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Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium 噪音非常大的期权价格与波动性风险溢价推断
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-07-17 DOI: 10.1111/jofi.13365
JEFFERSON DUARTE, CHRISTOPHER S. JONES, JUNBO L. WANG
{"title":"Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium","authors":"JEFFERSON DUARTE,&nbsp;CHRISTOPHER S. JONES,&nbsp;JUNBO L. WANG","doi":"10.1111/jofi.13365","DOIUrl":"10.1111/jofi.13365","url":null,"abstract":"<div>\u0000 \u0000 <p>The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out-of-the-money call options on stocks is −116 basis points per day. Second, Fama-MacBeth estimates of the volatility risk premium in stock options are similar to those in S&amp;P 500 Index call options. Third, the mean return of heavily traded delta-hedged at-the-money calls (puts) is −23 (−30) basis points. Fourth, the variance risk premium in stock options is negative. Our analysis highlights the importance of microstructure biases and robustness in empirical work with options.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 5","pages":"3581-3621"},"PeriodicalIF":7.6,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141726167","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
Treasury Richness 库房丰富
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-07-16 DOI: 10.1111/jofi.13371
MATTHIAS FLECKENSTEIN, FRANCIS A. LONGSTAFF
{"title":"Treasury Richness","authors":"MATTHIAS FLECKENSTEIN,&nbsp;FRANCIS A. LONGSTAFF","doi":"10.1111/jofi.13371","DOIUrl":"10.1111/jofi.13371","url":null,"abstract":"<div>\u0000 \u0000 <p>We provide estimates of Treasury convenience premia across the entire term structure of Treasury bills, notes, and bonds over more than a quarter of a century and document a variety of key stylized facts about their time-series and cross-sectional patterns. These results raise concerns about the evolving nature of Treasury markets and suggest that investors may now place less weight on the traditional role of Treasury securities as liquid trading vehicles. These stylized facts provide empirical benchmarks that could help guide future theoretical and empirical work about the economics of safe assets in financial markets.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2797-2844"},"PeriodicalIF":7.6,"publicationDate":"2024-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141631698","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 7.6 1区 经济学
Journal of Finance Pub Date : 2024-07-16 DOI: 10.1111/jofi.13151
{"title":"AMERICAN FINANCE ASSOCIATION","authors":"","doi":"10.1111/jofi.13151","DOIUrl":"https://doi.org/10.1111/jofi.13151","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2902-2903"},"PeriodicalIF":7.6,"publicationDate":"2024-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13151","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141639588","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
Unobserved Performance of Hedge Funds 对冲基金的非观测绩效
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-07-10 DOI: 10.1111/jofi.13368
VIKAS AGARWAL, STEFAN RUENZI, FLORIAN WEIGERT
{"title":"Unobserved Performance of Hedge Funds","authors":"VIKAS AGARWAL,&nbsp;STEFAN RUENZI,&nbsp;FLORIAN WEIGERT","doi":"10.1111/jofi.13368","DOIUrl":"10.1111/jofi.13368","url":null,"abstract":"<div>\u0000 \u0000 <p>We investigate hedge fund firms’ unobserved performance (UP), measured as the risk-adjusted return difference between a firm's reported gross return and its portfolio return inferred from its disclosed long-equity holdings. Firms with high UP outperform those with low UP by 6.36% per annum on a risk-adjusted basis. UP is negatively associated with a firm's trading costs and positively associated with intraquarter trading in equity positions, derivatives usage, short selling, and confidential holdings. We show that limited investor attention can delay investors’ response to UP and lead to longer lived predictability of fund firm performance.</p>\u0000 </div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 5","pages":"3203-3259"},"PeriodicalIF":7.6,"publicationDate":"2024-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141597252","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
Do Women Receive Worse Financial Advice? 女性获得的理财建议更糟糕吗？
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-07-05 DOI: 10.1111/jofi.13366
UTPAL BHATTACHARYA, AMIT KUMAR, SUJATA VISARIA, JING ZHAO
{"title":"Do Women Receive Worse Financial Advice?","authors":"UTPAL BHATTACHARYA,&nbsp;AMIT KUMAR,&nbsp;SUJATA VISARIA,&nbsp;JING ZHAO","doi":"10.1111/jofi.13366","DOIUrl":"https://doi.org/10.1111/jofi.13366","url":null,"abstract":"<p>We arranged for trained undercover men and women to pose as potential clients and visit all 65 local financial advisory firms in Hong Kong. At financial planning firms, but not at securities firms, women were more likely than men to receive advice to buy only individual or only local securities. Female clients who signaled high confidence, high risk tolerance, or a domestic outlook were especially likely to receive this suboptimal advice. Our theoretical model explains these patterns as a result of statistical discrimination interacting with advisors’ incentives. Taste-based discrimination is unlikely to explain the results.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 5","pages":"3261-3307"},"PeriodicalIF":7.6,"publicationDate":"2024-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13366","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142165297","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
Liquidity, Liquidity Everywhere, Not a Drop to Use: Why Flooding Banks with Central Bank Reserves May Not Expand Liquidity 流动性，到处都是流动性，却一滴也用不上：为什么向银行充斥中央银行储备未必能扩大流动性
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-07-05 DOI: 10.1111/jofi.13370
VIRAL V. ACHARYA, RAGHURAM RAJAN
