近期国际顶级期刊JFQA系列

本期主要包括三篇来自国际顶级期刊Journal of Financial and Quantitative Analysis 的论文，具体如下：

1.Why Do Firms Disagree with Short Sellers? Managerial Myopia versus Private Information

Journal of Financial and Quantitative Analysis 

Volume 55 , Issue 8 

December 2020 , pp. 2431 - 2465

Leonce Bargeron

University of Kentucky 

Alice Bonaime

University of Arizona 

Abstract

Though short sellers on average succeed at identifying overvalued equity, firms often signal disagreement with short sellers by repurchasing stock when short interest increases. We investigate whether this disagreement reflects a myopic defense of inflated prices, or positive private information. These repurchases appear motivated by managers’ private information, not agency issues, even when managerial benefits to short-termism are enhanced or monitoring is weaker. Managers’ informational advantage relates to subsequent news, earnings, and risk, but is attenuated if activists target management or insiders sell. A trading strategy based on our findings earns 7.5% annually.

链接地址：

https://doi.org/10.1017/S0022109019000851

2.Do Public and Private Firms Behave Differently? An Examination of Investment in the Chemical Industry

Journal of Financial and Quantitative Analysis 

Volume 55 , Issue 8 

December 2020 , pp. 2530 - 2554

Albert Sheen

University of Oregon

Abstract

I compare the U.S. capacity expansion decisions of public and private producers of 7 commodity chemicals from 1989 to 2006. I find that private firms invest differently than public firms. Private firms are more likely than public firms to increase capacity prior to a positive demand shock (an increase in price and quantity) and less likely to increase capacity before a negative demand shock. Potential mechanisms include public firm overextrapolation of past demand shocks and agency problems arising from greater separation between ownership and control.

链接地址：

https://doi.org/10.1017/S0022109019000541

3.Anchoring on Historical High Prices and Seasoned Equity Offerings

Journal of Financial and Quantitative Analysis

Volume 55 , Issue 8 

December 2020 , pp. 2588 – 2612

Armen Hovakimian

Baruch College Zicklin School of Business

Huajing Hu

Adelphi University 

Abstract

We document that firms’ financing decisions are affected by historical high prices. The ratio of the monthly high price to the 12-month historical high price positively affects the probability of a seasoned equity offering (SEO). Furthermore, the postannouncement market reaction is muted and the offering discount is smaller if the preannouncement stock price is high relative to its historical high price. The results suggest that historical high price reference points may help managers rationally time SEOs to take advantage of market reception and minimize issuance costs.

链接地址：

https://doi.org/10.1017/S0022109019000723

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