这是“金融学前沿论文速递”第840篇推送
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Disaster on the horizon: The price effect of sea level rise
Cross-sectional alpha dispersion and performance evaluation
Shareholder bargaining power and the emergence of empty creditors
The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy
Does skin-in-the-game affect security performance?
Costs and benefits of financial conglomerate affiliation: Evidence from hedge funds
High frequency trading and comovement in financial markets
Internalizing governance externalities: The role of institutional cross-ownership
The relevance of broker networks for information diffusion in the stock market
Channels of US monetary policy spillovers to international bond markets
Credit default swaps and corporate innovation

Disaster on the horizon: The price effect of sea level rise

原刊和作者：

Journal of Financial Economics 2019年11月

Asaf Bernstein (University of Colorado at Boulder)

Matthew Gustafson (Pennsylvania State University)

Ryan Lewis (University of Colorado at Boulder)

Abstract

Homes exposed to sea level rise (SLR) sell for approximately 7% less than observably equivalent unexposed properties equidistant from the beach. This discount has grown over time and is driven by sophisticated buyers and communities worried about global warming. Consistent with causal identification of long-horizon SLR costs, we find no relation between SLR exposure and rental rates and a 4% discount among properties not projected to be flooded for almost a century. Our findings contribute to the literature on the pricing of long-run risky cash flows and provide insights for optimal climate change policy.

Cross-sectional alpha dispersion and performance evaluation

原刊和作者：

Journal of Financial Economics 2019年11月

Campbell Harvey (Duke University, National Bureau of Economic Research)

Yan Liu (Texas A&M University)

Abstract

Our paper explores the link between cross-sectional fund return dispersion and performance evaluation. The foundation of our model is the simple intuition that in periods of high return dispersion, which is associated with high levels of idiosyncratic risk for zero-alpha funds, unskilled managers can more easily disguise themselves as skilled. Rational investors should be more skeptical and apply larger discounts to reported performance in high dispersion environments. Our empirical results are consistent with this prediction. Using fund flow data, we show that a one standard deviation increase in cross-sectional return dispersion is associated with an 11% to 17% decline in flow-performance sensitivity. The effect is stronger for recent data and among outperforming funds.

Shareholder bargaining power and the emergence of empty creditors

原刊和作者：

Journal of Financial Economics 2019年11月

Stefano Colonnello (Otto-von-Guericke University Magdeburg, Halle Institute for Economic Research)

Matthias Efing (HEC Paris)

Francesca Zucchi (Federal Reserve Board of Governors)

Abstract

Credit default swaps (CDSs) can create empty creditors who potentially force borrowers into inefficient bankruptcy but also reduce shareholders’ incentives to default strategically. We show theoretically and empirically that the presence and the effects of empty creditors on firm outcomes depend on the distribution of bargaining power among claimholders. If creditors would face powerful shareholders in debt renegotiation, firms are more likely to face the empty creditor problem. The empirical evidence confirms that more CDS insurance is written on firms with strong shareholders and that CDSs increase the bankruptcy risk of these same firms. The ensuing effect on firm value is negative.

The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy

原刊和作者：

Journal of Financial Economics 2019年11月

Dominik Rehse (ZEW Mannheim)

Ryan Riordan (Queen’s University)

Nico Rottke (EBS Universität für Wirtschaft und Recht)

Joachim Zietz (EBS Universität für Wirtschaft und Recht)

Abstract

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the unprecedented strength, scale, and nature of the storm, the potential damages of a landfall near the Greater New York area were unpredictable and therefore uncertain. Using a difference-in-differences setting, we compare 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. We find relatively less trading and wider bid-ask spreads in affected REITs. The results confirm theory on the detrimental effects of uncertainty on market functioning.

Does skin-in-the-game affect security performance?

原刊和作者：

Journal of Financial Economics 2019年11月

Adam Ashcraft (Bank of America)

Kunal Gooriah (Hudson Advisors LP)

Amir Kermani (University of California Berkeley and NBER)

Abstract

This paper documents that complex financial innovations like collateralized debt obligations (CDOs) enabled informed parties in the commercial mortgage-backed securitization pipeline to reduce their skin-in-the-game in a way not observable to other market participants. This reduction in first-loss security retention significantly impacted the probability that more senior tranches ultimately defaulted. We show that this performance is entirely driven by the amount of first-loss sold to (affiliated) CDOs within 12 months of the commercial mortgage-backed securities (CMBS) deal. Our result is robust to using the differential access of first-loss investors to CDO funding as an instrument to identify exogenous variations in the retention of first-loss securities.

Costs and benefits of financial conglomerate affiliation: Evidence from hedge funds

原刊和作者：

Journal of Financial Economics 2019年11月

Francesco Franzoni (USI Lugano, Swiss Finance Institute, CEPR)

Mariassunta Giannetti (CEPR, Stockholm School of Economics, ECGI)

Abstract

This paper explores how affiliation to financial conglomerates affects asset managers’ access to capital, risk taking, and performance. Focusing on a sample of hedge funds, we find that financial conglomerate-affiliated hedge funds (FCAHFs) have lower flow-performance sensitivity than other hedge funds and that this difference is particularly pronounced during financial turmoil. Arguably, thanks to more stable funding, FCAHFs allow their investors to redeem capital more freely and are able to capture price rebounds. Because investors could value these characteristics, our findings provide a rationale for why financial conglomerate affiliation is widespread, although it slightly hampers performance on average.

