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「International Review of Finance」/No.16-1

論文名

Contingent Capital, Real Options, and Agency Costs*

執筆者名

Dandan Song/Zhaojun Yang

詳 細  
No,1/2016-03
開始ページ:p3
終了ページ:p40

Contingent Capital, Real Options, and Agency Costs*
Dandan Song(School of Finance and Statistics, Hunan University)
Zhaojun Yang(School of Business Administration, Hunan University)

This paper aims to clarify how contingent convertible bond (CoCo) as a debt financing instrument affects a firm’s investment policy, agency cost of debt, and capital structure. We consider endogenous and exogenous conversion thresholds, respectively. Under the exogenous case, there is an explicit optimal fraction of equity allocated to CoCo holders upon conversion, such that the agency cost reaches zero. Numerical analysis demonstrates that under an endogenous conversion threshold, CoCo induces overinvestment, a higher leverage, a possible bigger agency cost, and a stronger incentive to increase risk. But if the conversion threshold is exogenously determined, almost the opposite holds true.

*The authors are grateful to an anonymous referee and an associate editor for their helpful comments. The research for this paper was supported by the National Natural Science Foundation of China (project nos. 71171078, 71502054, 71371068, 71221001 and 71431008) and the China Scholarship Fund for Studying Abroad (project no. 201506135009).

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論文名

Momentum Strategies and Investor Sentiment in the REIT Market*

執筆者名

Ying Hao/Hsiang-Hui Chu/Kuan-Cheng Ko/Lin Lin

詳 細  
No,2/2016-03
開始ページ:p41
終了ページ:p71

Momentum Strategies and Investor Sentiment in the REIT Market*
Ying Hao(School of Economics and Business Administration, Chongqing University)
Hsiang-Hui Chu(Department of Banking and Finance, National Chi Nan University)
Kuan-Cheng Ko(Department of Banking and Finance, National Chi Nan University)
Lin Lin(Department of Banking and Finance, National Chi Nan University)

Comparing across three momentum measures, we empirically find that the 52-week high strategy plays a dominant role in generating momentum profits in the Real Estate Investment Trust (REIT) market. The profitability of the 52-week high strategy, however, varies with the state of investor sentiment. Specifically, we find that the 52-week high momentum earns significantly positive returns following optimistic periods and significantly negative returns following pessimistic periods. Further evidence indicates that investor sentiment serves as a better predictive variable in explaining the REIT momentum than market states, business cycles, legislation changes, and monetary policy changes. Overall, our findings are in line with behavioral theories in explaining the REIT momentum.

*We are especially indebted to the anonymous referee, Hong Yan (the editor) and Stephen H. Penman, for their valuable comments that significantly enrich the content of the paper. Ying Hao acknowledges financial support from the National Natural Science Foundation of China (grant numbers: 71372137, 71232004, and 70902030) and the Fundamental Research Funds for the Central Universities of China (grant number: CD JSK11002). Kuan-Cheng Ko acknowledges financial support from the Ministry of Science and Technology of Taiwan (grant number: MOST 103-2410-H-260-005-MY3). We are responsible for any remaining errors.

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論文名

Disclosure of Downside Risk and Investors’ Use of Qualitative Information: Evidence from the IPO Prospectus’s Risk Factor Section*

執筆者名

Rui Ding

詳 細  
No,3/2016-03
開始ページ:p73
終了ページ:p126

Disclosure of Downside Risk and Investors’ Use of Qualitative Information: Evidence from the IPO Prospectus’s Risk Factor Section*
Rui Ding(The UNSW Business School, The University of New South Wales)

I use the context of a company’s initial public offering (IPO) of equity securities as a capital-market setting to empirically study the economic consequences of risk factor disclosures. Using data from Australian IPOs, I examine the relation of textual risk disclosures in the prospectus to initial underpricing. I find that the quantity of disclosures in the risk factor section itself has no significant impact on initial underpricing. However, an increase in the informativeness of risk factor disclosures is associated with lower IPO underpricing. My results suggest that IPOs that provide informative risk factor disclosures have less ex ante uncertainty, in the sense that the disclosures help investors estimate the dispersion of secondary market value. The effect of informative risk factor disclosures on IPO underpricing is more pronounced for IPOs with less prestigious lead underwriters and is mainly driven by younger firms, smaller firms, and firms with poorer operating performance prior to their IPOs. Collectively, my findings suggest that informative disclosures of downside risk are useful for investors to evaluate IPOs.

*I thank Philip Brown, Feng Chen, Julie Cotter, Jeff Coulton, Gerard Hoberg, Feng Li, Ronald Masulis, Gary Monroe, Yifang Sun, Wei Wang, Mark Wilson, Norman Wong, participants at the AFAANZ 2012 annual conference, and, in particular, Sudipto Dasgupta (Editor), anonymous reviewers and Associate Editor, for helpful comments and suggestions. An earlier version of this article was circulated under the title “Do Stock Market Investors Use the IPO Prospectus’s Risk Factors Section? Australian Evidence”.

