned from no-learning to learning, that is, from a fixed to a floating rate.
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| 27. |
- Ivashina, Victoria, et al.
(författare)
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Reaching for Yield in the Bond Market
- 2015
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 70:5, s. 1863-1902
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Tidskriftsartikel (refereegranskat)abstract
- This paper studies reaching for yield-investors' propensity to buy riskier assets to achieve higher yields-in the corporate bond market. We show that insurance companies reach for yield in choosing their investments. Consistent with lower rated bonds bearing higher capital requirements, insurance firms prefer to hold higher rated bonds. However, conditional on credit ratings, insurance portfolios are systematically biased toward higher yield, higher CDS bonds. This behavior is related to the business cycle being most pronounced during economic expansions. It is also characteristic of firms with poor corporate governance and for which the regulatory capital requirement is more binding
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| 28. |
- Majlesi, Kaveh, et al.
(författare)
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Stock Market Returns and Consumption
- 2020
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Ingår i: Journal of Finance. - : Wiley. - 0022-1082 .- 1540-6261.
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Tidskriftsartikel (refereegranskat)abstract
- This paper employs Swedish data on households' stock holdings to investigate how consumption responds to changes in stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized capital gains lead to a marginal propensity to consume (MPC) of 23 percent for the bottom 50% of the wealth distribution and about 3 percent for the top 30% of the wealth distribution. Households’ consumption is significantly more responsive to dividend payouts across all parts of the wealth distribution. Our findings are consistent with households treating capital gains and dividends as separate sources of income.
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| 29. |
- Maurin, Vincent
(författare)
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Liquidity Fluctuations in Over-the-Counter Markets
- 2022
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 77:2, s. 1325-1369
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Tidskriftsartikel (refereegranskat)abstract
- This paper proposes a theory of excess price fluctuations in over-the-counter secondary markets. When heterogeneous assets trade under asymmetric information, a quality effect emerges: high liquidity lowers the quality of the pool of sellers and decreases future liquidity. Cyclical equilibria can arise even without fundamental shocks. In a cycle, investors speculate by bidding up the price of low-quality assets, anticipating a high resale price at the peak. When this resale effect is strong, cycles disappear and multiple steady states coexist with different levels of liquidity. The model rationalizes empirical patterns for corporate bonds and housing in particular.
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| 30. |
- Menkveld, Albert J., et al.
(författare)
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Nonstandard Errors
- 2024
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Ingår i: Journal of Finance. - 0022-1082 .- 1540-6261.
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Tidskriftsartikel (refereegranskat)
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| 31. |
- Menkveld, Albert J., et al.
(författare)
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Nonstandard Errors
- 2024
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Ingår i: Journal of Finance. - : Wiley-Blackwell. - 1540-6261 .- 0022-1082. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 32. |
- Menkveld, Albert J., et al.
(författare)
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Nonstandard Errors
- 2024
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Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 33. |
- Opp, Marcus, et al.
(författare)
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The Economics of Deferral and Clawback Requirements
- 2022
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 77:4, s. 2423-2470
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Tidskriftsartikel (refereegranskat)abstract
- We analyze the effects of regulatory interference in compensation contracts, focusing on recent mandatory deferral and clawback requirements restricting incentive compensation of material risk-takers in the financial sector. Moderate deferral requirements have a robustly positive effect on risk-management effort only if the bank manager's outside option is sufficiently high; otherwise, their effectiveness depends on the dynamics of information arrival. Stringent deferral requirements unambiguously backfire. Our normative analysis characterizes whether and how deferral and clawback requirements should supplement capital regulation as part of the optimal policy mix.
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| 34. |
- Panunzi, Fausto, et al.
(författare)
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Legal investor protection and takeovers
- 2014
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 69:3, s. 1129-1165
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Tidskriftsartikel (refereegranskat)abstract
- This paper examines the role of legal investor protection for the efficiency of the market for corporate control when bidders are financially constrained. In the model, stronger legal investor protection increases bidders' outside funding capacity. However, absent effective bidding competition, this does not improve efficiency, as the bid price, and thus bidders' need for funds, increases one-for-one with the pledgeable income. In contrast, under effective competition for the target, the increased outside funding capacity improves efficiency by making it less likely that more efficient but less wealthy bidders are outbid by less efficient but wealthier rivals. © 2014 the American Finance Association.
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| 35. |
- Pettenuzzo, Davide, et al.
(författare)
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Cash Flow News and Stock Price Dynamics
- 2020
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 75:4, s. 2221-2270
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Tidskriftsartikel (refereegranskat)abstract
- We develop a new approach to modeling dynamics in cash flows extracted from daily firm-level dividend announcements. We decompose daily cash flow news into a persistent component, jumps, and temporary shocks. Empirically, we find that the persistent cash flow component is a highly significant predictor of future growth in dividends and consumption. Using a log-linearized present value model, we show that news about the persistent dividend growth component predicts stock returns consistent with asset pricing constraints implied by this model. News about the daily dividend growth process also helps explain concurrent return volatility and the probability of jumps in stock returns.
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| 36. |
- Schoenherr, David, et al.
