期刊名称：Review of Finance
本期期卷：Volume 28, Issue 3
刊出日期：May 2024
目录
01 Leveraged speculators and asset prices
Wenxi Jiang
02 Yield curve momentum
Markus Sihvonen
03 When passive funds affect prices: evidence from volatility and commodity ETFs
Karamfil Todorov
04 Common ownership and creative destruction: evidence from US consumers
Hadiye Aslan
05 Common risk factors in cross-sectional FX options returns
Xuanchen Zhang and others
06 Credit risk, debt overhang, and the life cycle of callable bonds
Bo Becker and others
07 External financing, technological changes, and employees
E Han Kim and others
08 Green links: corporate networks and environmental performance
Hossein Asgharian and others
09 The saliency of the CEO pay ratio
Audra Boone and others
10 Fresh air eases work—the effect of air quality on individual investor activity
Steffen Meyer and Michaela Pagel
# 01 #
Title：
Leveraged speculators and asset prices
Author：
Wenxi Jiang
Abstract：
I test the hypothesis that the use of leverage by market speculators can increase the likelihood and magnitude of crashes in asset prices. Using a direct leverage measure derived from US public filings, I find that (1) stocks held by highly leveraged hedge funds subsequently have more negatively skewed returns than stocks held by less leveraged funds and (2) upon extremely negative earnings surprises or funding liquidity shocks, stocks owned by high-leverage funds exhibit abnormal price declines and subsequent reversal. Consistent with the fire sale and contagion hypothesis, high-leverage funds tend to reduce the position following negative news about a stock, and such selling can extend to other stocks in the portfolio, increasing the crash proneness of the stocks they hold.
# 02 #
Title：
Yield curve momentum
Author：
Markus Sihvonen
Abstract：
I analyze time series momentum along the Treasury term structure. Yield curve momentum is primarily due to changes in the level factor of yields. Because yield changes are partly induced by changes in the federal funds rate, yield curve momentum is related to post-FOMC (Federal Open Market Committee) announcement drift. The momentum factor is unspanned by the information in the term structure today and is hence inconsistent with standard term structure, macrofinance, and behavioral models. I argue that the results are consistent with a model with unpriced longer term dependencies.
# 03 #
Title：
When passive funds affect prices: evidence from volatility and commodity ETFs
Author：
Karamfil Todorov
Abstract：
This article studies exchange-traded funds’ (ETFs) price impact in the most ETF-dominated asset classes: volatility (VIX) and commodities. I propose a new way to measure ETF-related price distortions based on the specifics of futures contracts. This allows me to isolate a component in VIX futures prices that is strongly related to the rebalancing of ETFs. I derive a novel decomposition of ETF trading demand into leverage rebalancing, calendar rebalancing, and flow rebalancing, and show that trading against ETFs is risky. Leverage rebalancing has the largest effects on the ETF-related price component. This rebalancing amplifies price changes and exposes ETF counterparties to variance.
# 04 #
Title：
Common ownership and creative destruction: evidence from US consumers
Author：
Hadiye Aslan
Abstract：
How does common ownership affect creative destruction? What are the underlying mechanisms? Do the effects of increased common ownership vary among different customer segments? Using product-level data, we show that, on average, firms with greater common ownership introduce new products at a faster rate and discontinue existing products at a similar pace. The observed economic impacts intensify over time, reflecting the gradual nature of knowledge spillovers and the learning curve. Subsequent to an increase in common ownership, portfolio firms tend to both add and drop products that are dissimilar to those of their rival firms, with the net effect of decreasing between-firm product dissimilarity. We also find that the effects are more relevant for product modules with greater technological likeness, lower barriers to market entry, and greater numbers of product market players. Product variety is substantially greater in product lines catering to higher-income households. Overall, the result highlights the procompetitive effects of increased common ownership.