{"title":"Liquidity, Liquidity Everywhere, Not a Drop to Use: Why Flooding Banks with Central Bank Reserves May Not Expand Liquidity","authors":"VIRAL V. ACHARYA,&nbsp;RAGHURAM RAJAN","doi":"10.1111/jofi.13370","DOIUrl":"10.1111/jofi.13370","url":null,"abstract":"<div>\u0000 \u0000 <p>Central bank balance sheet expansion, through actions like quantitative easing, is run through commercial banks. While this increases liquid central bank reserves held on commercial bank balance sheets, demandable uninsured deposits issued to finance the reserves also increase. Subsequent shrinkage in the central bank balance sheet may entail shrinkage in bank-held reserves without a commensurate reduction in deposit claims. Furthermore, during episodes of liquidity stress, when many claims on liquidity are called, surplus banks may hoard reserves. As a result, central bank balance sheet expansion may create less additional liquidity than typically thought, and indeed, may increase the probability and severity of episodes of liquidity stress.</p>\u0000 </div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 5","pages":"2943-2991"},"PeriodicalIF":7.6,"publicationDate":"2024-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141545953","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
Did Banks Pay Fair Returns to Taxpayers on TARP? 银行是否就 TARP 向纳税人支付了合理回报？
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-06-24 DOI: 10.1111/jofi.13367
THOMAS FLANAGAN, AMIYATOSH PURNANANDAM
{"title":"Did Banks Pay Fair Returns to Taxpayers on TARP?","authors":"THOMAS FLANAGAN,&nbsp;AMIYATOSH PURNANANDAM","doi":"10.1111/jofi.13367","DOIUrl":"10.1111/jofi.13367","url":null,"abstract":"<div>\u0000 \u0000 <p>Financial institutions received investments under the Troubled Asset Relief Program in a bad state of the world but repaid them in a relatively good state. We show that the recipients paid considerably lower returns to taxpayers compared to private-market securities with similar risk over the same investment horizon, resulting in a subsidy of over $50 billion on the preferred equity investment by the government. Ex-post renegotiation of contract terms limited the upside gains received by taxpayers in good times and contributed to the subsidy. These findings have important implications for the design and implementation of future bailouts. Our simple methodology for calculating the subsidy can be applied to evaluate the financial costs of other bailouts.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 5","pages":"2909-2941"},"PeriodicalIF":7.6,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141448864","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
Meeting Targets in Competitive Product Markets 在竞争激烈的产品市场中实现目标
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-06-24 DOI: 10.1111/jofi.13369
EMILIO BISETTI, STEPHEN A. KAROLYI
{"title":"Meeting Targets in Competitive Product Markets","authors":"EMILIO BISETTI,&nbsp;STEPHEN A. KAROLYI","doi":"10.1111/jofi.13369","DOIUrl":"10.1111/jofi.13369","url":null,"abstract":"<p>We show that public banks face negative stock return jumps after missing their earnings per share (EPS) targets, and theoretically and quantitatively link these jumps to bunching behavior in the EPS surprise distribution. Bunching banks cut deposit rates to meet their targets, but do so at the expense of deposit outflows and franchise value losses. Local competitors, including private banks unexposed to capital market pressure, increase deposit rates, compensating depositors for switching. Our results provide new evidence that performance targeting incentives can affect consumer product prices, and suggest that competition may provide a check on public firms' targeting efforts.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2845-2884"},"PeriodicalIF":7.6,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13369","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141452794","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
Half Banked: The Economic Impact of Cash Management in the Marijuana Industry 半银行：大麻产业现金管理的经济影响
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-06-19 DOI: 10.1111/jofi.13364
ELIZABETH A. BERGER, NATHAN SEEGERT
{"title":"Half Banked: The Economic Impact of Cash Management in the Marijuana Industry","authors":"ELIZABETH A. BERGER,&nbsp;NATHAN SEEGERT","doi":"10.1111/jofi.13364","DOIUrl":"10.1111/jofi.13364","url":null,"abstract":"<div>\u0000 \u0000 <p>We investigate the economic value of cash management. In the legal marijuana industry, where only half of businesses have access to cash management services from a financial institution, we examine dispensary profitability using administrative and survey data. Our results show that businesses with cash management charge higher retail prices (8.3%), pay lower wholesale prices (7.3%), and have higher sales volume (19%). Together, these advantages create a 40% increase in profitability. These results support our model in which reputational capital and administrative costs drive profitability regardless of whether national banks, credit unions, or fintech provide the cash management functions.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2759-2796"},"PeriodicalIF":7.6,"publicationDate":"2024-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141430640","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
Insensitive Investors 麻木不仁的投资者
IF 7.6 1区 经济学
Journal of Finance Pub Date : 2024-06-18 DOI: 10.1111/jofi.13362
CONSTANTIN CHARLES, CARY FRYDMAN, METE KILIC
{"title":"Insensitive Investors","authors":"CONSTANTIN CHARLES,&nbsp;CARY FRYDMAN,&nbsp;METE KILIC","doi":"10.1111/jofi.13362","DOIUrl":"10.1111/jofi.13362","url":null,"abstract":"<div>\u0000 \u0000 <p>We experimentally study the transmission of subjective expectations into actions. Subjects in our experiment report valuations that are far too insensitive to their expectations, relative to the prediction from a frictionless model. We propose that the insensitivity is driven by a noisy cognitive process that prevents subjects from precisely computing asset valuations. The empirical link between subjective expectations and actions becomes stronger as subjective expectations approach rational expectations. Our results highlight the importance of incorporating weak transmission into belief-based asset pricing models. Finally, we discuss how cognitive noise can provide a microfoundation for inelastic demand in the stock market.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 4","pages":"2473-2503"},"PeriodicalIF":7.6,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141430719","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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