(författare)
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When Should Bankruptcy Law Be Creditor- or Debtor-Friendly? Theory and Evidence
- 2022
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Ingår i: Journal of Finance. - : Wiley. - 1540-6261 .- 0022-1082. ; 77:5, s. 2669-2717
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- We examine how creditor protection affects firms with different levels of owners' and managers' personal costs of bankruptcy (PCB). Theoretically, we show that firms with high PCB borrow and invest more under a more debtor-friendly management stay system, whereas firms with low PCB borrow and invest more under a more creditor-friendly receivership system. Intuitively, stronger creditor protection relaxes financial constraints but reduces credit demand. Which effect dominates depends on owners' and managers' PCB. Empirically, we find support for these predictions using a Korean bankruptcy reform that replaced receivership with management stay.
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| 37. |
- Setty, Ofer, et al.
(författare)
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On the Asset Allocation of a Default Pension Fund
- 2018
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 73:4, s. 1893-1936
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Tidskriftsartikel (refereegranskat)abstract
- We characterize the optimal default fund in a defined contribution (DC) pension plan. Using detailed data on individuals' holdings inside and outside the pension system, we find substantial heterogeneity within and between passive and active investors in terms of labor income, financial wealth, and stock market participation. We build a life-cycle consumption-savings model, with a DC pension account and an opt-out/default choice, that produces realistic investor heterogeneity. Relative to a common age-based allocation, implementing the optimal default asset allocation implies a welfare gain of 1.5% during retirement. Much of the gain is attainable with a simple rule of thumb.
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| 38. |
- Sodini, Paolo, et al.
(författare)
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Countercyclical Income Risk and Portfolio Choices : Evidence from Sweden
- 2024
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Ingår i: Journal of Finance. - : John Wiley and Sons Inc. - 1540-6261 .- 0022-1082. ; 79:3, s. 1755-1788
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Tidskriftsartikel (refereegranskat)abstract
- Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hedge against correlated tail risks, an important mechanism in asset pricing and portfolio choice models. © 2024 the American Finance Association.
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| 39. |
- van Binsbergen, Jules, et al.
(författare)
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A Horizon-Based Decomposition of Mutual Fund Value Added Using Transactions
- 2024
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Ingår i: Journal of Finance. - 0022-1082 .- 1540-6261.
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Tidskriftsartikel (refereegranskat)abstract
- We decompose mutual fund value added by the length of funds' holdings using transaction-level data. We motivate our decomposition with a model featuring horizon-specific investment ideas, where short-term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high-turnover funds add a substantial amount of value in the first two weeks, of which more than 80% is earned on Federal Open Market Committee (FOMC) and earnings announcement days. Holdings of low-turnover funds add value only over longer horizons.
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| 40. |
- Von Lilienfeld-Toal, Ulf, et al.
(författare)
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CEO ownership, stock market performance, and managerial discretion
- 2014
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 69:3, s. 1013-1050
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Tidskriftsartikel (refereegranskat)abstract
- We examine the relationship between CEO ownership and stock market performance. A strategy based on public information about managerial ownership delivers annual abnormal returns of 4% to 10%. The effect is strongest among firms with weak external governance, weak product market competition, and large managerial discretion, suggesting that CEO ownership can reverse the negative impact of weak governance. Furthermore, owner-CEOs are value increasing: they reduce empire building and run their firms more efficiently. Overall, our findings indicate that the market does not correctly price the incentive effects of managerial ownership, suggesting interesting feedback effects between corporate finance and asset pricing.
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| 41. |
- Zviadadze, Irina
(författare)
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Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns
- 2017
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Ingår i: Journal of Finance. - : Wiley: No OnlineOpen. - 1540-6261 .- 0022-1082. ; 72:4, s. 1529-1566
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Tidskriftsartikel (refereegranskat)abstract
- I relate the downward-sloping term structure of currency carry returns to compensation for currency exposures to macroeconomic risk embedded in the joint dynamics of U.S. consumption, inflation, nominal interest rate, and their stochastic variance. The interest rate and inflation shocks play a prominent role. Higher yield currencies exhibit higher multiperiod exposures to these shocks. The prices of these risk exposures are positive and sizeable across all investment horizons. The interest rate shock is qualitatively similar to the long-run risk of Bansal and Yaron.
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| 42. |
- Chaboud, A. P., et al.
(författare)
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Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
- 2014
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Ingår i: Journal of Finance. - : Wiley. - 0022-1082. ; 69:5, s. 2045-2084
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Tidskriftsartikel (refereegranskat)abstract
- We study the impact of algorithmic trading (AT) in the foreign exchange market using a long time series of high-frequency data that identify computer-generated trading activity. We find that AT causes an improvement in two measures of price efficiency: the frequency of triangular arbitrage opportunities and the autocorrelation of high-frequency returns. We show that the reduction in arbitrage opportunities is associated primarily with computers taking liquidity. This result is consistent with the view that AT improves informational efficiency by speeding up price discovery, but that it may also impose higher adverse selection costs on slower traders. In contrast, the reduction in the autocorrelation of returns owes more to the algorithmic provision of liquidity. We also find evidence consistent with the strategies of algorithmic traders being highly correlated. This correlation, however, does not appear to cause a degradation in market quality, at least not on average.
