Obaid and Pukthuanthong (2022) find that daily market return is negatively related to the previous day’s (lag 1) value of their pessimistic sentiment measure derived from Wall Street Journal news photos for the period from August 2008 to September 2020. The authors replicate their results and show that the statistical significance of the lag 1 photo pessimism measure depends on the inclusion of year 2011 data – indeed, more specifically, on 20 observations (from 2011) out of 3,044 total observations. Oddly, with the removal of 2011 data, the lag 2 photo pessimism measure maintains its positive statistical significance.
Over 70% of the $15tn in cumulative acquisition value around the world in the past two decades accrue to firms that engage in serial acquisitions. Golubov et al. (2015) find that serial acquirers domiciled in the experience persistent returns up to five years into their streams of acquisition activity. The same, however, is not true for non-US firms, which account for two-thirds of all serial acquirers. The authors find the differences are concentrated among the highest quintiles of serial acquirers by returns - the "extraordinary" acquirers - and among those serial acquisition deals in the high-technology industry in the USA.
Within the growing market for exchange-traded funds (ETFs), the authors identify many dominated ETFs with returns that are highly correlated with those of cheaper, more liquid competitors. Both retail and institutional investors overallocate to dominated funds with nonindex strategies. The authors estimate the aggregate excess fees paid by investors to dominated equity ETFs to be $4.7bn from 2000 to 2018. This cost is growing over time as newly listed ETFs claim unique strategies despite high correlations with cheap, well-established index ETFs. Dominated ETFs survive and thrive even without advisor incentive misalignments, suggesting limitations on the potential benefits of expanding fiduciary standards.
This paper successfully replicates Kosowski, Naik and Teo (2007) and Jagannathan, Malakhov and Novikov (2010), two seminal studies of hedge fund performance persistence. The authors show that top funds continue to persist in a more recent sample, even when using novel "real-time" data that approximates an investor's actual information set. The persistence available to investors has substantially weakened, however, and is only observed when using Kosowski et al.'s Bayesian alpha to predict performance. The authors identify the econometric source of the superiority of Kosowski et al.'s methodology and show that the decline in performance persistence is associated with decreasing returns to scale for superior funds.
The authors examine when firms choose to issue green or sustainability-linked bonds (SLBs), and how these bonds are priced. The authors hypothesize that firms are likely to issue green bonds when credit spreads are high ("reaching for features"). Using data from 2019 to 2023 on corporate bond issues in dollars, yen, and euros, the authors estimate a trivariate probit model and find evidence consistent with this hypothesis. Furthermore, higher emission firms are more likely to issue both green bonds and SLBs, while companies that do not disclose emissions are less likely to issue these bonds. The authors consider matching, OLS, and using a heteroskedasticity-based instrument to see how green and securities are priced. Regression methods suggest sustainability-linked bond spreads were issued with 29-46 basis point lower spreads than regular bonds. Green bonds were also priced with lower spreads than regular bonds, although this difference is not always statistically significant.
