這是「金融學前沿論文速遞」第607篇推送
編輯:楊康 審核:王鎮
僅用於學術交流，原文版權歸原作者和原發刊所有
原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Yihui Pan (University of Utah)
Stephan Siegel (University of Washington)
Tracy Yue Wang (University of Minnesota)
We examine the formation and evolution of corporate risk culture, that is, the preferences toward risk and uncertainty shared by a firm’s leaders, as well as its effect on corporate policies. We document persistent commonality in risk attitudes inside firms, which arises through the selection of leaders with similar preferences and is rooted in the founders』 risk attitudes. Changes in corporate risk culture over time affect corporate investment policies, whereas cross-sectional differences in founders』 risk attitudes, that is, firms』 initial risk culture, contribute to differences across firms in persistent firm policies, such as research and development intensity.
A Lottery-Demand-Based Explanation of the Beta Anomaly原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Turan Bali (Georgetown University)
Stephen Brown (Monash University and New York University)
Scott Murray (Georgia State University)
Yi Tang (Fordham University)
The low (high) abnormal returns of stocks with high (low) beta, which we refer to as the beta anomaly, is one of the most persistent anomalies in empirical asset pricing research. This article demonstrates that investors』 demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is no longer detected when beta-sorted portfolios are neutralized to lottery demand, regression specifications control for lottery demand, or factor models include a lottery demand factor. The beta anomaly is concentrated in stocks with low levels of institutional ownership and it exists only when the price impact of lottery demand is concentrated in high-beta stocks.
An Empirical Analysis of Market Segmentation on U.S. Equity Markets原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Frank Hatheway (Nasdaq, Inc)
Amy Kwan (University of Sydney)
Hui Zheng (University of Sydney)
We examine the impact of trading on markets partially exempt from National Market System requirements (「dark venues」) on equity-market quality. We find evidence consistent with the notion that dark venues rely on their special features to segregate order flow based on asymmetric information risk, which results in their transactions being less informed and contributing less to price discovery on the consolidated market. Except for the execution of large transactions and trading in small stocks, the effects of dark-venue order segmentation are damaging to overall market quality. Our results have important implications for the regulation of international equity markets.
Davids, Goliaths, and Business Cycles原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Jefferson Duarte (Rice University)
Nishad Kapadia (Tulane University)
We show that a simple, intuitive variable, Goliath versus David (GVD), reflects time variation in discount rates related to changes in aggregate business conditions. GVD is the annual change in the weight of the largest 250 firms in the aggregate stock market and is motivated by research that shows that small firms are more severely impacted than large firms by economic shocks due to differences in access to external finance. We find that GVD is the best single predictor of out-of-sample market returns among traditional predictors, predicting quarterly market returns with an out-of-sample R 2 of 6.3% in the 1976–2011 evaluation period.
Risk Premia and the VIX Term Structure
原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Travis Johnson (University of Texas)
The shape of the Chicago Board Options Exchange Volatility Index (VIX) term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectations hypothesis. The second principal component, SLOPE, summarizes nearly all this information, predicting the excess returns of synthetic Standard & Poor’s (S&P) 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to the exclusion of the rest of the term structure. SLOPE’s predictability is incremental to other proxies for the conditional variance risk premia, economically significant, and inconsistent with standard asset pricing models.
原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Scott Richardson (London Business School and AQR Capital Management)
Pedro Saffi (University of Cambridge)
Kari Sigurdsson (AQR Capital Management)
Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors unwind their positions. Using data on equity loans as a proxy for the degree of levered positions in a given stock, we find robust evidence of deleveraging risk. Stocks with a high degree of short selling experience large positive returns and a decrease in short selling around periods of funding capital scarcity.
Political Uncertainty and IPO Activity: Evidence from U.S. Gubernatorial Elections原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Gönül Çolak (Hanken School of Economics)
Art Durnev (University of Iowa)
Yiming Qian (University of Iowa)
We analyze initial public offering (IPO) activity under political uncertainty surrounding gubernatorial elections in the United States. There are fewer IPOs originating from a state when it is scheduled to have an election. To establish identification, we develop a neighboring-states method that uses bordering states without elections as a control group. The dampening effect of elections on IPO activity is stronger for firms with more concentrated businesses in their home states, firms that are more dependent on government contracts (particularly state contracts), and harder-to-value firms. This dampening effect is related to lower IPO offer prices (hence, higher costs of capital) during election years.
CEO Turnovers and Disruptions in Customer–Supplier Relationships
原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Vincent Intintoli (Clemson University)
Matthew Serfling (University of Tennessee)
Sarah Shaikh (University of Washington)
Events that disrupt customer–supplier relationships pose a source of risk for suppliers that depend on a customer for a large portion of their revenues. We identify the replacement of a customer’s chief executive officer (CEO) as a disruptive event that results in suppliers losing substantial sales. These losses are greater when an incumbent customer CEO is more likely to be entrenched and stem largely from the successor divesting assets. Finally, we document that losses in sales following a customer CEO turnover lead to declines in a supplier’s financial performance and that suppliers experience negative abnormal stock returns to announcements of customer CEO departures.
