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Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics 定价波塞冬：极端天气的不确定性和公司回报动态
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2025-01-13 DOI: 10.1111/jofi.13416
MATHIAS S. KRUTTLI, BRIGITTE ROTH TRAN, SUMUDU W. WATUGALA
{"title":"Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics","authors":"MATHIAS S. KRUTTLI,&nbsp;BRIGITTE ROTH TRAN,&nbsp;SUMUDU W. WATUGALA","doi":"10.1111/jofi.13416","DOIUrl":"10.1111/jofi.13416","url":null,"abstract":"<p>We empirically analyze firm-level uncertainty generated from extreme weather events, guided by a theoretical framework. Stock options of firms with establishments in a hurricane's (forecast) landfall region exhibit large implied volatility increases, reflecting significant uncertainty (before) after impact. Volatility risk premium dynamics reveal that investors underestimate such uncertainty. This underreaction diminishes for hurricanes after Sandy, a salient event that struck the U.S. financial center. Despite constituting idiosyncratic shocks, hurricanes affect hit firms' expected stock returns. Textual analysis of calls between firm management, analysts, and investors reveals that discussions about hurricane impacts remain elevated throughout the long-lasting high-uncertainty period after landfall.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 2","pages":"783-832"},"PeriodicalIF":7.6,"publicationDate":"2025-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13416","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142974724","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
Simplicity and Risk 简单和风险
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-12-30 DOI: 10.1111/jofi.13417
INDIRA PURI
{"title":"Simplicity and Risk","authors":"INDIRA PURI","doi":"10.1111/jofi.13417","DOIUrl":"10.1111/jofi.13417","url":null,"abstract":"<div>\u0000 \u0000 <p>I introduce and test for preference for simplicity in choice under risk. I characterize the theory axiomatically, and derive its properties and unique predictions relative to canonical models. By designing and running theoretically motivated experiments, I document that people value simplicity in ways not fully captured by existing models that study risk premia in financial markets. Participants' risk premia increase as complexity increases, holding moments fixed; their dominance violations increase in complexity; their behavior is predicted by simplicity's characterizing axiom; and their complexity aversion is heterogeneous in cognitive ability. None of expected utility theory, cumulative prospect theory, prospect theory, rational inattention, sparsity, salience, or probability weighting that differs by number of outcomes fully capture the experimental findings. I generalize the underlying theory to additionally capture broader measures of complexity, including obfuscation, computation, and language effects.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 2","pages":"1029-1080"},"PeriodicalIF":7.6,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142908524","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
Sustainability or Greenwashing: Evidence from the Asset Market for Industrial Pollution 可持续性还是洗绿：来自工业污染资产市场的证据
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-12-30 DOI: 10.1111/jofi.13412
RAN DUCHIN, JANET GAO, QIPING XU
{"title":"Sustainability or Greenwashing: Evidence from the Asset Market for Industrial Pollution","authors":"RAN DUCHIN,&nbsp;JANET GAO,&nbsp;QIPING XU","doi":"10.1111/jofi.13412","DOIUrl":"10.1111/jofi.13412","url":null,"abstract":"<p>We study the asset market for pollutive plants. Firms divest pollutive plants in response to environmental pressures. Buyers are firms facing weaker environmental pressures that have supply chain relationships or joint ventures with the sellers. While pollution levels do not decline following divestitures, sellers highlight their sustainable policies in subsequent conference calls, earn higher returns as they sell more pollutive plants, and benefit from higher Environmental, Social, and Governance (ESG) ratings and lower compliance costs. Overall, the asset market allows firms to redraw their boundaries in a manner perceived as environmentally friendly without real consequences for pollution but with substantial gains from trade.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 2","pages":"699-754"},"PeriodicalIF":7.6,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13412","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142908534","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
Sending Out an SMS: Automatic Enrollment Experiments for Overdraft Alerts 发送短信：透支提醒的自动登记实验
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-12-26 DOI: 10.1111/jofi.13404
MICHAEL D. GRUBB, DARRAGH KELLY, JEROEN NIEBOER, MATTHEW OSBORNE, JONATHAN SHAW