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論文名

Information Asymmetry and Quarterly Disclosure Decisions by Firms: Evidence From the Tokyo Stock Exchange*

執筆者名

Keiichi Kubota/Hitoshi Takehara

詳 細  
No,4/2016-03
開始ページ:p127
終了ページ:p159

Information Asymmetry and Quarterly Disclosure Decisions by Firms: Evidence From the Tokyo Stock Exchange*
Keiichi Kubota(Graduate School of Strategic Management, Chuo University)
Hitoshi Takehara(Graduate School of Finance, Accounting and Law, Waseda University)

This study investigates whether the new quarterly disclosure reporting requirement issued by the Tokyo Stock Exchange was related to the reduction of the degree of private information-based trade and the liquidity of listed stocks in Japan, or as a reverse causality, helped dichotomize good firms and bad firms as a separating signaling equilibrium. We use the probability of asymmetric information-based trade (Adjusted PIN) as a measure of information asymmetry and the probability of symmetric order-flow shock (PSOS) as a measure of market illiquidity. We use a sample of public firms from 2002 to 2007 that chose to either disclose or not disclose quarterly financial reports. We find that the disclosing firms had lower information asymmetry (Adjusted PIN), lower symmetric order-flow shocks (PSOS), and lower private information-based trade (PIN). When we conduct further difference-in-differences tests, we find that the firms with lower information asymmetry and higher liquidity had a higher tendency to disclose their financial statements and vice versa. Thus, the new disclosure requirement did not necessarily improve the information asymmetry and liquidity of firms, but instead helped good and bad firms form a case for a separating signaling equilibrium.

*We are indebted to late Kazuyuki Suda, who, to our regret, passed away in May 2011, for his initial contribution to this paper as an original co-author. The paper was presented at the 2012 Econometric Society European Meeting, the 2012 European Accounting Association Conference, the 2010 American Accounting Association Annual Meeting, 2010 Asian Finance Association Annual Meeting, the 2010 Southwestern Finance Association Annual Meeting, the 2010 Japanese Association of Financial Econometrics and Engineering Winter Meeting, the 2010 Northeast Business and Economics Association Annual Meeting, the 2009 Japan Accounting Association Meeting, the 2009 Asian Academic Accounting Association Meeting, and seminars at Thammasat University, the University of Minnesota, Emory University, the University of Texas-Austin, Hong Kong University of Science and Technology, and Musashi University. The authors thank Carl Brousseau, Kalok Chan, Anchada Charoenrook, Darwin Choi, Tarun Chordia, Jonathan Cohn, Sudipto Dasgupta, Mingcherng Deng, Zhaoyang Gu, Allaudeen Hameed, Jeniffer Huang, Junko Maru, Andre Mechad, Nobuhiro Nakamura, Takashi Obinata, Sanae Ohno, Ehud Ronn, Mark Ruchwalski, P. K. Sen, Jay Shanken, Clemens Sialm, Sheridan Titman, Michael Trachtenbeg, Yuri Tserlukevich, John K.C. Wei, and Soonjin Yim for useful comments. The authors also thank Yasuhiro Arikawa, Thierry Foucault, Kosuke Oya, Christine Parlour, and Jun Uno for useful discussion. The authors acknowledge financial support from the Grant-in-Aid for Scientific Research [(A) 21243029 and 25245052 and (C) 19530419] from the Ministry of Education, Culture, Sports, Science and Technology of Japan. The authors are responsible for all remaining errors.

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論文名

[Shorter Articles]Responsible Personal Finance: The Role of Conscientiousness in Bank and Pension Savings in Chile*

執筆者名

Edgar E. Kausei/Erwin Hansen/Pablo Tapia

詳 細  
No,5/2016-03
開始ページ:p161
終了ページ:p167

[Shorter Articles]Responsible Personal Finance: The Role of Conscientiousness in Bank and Pension Savings in Chile*
Edgar E. Kausei(Faculty of Economics and Business, University of Chile)
Erwin Hansen(Faculty of Economics and Business, University of Chile)
Pablo Tapia(Faculty of Economics and Business, University of Chile)

We investigate the role of trait conscientiousness, from the Big Five personality traits, in explaining individual saving behavior. Conscientiousness is a disposition to be responsible and pursue non-immediate goals; thus, we expect this trait to positively predict saving behavior. Using a nationally representative survey from Chile, we find the expected effect of conscientiousness on pension and bank savings.

*Financial support from FONDECYT, under grant Iniciacion #11130277, is greatfully acknowledged.

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論文名

[Shorter Articles]The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets

執筆者名

Kübra Akca/Serda Selin Ozturk

詳 細  
No,6/2016-03
開始ページ:p169
終了ページ:p178

[Shorter Articles]The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets
Kübra Akca(Economics, Istanbul Bilgi University)
Serda Selin Ozturk(Economics, Istanbul Bilgi University)

The scope of this paper is to determine whether global stock markets function differently under conditions of economic crisis by measuring volatility spillovers between six major markets, namely the US, the UK, Germany, Spain, Turkey, and Greece. We examine the volatility spillover effects of the 2008 US financial crisis to these six major markets using daily stock returns from January 2003 to December 2014, before, during, and after the 2008 financial crisis. We combine the Diebold and Yilmaz methodology with the stochastic volatility model of Taylor implemented through the sequential Efficient Importance Sampling method of Richard and Zhang to obtain variance decompositions derived from an estimated vector autoregressive model. The empirical findings suggest that stock markets tend to show increased volatility spillovers during the crisis period, thus resulting in lesser diversification benefits for investors.

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