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Anomalies and Their Short‐Sale Costs 异常及其卖空成本
IF 8 1区 经济学
Journal of Finance Pub Date : 2025-09-30 DOI: 10.1111/jofi.13501
DMITRIY MURAVYEV, NEIL D. PEARSON, JOSHUA M. POLLET
{"title":"Anomalies and Their Short‐Sale Costs","authors":"DMITRIY MURAVYEV, NEIL D. PEARSON, JOSHUA M. POLLET","doi":"10.1111/jofi.13501","DOIUrl":"https://doi.org/10.1111/jofi.13501","url":null,"abstract":"Short‐sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While many anomalies persist out‐of‐sample before accounting for short‐sale costs, they cannot be exploited with long‐short strategies due to stock borrow fees. Using a comprehensive sample of 162 anomalies, the average long‐short portfolio return is a significant 0.14% per month before short‐sale costs, and the returns are due to the short leg. However, the average is −0.01% once returns are adjusted for borrow fees. Moreover, anomalies are not profitable even before fees if the high‐fee observations, representing 12% of stock dates, are excluded from the analysis.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"158 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2025-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145254703","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
Green Window Dressing 绿色橱窗装饰
IF 8 1区 经济学
Journal of Finance Pub Date : 2025-09-29 DOI: 10.1111/jofi.13499
GIANPAOLO PARISE, MIRCO RUBIN
{"title":"Green Window Dressing","authors":"GIANPAOLO PARISE, MIRCO RUBIN","doi":"10.1111/jofi.13499","DOIUrl":"https://doi.org/10.1111/jofi.13499","url":null,"abstract":"This paper establishes that mutual funds strategically time their trades in environmental, social, and governance (ESG) stocks around disclosure dates to inflate their sustainability ratings. This claim is supported by three empirical findings. First, we show that funds' ESG betas increase shortly before disclosure and decrease shortly afterwards. Second, we document that post‐disclosure fund returns are higher but have lower ESG exposure than disclosed portfolios. Third, we provide evidence that ESG stock prices temporarily rise before disclosure and decline afterwards. Overall, we establish that green window dressing positively impacts fund sustainability ratings, performance, and flows.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"97 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2025-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145188503","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
Long‐Horizon Exchange Rate Expectations 长期汇率预期
IF 8 1区 经济学
Journal of Finance Pub Date : 2025-09-29 DOI: 10.1111/jofi.13504
LUKAS KREMENS, IAN W. R. MARTIN, LILIANA VARELA
{"title":"Long‐Horizon Exchange Rate Expectations","authors":"LUKAS KREMENS, IAN W. R. MARTIN, LILIANA VARELA","doi":"10.1111/jofi.13504","DOIUrl":"https://doi.org/10.1111/jofi.13504","url":null,"abstract":"We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two‐year horizon, both in and out of sample. Exchange rate expectations are also interpretable, in the sense that three macro‐finance variables—the risk‐neutral covariance between the exchange rate and equity market, the real exchange rate, and the current account relative to GDP—explain most of their variation. There is no “secret sauce,” however, in expectations: After controlling for the three macro‐finance variables, the residual information in survey expectations does not forecast currency appreciation in our sample.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"28 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2025-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145188459","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 美国金融协会
IF 9.5 1区 经济学
Journal of Finance Pub Date : 2025-09-23 DOI: 10.1111/jofi.13490
{"title":"AMERICAN FINANCE ASSOCIATION","authors":"","doi":"10.1111/jofi.13490","DOIUrl":"10.1111/jofi.13490","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 5","pages":"3096-3097"},"PeriodicalIF":9.5,"publicationDate":"2025-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13490","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145117189","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
Tyler Muir: Winner of the 2025 Fischer Black Prize 泰勒·缪尔：2025年菲舍尔·布莱克奖得主
IF 9.5 1区 经济学
Journal of Finance Pub Date : 2025-09-23 DOI: 10.1111/jofi.13487
ARVIND KRISHNAMURTHY
{"title":"Tyler Muir: Winner of the 2025 Fischer Black Prize","authors":"ARVIND KRISHNAMURTHY","doi":"10.1111/jofi.13487","DOIUrl":"10.1111/jofi.13487","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 5","pages":"2443-2446"},"PeriodicalIF":9.5,"publicationDate":"2025-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145117184","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
Forest through the Trees: Building Cross-Sections of Stock Returns 树木之间的森林：建立股票收益的横截面
IF 9.5 1区 经济学
Journal of Finance Pub Date : 2025-09-02 DOI: 10.1111/jofi.13477
SVETLANA BRYZGALOVA, MARKUS PELGER, JASON ZHU
{"title":"Forest through the Trees: Building Cross-Sections of Stock Returns","authors":"SVETLANA BRYZGALOVA,&nbsp;MARKUS PELGER,&nbsp;JASON ZHU","doi":"10.1111/jofi.13477","DOIUrl":"10.1111/jofi.13477","url":null,"abstract":"<p>We build cross-sections of asset returns for a given set of characteristics, that is, managed portfolios serving as test assets, as well as building blocks for tradable risk factors. We use decision trees to endogenously group similar stocks together by selecting optimal portfolio splits to span the stochastic discount factor, projected on individual stocks. Our portfolios are interpretable and well diversified, reflecting many characteristics and their interactions. Compared to combinations of dozens (even hundreds) of single/double sorts, as well as machine-learning prediction-based portfolios, our cross-sections are low-dimensional yet have up to three times higher out-of-sample Sharpe ratios and alphas.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 5","pages":"2447-2506"},"PeriodicalIF":9.5,"publicationDate":"2025-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13477","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144928546","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
