【顶级期刊目录】JFE 2021年1月目录摘要

目录

• Picking funds with confidence

• Reputation and investor activism: A structural approach

• Windfall gains and stock market participation

• Mutual fund flows and fluctuations in credit and business cycles

• Common ownership and competition in product market

• Are return seasonalities due to risk or mispricing?

• Impact investing

• Creditor control rights and resource allocation within firms

• Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices

• Global market inefficiencies

• Identifying and boosting “Gazelles”: Evidence from business accelerators

• Procyclicality of the comovement between dividend growth and consumption growth

• The difference a day makes: Timely disclosure and trading efficiency in the muni market

1

Picking funds with confidence

原刊和作者：

Journal of Financial Economics 2021年1月

Niels Grønborg (Aarhus University and Danish Finance Institute)

Asger Lunde (Aarhus University)

Allan Timmermann (University of California San Diego and Aarhus University)

Russ Wermers (University of Maryland)

Abstract

We present a new approach to selecting actively managed mutual funds that uses both portfolio holdings and fund return information to eliminate funds with predicted inferior performance through a sequence of pairwise fund comparisons. Our methodology determines both the number of skilled funds and their identities, and locates funds with substantially higher risk-adjusted returns than those identified by conventional alpha-ranking methods. We find strong evidence of time-series variation in both the number of funds identified as superior using our approach, as well as in their performance across different economic states.

2

Reputation and investor activism: A structural approach

原刊和作者：

Journal of Financial Economics 2021年1月

Travis Johnson (The University of Texas at Austin)

Nathan Swem (Board of Governors of the Federal Reserve System)

Abstract

We measure the impact of reputation for proxy fighting on investor activism by estimating a dynamic model in which activists engage a sequence of target firms. Our estimation produces an evolving reputation measure for each activist and quantifies its impact on campaign frequency and outcomes. We find that high reputation activists initiate 3.5 times as many campaigns and extract 85% more settlements from targets, and that reputation-building incentives explain 20% of campaign initiations and 19% of proxy fights. Our estimates indicate these reputation effects combine to nearly double the value that activism adds for target shareholders.

3

Windfall gains and stock market participation

原刊和作者：

Journal of Financial Economics 2021年1月

Joseph Briggs (Federal Reserve Board of Governors)

David Cesarini (New York University)

Erik Lindqvist (SOFI, Stockholm University and IFN)

Robert Östling (Stockholm School of Economics)

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 $150,000 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 $31,000). 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.

4

Mutual fund flows and fluctuations in credit and business cycles

原刊和作者：

Journal of Financial Economics 2021年1月

Azi Ben-Rephael (Rutgers University)

Jaewon Choi (University of Illinois at Urbana-Champaign and Yonsei University)

Itay Goldstein (University of Pennsylvania)

Abstract

Several measures of credit-market booms are known to precede downturns in real economic activity. We offer an early indicator for all known measures of credit booms. Our measure is based on intra-family flow shifts towards high-yield bond mutual funds. It predicts indicators such as growth in financial intermediary balance sheets, increase in shares of high-yield bond issuers, and downturns of various measures of credit spreads. It also directly predicts the business cycle by positively predicting GDP growth and negatively predicting unemployment. Our results provide support for the investor demand-based narrative of credit cycles and can be useful for policymakers.

5

Common ownership and competition in product markets

原刊和作者：

Journal of Financial Economics 2021年1月

Andrew Koch (University of Pittsburgh)

Marios Panayides (University of Cyprus)

Shawn Thomas (University of Pittsburgh)

Abstract

We investigate the relation between common institutional ownership of the firms in an industry and product market competition. We find that common ownership is neither robustly positively related with industry profitability or output prices nor is it robustly negatively related with measures of nonprice competition, as would be expected if common ownership reduces competition. This conclusion holds regardless of industry classification choice, common ownership measure, profitability measure, nonprice competition proxy, or model specification. Our point estimates are close to zero with tight bounds, rejecting even modestly sized economic effects. We conclude that antitrust restrictions seeking to limit intra-industry common ownership are not currently warranted.

6

Are return seasonalities due to risk or mispricing?

原刊和作者：

Journal of Financial Economics 2021年1月

Matti Keloharju (Aalto Universit, Center for Economic Policy Research and Research Institute of Industrial Economics)

Juhani Linnainmaa (Dartmouth College and NBER)

Peter Nyberg (Aalto University)

Abstract

Stocks tend to earn high or low returns relative to other stocks every year in the same month (Heston and Sadka, 2008). We show these seasonalities are balanced out by seasonal reversals: a stock that has a high expected return relative to other stocks in one month has a low expected return relative to other stocks in the other months. The seasonalities and seasonal reversals add up to zero over the calendar year, which is consistent with seasonalities being driven by temporary mispricing. Seasonal reversals are economically large and statistically highly significant, and they resemble, but are distinct from, long-term reversals.

7

Impact investing

原刊和作者：

Journal of Financial Economics 2021年1月

Brad Barber (UC Davis)

Adair Morse (UC Berkeley and NBER)

Ayako Yasuda (UC Davis)

Abstract

We show that investors derive nonpecuniary utility from investing in dual-objective Venture Capital (VC) funds, thus sacrificing returns. Impact funds earn 4.7 percentage points (ppts) lower internal rates of return (IRRs) ex-post than traditional VC funds. In random utility/willingness-to-pay (WTP) models investors accept 2.5–3.7 ppts lower IRRs ex ante for impact funds. The positive WTP result is robust to fund access rationing and investor heterogeneity in fund expected returns. Development organizations, foundations, financial institutions, public pensions, Europeans, and United Nations Principles of Responsible Investment signatories have high WTP. Investors with mission objectives and/or facing political pressure exhibit high WTP; those subject to legal restrictions (e.g., Employee Retirement Income Security Act) exhibit low WTP.

