英文期刊目录推送| Journal of Financial and Quantitative Analysis 60卷 6期

英文期刊系列推送———Journal of Financial and Quantitative Analysis

IPOs, Human Capital, and Labor Reallocation

Tania Babina:University of Maryland Smith School of Business;

Paige Ouimet:University of North Carolina at Chapel Hill Kenan-Flagler School of Business;

Rebecca Zarutskie:Federal Reserve Bank of Dallas.

Abstract

How does access to public equity markets affect the human capital of IPO filing firms? While IPO filing firms have high average wages and limited industrial diversification, a successful IPO increases departures of high-wage employees to startups and triggers industrial diversification through employment growth in non-core industries. Surprisingly, IPOs do not significantly affect the earnings growth of pre-IPO workers. Instead, post-IPO hires receive larger earnings increases upon joining. Overall, going public has a significant effect on a firm’s workforce and labor reallocation across firms.

Investor Corporate Visits and Predictable Returns

Ran Zhang:Renmin University of China School of Business;

Eric So:MIT Sloan School of Management;

Rongfei Wang:Shanghai Aitopia AI Technology.

Abstract

Using a unique data set of firms listed on China’s Shenzhen Stock Exchange, we show that investors’ corporate site visits convey information about future stock returns. Firms with abnormally frequent investor visits predictably outperform firms with abnormally infrequent investor visits by approximately 70-to-100 basis points per month. This return predictability concentrates on neglected firms with low trading volumes and when investors incur higher travel costs. Abnormally frequent investor visits accompany increased holdings among visiting institutions and predict improvements in firms’ fundamental performance, consistent with institutions using visits to gain an information advantage regarding underpriced firms.

The significance of conducting site visits and in-depth research by fund companies is to consistently deliver stable and substantial returns to clients through professional expertise. (Lei Jing, CEO of Harvest Fund Management Co., Ltd., China)

The Lender's Lender: Trade Credit and the Monitoring Role of Banks

Kayla M. Freeman:Terry College of Business, University of Georgia.

Abstract

A firm’s role as lender to its customers (via trade credit) is influenced by the firm’s own lenders. With a novel data set of trade credit between U.S. public companies, I find that firms limit customer credit concentrations, extending less generous trade credit to customers as the firms’ sales dependence on them increases. Evidence points to lenders influencing firms to limit credit concentrations: First, cross-sectional variation shows stronger results with greater lender monitoring intensity. Second, analysis of granular loan contract details reveals that concentration limits in borrowing base formulas are a clear, previously unexplored way banks influence trade credit policies.

The Political Economy of Tariff Exemption Grants

Veljko Fotak:University at Buffalo School of Management and Bocconi University Sovereign Investment Lab;

Hye Seung (Grace) Lee:Fordham University Gabelli School of Business;

William L. Megginson:The University of Oklahoma Michael F. Price College of Business and University of International Business and Economics;

Jesus M. Salas:Lehigh University Perella Department of Finance.

Abstract

We investigate whether firm-level political connections affect the allocation of exemptions from tariffs imposed on $US 550 billion of Chinese goods imported to the United States annually beginning in 2018. Evidence points to politicians not only rewarding supporters but also punishing opponents: Past campaign contributions to the party controlling (in opposition to) the executive branch increase (decrease) approval likelihood. Our findings point to quid pro quo arrangements between politicians and firms, as opposed to the “information” channel linking political access to regulatory outcomes.

Poison Pills in the Shadow of the Law

K. J. Martijn Cremers:Mendoza College of Business, University of Notre Dame;

Simone M. Sepe:Faculty of Law and Rotman School of Management, University of Toronto;

Michal Zator:Mendoza College of Business, University of Notre Dame;

Lubomir P. Litov:Price College of Business, University of Oklahoma.

