{"title":"Carbon Returns across the Globe","authors":"SHAOJUN ZHANG","doi":"10.1111/jofi.13402","DOIUrl":"10.1111/jofi.13402","url":null,"abstract":"<p>The pricing of carbon transition risk is central to the debate on climate-aware investments. Emissions are tightly linked to sales and are available to investors only with significant lags. The positive carbon return, or brown-minus-green return differential, documented in previous studies arises from forward-looking firm performance information contained in emissions rather than a risk premium in ex ante expected returns. After accounting for the data release lag, carbon returns turn negative in the United States and insignificant globally. Developed markets experience lower carbon returns due to intense climate concern shocks, while countries with stringent climate policies exhibit higher carbon returns.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"80 1","pages":"615-645"},"PeriodicalIF":7.6,"publicationDate":"2024-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13402","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142487658","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}
HUIFENG CHANG, ADRIEN D'AVERNAS, ANDREA L. EISFELDT
{"title":"Bonds versus Equities: Information for Investment","authors":"HUIFENG CHANG, ADRIEN D'AVERNAS, ANDREA L. EISFELDT","doi":"10.1111/jofi.13396","DOIUrl":"10.1111/jofi.13396","url":null,"abstract":"<p>We provide a simple model of investment by a firm funded with debt and equity and empirical evidence to demonstrate that, once we control for the debt overhang problem with credit spreads, <i>asset</i> volatility is an unambiguously <i>positive</i> signal for investment, while <i>equity</i> volatility sends a mixed signal: Elevated volatility raises the option value of equity and increases investment for financially sound firms, but exacerbates debt overhang and decreases investment for firms close to default. Our study provides a simple unified understanding of the structural and empirical relationships between investment, credit spreads, equity versus asset volatility, leverage, and Tobin's <span></span><math>\u0000 <semantics>\u0000 <mi>q</mi>\u0000 <annotation>$q$</annotation>\u0000 </semantics></math>.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 6","pages":"3893-3941"},"PeriodicalIF":7.6,"publicationDate":"2024-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13396","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142451900","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}
{"title":"Mortgage Lock-In, Mobility, and Labor Reallocation","authors":"JULIA FONSECA, LU LIU","doi":"10.1111/jofi.13398","DOIUrl":"10.1111/jofi.13398","url":null,"abstract":"<p>We study the impact of rising mortgage rates on mobility and labor reallocation. Using individual-level credit record data and variation in the timing of mortgage origination, we show that a 1 percentage point decline in the difference between mortgage rates locked in at origination and current rates reduces moving by 9% overall and 16% between 2022 and 2024, and this relationship is asymmetric. Mortgage lock-in also dampens flows in and out of self-employment and the responsiveness to shocks to nearby employment opportunities that require moving, measured as wage growth within a 50- to 150-mile ring and instrumented with a shift-share instrument.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 6","pages":"3729-3772"},"PeriodicalIF":7.6,"publicationDate":"2024-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13398","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142451901","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}
{"title":"Financial Sophistication and Consumer Spending","authors":"ADAM TEJS JØRRING","doi":"10.1111/jofi.13393","DOIUrl":"10.1111/jofi.13393","url":null,"abstract":"<div>\u0000 \u0000 <p>Using detailed account-level data, this paper explores how financial sophistication affects consumers' spending responses to changes in income. I document that, controlling for liquidity, financially unsophisticated consumers display significant spending responses to predictable decreases in their disposable income. Furthermore, they have lower savings rates, fewer liquid savings, and higher debt-to-income ratios, leaving them more exposed to income shocks. Robustness tests, supported by anecdotal survey evidence, indicate that these results are driven by some consumers' lack of financial sophistication and their consequent failure to understand their financial contracts, rather than by random idiosyncratic shocks, rational liquidity management, or optimal inattention.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 6","pages":"3773-3820"},"PeriodicalIF":7.6,"publicationDate":"2024-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142444525","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}
