本期推送学术论文选自《Journal of Corporate Finance》、《Pacific-Basin Finance Journal》等国际知名期刊，内容涉及公司治理、资本市场以及信息披露三个主题。具体见下文
1公司治理1The impact of credit ratings on corporate behavior: Evidence from Moody"s adjustments
Darren J. Kisgen（Boston College）
Abstract：Moody"s adjusts a firm"s reported leverage across several dimensions to determine credit ratings. I find that changes to this adjustment methodology affect firm capital structure and investment decisions. In particular, in , Moody"s made several changes to its adjustment methodologies, which are arguably exogenous to changes in firm fundamentals. I show these changes significantly affect adjustments for firms in this year. I then show that these changes to adjustments in affect capital structure and investment decisions in , especially for those firms with greatest exposure to the methodology changes. These results show that rating agencies have the power to affect corporate decisions.
Keywords:Credit ratings。Capital structure；Leverage；Debt
Source：Journal of Corporate Finance，Volume 58, October , Pages 567-582，/10.1016/j.jcorpfin..07.002
2Variable pay: Is it for the worker or the firm?
Jason Allen（Bank of Canada）
James R. Thompson（University of Waterloo）
Abstract：Why do firms pay their workers with variable pay? The standard explanation appeals to a problem that the worker faces, e.g., agency. We develop a model of variable pay endogenously driven by the capital structure problem of the firm, and not a worker related problem. If workers face a low probability of job termination, firms use more variable pay, and more leverage. This can have important implications for understanding compensation practices in organizations. We provide empirical evidence consistent with firms using variable pay to increase leverage.
Keywords:Worker compensation；Leverage
Source: Journal of Corporate Finance，Volume 58，October ，Pages 551-566，/10.1016/j.jcorpfin..07.004
3The impact of top executive gender on asset prices: Evidence from stock price crash risk
Yiwei Li（University of Essex）
Yeqin Zeng（Durham University）
Abstract：We examine the implication of executive gender on asset prices. Using a large sample of US public firms during –, we find a negative association between female CFOs and future stock price crash risk. However, the impact of female CEOs on crash risk is not statistically significant. The results support the notion that CFOs play a stronger role than CEOs in curbing bad news hoarding activities because CFOs" primary duties are financial reporting and planning. Our findings are robust to several econometric specifications controlling for potential endogeneity and to alternative measures of crash risk. At last, we show that the negative relation between female CFOs and future stock price crash risk is more pronounced among firms with weaker corporate governance, less market competition, lower analyst coverage, and higher financial leverage. Collectively, our evidence highlights the importance of CFO gender for firm financial decision making and stock return tail risk.
Keywords：Crash risk；Gender；CFO；CEO；Bad news hoarding
Source: Journal of Corporate Finance，Volume 58, October , Pages 528-550，/10.1016/j.jcorpfin..07.005
2资本市场4National culture and individual trading behavior
Gary Tan（University of Adelaide）
Chee Seng Cheong，Ralf Zurbruegg（University of Adelaide）
Abstract：We study the role of national culture in influencing the trading behavior of individuals. We achieve this by analyzing the trading patterns of participants trading in a simulated asset market where decision outcomes are framed in terms of both gains and losses, and under different externally imposed constraints. By analyzing the trading history of participants from 21 countries and territories, we show that an individual"s cultural background significantly impacts how often they trade, the size of their trades and how long they keep their positions open in the market. Our results are robust when controlling for personal and social characteristics of the traders and for how rewards are offered to traders. Overall, our research shows how culture relates to trading behavior and has implications for the liquidity and risk profiles of exchanges around the world.
Keywords：Culture；Risk-taking；Trading behavior；Simulated trading
Source：Journal of Banking & Finance，Volume 106, September , Pages 357-370，/10.1016/j.jbankfin..07.007
5Integrated framework for information security investment and cyber insurance
Shaun S. Wang（Nanyang Technological University）
Abstract:This paper presents analytical models for optimizing firm"s cybersecurity spending and cyber insurance based on the effectiveness of spending in reducing cyber threats, vulnerability and impact, respectively. At the macro-level, the paper shows how private-sector contribution toward countering cybercrimes can reduce the overall cyber loss and create economic value. At the micro level, a firm"s effectiveness of security spending in addressing specific cyber threats can be reduced when other co-dependent security measures are not put in place. The paper derives an optimal mix of cybersecurity investments in “knowledge and expertise” versus “deploying mitigation measures”. The paper proposes customizing cyber insurance for firms with itemized threat-specific coverage with a portion of the premium used to help clients with risk knowledge and nudge clients in implementing risk mitigation measures. Small and Mid-sized Enterprises can stand benefit the most from such innovative cyber insurance.