Abstract

Poison pills are among the most powerful antitakeover provisions, but studying their economic impact is challenging because of the obvious endogeneity concerns. We address the problem by studying U.S. states’ staggered adoption of poison pill laws (PPLs), which strengthen the right to adopt a pill (i.e., the shadow pill) and increase the validity of visible pills. We document that PPLs make visible pill policy aligned with economic incentives, increasing pill adoption among firms with a high likelihood of takeover, but decreasing it among firms with low takeover likelihood. We also document that PPLs positively impact firm value, especially for innovative firms with more intangible assets.

Busy Venture Capitalists and Investment Performance

Rustam Abuzov:University of Virginia Darden School of Business.

Abstract

This paper studies the impact of limited attention on investment decisions by venture capitalists (VCs). I find that startups funded by VCs during VCs’ IPO engagements tend to underperform: These startups are 9% less likely to go public or become acquired and have lower exit multiples. The effects of VCs’ busyness cluster around the active phase of the IPO engagement and are more pronounced in cases of higher workload intensity or higher information asymmetry. Overall, this performance gap induced by attention constraints provides new evidence on VCs’ ability to identify investment opportunities at the initial screening stage.

Is It all Noise? The Microstructure Implications of Corporate Recurring Advertisements

Vivian W. Fang:Indiana University Kelley School of Business and European Corporate Governance Institute;

Joshua Madsen:University of Minnesota Carlson School of Management;

Xinyuan Shao:Chinese University of Hong Kong School of Accountancy.

Abstract

This paper studies the market microstructure implications of uninformed trading volume. We capture uninformed volume using spikes in retail trading triggered by weekly advertisements (ads) in the Wall Street Journal that are largely duplicates. We report three findings. First, consistent with a positive volume-volatility relation, stock price volatility amplifies on recurring ad days. Second, informed investors time liquidity to trade more aggressively on recurring ad days. Third, despite the increase in informed trading on such days, price impact is lower, yielding a negative volume–price impact relation. Collectively, the evidence supports the theoretical predictions of Collin-Dufresne and Fos (2016).

Gambling on Crypto Tokens?

Sudheer Chava:Georgia Institute of Technology Scheller College of Business;

Fred Hu:Georgia Institute of Technology Scheller College of Business;

Nikhil Paradkar:University of Georgia Terry College of Business.

Abstract

We proxy retail investor attention through Google Trends and find that fungible and non-fungible crypto tokens generate greater attention from high-gambling propensity regions. Crypto attention is higher during bubble-like episodes in the crypto market and for more lottery-like tokens. Moreover, retail crypto attention decreases after sports gambling is legalized. Higher token attention is associated with more contributors and higher fundraising. However, consumer credit default rates spike after periods of high crypto attention, but solely in the subprime segment. Overall, our findings suggest that gambling preferences strongly predict retail investor interest in the crypto market.

Demand-Driven Bond Financing in the Euro Area

Stefano Pegoraro:University of Notre Dame Mendoza College of Business;

Mattia Montagna:Quantum Bridge Technologies Inc.

Abstract

We show non-financial corporations changed the quantity and composition of their bond issues in response to the European Central Bank’s corporate quantitative easing program. Eligible issuers shifted toward bonds meeting the program’s eligibility requirements. Moreover, demand for credit risk increased, and risk premia in the bond market dropped after the announcement. Eligible and ineligible firms increased total issuance and shifted toward bonds with riskier characteristics, namely unsecured and non-guaranteed bonds. Total issuance increased the most among those firms that were most exposed to the decline in risk premia. Firms also shifted away from short-maturity instruments and issued more fixed-coupon bonds.

Political Activism and Market Power

Elia Ferracuti:Duke University Fuqua School of Business;

Roni Michaely:Hong Kong University HKU Business School;

Laura A. Wellman:University of Oregon Lundquist College of Business.

Abstract

We document an increase in market power for politically active firms during times of heightened policy uncertainty, when their information and influence advantage is greater. The effect is long-lasting and stronger for large politically active firms. We show that relatively large investments during high uncertainty periods serve as a potential mechanism for gains in market power. Industries populated with politically active firms experience lower business dynamism and import penetration, consistent with active firms leveraging investment timing to restrict competition. Results suggest that political activism is a likely contributing factor to the dominance of large firms over the last two decades.