{"title":"Time-Consistent Individuals, Time-Inconsistent Households","authors":"ANDREW HERTZBERG","doi":"10.1111/jofi.13392","DOIUrl":"10.1111/jofi.13392","url":null,"abstract":"<div>\u0000 \u0000 <p>I present a model of consumption and savings for a multiperson household in which members are imperfectly altruistic, derive utility from both private and shared public goods, and share wealth. I show that, despite having standard exponential time preferences, the household is time-inconsistent: Members save too little and overspend on private consumption goods. The household remains time-inconsistent even when members save separately, because the possibility of voluntary transfers or joint contribution to the public good preserves the dynamic commons problem. The household will choose to share wealth when the risk-sharing benefits outweigh the utility cost of overconsumption.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 6","pages":"3821-3857"},"PeriodicalIF":7.6,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142448164","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}
{"title":"Liquidity Transformation and Fragility in the U.S. Banking Sector","authors":"QI CHEN, ITAY GOLDSTEIN, ZEQIONG HUANG, RAHUL VASHISHTHA","doi":"10.1111/jofi.13390","DOIUrl":"10.1111/jofi.13390","url":null,"abstract":"<div>\u0000 \u0000 <p>Liquidity transformation, a key role of banks, is thought to increase fragility, as uninsured depositors face an incentive to withdraw money before others (a so-called panic run). Despite much theoretical work, however, there is little empirical evidence establishing this mechanism. In this paper, we provide the first large-scale evidence of this mechanism. Banks that engage in more liquidity transformation exhibit higher fragility, as captured by stronger sensitivities of uninsured deposit flows to bank performance and greater levels of uninsured deposit outflows when performance is poor. We also explore the effects of deposit insurance and systemic risk.</p>\u0000 </div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 6","pages":"3985-4036"},"PeriodicalIF":7.6,"publicationDate":"2024-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142431368","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}
{"title":"Utility Tokens as a Commitment to Competition","authors":"ITAY GOLDSTEIN, DEEKSHA GUPTA, RUSLAN SVERCHKOV","doi":"10.1111/jofi.13389","DOIUrl":"10.1111/jofi.13389","url":null,"abstract":"<p>We show that utility tokens can limit the rent-seeking activities of two-sided platforms with market power while preserving efficiency gains due to network effects. We model platforms where buyers and sellers can meet to exchange services. Tokens serve as the sole medium of exchange on a platform and can be traded in a secondary market. Tokenizing a platform commits a firm to give up monopolistic rents associated with the control of the platform, leading to long-run competitive prices. We show how the threat of entrants can incentivize developers to tokenize and discuss cases where regulation is needed to enforce tokenization.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 6","pages":"4197-4246"},"PeriodicalIF":7.6,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13389","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142405171","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}
{"title":"Putting the Price in Asset Pricing","authors":"THUMMIM CHO, CHRISTOPHER POLK","doi":"10.1111/jofi.13391","DOIUrl":"10.1111/jofi.13391","url":null,"abstract":"<p>We propose a novel way to estimate a portfolio's <i>abnormal price</i>, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time-series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long-horizon returns. We apply our techniques to study the cross-section of price levels relative to the capital asset pricing model (CAPM) and find that a single characteristic, <i>adjusted value</i>, provides a parsimonious model of CAPM-implied abnormal price.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 6","pages":"3943-3984"},"PeriodicalIF":7.6,"publicationDate":"2024-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13391","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142397988","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}
HARALD HAU, YI HUANG, CHEN LIN, HONGZHE SHAN, ZIXIA SHENG, LAI WEI
{"title":"FinTech Credit and Entrepreneurial Growth","authors":"HARALD HAU, YI HUANG, CHEN LIN, HONGZHE SHAN, ZIXIA SHENG, LAI WEI","doi":"10.1111/jofi.13384","DOIUrl":"10.1111/jofi.13384","url":null,"abstract":"<div>\u0000 \u0000 <p>Based on automated credit lines to vendors trading on Alibaba's online retail platform and a discontinuity in the credit decision algorithm, we document that a vendor's access to FinTech credit boosts its sales growth, transaction growth, and the level of customer satisfaction gauged by product, service, and consignment ratings. These effects are more pronounced for vendors characterized by greater information asymmetry about their credit risk and less collateral, which reveals the information advantage of FinTech credit over traditional credit technology.</p>\u0000 </div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 5","pages":"3309-3359"},"PeriodicalIF":7.6,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142100787","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}
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