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| 43. |
- E. Black, Sandra, et al.
(författare)
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On the Origins of Risk-Taking in Financial Markets
- 2017
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Ingår i: Journal of Finance. - : Wiley. - 0022-1082. ; 72:5, s. 2229-2278
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Tidskriftsartikel (refereegranskat)abstract
- Financial investment behavior is highly correlated between parents and their children. Using Swedish data, we find that the decision of adoptees to hold equities is associated with the behavior of both biological and adoptive parents, implying a role for both genetic and environmental influences. However, we find that nurture has a stronger influence on the share of financial assets invested in equities and on portfolio volatility, suggesting that financial risk-taking is substantially environmentally determined. The parental investment variables substantially increase the explanatory power of cross-sectional regressions and so may play an important role in understanding cross-sectional heterogeneity in investment behavior.
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| 44. |
- Kirchler, Michael, 1977, et al.
(författare)
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Rankings and Risk-Taking in the Finance Industry
- 2018
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Ingår i: Journal of Finance. - : Wiley. - 0022-1082. ; 73:5, s. 2271-2302
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Tidskriftsartikel (refereegranskat)abstract
- Rankings are omnipresent in the finance industry, yet the literature is silent on how they impact financial professionals' behavior. Using lab-in-the-field experiments with 657 professionals and lab experiments with 432 students, we investigate how rank incentives affect investment decisions. We find that both rank and tournament incentives increase risk-taking among underperforming professionals, while only tournament incentives affect students. This rank effect is robust to the experimental frame (investment frame vs. abstract frame), to payoff consequences (own return vs. family return), to social identity priming (private identity vs. professional identity), and to professionals' gender (no gender differences among professionals).
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| 45. |
- Menkveld, Albert J., et al.
(författare)
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Non-Standard Errors
- 2024
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Ingår i: Journal of Finance. - 0022-1082. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 46. |
- Fredell, L, et al.
(författare)
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Heredity of hypospadias and the significance of low birth weight
- 2002
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Ingår i: Journal of Urology. - 1527-3792 .- 0022-5347. ; 3, s. 1423-
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Tidskriftsartikel (refereegranskat)abstract
- Purpose: We analyzed a large group of patients with hypospadias regarding familial aggregation, phenotype, twin rate and ethnic origin and assessed the correlation of low birth weight with hypospadias. Materials and Methods: We mailed questionnaires to 2,503 boys operated on for hypospadias in Sweden asking for additional cases of hypospadias in the family, the number of brothers in the nuclear family, and birth weight of the boys with hypospadias and their brothers. Results: Of the boys 7% reported 1 or more additional family members with hypospadias. The birth weight of the boys with hypospadias was significantly lower (p = 5 X 10(-13)) than the birth weight of their unaffected brothers. Phenotyping of 676 individuals revealed glandular hypospadias in 53%, penile forms in 39%, penoscrotal or perineal variants in 6% and cleaved prepuce as the only manifestation in 2%. There were 50% more twins than expected compared to the general population and established zygosity in 83% (67% monozygotic, 33% dizygotic). Non-Swedish ethnicity was noted in 22% of the subjects, a third of whom were from Middle Eastern countries. Conclusions: We present data on heredity, birth weight, phenotype and ethnic origin in a large group of patients with hypospadias. The finding of additional members with hypospadias in 7% of the families supports the concept that genetic factors are involved in the pathogenesis. The strong association with low birth weight may be explained by genetic and environmental factors.
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| 47. |
- Abbass, Allan, et al.
(författare)
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Long-term healthcare cost reduction with Intensive Short-term Dynamic Psychotherapy in a tertiary psychiatric service
- 2015
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Ingår i: Journal of Psychiatric Research. - : Elsevier. - 0022-3956 .- 1879-1379. ; 64, s. 114-120
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Tidskriftsartikel (refereegranskat)abstract
- Objective: To evaluate whether a mixed population of patients treated with Intensive Short-term Dynamic Psychotherapy (ISTDP) would exhibit reduced healthcare costs in long-term follow-up. Methods: A quasi-experimental design was employed in which data on pre- and post-treatment healthcare cost were compared for all ISTDP cases treated in a tertiary care service over a nine year period. Observed cost changes were compared with those of a control group of patients referred but never treated. Physician and hospital costs were compared to treatment cost estimates and normal population cost figures. Results: 1082 patients were included; 890 treated cases for a broad range of somatic and psychiatric disorders and 192 controls. The treatment averaged 7.3 sessions and measures of symptoms and interpersonal problems significantly improved. The average cost reduction per treated case was $12,628 over 3 follow-up years: this compared favorably with the estimated treatment cost of $708 per patient. Significant differences were seen between groups for follow-up hospital costs. Conclusions: ISTDP in this setting appears to facilitate reductions in healthcare costs, supporting the notion that brief dynamic psychotherapy provided in a tertiary setting can be beneficial to health care systems overall. (C) 2015 Elsevier Ltd. All rights reserved.
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