【顶级期刊目录】JFE 2020年12月目录摘要
这是“金融学前沿论文速递”第1010篇推送
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CoCo issuance and bank fragility Fund tradeoffs Asset pricing: A tale of night and day Financial intermediation and capital reallocation Bank net worth and frustrated monetary policy The price effects of liquidity shocks: A study of the SEC’s tick size experiment Dealers’ insurance, market structure, and liquidity Collateral constraints and asset prices The effect of minority veto rights on controller pay tunneling Time-varying demand for lottery: Speculation ahead of earnings announcements Persuasion in relationship finance Policy uncertainty and corporate credit spreads Do people feel less at risk? Evidence from disaster experience
CoCo issuance and bank fragility
原刊和作者:
Journal of Financial Economics 2020年12月
Stefan Avdjiev (Bank for International Settlement)
Bilyana Bogdanova (Bank for International Settlements)
Patrick Bolton (Columbia Univeristy and Imperial College)
Wei Jiang (Columbia University)
Anastasia Kartasheva (University of St Gallen and University of Pennsylvania)
The promise of contingent convertible capital securities (CoCos) as a ”bail-in” solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. We undertake the first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling $521 billion. Four main findings emerge: (1) the propensity to issue a CoCo is higher for larger and better capitalized banks; (2) CoCo issues result in a statistically significant decline in issuers’ CDS spread, indicating that they generate risk-reduction benefits and lower costs of debt (this is especially true for CoCos that convert into equity, have mechanical triggers, and are classified as Additional Tier 1 instruments); (3) CoCos with only discretionary triggers do not have a significant impact on CDS spreads; and (4) CoCo issues have no statistically significant impact on stock prices, except for principal write-down CoCos with a high trigger level, which have a positive effect.
Fund tradeoffs
原刊和作者:
Journal of Financial Economics 2020年12月
Ľuboš Pástor (University of Chicago, NBER, CEPR and National Bank of Slovakia)
Robert Stambaugh (University of Pennsylvania and NBER)
Lucian Taylor (University of Pennsylvania)
We study tradeoffs among active mutual funds’ characteristics. In both our equilibrium model and the data, funds with larger size, lower expense ratio, and higher turnover hold more-liquid portfolios. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the portfolio’s holdings but also on the portfolio’s diversification. We also confirm other model-predicted tradeoffs. Larger funds are cheaper. Larger and cheaper funds are less active, based on our new measure of activeness. Better-diversified funds hold less-liquid stocks; they are also larger and cheaper, and they trade more. These tradeoffs provide novel evidence of diseconomies of scale in active management.
Asset pricing: A tale of night and day
The capital asset pricing model (CAPM) performs poorly overall, as market risk (beta) is weakly related to 24-h returns. This is because stock prices behave very differently with respect to their sensitivity to beta when markets are open for trading versus when they are closed. Stock returns are positively related to beta overnight, whereas returns are negatively related to beta during the trading day. These day-night relations hold for beta-sorted portfolios and individual stocks in the US and internationally as well as for industry and book-to-market portfolios and cash flow and discount rate beta-sorted portfolios. In addition to the change in slope of returns with respect to beta, the implied risk-free rate differs significantly between night and day. Consistent with this, returns on US Treasury futures differ significantly between night and day.
Financial intermediation and capital reallocation
原刊和作者:
Journal of Financial Economics 2020年12月
Hengjie Ai (University of Minnesota)
Kai Li (HKUST Business School)
Fang Yang (Louisiana State University)
Bank net worth and frustrated monetary policy
原刊和作者:
Journal of Financial Economics 2020年12月
Alexander Zentefis (Yale School of Management)
The price effects of liquidity shocks: A study of the SEC’s tick size experiment
原刊和作者:
Journal of Financial Economics 2020年12月
Rui Albuquerque (Boston College,European Corporate Governance Institute and Centre for Economic Policy Research)
Shiyun Song (Vanguard Group)
Chen Yao (The Chinese University of Hong Kong)
Do stock prices of publicly listed companies respond to changes in transaction costs? Using the SEC’s pilot program that increased the tick size for approximately 1,200 randomly chosen stocks, we find a stock price decrease between 1.75% and 3.2% for small spread stocks affected by the larger tick size relative to a control group. We find that the increase in the present value of transaction costs accounts for a small percentage of the price decrease. We study channels of price variation due to changes in expected returns: information risk, investor horizon, and liquidity risk. The evidence suggests that trading frictions affect the cost of capital.
Dealers’ insurance, market structure, and liquidity
原刊和作者:
Journal of Financial Economics 2020年12月
Francesca Carapella (Federal Reserve Board of Governors)
Cyril Monnet (Bank for International Settlements,Study Center Gerzensee and University of Bern)
Collateral constraints and asset prices
原刊和作者:
Journal of Financial Economics 2020年12月
Georgy Chabakauri (London School of Economics)
Brandon Han (University of Maryland)
The effect of minority veto rights on controller pay tunneling
原刊和作者:
Journal of Financial Economics 2020年12月
Jesse Fried (Harvard Law School and ECGI)
Ehud Kamar (Tel Aviv University and ECGI)
Yishay Yafeh (The Hebrew University, ECGI and CEPR)
A central challenge in the regulation of controlled firms is curbing rent extraction by controllers. As independent directors and fiduciary duties are often insufficient, some jurisdictions give minority shareholders veto rights over related-party transactions. To assess these rights’ effectiveness, we exploit a 2011 Israeli reform that gave minority shareholders veto rights over related-party transactions, including the pay of controllers and their relatives (“controller executives”). We find that the reform curbed controller-executive pay and led some controller executives to resign or go with little or no pay in circumstances suggesting their pay would be rejected. These findings suggest that minority veto rights can be an effective corporate governance tool.
Time-varying demand for lottery: Speculation ahead of earnings announcements
原刊和作者:
Journal of Financial Economics 2020年12月
Bibo Liu (Tsinghua University)
Huijun Wang (University of Melbourne and Auburn University)
Bibo Liu (Tsinghua University)
Shen Zhao (Chinese University of Hong Kong (Shenzhen))
Persuasion in relationship finance
原刊和作者:
Journal of Financial Economics 2020年12月
Ehsan Azarmsa (University of Chicago)
Lin Cong (Cornell University)
Policy uncertainty and corporate credit spreads
原刊和作者:
Journal of Financial Economics 2020年12月
Mahsa Kaviani (University of Delaware)
Lawrence Kryzanowski (Concordia University)
Hosein Maleki (Florida State University)
Pavel Savor (DePaul University)
Do people feel less at risk? Evidence from disaster experience
原刊和作者:
Journal of Financial Economics 2020年12月
Ming Gao (Peking University)
Yu-Jane Liu (Peking University)
Yushui Shi (University of California)