# 05 #
Title：
Common risk factors in cross-sectional FX options returns
Author：
Xuanchen Zhang and others
Abstract：
We identify a comprehensive list of thirty-eight characteristics for predicting cross-sectional FX options returns. We find that three factors—long-term straddle momentum, implied volatility, and illiquidity—can generate economically and statistically significant risk premia not explained by other return predictors. Meanwhile, the predictability of the other characteristics becomes insignificant after accounting for the FX option three-factor model. The significance of the three factors is confirmed through a series of robustness tests covering different data sources, alternative options strategies, diversification effects, bootstrapping, and omitting crisis years.
# 06 #
Title：
Credit risk, debt overhang, and the life cycle of callable bonds
Author：
Bo Becker and others
Abstract：
We show that callable bonds have both higher yields and lower market prices than matched non-callable bonds of the same issuer-time, reflecting the value of call features to issuers and investors. This “value of callability” as well as the inclusion and the exercise of call rights are jointly determined by issuer credit quality. Critically, our agency-based theoretical and empirical analyses show that callability reduces debt overhang in corporate mergers. Our results help explain the value and increasing prevalence of callable bonds in credit markets.
# 07 #
Title：
External financing, technological changes, and employees
Author：
E Han Kim and others
Abstract：
Using exogenous shocks on the ability to issue seasoned equity offerings (SEOs), we show SEOs lead to a higher employee skill composition, that is, a lower (higher) proportion of low (high) skilled workers. The decrease in low-skilled workers exceeds the increase in high-skilled workers, resulting in reduced employment at the firm level. These effects are more significant when firms invest more in technology following SEOs and face greater financial constraints before SEOs, suggesting that SEOs relieve budget constraints on technology investments. These findings demonstrate that while external equity financing helps upgrade technology to improve productivity, it has a dark side for low-skilled workers.
# 08 #
Title：
Green links: corporate networks and environmental performance
Author：
Hossein Asgharian and others
Abstract：
We investigate the propagation of environmental performance among competitors and in customer–supplier relationships. We find a significant causal effect among competitors, while the propagation from customers to suppliers and vice versa appears insignificant or does not survive identification tests. The effect is stronger among firms in highly concentrated competitor networks and toward firms with less market and bargaining power than their competitors. We also find significantly stronger propagation of environmental performance among competitors engaged in joint research and development activity. These results show that the propagation stems from both competitive pressure and technological spillover. Importantly, we find that propagation is strong when the competitor improves its environmental performance and when the firm’s own environmental performance is poor initially, alleviating concerns that improvements in performance are concentrated among firms, which are already green. Overall, network effects among competing firms are a significant force shaping environmental performance, and a force mostly for good.
# 09 #
Title：
The saliency of the CEO pay ratio
Author：
Audra Boone and others
Abstract：
The US Securities and Exchange Commission’s mandated CEO pay ratio is a simple, but salient, metric that could resonate with employees given it focuses on their compensation. Reporting a relatively or surprisingly high ratio reduces employee perceptions of their pay, views of the CEO, and hampers productivity growth. Employee pay satisfaction drops after disclosing a high ratio even if their wages were previously disclosed and when the pay ratio disclosure adds little new information. Disclosures by firms with a high ratio contain more discretionary language to explain the ratio or portray employee relations positively and are more likely to be covered by the media. However, neither information source substantially alters the employee response to a salient ratio. Our work illustrates that requiring firms to disclose a salient metric can have unintended consequences on employees and suggests caution in requiring firms to report simplified Environmental, Social, and Governance (ESG) metrics that are inherently multifaceted.
# 10 #
Title：
Fresh air eases work—the effect of air quality on individual investor activity
Author：
Steffen Meyer and Michaela Pagel
Abstract：
This article shows that contemporaneous and lagged air pollution negatively affects the likelihood of German individual investors to log in and trade in their brokerage accounts, using intraday data and controlling for investor-, weather-, traffic-, and market-specific factors. A 1 SD increase in air pollution leads to a 1.3 percent reduction in the probability of logging in, which is larger than the response to a 1 SD increase in sunshine. We argue that changes in air pollution affect productivity in cognitively demanding tasks, such as trading. Our results are robust to macroeconomic productivity shocks, nonlinearities, or measurement error.
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