{"title":"Sending Out an SMS: Automatic Enrollment Experiments for Overdraft Alerts","authors":"MICHAEL D. GRUBB,&nbsp;DARRAGH KELLY,&nbsp;JEROEN NIEBOER,&nbsp;MATTHEW OSBORNE,&nbsp;JONATHAN SHAW","doi":"10.1111/jofi.13404","DOIUrl":"10.1111/jofi.13404","url":null,"abstract":"<p>At-scale field experiments at major U.K. banks show that automatic enrollment into “just-in-time” text alerts reduces unarranged overdraft and unpaid item charges 17% to 19% and arranged overdraft charges 4% to 8%, implying annual market-wide savings of £170 million to £240 million. Incremental benefits from “early-warning” alerts are statistically insignificant, although economically significant effects are not ruled out. Prior to the experiments, over half of overdrafts could have been avoided by using lower-cost liquidity available in savings and credit card accounts. Alerts help consumers achieve less than half of these potential savings.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 1","pages":"467-514"},"PeriodicalIF":7.6,"publicationDate":"2024-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13404","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142887370","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
Intermediary Leverage Shocks and Funding Conditions 中介杠杆冲击与融资条件
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-12-23 DOI: 10.1111/jofi.13407
JEAN-SÉBASTIEN FONTAINE, RENÉ GARCIA, SERMIN GUNGOR
{"title":"Intermediary Leverage Shocks and Funding Conditions","authors":"JEAN-SÉBASTIEN FONTAINE,&nbsp;RENÉ GARCIA,&nbsp;SERMIN GUNGOR","doi":"10.1111/jofi.13407","DOIUrl":"10.1111/jofi.13407","url":null,"abstract":"<div>\u0000 \u0000 <p>The aggregate leverage of broker-dealers responds to demand and supply disturbances that have opposite effects on financial markets. Specifically, leverage supply shocks that relax broker-dealers' funding constraints increase leverage, liquidity, and returns and carry a positive price of risk, while leverage demand shocks also increase leverage but reduce liquidity and returns and carry a negative price of risk. Disentangling demand- and supply-like shocks resolves existing puzzles around the price of leverage risk and yields consistent evidence across many markets of a central role for intermediation frictions and dealers' aggregate leverage in asset pricing.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 1","pages":"57-99"},"PeriodicalIF":7.6,"publicationDate":"2024-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142880246","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 Global Credit Spread Puzzle 全球信贷利差之谜
IF 7.6 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,&nbsp;YOSHIO NOZAWA,&nbsp;ZHAN SHI","doi":"10.1111/jofi.13409","DOIUrl":"10.1111/jofi.13409","url":null,"abstract":"<p>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.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 1","pages":"101-162"},"PeriodicalIF":7.6,"publicationDate":"2024-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13409","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":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Decentralized Exchange: The Uniswap Automated Market Maker 去中心化交易所：Uniswap 自动做市商
IF 7.6 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,&nbsp;CHRISTINE PARLOUR","doi":"10.1111/jofi.13405","DOIUrl":"10.1111/jofi.13405","url":null,"abstract":"<div>\u0000 \u0000 <p>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.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 1","pages":"321-374"},"PeriodicalIF":7.6,"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 银行融资风险、参考利率和信贷供应
IF 7.6 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,&nbsp;DARRELL DUFFIE,&nbsp;STEPHAN LUCK,&nbsp;ZACHRY WANG,&nbsp;YILIN (DAVID) YANG","doi":"10.1111/jofi.13411","DOIUrl":"10.1111/jofi.13411","url":null,"abstract":"<div>\u0000 \u0000 <p>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.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 1","pages":"5-56"},"PeriodicalIF":7.6,"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 消失的指数效应
IF 7.6 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,&nbsp;MARCO SAMMON","doi":"10.1111/jofi.13410","DOIUrl":"10.1111/jofi.13410","url":null,"abstract":"<div>\u0000 \u0000 <p>The abnormal return associated with a stock being added to the S&amp;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.</p>\u0000 </div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 2","pages":"657-698"},"PeriodicalIF":7.6,"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 测试资产和薄弱因素
IF 7.6 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,&nbsp;DACHENG XIU,&nbsp;DAKE ZHANG","doi":"10.1111/jofi.13415","DOIUrl":"10.1111/jofi.13415","url":null,"abstract":"<div>\u0000 \u0000 <p>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.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 1","pages":"259-319"},"PeriodicalIF":7.6,"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
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