Investment Efficiency and Product Market Competition原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Neal Stoughton (Vienna University of Economics and Business)
Kit Pong Wong (University of Hong Kong)
Long Yi (Hong Kong Baptist University)
Does more competition lead to more information production and greater investment efficiency? This question is largely unexplored in the finance literature. This article provides both a model and a series of extensive empirical tests. The model features a 2-stage Bayesian game in differentiated products market competition. We find that competition causes firms to acquire less information and investments to become more inefficient relative to a first-best case with the same market structure. Empirically, the panel regression analysis provides strong support for the theory and shows that investment is more efficient in concentrated industries.
Market Timing and Investment Selection: Evidence from Real Estate Investors
原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Yael Hochberg (Rice University and NBER)
Tobias Mühlhofer (University of Miami)
We examine commercial real estate fund managers』 abilities to generate abnormal profits through selection of outperforming property submarket segments or through the timing of entry into and exit from submarkets. The vast majority of portfolio managers exhibit little market timing ability, with the exception of non-NYSE real estate investment trusts after the financial crisis. A substantial fraction of managers seems able to successfully select property submarkets. Selection performance exhibits significant persistence. Managers that are active in more liquid markets tend to exhibit better timing performance, while managers exhibiting better selection ability appear to be active in less liquid markets.
What Explains the Difference in Leverage between Banks and Nonbanks?原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Tobias Berg (Frankfurt School)
Jasmin Gider (University of Bonn)
Banks have much more leverage than nonbanks. In this article, we use a joint sample of banks and nonbanks between 1965 and 2013 to analyze the determinants of this leverage difference. We find that a single factor, asset risk, is able to explain up to 90% of this difference. Banks』 assets consist of a diversified portfolio of nonbank debt. Therefore, banks have much lower asset risk than do nonbanks. Because asset risk is a major determinant of capital structure choice, this factor is able to explain a large fraction of the difference between bank and nonbank leverage.
Cultural Proximity and the Processing of Financial Information
原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Qianqian Du (Hong Kong Polytechnic University)
Frank Yu (China Europe International Business School)
Xiaoyun Yu (Indiana University)
This paper examines how culture affects information asymmetry in financial markets. We extract firms traded in the United States but headquartered in regions sharing Chinese culture (「Chinese firms」), and we manually identify a group of U.S. analysts of Chinese ethnic origin (「Chinese analysts」). We find that Chinese analysts issue more accurate forecasts on Chinese firms than non-Chinese analysts. The effect is stronger among firms with less transparent information environments. Further evidence suggests that cultural proximity can go beyond language commonality and analysts』 pre-existing channels for information. Market reaction is stronger when Chinese analysts issue favorable forecast revisions or upgrades about Chinese firms.
原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Aurelio Vasquez (ITAM Department of Business Administration)
The slope of the implied volatility term structure is positively related to future option returns. I rank firms based on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and statistically significant amount. The results are robust to different empirical setups and are not explained by traditional factors, higher-order option factors, or jump risk.
Institutional Investor Expectations, Manager Performance, and Fund Flows
原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Howard Jones (University of Oxford)
Jose Vicente Martinez (University of Connecticut)
Using survey data, we analyze institutional investors』 expectations about the future performance of fund managers and the impact of those expectations on asset allocation decisions. We find that institutional investors allocate funds mainly on the basis of fund managers』 past performance and of investment consultants』 recommendations, but not because they extrapolate their expectations from these. This suggests that institutional investors base their investment decisions on the most defensible variables at their disposal and supports the existence of agency considerations in their decision making.
原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Yufeng Han (University of North Carolina)
Tom Noe (University of Oxford)
Michael Rebello (University of Texas)
We model and test the relations between the team management of mutual funds, managers』 ability, performance, and holdings. Our model predicts that team-managed funds perform better and behave more conservatively than single-manager funds. However, the effect of team management is masked in equilibrium because high-ability managers rationally self-select into single-manager funds. Consistent with the model’s prediction, we find that team-managed funds perform better and deviate less from their benchmark allocations than single-manager funds with the same characteristics. These differences are marked after we control for the endogenous self-selection of managers.
The Unintended Consequences of the Launch of the Single Supervisory Mechanism in Europe原刊和作者：
Journal of Financial and Quantitative Analysis 2017年12月
Franco Fiordelisi (University of Rome and Middlesex University)
Ornella Ricci (University of Rome)
Francesco Saverio Stentella Lopes (Bangor University)
The launch of the Single Supervisory Mechanism (SSM) was an historic event. Beginning in Nov. 2014, the most significant banks came under the direct supervision of the European Central Bank (ECB), while national supervisory authorities (NSAs) maintained direct supervision of the remaining banks. Thus, supervision is conducted on two levels, which could cause inconsistency problems. Did the behavior of the significant banks differ from that of the less significant banks during the SSM launch? We find that the significant banks reduced their lending activity more than the less significant banks did in order to shrink their balance sheets and increase their capitalization.
原文：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/issue/5FADDF9EE3A6E24CD9CD1120B386A396
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金融學前沿論文速遞