High frequency trading and comovement in financial markets

原刊和作者：

Journal of Financial Economics 2019年11月

Laura Malceniece (Stockholm School of Economics in Riga)

Kārlis Malcenieks (Stockholm School of Economics in Riga)

Tālis Putniņš (Stockholm School of Economics in Riga, University of Technology Sydney)

Abstract

Using the staggered entry of Chi-X in 12 European equity markets as a source of exogenous variation in high frequency trading (HFT), we find that HFT causes significant increases in comovement in returns and in liquidity. About one-third of the increase in return comovement is due to faster diffusion of market-wide information. We attribute the remaining two-thirds to correlated trading strategies of HFTs. The increase in liquidity comovement is consistent with HFT liquidity providers being better able to monitor other stocks and adjust their liquidity provision accordingly. Our findings suggest a channel by which HFT impacts the cost of capital.

Internalizing governance externalities: The role of institutional cross-ownership

原刊和作者：

Journal of Financial Economics 2019年11月

He Jie (Jack) (University of Georgia)

Huang Jiekun (University of Illinois at Urbana-Champaign)

Zhao Shan (City University of Hong Kong)

Abstract

We analyze the role of institutional cross-ownership in internalizing corporate governance externalities using granular mutual fund proxy voting data. Exploiting within-proposal and within-institution variation, we show that an institution's holdings in peer firms are positively associated with the likelihood that the institution votes against management on shareholder-sponsored governance proposals. We further find that high aggregate cross-ownership positively predicts management losing a vote. Overall, our results provide evidence that cross-ownership incentivizes institutional investors to play a more active monitoring role, suggesting that institutional cross-ownership serves as a market-based mechanism to alleviate the inefficiency induced by governance externalities.

The relevance of broker networks for information diffusion in the stock market

原刊和作者：

Journal of Financial Economics 2019年11月

Marco Maggio (Harvard Business School and NBER)

Francesco Franzoni (USI Lugano, Swiss Finance Institute, and CEPR)

Amir Kermani (UC Berkeley and NBER)

Carlo Sommavilla (USI Lugano, Swiss Finance Institute)

Abstract

This paper shows that the network of relationships between brokers and institutional investors shapes information diffusion in the stock market. Central brokers gather information by executing informed trades, which is then leaked to their best clients. After large informed trades, other institutional investors are significantly more likely to execute similar trades through the same broker, allowing them to capture returns that are twice as large as their normal trading performance. Also indicative of information leakage, the clients of the broker employed by activist investors to execute their trades buy the same stocks just before the filing of the 13D.

Channels of US monetary policy spillovers to international bond markets

原刊和作者：

Journal of Financial Economics 2019年11月

Elias Albagli (Central Bank of Chile)

Luis Ceballos (Central Bank of Chile, Pennsylvania State University)

Sebastian Claro (Pontificia Universidad Católica de Chile)

Damian Romero (Central Bank of Chile, Pompeu Fabra University)

Abstract

We show significant US monetary policy (MP) spillovers to international bond markets. Our methodology identifies US MP shocks as the change in short-term Treasury yields around Federal Open Market Committee meetings and traces their effects on international bond yields using panel regressions. We emphasize three main results. First, US MP spillovers to long-term yields have increased substantially after the 2007–2009 global financial crisis. Second, spillovers are large compared with the effects of other events, and at least as large as the effects of domestic MP after 2008. Third, spillovers work through different channels, concentrated in risk-neutral rates (expectations of future MP rates) for developed countries, but predominantly on term premia in emerging markets. In interpreting these findings, we provide evidence consistent with an exchange rate channel, according to which foreign central banks face a trade-off between narrowing MP rate differentials or experiencing currency movements against the US dollar. Developed countries adjust in a manner consistent with freely floating regimes, responding partially with risk-neutral rates and partially through currency adjustments. Instead, emerging countries display patterns consistent with foreign exchange interventions, which cushion the response of exchange rates but reinforce capital flows and their effects in bond yields through movements in term premia. Our results suggest that the endogenous effects of currency interventions on long-term yields should be added into the standard cost-benefit analysis of such policies.

Credit default swaps and corporate innovation

原刊和作者：

Journal of Financial Economics 2019年11月

Xin Chang (Nanyang Technological University)

Yangyang Chen (Hong Kong Polytechnic University)

Sarah Qian Wang(University of Warwick)

Kuo Zhang (Shanghai Jiao Tong University)

Wenrui Zhang (Chinese University of Hong Kong)

Abstract

We show that credit default swap (CDS) trading on a firm's debt positively influences its technological innovation output measured by patents and patent citations. This positive effect is more pronounced in firms relying more on debt financing or being more subject to continuous monitoring by lenders prior to CDS trade initiation. Moreover, after CDS trade initiation, firms pursue more risky and original innovations and generate patents with higher economic value. Further analysis suggests that CDSs improve borrowing firms’ innovation output by enhancing lenders’ risk tolerance and borrowers’ risk- taking in the innovation process, rather than by increasing Research and Development (R&D) investment. Taken together, our findings reveal the real effects of CDSs on companies’ investments and technological progress.

原文：

https://www.sciencedirect.com/journal/journal-of-financial-economics/vol/134/issue/2

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