8

Creditor control rights and resource allocation within firms

原刊和作者：

Journal of Financial Economics 2021年1月

Nuri Ersahin (Michigan State University)

Rustom Irani (University of Illinois at Urbana-Champaign)

Hanh Le (University of Illinois at Chicago)

Abstract

We examine the within-firm resource allocation and restructuring outcomes at firms violating debt covenants. Using establishment-level data from the US Census Bureau, we find that covenant violations are followed by reductions in employment, investment, and more frequent establishment closures among violating firms’ noncore business lines and less productive establishments. These changes are concentrated among establishments at which manager-shareholder agency costs are pronounced and when key lenders have industry experience. Our findings suggest that enhanced creditor control reduces managerial agency costs and encourages a more efficient allocation of resources within the boundaries of firms in technical default.

9

Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices

原刊和作者：

Journal of Financial Economics 2021年1月

Stephan Jank (Deutsche Bundesbank)

Christoph Roling (Deutsche Bundesbank)

Esad Smajlbegovic (Erasmus University Rotterdam)

Abstract

We study how disclosure requirements for large short positions affect investor behavior and security prices. Short positions accumulate just below the applicable disclosure threshold as certain investors never disclose any of their positions. Further tests suggest that this secrecy is part of investors’ general policy of avoiding disclosure to protect their unique, profitable investment strategies against reverse engineering by competitors. No evidence supports the notion that short sellers avoid disclosure because of potential adverse effects on securities' lending fees, risk of recall, or short squeezes. Finally, the evasive behavior by short sellers in response to transparency regulations hampers price discovery.

10

Global market inefficiencies

原刊和作者：

Journal of Financial Economics 2021年1月

Söhnke Bartram (University of Warwick and CEPR)

Mark Grinblatt (UCLA Anderson School of Management and NBER)

Abstract

Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially Asia-Pacific, that are unrelated to known anomalies. The strategy's 40–70 basis point per month alpha difference between emerging and developed markets contrast with prior research findings. A country's pre-transaction cost alpha is positively related to its trading costs, but exceeds country-specific institutional trading costs. Thus, global equity markets are inefficient, particularly in countries with quantifiable market frictions, like trading costs, that deter arbitrageurs.

11

Identifying and boosting “Gazelles”: Evidence from business accelerators

原刊和作者：

Journal of Financial Economics 2021年1月

Juanita González-Uribe (London School of Economics)

Santiago Reyes (Inter-American Development Bank)

Abstract

Why is high-growth entrepreneurship scarce in developing countries? Does this scarcity reflect firm capabilities constraints? We explore these questions using as a laboratory an accelerator in Colombia that selects participants using scores from randomly assigned judges and offers them training, advice, and visibility but no cash. Exploiting exogenous differences in judges’ scoring generosity, we show that alleviating constraints to firm capabilities unlocks innovative entrepreneurs’ potential but does not transform subpar ideas into high-growth firms. The results demonstrate that some high-potential entrepreneurs in developing economies face firm capabilities constraints and accelerators can help identify these entrepreneurs and boost their growth.

12

Procyclicality of the comovement between dividend growth and consumption growth

原刊和作者：

Journal of Financial Economics 2021年1月

Nancy Xu (Carroll School of Management)

Abstract

Duffee (2005) shows that the amount of consumption risk (i.e., the conditional covariance between market returns and consumption growth) is procyclical. In light of this “Duffee Puzzle,” I empirically demonstrate that the conditional covariance between dividend growth (i.e., the immediate cash flow part of market returns) and consumption growth is (1) procyclical and (2) a consistent source of procyclicality in the puzzle. Moreover, I solve an external habit formation model that incorporates realistic joint dynamics of dividend growth and consumption growth. The procyclical dividend-consumption comovement entails two new procyclical terms in the amount of consumption risk via cash flow and valuation channels, respectively. These two procyclical terms play an important role in generating a realistic magnitude of consumption risk. In contrast to extant habit formation models, the conditional equity premium no longer increases monotonically when a negative consumption shock arrives because it might lower the amount of risk while increasing the price of risk.

13

The difference a day makes: Timely disclosure and trading efficiency in the muni market

原刊和作者：

Journal of Financial Economics 2021年1月

John Chalmers (University of Oregon)

Yu Liu (Missouri S&T)

Z. Wang (University of Oregon)

Abstract

The Real-Time Transaction Reporting System (RTRS) reduced the delay in reporting municipal bond trades from one-day to 15 min. We find a significant reduction in secondary market trading costs after the introduction of the RTRS. Our estimates imply that retail investors benefited primarily from reduced dealer intermediation costs, while large trades benefited from reductions in bargaining costs. Bonds experienced increases in trading volume across the liquidity spectrum. We find higher dealer capital commitment, longer intermediation chains, and fewer pre-arranged trades, all suggesting increased market-making incentives for dealers. These results are largely consistent with predictions from search-based models.

原文：

https://www.sciencedirect.com/journal/journal-of-financial-economics/vol/139/issue/1