Minimum Wages, State Ownership, and Corporate Environmental Policies

Tao Chen:Nanyang Technological University Nanyang Business School;

Xi Xiong:University of Sussex Business School;

Kunru Zou:Hong Kong Baptist University School of Business.

Abstract

Exploring the minimum wage policy discontinuities at county borders, we find that minimum wage hikes induce industrial firms to pollute more and reduce their abatement efforts. State ownership mitigates these negative effects, suggesting its role in addressing externality. The adverse environmental impacts are attenuated by the staggered increase in pollution discharge fees across provinces. These effects are stronger for firms with higher minimum wage sensitivity, lower market power, and greater financial constraints, and for firms that are the subsidiaries of nonlisted companies. Overall, our findings highlight the unintended environmental consequences of labor market policies.

Does Speculative News Hurt Productivity? Evidence from Takeover Rumors

Christian Andres:WHU – Otto Beisheim School of Management;

Dmitry Bazhutov:University of Wuppertal Schumpeter School of Business and Economics;

Douglas Cumming:Florida Atlantic University and Stevens Institute of Technology;

Gerrit Köchling:Technical University of Dortmund;

Peter Limbach:University of Bielefeld and Centre for Financial Research, Cologne peter.

Abstract

We show that productivity at both the firm and employee (i.e., analyst and inventor) level temporarily declines upon announcements of takeover rumors that do not materialize. Such speculative news may hurt productivity because uncertainty and the threat of job loss cause anxiety, distraction, and reduced commitment among employees and managers. Consistently, we observe a more pronounced productivity dip for rumored targets and when the likelihood of job loss is higher. Firm performance mirrors these results. We find no indication of reverse causality. The evidence fosters our understanding of potential real effects of speculative financial news and the costs of takeover threats.

Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk

Christian Kubitza:European Central Bank.

Abstract

Financial losses can have persistent effects on the financial system. This article proposes an empirical measure for the duration of these effects, Spillover Persistence. I document that Spillover Persistence is strongly correlated with financial conditions; during banking crises, Spillover Persistence is higher, whereas in the run-up phase of stock market bubbles, it is lower. Lower Spillover Persistence also associates with a more fragile system, for example, a higher probability of future crises, consistent with the volatility paradox. The results emphasize the dynamics of loss spillovers as an important dimension of systemic risk and financial constraints as a key determinant of persistence.

Individual Experience and Home Price Expectations

Shuai Fang:Soochow University, Business School;

Xiaolong Liu:University of Groningen, Department of Economic Geography, Real Estate Centre;

Arno J. van der Vlist:University of Groningen, Department of Economic Geography, Real Estate Centre and Amsterdam School of Real Estate.

Abstract

We examine whether the heterogeneity of expectations is associated with idiosyncratic variations in experience. Combining household survey data and administrative data from the Netherlands, we find that given market development, households’ expectations about house price changes vary with their individual experience. This association is related to the use of information conveyed by experience, which varies in terms of informativeness, recency, and household sophistication. Finally, we find that individual experience also explains how far house price expectations deviate from realized house prices and that it may affect household behavior. Our findings elucidate the role that individual experience plays in expectation formation.

The Crowding-In Effect of Public Information on Private Information Acquisition

Jun Aoyagi:Hong Kong University of Science and Technology, Department of Finance.

Abstract

The dissemination of public information regarding an asset’s fundamental value can encourage the acquisition of private information by informed traders, leading to a crowding-in effect. Competing with the crowding-out effect analyzed in prior research, the crowding-in effect shapes the demand for private information in a hump-shaped curve against public information quality. I examine how a for-profit information seller strategically provides information, exploiting this hump-shaped demand curve, and offer theoretical support for the coexistence of free and paid information. The model yields distinctive insights into the equilibrium information structure and market quality when the crowding-in effect drives public information dissemination.

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