发布求助
文献互助 智能选刊 最新文献

Journal of Finance最新文献

筛选
英文 中文
The Global Credit Spread Puzzle
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-12-20 DOI: 10.1111/jofi.13409
JING-ZHI HUANG, YOSHIO NOZAWA, ZHAN SHI
{"title":"The Global Credit Spread Puzzle","authors":"JING-ZHI HUANG, YOSHIO NOZAWA, ZHAN SHI","doi":"10.1111/jofi.13409","DOIUrl":"https://doi.org/10.1111/jofi.13409","url":null,"abstract":"We examine the ability of structural models to predict credit spreads using global default data and security-level credit spread data in eight developed economies. We find that two representative, pure default-risk models tend to underpredict the average credit spreads on investment-grade (IG) bonds, especially their spreads over government bonds, thereby providing evidence for a “global credit spread puzzle.” However, a model incorporating endogenous liquidity in the secondary debt market helps mitigate the puzzle. Furthermore, the model captures certain determinants of corporate bond market frictions across the eight economies and substantially improves the cross-sectional fit of individual IG credit spreads.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"83 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2024-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142869882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Decentralized Exchange: The Uniswap Automated Market Maker
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-12-20 DOI: 10.1111/jofi.13405
ALFRED LEHAR, CHRISTINE PARLOUR
{"title":"Decentralized Exchange: The Uniswap Automated Market Maker","authors":"ALFRED LEHAR, CHRISTINE PARLOUR","doi":"10.1111/jofi.13405","DOIUrl":"https://doi.org/10.1111/jofi.13405","url":null,"abstract":"Uniswap is a system of smart contracts on the Ethereum blockchain and is the largest decentralized exchange with a liquidity balance worth up to 4 billion USD and daily trading volume of up to 7 billion USD. It is a new model of liquidity provision, so‐called automated market making. For this new market form, we characterize equilibrium in the liquidity pools. We collect all 95.8 million Uniswap interactions and compare this automated market maker (AMM) to a centralized limit order book. We document absence of long‐lived arbitrage opportunities, and show conditions under which the AMM dominates a limit order market.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"29 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2024-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142869889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bank Funding Risk, Reference Rates, and Credit Supply
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-12-20 DOI: 10.1111/jofi.13411
HARRY COOPERMAN, DARRELL DUFFIE, STEPHAN LUCK, ZACHRY WANG, YILIN (DAVID) YANG
{"title":"Bank Funding Risk, Reference Rates, and Credit Supply","authors":"HARRY COOPERMAN, DARRELL DUFFIE, STEPHAN LUCK, ZACHRY WANG, YILIN (DAVID) YANG","doi":"10.1111/jofi.13411","DOIUrl":"https://doi.org/10.1111/jofi.13411","url":null,"abstract":"Corporate credit lines are drawn more heavily when funding markets are stressed. This elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the interest paid on lines to a credit-sensitive reference rate like the London interbank offered rate (LIBOR). We show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit supply is offset if drawdowns are expected to be deposited at the same bank, which happened at some of the largest banks during the global financial crisis and COVID recession.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"1 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2024-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142869885","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Disappearing Index Effect
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-12-20 DOI: 10.1111/jofi.13410
ROBIN GREENWOOD, MARCO SAMMON
{"title":"The Disappearing Index Effect","authors":"ROBIN GREENWOOD, MARCO SAMMON","doi":"10.1111/jofi.13410","DOIUrl":"https://doi.org/10.1111/jofi.13410","url":null,"abstract":"The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 7.4% in the 1990s to less than 1% over the past decade. This has occurred despite a significant increase in the share of stock market assets linked to the index. A similar pattern has occurred for index deletions, with large negative abnormal returns during the 1990s but an average return of only 0.1% between 2010 and 2020. We investigate the drivers of this phenomenon and discuss implications for market efficiency. We document a similar decline in the index effect among other families of indices.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"32 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2024-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142869886","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Test Assets and Weak Factors
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-12-18 DOI: 10.1111/jofi.13415
STEFANO GIGLIO, DACHENG XIU, DAKE ZHANG
{"title":"Test Assets and Weak Factors","authors":"STEFANO GIGLIO, DACHENG XIU, DAKE ZHANG","doi":"10.1111/jofi.13415","DOIUrl":"https://doi.org/10.1111/jofi.13415","url":null,"abstract":"We show that two important issues in empirical asset pricing—the presence of weak factors and the selection of test assets—are deeply connected. Since weak factors are those to which test assets have limited exposure, an appropriate selection of test assets can improve the strength of factors. Building on this insight, we introduce supervised principal component analysis (SPCA), a methodology that iterates supervised selection, principal-component estimation, and factor projection. It enables risk premia estimation and factor model diagnosis even when weak factors are present and not all factors are observed. We establish SPCA's asymptotic properties and showcase its empirical applications.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"31 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2024-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142849553","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Working More to Pay the Mortgage: Household Debt, Interest Rates, and Family Labor Supply 多工作才能付房贷：家庭债务、利率和家庭劳动力供给
