這是「金融學前沿論文速遞」第791篇推送
編輯:朱思源 審核:蘭袁
僅用於學術交流，原文版權歸原作者和原發刊所有
Risk and Return in High-Frequency Trading
Local Economic Spillover Effects of Stock Market Listings
Regional Economic Activity and Stock Returns
Factor Structure in Commodity Futures Return and Volatility
Board Ancestral Diversity and Firm-Performance Volatility
Getting Paid to Hedge: Why Don’t Investors Pay a Premium to Hedge Downturns?
Relationship-Based Resource Allocations: Evidence from the Use of 「Guanxi」 during SEOs
Relationship Bank Behavior during Borrower Distress
At-the-Market Offerings
Shelf versus Traditional Seasoned Equity Offerings: The Impact of Potential Short Selling
State Ownership and Debt Choice: Evidence from Privatization
Investor Inattention and Stock Prices: Evidence from Acquisitions with a Choice of Payment Type
Do Unlisted Targets Sell at Discounts?
The Boss Knows Best: Directors of Research and Subordinate Analysts
Labor Adjustment Costs and Risk Management
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Matthew Baron (Cornell University)
Jonathan Brogaard (University of Utah Eccles)
Björn Hagströmer (Stockholm University)
Andrei Kirilenko (Imperial College Business School)
We study performance and competition among firms engaging in high-frequency trading (HFT). We construct measures of latency and find that differences in relative latency account for large differences in HFT firms』 trading performance. HFT firms that improve their latency rank due to colocation upgrades see improved trading performance. The stronger performance associated with speed comes through both the short-lived information channel and the risk management channel, and speed is useful for various strategies, including market making and cross-market arbitrage. We find empirical support for many predictions regarding relative latency competition.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Alexander Butler (Rice University)
Larry Fauver (University of Tennessee)
Ioannis Spyridopoulos (American University)
We show that initial public offerings (IPOs) have nontrivial positive spillover effects on local labor markets, business environments, consumer spending, real estate, and migration. We mitigate endogeneity concerns about unobserved heterogeneity with restrictive geographic fixed effects coupled with a matching procedure. We show that it is the listing decision, which encompasses both a wealth and liquidity shock, that induces economic spillovers. Conditional on an IPO occurring, we estimate that an additional $10 million in IPO proceeds is associated with an extra 41 jobs and 0.7 new establishments locally.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Esad Smajlbegovic (Erasmus University Rotterdam)
This paper studies the diffusion of regional macroeconomic information into stock prices. I identify all U.S. states that are economically relevant for a company through textual analysis of annual reports and find that economic activity forecasts of company-relevant regions positively predict cross-sectional stock returns. Information arising from all relevant states is more important than that relating to the headquarter state alone. These forecasts also predict firms』 performance and earnings surprises, suggesting that the return predictability stems from future cash flows that are gradually reflected in prices. Finally, regional information takes longer to be incorporated into prices among difficult-to-arbitrage stocks.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Peter Christoffersen (University of Toronto, Copenhagen Business School, CREATES)
Asger Lunde (Aarhus University, CREATES)
Kasper Olesen (Aarhus University, CREATES)
We uncover stylized facts of commodity futures』 price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008–2010 but have since returned to the pre-crisis level, close to 0. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Mariassunta Giannetti (Stockholm School of Economics,CEPR )
Mengxin Zhao (U.S. Securities and Exchange Commission)
We proxy for board members』 opinions and values using directors』 ancestral origins and show that diversity has costs and benefits, leading to high performance volatility. Consistent with the idea that diverse groups experiment more, firms with ancestrally diverse boards have more numerous and more cited patents. In addition, their strategies conform less to those of the industry peers. However, firms with greater ancestral diversity also have more board meetings and make less predictable decisions. These findings suggest that diversity may lead to inefficiencies in the decision-making process and conflicts in the boardroom.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Nishad Kapadia (Tulane University)
Barbara Ostdiek (Rice University)
James Weston (Rice University)
Morad Zekhnini (Tulane University)
Stocks that hedge sustained market downturns should have low expected returns, but they do not. We use ex ante firm characteristics and covariances to construct a tradable safe minus risky (SMR) portfolio that hedges market downturns out of sample. Although downturns (peaks to troughs in market index levels at the business-cycle frequency) predict significant declines in gross domestic product growth, SMR has significant positive average returns and 4-factor alphas (both around 0.8% per month). Risk-based models do not explain SMR’s returns, but mispricing does. Risky stocks are overpriced when sentiment is high, resulting in subsequent returns of -0.9% per month.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Paul Brockman (Lehigh University)
Michael Firth (Lingnan University)
Xianjie He (Shanghai University of Finance and Economics)
Xinyang Mao (Shanghai Lixin University of Accounting and Finance)
Oliver Rui (CEIBS)
We examine the role of relationship-based resource allocations during the approval process of seasoned equity offerings (SEOs) in the Chinese capital market. Our results show that guanxi-based relationships significantly increase the likelihood of SEO approvals, particularly for suspect SEO applicants with abnormal levels of earnings management (EM), related-party transactions (RPTs), and intercompany loans. More importantly, we find that guanxi-influenced SEO firms have significantly poorer performance in the post-SEO period, which indicates that it results in inefficient resource allocations. Overall, our evidence suggests that relationship-based resource allocations lead to negative spillover effects that impose social welfare losses.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Yan Li (World Bank (Singapore))
