Showing papers in "Journal of Financial Economics in 2019"

TL;DR: The authors assesses whether shareholders drive the environmental and social (E&S) performance of firms worldwide and finds that institutional ownership is positively associated with E&S performance with additional tests suggesting this relation is causal.

TL;DR: In this paper, a three-factor model is proposed to explain most reported Chinese anomalies, including profitability and volatility anomalies, which strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China.

TL;DR: In this paper, the authors propose an instrumented principal component analysis (IPCA) model that allows for latent factors and time-varying loadings by introducing observable characteristics that instrument for the unobservable dynamic loadings.

TL;DR: In this paper, the authors investigate the role that transaction fees play in the bitcoin blockchain's evolution from a mining-based structure to a market-based ecology and develop a game-theoretic model to explain the factors leading to the emergence of transactions fees, as well as explain the strategic behavior of miners and users.

TL;DR: This article showed that homes exposed to sea level rise (SLR) sell for approximately 7% less than observably equivalent unexposed properties equidistant from the beach and that this discount has grown over time and is driven by sophisticated buyers and communities worried about global warming.

TL;DR: This article found that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample R2s of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously studied macroeconomic variables.

TL;DR: In this article, the authors investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest predictor of future bond returns, and introduce common risk factors based on the prevalent risk characteristics of corporate bonds (downside risk, credit risk, and liquidity risk).

TL;DR: This paper found that profits are either earned entirely overnight (for reversal and a variety of momentum strategies) or entirely intraday, typically with profits of opposite signs across these components, and argued that this tug of war should reduce the effectiveness of clienteles pursuing the strategy.

TL;DR: In this article, the authors examined how competition among suppliers affects their willingness to provide trade credit financing and found that retailers with dispersed suppliers obtain less trade credit than those whose suppliers are more concentrated.

TL;DR: In this article, transaction-level analyses of entrusted loans, one of the largest components of shadow banking in China, have been performed, showing that both affiliated and non-affiliated loans are fairly compensated investments.

TL;DR: This paper found that firms experiencing improvements in crowdsourced employer ratings significantly outperform firms with declines and that the return effect is concentrated among reviews from current employees, stronger among early firm reviews, and also stronger when the employee works in the headquarters state.

TL;DR: This paper found that social capital, as captured by secular norms and social networks surrounding corporate headquarters, is negatively associated with levels of CEO compensation, and this relation holds in a range of robustness tests including those that address omitted variable bias and reverse causality.

TL;DR: In this article, the role of institutional cross-ownership in internalizing corporate governance externalities using granular mutual fund proxy voting data was analyzed and it was found that high aggregate cross ownership positively predicts management losing a vote.

TL;DR: In this article, the authors show that the peer effects of a company's decision to change its dividend policy have a significant impact on the time it takes to make a change and the amount of payments it makes.

TL;DR: The authors found that the lack of access to credit likely accounted for a substantial fraction of the aggregate decline in employment of large industrial firms between 1928 and 1933, when public bond markets essentially froze.

TL;DR: In this article, the implications of public information in a model where market prices convey information to relevant decision makers and the "uctuation of market prices is driven by multiple factors" are studied.

TL;DR: In this article, credit default swap (CDS) trading on a firm's debt positively influences its technological innovation output measured by patents and patent citations, which is more pronounced in firms relying more on debt financing or being more subject to continuous monitoring by lenders prior to CDS trade initiation.

TL;DR: This article found that the more forecasts an analyst issues, the higher the likelihood the analyst resorts to more heuristic decisions by herding more closely with the consensus forecast, self-herding (i.e., reissuing their own previous outstanding forecasts), and issuing a rounded forecast.

TL;DR: In this article, the authors used a data set covering one quarter of the U.S. general-purpose credit card market and found that 29% of accounts regularly make payments at or near the minimum payment.

TL;DR: The authors found that approximately 20% of independent directors are significantly distracted in a typical year, indicating declining firm-specific knowledge and a reduced board commitment, and that firms with more preoccupied independent directors have weaker M&A profitability and accounting quality.

TL;DR: This paper found evidence that an increase in financial analysts leads firms to cut research and development expenses, acquire more innovative firms, and invest in corporate venture capital, which increases their future patents and citations and influences the novelty of their innovations.

TL;DR: In this paper, the authors estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model's in-and out-of-sample performance.

TL;DR: In this article, the authors study the transmission channels from central banks' quantitative easing programs via the banking sector when central banks start purchasing corporate bonds and find evidence consistent with a "capital structure channel" of monetary policy.

TL;DR: In this paper, the authors evaluate Fama's claim that stock prices do not exhibit price bubbles and present four findings: (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward; (2) such sharp price increases predict a substantially heightened probability of a crash but not of a further price boom.

TL;DR: This article developed a classification methodology for the context and content of news articles to predict risk and return in stock markets in 51 developed and emerging economies, including news stories about emerging markets, including topic-specific sentiment, frequency, and unusualness (entropy) of word flow.

TL;DR: In this paper, the authors employ a measure of technological closeness between firms and show that the returns of technology-linked firms have strong predictive power for focal firm returns, and a long-short strategy based on this effect yields monthly alpha of 117 basis points.

TL;DR: In this paper, a new empirical strategy that uses credit ratings to identify financing constraints and uses exchange rates and trade data to identify demand shocks was proposed to identify an important new misallocation effect of financial frictions that operates within firms across different types of workers.

TL;DR: In this article, the authors examined the pricing of volatility risk and idiosyncratic volatility in the cross-section of corporate bond returns for the period of 1994-2016 and found that bonds with high volatility betas have low expected returns, and this negative relation appears in all segments of corporate bonds.

TL;DR: In this article, the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment were tested using a difference-in-differences setting, using the market reactions of Real Estate Investment Trusts (REITs) with and without properties in the widely published evacuation zone of New York City prior to landfall.

TL;DR: The ratio of gold to platinum prices (GP) reveals persistent variation in risk and proxies for an important economic state variable as mentioned in this paper, and explains why gold prices fall in recessions, albeit by less than platinum prices.