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 Term Structure of Covered Interest Rate Parity Violations 违反担保利率平价的期限结构
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-31 DOI: 10.1111/jofi.13336
PATRICK AUGUSTIN, MIKHAIL CHERNOV, LUKAS SCHMID, DONGHO SONG
{"title":"The Term Structure of Covered Interest Rate Parity Violations","authors":"PATRICK AUGUSTIN,&nbsp;MIKHAIL CHERNOV,&nbsp;LUKAS SCHMID,&nbsp;DONGHO SONG","doi":"10.1111/jofi.13336","DOIUrl":"10.1111/jofi.13336","url":null,"abstract":"<div>\u0000 \u0000 <p>We quantify the impact of risk-based and nonrisk-based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model-implied and observed derivative prices reflects the impact of nonrisk-based IC because our SDF incorporates risk-based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long-term CIP violations. Consistent with IC theory, the wedge correlates with the shadow cost of intermediary capital, and the SDF-implied interest rate is a weighted average of collateralized and uncollateralized interest rates.</p>\u0000 </div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2077-2114"},"PeriodicalIF":8.0,"publicationDate":"2024-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140333603","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
BRATTLE GROUP AND DIMENSIONAL FUND ADVISORS PRIZES FOR 2023 布鲁特尔集团和维度基金顾问 2023 年奖项
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-15 DOI: 10.1111/jofi.13328
{"title":"BRATTLE GROUP AND DIMENSIONAL FUND ADVISORS PRIZES FOR 2023","authors":"","doi":"10.1111/jofi.13328","DOIUrl":"https://doi.org/10.1111/jofi.13328","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"793"},"PeriodicalIF":8.0,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140139186","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 8 1区 经济学
Journal of Finance Pub Date : 2024-03-15 DOI: 10.1111/jofi.13145
{"title":"AMERICAN FINANCE ASSOCIATION","authors":"","doi":"10.1111/jofi.13145","DOIUrl":"https://doi.org/10.1111/jofi.13145","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1712-1713"},"PeriodicalIF":8.0,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140139223","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
Report of the Editor of The Journal of Finance for the Year 2023 2023 年《金融杂志》编辑报告
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-15 DOI: 10.1111/jofi.13329
ANTOINETTE SCHOAR
{"title":"Report of the Editor of The Journal of Finance for the Year 2023","authors":"ANTOINETTE SCHOAR","doi":"10.1111/jofi.13329","DOIUrl":"https://doi.org/10.1111/jofi.13329","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1697-1706"},"PeriodicalIF":8.0,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140139174","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
Report of the 2024 Annual Membership Meeting 2024 年会员年会报告
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-15 DOI: 10.1111/jofi.13326
{"title":"Report of the 2024 Annual Membership Meeting","authors":"","doi":"10.1111/jofi.13326","DOIUrl":"https://doi.org/10.1111/jofi.13326","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1707-1708"},"PeriodicalIF":8.0,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140139220","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
Report of the Executive Secretary and Treasurer for the Fiscal Year Ending June 30, 2023 执行秘书兼财务主任关于截至 2023 年 6 月 30 日的财政年度的报告
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-15 DOI: 10.1111/jofi.13327
{"title":"Report of the Executive Secretary and Treasurer for the Fiscal Year Ending June 30, 2023","authors":"","doi":"10.1111/jofi.13327","DOIUrl":"https://doi.org/10.1111/jofi.13327","url":null,"abstract":"","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"1709"},"PeriodicalIF":8.0,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140139221","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
Modeling Conditional Factor Risk Premia Implied by Index Option Returns 指数期权收益率隐含的条件因子风险溢价建模
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-08 DOI: 10.1111/jofi.13324
MATHIEU FOURNIER, KRIS JACOBS, PIOTR ORŁOWSKI
{"title":"Modeling Conditional Factor Risk Premia Implied by Index Option Returns","authors":"MATHIEU FOURNIER,&nbsp;KRIS JACOBS,&nbsp;PIOTR ORŁOWSKI","doi":"10.1111/jofi.13324","DOIUrl":"10.1111/jofi.13324","url":null,"abstract":"<p>We propose a novel factor model for option returns. Option exposures are estimated nonparametrically, and factor risk premia can vary nonlinearly with states. The model is estimated using regressions with minimal assumptions on factor and option return dynamics. We estimate the model using index options to characterize the conditional risk premia for factors of interest, such as the market return, market variance, tail and intermediary risk factors, higher moments, and the VIX term structure slope. Together, market return and variance explain more than 90% of option return variation. Unconditionally, the magnitude of the variance risk premium is plausible. It displays pronounced time variation, spikes during crises, and always has the expected sign.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2289-2338"},"PeriodicalIF":8.0,"publicationDate":"2024-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13324","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140069820","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
