• The Bright Side of Political Uncertainty: The Case of R&D

• Tax Policy and Abnormal Investment Behavior

• The Savings of Corporate Giants

• Firm Networks and Asset Returns

• The Value of ETF Liquidity

• Price elasticity of demand and risk-bearing capacity in sovereign bond auctions

• Holding Period Effects in Dividend Strip Returns

Review of Financial Studies 2024年10月

Julian Atanassov (University of Nebraska)

Brandon Julio (University of Oregon)

Tiecheng Leng (Harbin Institute of Technology)

We use close gubernatorial elections as a quasi-natural experiment to document a positive effect of political uncertainty on firm-level R&D. This finding is in contrast to the existing literature documenting a negative impact of political uncertainty on capital investment. We examine potential mechanisms and find that our results are consistent with the growth option view of R&D investment. The effect is stronger for politically sensitive and high-tech industries.The results are robust to different proxies for political uncertainty shocks. As predicted by models of investment under uncertainty, the real effects of political uncertainty critically depend on the type of the investment. 

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Review of Financial Studies 2024年10月

Qiping Xu (University of Illinois Urbana Champaign)

Eric Zwick (University of Chicago)

This paper studies tax-minimizing investment, whereby firms tilt capital purchases toward year-end to reduce taxes. We use this pattern to characterize how taxes affect investment behavior. We exploit variation in firm tax positions from administrative data to confirm that tax minimization causes spikes. Spikes increase when firms face financial constraints or higher option values of waiting. Cumulative investment does not completely reverse after spikes. We develop an investment model with tax asymmetries to rationalize these patterns. Both depreciation motives (later investments face lower effective tax rates) and option value motives (tax asymmetry implies time-varying opportunities to minimize taxes) are necessary to fit the data.

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Review of Financial Studies 2024年10月

Olivier Darmouni (Columbia Business School)

Lira Mota (MIT)

We construct a novel panel data set to provide new evidence on how the largest nonfinancial firms manage their financial assets. Our granular data show that, over the past decade, bond portfolios have grown to be at least as large as cash-like instruments, driven by the meteoric rise of corporate bond holdings. To shed light on the drivers of this growth, we conduct a pair of event studies around the 2017 tax reform and the 2020 liquidity crisis. We find that large holdings of marketable securities are primarily driven by cross-border tax incentives, while cash-like instruments are driven by liquidity motives.

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Review of Financial Studies 2024年10月

Carlos Ramírez (Federal Reserve Board)

Changes in the propagation of shocks along firm networks are important to understanding aggregate and cross-sectional features of stock returns. When calibrated to match key characteristics of supplier–customer networks in the United States, a model in which firms are interlinked via enduring relationships generates long-run consumption risks, high and volatile risk premiums, and a small and stable risk-free rate. The model also matches cross-sectional patterns of portfolio returns sorted by firm centrality, a feature unaccounted for by standard asset pricing models.

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Review of Financial Studies 2024年10月

Marta Khomyn (The University of Adelaide)

Tālis Putniņs̆ (Stockholm School of Economics in Riga, University of Technology Sydney, and Digital Finance CRC)

Marius Zoican (University of Calgary)

We analyze how ETFs compete. Drawing on a new model and empirical analysis, we show that ETF secondary market liquidity plays a key role in determining fees. More liquid ETFs for a given index charge higher fees and attract short-horizon investors who are more sensitive to liquidity than to fees. Higher turnover from these investors sustains the ETF’s high liquidity, allowing the ETF to extract a rent through its fee, and creating a first-mover advantage. Liquidity segmentation through clientele effects generates welfare losses. Our findings resolve the apparent paradox that higher-fee ETFs not only survive but also flourish in equilibrium.

原刊和作者：

Review of Financial Studies 2024年10月

Rui Albuquerque (Boston College, CEPR and ECGI)

José Miguel Cardoso-Costa (Banco de Portugal and Nova School of Business and Economics)

José Afonso Faias (Católica Lisbon School of Business and Economics)

The paper uses bids submitted by primary dealer banks at auctions of sovereign bonds to quantify the price elasticity of demand. The price elasticity of demand correlates strongly with the volatility of returns of the same bonds traded in the secondary market but only weakly with their bid-ask spread. It predicts same-bond post-auction returns in the secondary market, even after controlling for pre-auction volatility. The evidence suggests that the price elasticity of demand is associated with the magnitude of price pressure in the secondary market around auction days and proxies for primary dealer risk-bearing capacity.

原刊和作者：

Review of Financial Studies 2024年10月

Benjamin Golez (University of Notre Dame)

Jens Jackwerth (University of Konstanz)

We estimate short-term dividend strip prices from 27 years of S&P 500 index options data (1996-2022). We use option-implied interest rates when estimating strip prices and longer holding period returns to mitigate measurement error. We find that Sharpe ratios for short-term strips are similar to or higher than Sharpe ratios for the market. Short-term strips also have a low market beta and a positive alpha. Over the business cycle, realized term premiums (ie, the difference between market and strip returns) and the term structure of Sharpe ratios move countercyclically, whereas the term structure of alphas moves procyclically.

原文：

https://academic.oup.com/rfs/issue/37/10

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