Ruichang Lu (Peking University)
Anand Srinivasan (NUS, CAFRAL)
This article provides a comprehensive examination of the time-series behavior of relationship banks around and during borrower distress. Relationship and outside loans have similar interest rates during distress and even 2 years prior to distress. Relative to outside loans in distress, relationship loans in distress have lower maturity. The fraction of bank lending given by relationship banks reduces during borrower distress. Overall, borrowers in distress do not derive benefits from relationship banks. These findings are inconsistent with models that suggest banks have an implicit commitment to help their borrowers in distress due to reputation concerns.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Matthew Billett (Indiana University)
Ioannis Floros (University of Wisconsin–Milwaukee)
Jon Garfinkel (University of Iowa)
We study at-the-market (ATM) equity offerings, which are direct share issuances sold in the secondary market that forgo underwriters and 「dribble-out」 shares over time rather than raising them all at once. Enabled in 2008, their use has increased dramatically, and in 2016, their incidence and total proceeds were, respectively, 63% and 26% of those for seasoned equity offerings (SEOs). Determinants of firms』 choice between ATMs and SEOs are consistent with the costly certification hypothesis of Chemmanur and Fulghieri (1994). We also find that 65% of ATM proceeds are used to stockpile cash compared to 84% of SEO proceeds.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Marie Dutordoir (University of Manchester)
Norman Strong (University of Manchester)
Ping Sun (University of Liverpool)
Traditional seasoned equity offerings (SEOs) elicit short selling from traders trying to increase offering discounts. Such short selling is more difficult for shelf offerings because the time between their announcement and issuance tends to be shorter. We predict and find that firms with higher short-selling potential (SSP) are more likely to choose shelf over traditional SEOs. This result is robust to alternative proxies for SSP and other sensitivity tests. Further analysis suggests that shelf issuers aim to mitigate the threat of manipulative short selling. Our findings add to a growing literature showing that short selling has a real impact on corporate finance decisions.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Narjess Boubakri (Bank of Sharjah, American University)
Walid Saffar (Hong Kong Polytechnic University)
Using a large sample of privatized firms, we find that state ownership is significantly positively associated with the use of bank debt financing, suggesting that privatized firms benefit from the soft budget constraint associated with state ownership. We further find that the relation is more pronounced in countries with high government ownership of banks, high corruption in bank lending, a left-oriented government, and a collectivist national culture, which provides additional support for the soft-budget-constraint view. Finally, in external validity tests, we find that state ownership affects other aspects of debt structure, such as debt maturity and debt security.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Erik Lie (University of Iowa)
I report evidence that shareholders holding a combined 15% of shares are inattentive or partially inattentive when confronted with the decision to receive cash or stock for their shares in acquisitions. The average cost of such inattention is 2%, and it increases to 6% for the tertile of transactions with the greatest difference between the cash and stock values. Most interestingly, I show that inattention affects stock prices because attentive shareholders bid up the stock price in anticipation of a wealth transfer from inattentive shareholders.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年4月
Jeffrey Jaffe (University of Pennsylvania)
Jan Jindra (U.S. SEC)
David Pedersen (Rutgers School of Business-Camden)
Torben Voetmann (University of San Francisco, Brattle Group)
Academic literature, practitioners, courts, and regulators routinely assert that both private and subsidiary targets sell at discounts relative to public targets. However, the empirical evidence to support this conclusion is thin. Our work alters the methodology from prior research to avoid biases due to both one-sided sample truncation and Jensen’s inequality. Following these changes, we find no evidence that unlisted targets sell at discounts. Our results hold under a number of different approaches and after controlling for known determinants of acquisition pricing.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Daniel Bradley (University of South Florida)
Sinan Gokkaya (Ohio University)
Xi Liu (Miami University)
Research departments are managed by directors of research (DORs). Subordinate analysts working for higher-quality DORs provide superior earnings forecasts that elicit stronger market reactions, provide better investment recommendations, and have better career outcomes. For the broker, higher-quality DORs drive more trading commissions. Economically, analysts benefit the most from DOR–analyst industry alignment resulting from DORs』 former analyst experience. We provide several tests to mitigate endogeneity concerns and explore various mechanisms to explain these results. Overall, our article identifies a unique channel whereby the industry-specific and general human capital of top management filters through to individual subordinates and consequently improves organizational performance.
原刊和作者：
Journal of Financial and Quantitative Analysis 2019年6月
Yue Qiu (Temple University)
This paper studies the effects of labor adjustment costs on corporate risk management. Labor adjustment costs attenuate the correlation between the internal funds of a firm and its investment opportunity, and create more incentives for the firm to smooth internal funds. Using a state border discontinuity approach, I find that state-level labor protection laws significantly impact a firm’s use of foreign currency derivative contracts. I further find that a firm holds more cash when labor adjustment costs are larger, and such an effect concentrates on firms that do not engage in derivative hedging.
原文：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/issue/CBF885AE80F0E94704666ACC22CCB47A
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金融學前沿論文速遞