Showing papers in "Journal of Financial Economics in 2012"

TL;DR: In this paper, empirical asset pricing models capture the value and momentum patterns in international average returns and whether asset pricing seems to be integrated across the four regions (North America, Europe, Japan, and Asia Pacific).

TL;DR: In this article, the authors use a well-developed dynamic panel generalized method of moments estimator to alleviate endogeneity concerns in two aspects of corporate governance research: the effect of board structure on firm performance and the determinants of board structures.

TL;DR: In this article, the authors proposed several econometric measures of connectedness based on principal component analysis and Granger-causality networks, and applied them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies.

TL;DR: The authors found that banks with more shareholder-friendly boards performed significantly worse during the crisis than other banks, were not less risky before the crisis, and reduced loans more during crisis, while large banks from countries with more restrictions on bank activities performed better and decreased loans less.

TL;DR: In this paper, the authors document significant time series momentum in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments they consider, and find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under reaction and delayed over-reaction.

TL;DR: The authors investigated the relation between corporate political connections and government investment and found that politically connected firms are more likely to be funded, controlling for other characteristics, yet investments in politically connected companies underperform those in unconnected ones.

TL;DR: This article found that a substantial portion of short sellers' trading advantage comes from their ability to analyze publicly available information and that the most informed short sales are not from market makers but rather from clients, and only weak evidence that short sellers anticipate news events.

TL;DR: In this article, the authors analyzed the liquidity components of corporate bond spreads during 2005-2009 using a new robust illiquidity measure and found that the spread contribution from illiquidities increases dramatically with the onset of the subprime crisis, and that flight-to-quality is confined to AAA-rated bonds.

TL;DR: In this article, the Federal Reserve's 2009 program to purchase $300 billion of US Treasury securities represented an unprecedented intervention in the Treasury market and provides a natural experiment with the potential to shed light on the price elasticities of Treasuries and theories of supply effects in the term structure.

TL;DR: In this article, the authors present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions: first, investors neglect certain unlikely risks.

TL;DR: This article found that changes in monetary policy have surprisingly strong effects on forward real rates in the distant future, which is at odds with standard macro models based on sticky nominal prices, which imply that monetary policy cannot move real rates over a horizon longer than that over which all prices in the economy can readjust.

TL;DR: This paper showed that momentum is primarily driven by firms' performance 12 to seven months prior to portfolio formation, not by a tendency of stocks to keep rising and falling. But their results are not particular to the cross section of US equities.

TL;DR: The authors examined how commonality in liquidity varies across countries and over time in ways related to supply determinants (funding liquidity of financial intermediaries) and demand determinants(correlated trading behavior of international and institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity.

TL;DR: In this article, the authors develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk, and show that information contagion is more likely under clustered asset structures.

TL;DR: In this paper, the authors compare firms' capital structure adjustments across countries and investigate whether institutional differences help explain the variance in estimated adjustment speeds, finding that legal and financial traditions significantly correlate with firm adjustment speeds.

TL;DR: In this article, the authors evaluate predictive regressions that explicitly consider the time-variation of coefficients in a comprehensive Bayesian framework and find that predictive models with constant coefficients are dominated by models with time-varying coefficients.

TL;DR: In this paper, the authors examine M&A transactions between firms with current board connections and find that acquirers obtain higher announcement returns in transactions with a first-degree connection where the acquirer and the target share a common director.

TL;DR: The authors empirically showed that the cost of bank debt is systematically higher for firms that operate in competitive product markets, and that the effect of competition is greater in industries in which small firms face financially strong rivals, in industries with intense strategic interactions between firms and in illiquid industries.

TL;DR: For example, this paper found that offer prices are biased toward recent peak prices, and that an offer's probability of acceptance jumps discontinuously when it exceeds a peak price and that bidder shareholders react more negatively as the offer price is influenced upward toward a peak.

TL;DR: When banks and firms are connected through interpersonal linkages such as their respective management having attended college or previously worked together, interest rates are markedly reduced, comparable with single shifts in credit ratings as mentioned in this paper.

TL;DR: In this article, the authors find that a firm's cashflow features affect not only the leverage target, but also the speed of adjustment toward that target, driven by an economically meaningful concept: adjustment costs.

TL;DR: The authors examine how the banking sector could ignite the formation of asset price bubbles when there is access to abundant liquidity inside banks, to induce effort, loan officers are compensated based on the volume of loans.

TL;DR: This paper showed that banks overstate the value of distressed assets and their regulatory capital during the US mortgage crisis and that real estate related assets are overvalued in banks' balance sheets, especially those of bigger banks, compared to the market value of these assets.

TL;DR: This paper found that the likelihood and speed of forced CEO turnover are positively related to a firm's earnings management and that boards tend to act proactively to discipline managers who manage earnings aggressively, before the manipulations lead to costly external consequences.

TL;DR: In this article, the authors provide a broad empirical investigation of momentum strategies in the foreign exchange market and find a significant cross-sectional spread in excess returns of up to 10% per annum (p.a.) between past winner and loser currencies.

TL;DR: In this paper, the authors examined the relationship between option-based compensation and risk-taking behavior by exploiting the change in the accounting treatment of stock options following the adoption of FAS 123R in 2005.

TL;DR: This paper presented a parsimonious, structural model that isolates primary economic determinants of the level and dispersion of managerial ownership, firm scale, and performance and the empirical associations among them.

TL;DR: In this article, the authors argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets, and they find that movements in open interest are highly procyclical, correlated with both macroeconomic activity and movements in asset prices.

TL;DR: In this paper, the authors test whether it is possible to improve volatility forecasts at monthly and quarterly horizons by conditioning on additional macroeconomic variables, such as macroeconomic uncertainty, time-varying expected stock returns, and credit conditions.