Aggregate insider trading and market returns: The role of transparency

Using a sample of countries that require timely disclosures of insider trades, I investigate the effect of country‐level institutions that promote transparency on the extent to which aggregate insider trades predict market returns. I find that financial information transparency mitigates the predictive content of aggregate insider trades when markets are more likely to deviate from fundamentals (i.e., during market fads), and when there is greater co‐movement in stock prices. In contrast, there is some evidence that governance and investor protection mitigate the association between aggregate insider trades and future earnings surprises. Hence, holding constant the timely disclosures of insider trades, other capital market institutions play complementary roles in mitigating the informational frictions that give rise to the predictive content of aggregate insider trades.     

政府间竞争影响城市土地市场化水平的双边效应研究：基于财政竞争和引资竞争的不同作用

研究目的:本文将政府间竞争划分为财政竞争和引资竞争,比较两者对城市土地市场化水平影响的大小,分析政府间竞争与城市土地市场化水平之间的关系。研究方法:基于2003—2016年全国284个地级市的面板数据,利用双边随机前沿模型测算财政竞争和引资竞争对城市土地市场化水平的影响。研究结果:财政竞争对城市土地市场化水平具有正向效应,提高了城市土地市场化水平1.61%;引资竞争对城市土地市场化水平具有负向效应,降低了城市土地市场化水平12.51%;政府间竞争总体上降低了城市土地市场化水平10.90%。时间趋势表明,政府间竞争对城市土地市场化水平的抑制作用呈现波动下降的状态。研究结论:政府间竞争降低了城市土地市场化水平。     

Economic policy uncertainty and stock price crash risk

This paper studies the impact of economic policy uncertainty on stock price crash risk using data from China. We develop a new index to measure Chinese economic policy uncertainty and find that economic policy uncertainty has a remarkable positive effect on stock price crash risk. However, the effect reverses later. The results also indicate that the positive effect of economic policy uncertainty on stock price crash risk is more prominent for state‐owned enterprises. Moreover, this effect is more prominent for firms with higher information asymmetry and firms with greater disagreement among investors, indicating that economic policy uncertainty affects crash risk through two mechanisms: managers’ concealment of bad news and investors’ heterogeneous beliefs.     

Jensen's alpha and the market‐timing puzzle

Theory predicts that market‐timing activities bias Jensen's alpha (JA). However, empirical studies have failed to find consistent evidence of this bias. We tackle this puzzle in a nested model analysis and show that the bias contains an exogenous market component that is unrelated to market‐timing skill. In a comprehensive empirical analysis of US mutual funds, we find that the timing‐induced bias in JA is mainly driven by this market component, which is uncorrelated with measured timing activities. Measures of total performance that allow for timing activities are virtually identical to JA, even if timing activities are present in the evaluated fund. Hence, we conclude that JA is a sufficient measure of total performance.     

Subnational home market bias in Vietnam: Evidence from enterprise‐level data

This paper contributes to the home (market) bias literature where administrative or political borders limit trade across borders. Home bias is well documented at the national and subnational level. To sort out macro (e.g., location characteristics) and micro (e.g., enterprise characteristics) factors behind home bias, we use small and medium‐sized enterprise (SME) data from Vietnam. Using the fractional multinomial logit model, we find that the proportion of SME sales outside of their home markets is positively associated with enterprise size, age, number of business association memberships and the distance of SMEs' most important supplier. In contrast, the proportion of SME sales to neighbouring provinces is negatively associated with the share of SME production for final consumption. Besides enterprise‐level frictions, market characteristics matter too. The proportion of SME sales to customers in their home markets is negatively associated with home or neighbouring provinces' governance quality, while the proportion of sales to customers in neighbouring provinces is positively associated with these areas' governance quality. These suggest that good governance frees SME resources for use in selling to less familiar markets.     

Doing more and doing better are two different entities: Different patterns of family control and environmental performance

Family firms bear two types of agency costs, including type I and type II agency problems, in corporate environmental practices: (1) Outside executives at family firms hesitate to engage in environmental strategies, which can lead to drops in profits; (2) Controlling families employ opportunistically environmental management to achieve their interests. We argue that a primary cause for the agency problems lies on ineffective internal corporate governance at family firms, which can cause loss of managerial (or power) balance between outside executives and family executives. Our findings show that family firms with ownership and strategic control (FSC), which family executives and outside executives monitor and constrain each other, can achieve the highest environmental performance. Moreover, external controls, including product market competition and provincial environmental regulations, substitute effective internal control of FSC. The environmental performance premium of FSC is more prevalent when the production market competition is lower. Family firms with ownership, operational, and strategic control (FOSC) can achieve higher environmental performance within a province with more stringent environmental regulations.     

Environmental proactivity,competitive strategy,and market performance: The mediating role of environmental reputation

This article examines the impact of small and medium-sized enterprises' (SMEs) proactive environmental strategy on market performance through the mediating mechanism of environmental reputation. In addition, we investigate the potential moderating role of competitive strategies on the environmental reputation-market performance nexus. Data were collected from 223 SMEs. Using the hierarchical multiple regression analysis, the results show that a proactive environmental strategy positively enhances environmental reputation. Also, the influence of proactively environmental strategy on market performance is mediated by environmental reputation. In addition, our findings show the relationship between environmental reputation and market performance is greater for firms that adopt the differentiation strategy but not significant for firms adopting the low-cost and integrated strategies. Our study offers several theoretical and practical implications.     

Private benefits from control block trades in the Spanish stock exchange

A control block trade can be explained by the expectation of financial gains, shared by all shareholders, or by the expectation of private benefits, exclusive to the buyer and possibly at the expense of other shareholders’ rents. The market for corporate control contributes to social welfare when it improves the efficiency of the allocation of resources. When the objective of a block transaction is private benefits, social welfare may be negatively impacted as minority shareholders could withdraw from the market. Therefore the estimation of private benefits would allow the efficiency of the market for corporate control to be assessed. Specifically, the aim of this paper is to calculate private benefits in the Spanish market for partial control. Using a sample of partial control transactions over the period 1990–2016, we find that the median of private benefits is negative, therefore it appears that there is no inefficient use of resources in the Spanish partial control market as a whole, however private costs are detected. The variability of private benefits is explained in a significant way by variables related to the control structure of the target firm, such as the controlling position of the buyer after the transaction, the contestability of control and the cross-shareholdings between the buyer and large shareholders. Performance and the size of the firm are significant as well.     

Can Direct Payments Facilitate Agricultural Commercialisation: Evidence from a Transition Country

We investigate the impact of direct payments on agricultural commercialisation in Kosovo. Kosovo is one of the poorest countries in Europe but, with European assistance, provides substantial funds to support agriculture, made up of many small and often semi‐subsistence farms. Thus, the effect of this support is a central policy issue. Identifying the effect of direct payments on market participation faces endogeneity issues arising from the possible simultaneous determination of participation in support programmes and market participation. In order to achieve proper identification of the endogenous direct payments, we use a strategy of targeted identification search that employs several different methodological approaches. We find that direct payments for fruit and vegetables, and those for cereals and oilseeds have a positive effect on market participation. However, we cannot identify any definite effect of livestock payments.