本期主要包括来自The Journal of Finance的论文
1.Do Funds Make More When They Trade More?
The Journal of Finance
Volume 72, Issue 4, August 2017, pages 1483–1528
Ľuboš Pástor; the University of Chicago Booth School of Business
Robert F. Stambaugh, the University of Pennsylvania
Lucian A. Taylor, the University of Pennsylvania
Abstract
We model fund turnover in the presence of time-varying profit opportunities. Our model predicts a positive relation between an active fund's turnover and its subsequent benchmark-adjusted return. We find such a relation for equity mutual funds. This time-series relation between turnover and performance is stronger than the cross-sectional relation, as the model predicts. Also as predicted, the turnover-performance relation is stronger for funds trading less-liquid stocks and funds likely to possess greater skill. Turnover is correlated across funds. The common component of turnover is positively correlated with proxies for stock mispricing. Turnover of similar funds helps predict a fund's performance.
链接地址：
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jofi.12509/full
2.Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis
The Journal of Finance
Volume 72, Issue 4, August 2017, Pages 1785–1824
Karl V. Lins, the University of Utah
Henri Servaes, London Business School
ANE TAMAYO, the London School of Economics and Political Science
Abstract
During the 2008–2009 financial crisis, firms with high social capital, as measured by corporate social responsibility (CSR) intensity, had stock returns that were four to seven percentage points higher than firms with low social capital. High-CSR firms also experienced higher profitability, growth, and sales per employee relative to low-CSR firms, and they raised more debt. This evidence suggests that the trust between a firm and both its stakeholders and investors, built through investments in social capital, pays off when the overall level of trust in corporations and markets suffers a negative shock.
链接地址：
http://onlinelibrary.wiley.com/doi/10.1111/jofi.12505/full
3.Capital Account Liberalization and Aggregate Productivity: The Role of Firm Capital Allocation
The Journal of Finance
Volume 72, Issue 4, August 2017, Pages 1825–1858
Mauricio Larrain, Columbia University
Sebastian Stumpner, Université de Montréal
Abstract
We study the effects of capital account liberalization on firm capital allocation and aggregate productivity in 10 Eastern European countries. Using a large firm-level data set, we show that capital account liberalization decreases the dispersion in the return to capital across firms, particularly in sectors more dependent on external finance. We provide evidence that capital account liberalization improves capital allocation by allowing financially constrained firms to demand more capital and produce at a more efficient level. Finally, using a model of misallocation we document that capital account liberalization increases aggregate productivity through more efficient capital allocation by 10% to 16%
链接地址：
http://onlinelibrary.wiley.com/doi/10.1111/jofi.12497/full
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