Keywords:Cybersecurity investment；Counter cybercrime；Risk reduction；Cyber insurance
Source：Pacific-Basin Finance Journal，Volume 57, October , 101173，/10.1016/j.pacfin..101173
6Financialintegration in the United Arab Emirates Stock Markets
Burcu Kapar，Rim Ghalayini（American University in Dubai）
Jose Olmo（Universidad de Zaragoza）
Abstract：This paper examines the integration of financial markets using data from the Dubai Financial Market Stock Exchange, Abu Dhabi Stock Exchange and the FTSE Nasdaq Dubai UAE 20 index. To do this, we apply a vector error correction model and a permanent-transitory decomposition of the series of prices. Our results reveal the existence of a long-run equilibrium relationship between the three financial indices suggesting that UAE stock markets are integrated. Shocks to any of these markets affect the other markets in the long and the short run through the equilibrium condition. We uncover a major role of the FTSE Nasdaq Dubai UAE 20 index in this equilibrium relationship. Our analysis of market integration also allows us to obtain a permanent-transitory decomposition given by two common factors that drive the three financial indices. Whereas the first factor is defined as a weighted combination of the two major financial indices the second factor is mainly determined by the FTSE Nasdaq Dubai. As a byproduct of our analysis, we find empirical evidence of short-run and long-run predictability running from the Dubai financial indices to the Abu Dhabi index.
Keywords：Cointegration；Market integration；Permanent-transitory decomposition；UAE Stock Markets
Source：Finance Research Letters，Available online 2 July ，/10.1016/j.frl..06.017
3信息披露7Does high-frequency trading reduce market underreaction to earnings news?
Yun Ke（Brock University）
Yanan Zhang（Central University of Finance and Economics）
Abstract：This paper examines the impact of high-frequency trading (HFT) on market underreaction to earnings news as measured by the magnitude of post-earnings announcement drift (PEAD). Using a dataset provided by NASDAQ, we are able to better identify HFT activities and reduce measurement errors. We find that the magnitude of PEAD decreases with the increase of HFT. More importantly, we show that this effect is due to HFT"s liquidity supplying role (i.e., passive HFT fulfilling market orders), not liquidity demanding role (i.e., HFT initiating market orders). The results also reveal that the effect is more pronounced when earnings surprises are extreme and large. Taken together, HFT seems to help mitigate market inefficiency by providing liquidity.
Keywords：High-frequency trading (HFT)；Market underreaction；Earnings news；Post-earnings announcement drift (PEAD)
Source：Finance Research Letters，Available online 22 July ，/10.1016/j.frl..07.012
8 Increased Market Response to Earnings Announcements in the 21st Century: An EmpiricalInvestigation
William H. Beaver，Maureen F. McNichols（Stanford University）
Zach Z. Wang（University of Illinois at Urbana-Champaign）
Abstract：We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to , as measured by return variability and volume following Beaver et al. (b). We find management guidance, analyst forecasts, and disaggregated financial statement line items are more frequently bundled with earnings announcements, and each of these items explains part of the increase in market response. Furthermore, collectively, these concurrent information releases explain a substantial fraction of the increase in market response to earnings announcements since 2001. This is in contrast to the decline in market response to management guidance issued separately from earnings and the much smaller increase in market response to analyst forecasts issued separately from earnings over this time. The findings indicate that information arrival at earnings announcement dates has increased significantly over the past two decades, and that key components of this are increased disclosures by management and forecasts by analysts.
Keywords：capital markets；earnings announcements；financial statements；return volatility；management guidance；analyst forecasts
Source：Journal of Accounting and Economics，Available online 26 July , 101244，/10.1016/j.jacceco..101244
9 Linked Balance Sheet Presentation
Lisa Koonce，Brian J. White（The University of Texas at Austin）
Zheng Leitter（Nanyang Technological University）
Abstract：Certain financial statement items are closely related, such as items in hedging relationships. In this paper, we develop theory and conduct two experiments to investigate three different balance sheet presentation formats for related financial statement items. We posit that a linked presentation format rarely used in practice allows financial statement users to better distinguish among firms with different economics. Neither net presentation nor separate presentation of related balance sheet items allows users to make this distinction. The results of two experiments—one in a hedging context and the other in a lending context—support our theory-based predictions.
Keywords：financial statements；linked presentation；causal reasoning
Source：Journal of Accounting and Economics，Available online 24 July , 101237，/10.1016/j.jacceco..101237
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