Does Alternative Data Improve Financial Forecasting? The Horizon Effect 替代数据能改善金融预测吗？地平线效应
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-07 DOI: 10.1111/jofi.13323
OLIVIER DESSAINT, THIERRY FOUCAULT, LAURENT FRESARD
{"title":"Does Alternative Data Improve Financial Forecasting? The Horizon Effect","authors":"OLIVIER DESSAINT,&nbsp;THIERRY FOUCAULT,&nbsp;LAURENT FRESARD","doi":"10.1111/jofi.13323","DOIUrl":"10.1111/jofi.13323","url":null,"abstract":"<p>Existing research suggests that alternative data are mainly informative about short-term future outcomes. We show theoretically that the availability of short-term-oriented data can induce forecasters to optimally shift their attention from the long term to the short term because it reduces the cost of obtaining short-term information. Consequently, the informativeness of their long-term forecasts decreases, even though the informativeness of their short-term forecasts increases. We test and confirm this prediction by considering how the informativeness of equity analysts' forecasts at various horizons varies over the long run and with their exposure to social media data.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2237-2287"},"PeriodicalIF":8.0,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13323","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140064305","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
Due Diligence 尽职调查
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-04 DOI: 10.1111/jofi.13322
BRENDAN DALEY, THOMAS GEELEN, BRETT GREEN
{"title":"Due Diligence","authors":"BRENDAN DALEY,&nbsp;THOMAS GEELEN,&nbsp;BRETT GREEN","doi":"10.1111/jofi.13322","DOIUrl":"10.1111/jofi.13322","url":null,"abstract":"<p>We propose a model of due diligence and analyze its effect on prices, payoffs, and deal completion. In our model, if the seller accepts an offer, the winning bidder (or “acquirer”) can gather information and chooses when to complete the transaction. In equilibrium, the acquirer engages in “too much” due diligence. Our quantitative results suggest that the magnitude of the distortion is economically significant. Nevertheless, allowing for due diligence can improve both total surplus and the seller's payoff compared to a setting without due diligence. We use our framework to explore the timing of due diligence, bidder heterogeneity, and breakup fees.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 3","pages":"2115-2161"},"PeriodicalIF":8.0,"publicationDate":"2024-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13322","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140032370","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
Measuring “Dark Matter” in Asset Pricing Models 测量资产定价模型中的 "暗物质
IF 8 1区 经济学
Journal of Finance Pub Date : 2024-03-03 DOI: 10.1111/jofi.13317
HUI CHEN, WINSTON WEI DOU, LEONID KOGAN
{"title":"Measuring “Dark Matter” in Asset Pricing Models","authors":"HUI CHEN,&nbsp;WINSTON WEI DOU,&nbsp;LEONID KOGAN","doi":"10.1111/jofi.13317","DOIUrl":"10.1111/jofi.13317","url":null,"abstract":"<div>\u0000 \u0000 <p>We formalize the concept of “dark matter” in asset pricing models by quantifying the additional informativeness of cross-equation restrictions about fundamental dynamics. The dark-matter measure captures the degree of fragility for models that are potentially misspecified and unstable: a large dark-matter measure indicates that the model lacks internal refutability (weak power of optimal specification tests) and external validity (high overfitting tendency and poor out-of-sample fit). The measure can be computed at low cost even for complex dynamic structural models. To illustrate its applications, we provide quantitative examples applying the measure to (time-varying) rare-disaster risk and long-run risk models.</p></div>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":"79 2","pages":"843-902"},"PeriodicalIF":8.0,"publicationDate":"2024-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140032377","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
首页 上一页 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