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-12-17 DOI: 10.1111/jofi.13413
Michał Zator
{"title":"Working More to Pay the Mortgage: Household Debt, Interest Rates, and Family Labor Supply","authors":"Michał Zator","doi":"10.1111/jofi.13413","DOIUrl":"https://doi.org/10.1111/jofi.13413","url":null,"abstract":"I show that households work and earn more (less) when their floating‐rate mortgage payments quasi‐exogenously increase (decrease). The response is sizable and asymmetric: on average, households adjust their income by 35% of the change in their mortgage payment, but the response is significantly stronger following an increase in payments. While men in dual‐earner, childless households respond the most on average, the asymmetry is most pronounced for women and young workers, who respond particularly strongly to payment increases. The asymmetry of the labor supply elasticity may help explain the wide range of elasticities found in previous research.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"19 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2024-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142831920","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic Competition in Negotiated Price Markets 议价市场的动态竞争
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-12-13 DOI: 10.1111/jofi.13408
JASON ALLEN, SHAOTENG LI
{"title":"Dynamic Competition in Negotiated Price Markets","authors":"JASON ALLEN, SHAOTENG LI","doi":"10.1111/jofi.13408","DOIUrl":"https://doi.org/10.1111/jofi.13408","url":null,"abstract":"Using contract-level data for the Canadian mortgage market, this paper provides evidence of an “invest-and-harvest” pricing pattern. We build a dynamic model of price negotiation with search and switching frictions to capture key market features. We estimate the model and use it to investigate the effects of market frictions and the resulting dynamic competition on borrowers' and banks' payoffs. We show that dynamic pricing and the presence of search and switching costs have important implications for public policies.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"41 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2024-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142820660","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Personal Communication in an Automated World: Evidence from Loan Repayments
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-11-29 DOI: 10.1111/jofi.13388
CHRISTINE LAUDENBACH, STEPHAN SIEGEL
{"title":"Personal Communication in an Automated World: Evidence from Loan Repayments","authors":"CHRISTINE LAUDENBACH, STEPHAN SIEGEL","doi":"10.1111/jofi.13388","DOIUrl":"https://doi.org/10.1111/jofi.13388","url":null,"abstract":"We examine the effect of personal, two‐way communication on the payment behavior of delinquent borrowers. Borrowers who speak with a randomly assigned bank agent are significantly more likely to successfully resolve the delinquency relative to borrowers who do not speak with a bank agent. Call characteristics related to the human touch of the call, such as the likeability of the agent's voice, significantly affect payment behavior. Borrowers who speak with a bank agent are also significantly less likely to become delinquent again. Our findings highlight the value of a human element in interactions between financial institutions and their customers.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"5 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2024-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142753061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Private Equity and Financial Stability: Evidence from Failed‐Bank Resolution in the Crisis
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-11-28 DOI: 10.1111/jofi.13399
EMILY JOHNSTON‐ROSS, SONG MA, MANJU PURI
{"title":"Private Equity and Financial Stability: Evidence from Failed‐Bank Resolution in the Crisis","authors":"EMILY JOHNSTON‐ROSS, SONG MA, MANJU PURI","doi":"10.1111/jofi.13399","DOIUrl":"https://doi.org/10.1111/jofi.13399","url":null,"abstract":"This paper investigates the role of private equity (PE) in failed‐bank resolutions after the 2008 financial crisis, using proprietary Federal Deposit Insurance Corporation failed‐bank acquisition data. PE investors made substantial investments in underperforming and riskier failed banks, particularly in geographies where local banks were also distressed, filling the gap created by a weak, undercapitalized banking sector. Using a quasi‐random empirical design based on detailed bidding information, we show that PE‐acquired banks performed better ex post, with positive real effects for the local economy. Overall, PE investors played a positive role in stabilizing the financial system through their involvement in failed‐bank resolution.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"15 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2024-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142753062","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
AMERICAN FINANCE ASSOCIATION
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-11-27 DOI: 10.1111/jofi.13157
{"title":"AMERICAN FINANCE ASSOCIATION","authors":"","doi":"10.1111/jofi.13157","DOIUrl":"10.1111/jofi.13157","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 6","pages":"4354-4355"},"PeriodicalIF":7.6,"publicationDate":"2024-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13157","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142742786","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信