War Discourse and the Cross Section of Expected Stock Returns 战争话语与股票预期收益横截面
IF 8 1区 经济学
Journal of Finance Pub Date : 2025-09-01 DOI: 10.1111/jofi.13482
DAVID HIRSHLEIFER, DAT MAI, KUNTARA PUKTHUANTHONG
{"title":"War Discourse and the Cross Section of Expected Stock Returns","authors":"DAVID HIRSHLEIFER, DAT MAI, KUNTARA PUKTHUANTHONG","doi":"10.1111/jofi.13482","DOIUrl":"https://doi.org/10.1111/jofi.13482","url":null,"abstract":"A war‐related factor model derived from textual analysis of media news reports explains the cross section of expected stock returns. Using a semisupervised topic model to extract discourse topics from 7,000,000 <jats:italic>New York Times</jats:italic> stories spanning 160 years, the war factor predicts the cross section of returns across test assets derived from both traditional and machine learning construction techniques, and spanning 138 anomalies. Our findings are consistent with assets that are good hedges for war risk receiving lower risk premia, or with assets that are more positively sensitive to war prospects being more overvalued. The return premium on the war factor is incremental to standard effects.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"60 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144927832","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 Propagation of Cyberattacks through the Financial System: Evidence from an Actual Event 网络攻击在金融系统中的传播：来自实际事件的证据
IF 8 1区 经济学
Journal of Finance Pub Date : 2025-08-27 DOI: 10.1111/jofi.13475
ANTONIS KOTIDIS, STACEY L. SCHREFT
{"title":"The Propagation of Cyberattacks through the Financial System: Evidence from an Actual Event","authors":"ANTONIS KOTIDIS, STACEY L. SCHREFT","doi":"10.1111/jofi.13475","DOIUrl":"https://doi.org/10.1111/jofi.13475","url":null,"abstract":"This article quantifies the effects of a multiday cyberattack that forced offline a technology service provider (TSP) to the banking sector. The attack impaired customers’ ability to send payments through the TSP, but the business continuity plans of banks and the TSP reduced the effect by more than half. Large banks performed better. Through contagion, banks not directly exposed to the attack experienced a liquidity shortfall, causing them to borrow funds or tap reserves. The ability to send payments after hours helped avoid further contagion. These results highlight the importance of preparedness by the private and official sector for cyberattacks.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"29 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2025-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144910590","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 Credit Line Channel 信用额度渠道
IF 8 1区 经济学
Journal of Finance Pub Date : 2025-08-27 DOI: 10.1111/jofi.13486
DANIEL L. GREENWALD, JOHN KRAINER, PASCAL PAUL
{"title":"The Credit Line Channel","authors":"DANIEL L. GREENWALD, JOHN KRAINER, PASCAL PAUL","doi":"10.1111/jofi.13486","DOIUrl":"https://doi.org/10.1111/jofi.13486","url":null,"abstract":"Aggregate U.S. bank lending to firms expanded following the outbreak of COVID‐19. Using loan‐level supervisory data, we show that this expansion was driven by draws on credit lines by large firms. Banks that experienced larger credit line drawdowns restricted term lending more, crowding out credit to smaller firms, which reacted by reducing investment. A structural model calibrated to match our empirical results shows that while credit lines increase total bank credit in bad times, they redistribute credit from firms with high propensities to invest to firms with low propensities to invest, exacerbating the decrease in aggregate investment.","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"27 1","pages":""},"PeriodicalIF":8.0,"publicationDate":"2025-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144910846","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
Over-the-Counter Markets for Nonstandardized Assets 非标准化资产的场外交易市场
IF 9.5 1区 经济学
Journal of Finance Pub Date : 2025-08-26 DOI: 10.1111/jofi.13483
YOSHIO NOZAWA, ANTON TSOY
{"title":"Over-the-Counter Markets for Nonstandardized Assets","authors":"YOSHIO NOZAWA,&nbsp;ANTON TSOY","doi":"10.1111/jofi.13483","DOIUrl":"10.1111/jofi.13483","url":null,"abstract":"<div>\u0000 \u0000 <p>We study a search and bargaining model of over-the-counter markets for nonstandardized assets of heterogeneous quality. Once matched, investors privately learn their values positively correlated with asset quality. Bargaining results in delay that is hump-shaped in quality and U-shaped in asset turnover. We document these patterns in commercial real estate and corporate bonds markets. Extreme qualities are little affected by changes in asset standardization, while intermediate qualities are more susceptible. For nonstandardized assets, opacity ensures active trading of all assets, which explains why their trading is decentralized and suggests that trade centralization should come with greater standardization.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 5","pages":"2831-2873"},"PeriodicalIF":9.5,"publicationDate":"2025-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144905760","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
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