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Large Orders in Small Markets: Execution with Endogenous Liquidity Supply 小市场中的大订单：内生流动性供应的执行
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-09-17 DOI: 10.1093/rof/rfae036
Agostino Capponi, Albert J Menkveld, Hongzhong Zhang
{"title":"Large Orders in Small Markets: Execution with Endogenous Liquidity Supply","authors":"Agostino Capponi, Albert J Menkveld, Hongzhong Zhang","doi":"10.1093/rof/rfae036","DOIUrl":"https://doi.org/10.1093/rof/rfae036","url":null,"abstract":"We model the execution of a large uninformed sell order in the presence of strategic competitive market makers. We solve for the unique symmetric equilibrium of the model in closed form. Analysis of this equilibrium reveals that large orders unequivocally benefit market makers, while smaller investors stand to benefit only if the order trades with a sufficiently high intensity. The equilibrium results further provide a rationale for the empirically observed patterns of (i) shorter orders trading at higher intensities, and (ii) price pressures potentially subsiding before large orders stop executing.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142269076","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Credit Ratings: Strategic Issuer Disclosure and Optimal Screening 信用评级：战略性发行人信息披露与最佳筛选
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-09-17 DOI: 10.1093/rof/rfae035
Jonathan Cohn, Uday Rajan, Günter Strobl
{"title":"Credit Ratings: Strategic Issuer Disclosure and Optimal Screening","authors":"Jonathan Cohn, Uday Rajan, Günter Strobl","doi":"10.1093/rof/rfae035","DOIUrl":"https://doi.org/10.1093/rof/rfae035","url":null,"abstract":"We consider a model in which a security issuer can manipulate information observed by a credit rating agency (CRA). We show that stricter screening by the CRA can sometimes lead to increased manipulation by the issuer. Accounting for the issuer’s behavior pulls optimal CRA screening towards the extremes of laxness or stringency. Surprisingly, an improvement in prior asset quality can result in more rating errors. In a two-period version of the model, stricter screening can result in more short-run rating errors. Our results suggest complex interplay between issuer and CRA behavior, complicating the evaluation of CRA policy effectiveness.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142253427","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
On the valuation skills of corporate bond mutual funds 论公司债券共同基金的估值技巧
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-09-14 DOI: 10.1093/rof/rfae028
Gjergji Cici, Pei (Alex) Zhang
{"title":"On the valuation skills of corporate bond mutual funds","authors":"Gjergji Cici, Pei (Alex) Zhang","doi":"10.1093/rof/rfae028","DOIUrl":"https://doi.org/10.1093/rof/rfae028","url":null,"abstract":"The corporate bond market is larger, more illiquid, and presumably less efficient than the equity market. These features provide numerous profit opportunities for corporate bond mutual funds that are unique to the corporate bond market. However, whether corporate bond mutual funds have the valuation skills needed to take advantage of these opportunities is unclear. We introduce a novel measure to assess the valuation skills of investment-grade corporate bond mutual funds, which we refer to as the valuation accuracy score (VAS). VAS recognizes funds holding more underpriced and less overpriced corporate bonds as ex-ante having better valuation skills. It predicts future fund performance, is stable over time, and is unrelated to other sources of skill. Investors chase the performance of higher-VAS funds more aggressively and exhibit a convex flow–performance relation among these funds.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142253428","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Tradable Risk Factors for Institutional and Retail Investors 机构和散户投资者的可交易风险因素
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-09-11 DOI: 10.1093/rof/rfae034
Andreas Johansson, Riccardo Sabbatucci, Andrea Tamoni
{"title":"Tradable Risk Factors for Institutional and Retail Investors","authors":"Andreas Johansson, Riccardo Sabbatucci, Andrea Tamoni","doi":"10.1093/rof/rfae034","DOIUrl":"https://doi.org/10.1093/rof/rfae034","url":null,"abstract":"We construct tradable risk factors using combinations of large and liquid mutual funds (long leg) and ETFs (long and short legs), based on their holdings, for both retail and institutional investors. Exploiting a novel dataset, our tradable factors take into account ETF shorting costs. Assessing the performance of our tradable factors against standard “on-paper” factors, we uncover an implementation shortfall of 2%−4% annually. Shorting fees and transaction costs contribute to 58% of the performance differential between tradable and “on-paper” factors, assigning a non-trivial role to the opportunity cost of not trading the exact “on-paper” portfolio.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142215245","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Trust and Delegated Investing: A Money Doctors Experiment 信任与委托投资：货币医生实验
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-09-10 DOI: 10.1093/rof/rfae031
Maximilian Germann, Lukas Mertes, Martin Weber, Benjamin Loos
{"title":"Trust and Delegated Investing: A Money Doctors Experiment","authors":"Maximilian Germann, Lukas Mertes, Martin Weber, Benjamin Loos","doi":"10.1093/rof/rfae031","DOIUrl":"https://doi.org/10.1093/rof/rfae031","url":null,"abstract":"The more trust investors place in a money manager, the more confident they are to take risk (Gennaioli, Shleifer, and Vishny 2015). We test this theory in a laboratory experiment using the amount returned from a trust game as measure of trustworthiness. Investors increase the share invested risky with high-cost money managers compared to those with low costs when the highcost money managers are more trustworthy than the low-cost ones. The willingness to take more risk with high-cost money managers is increasing in the difference in trustworthiness. Up to a third of the difference in trustworthiness translates into an increasing risky share. Vice versa, investors are willing to accept higher costs for investments made through more trustworthy money managers. Our findings are robust to alternative explanations, demonstrating that the riskaversion channel can be sufficient for trust to influence behavior.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142215246","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Is News Really News: The Effects of Selective Disclosure Regulations 新闻真的是新闻吗？选择性披露法规的影响
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-09-10 DOI: 10.1093/rof/rfae030
Brent Kitchens, Robert Parham, Chris Yung
{"title":"Is News Really News: The Effects of Selective Disclosure Regulations","authors":"Brent Kitchens, Robert Parham, Chris Yung","doi":"10.1093/rof/rfae030","DOIUrl":"https://doi.org/10.1093/rof/rfae030","url":null,"abstract":"Before regulation enacted to prevent such practices, information leaked via selective disclosure incorporated into markets prior to public release of news. “News days” did not deliver news to the market. Now they do. We provide novel evidence of changes in returns & turnover behavior around the enactment of regulation barring selective disclosure practices in the US and in the EU. We conversely document lack of such changes in Australia and Japan, which did not implement similar measures. We conclude selective disclosure resolves Roll’s R2 puzzle.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142215247","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Circuit Breakers and Market Runs 断路器和市场运行
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-09-03 DOI: 10.1093/rof/rfae029
Dion Bongaerts, Sarah Draus-De Luca, Mark Van Achter
{"title":"Circuit Breakers and Market Runs","authors":"Dion Bongaerts, Sarah Draus-De Luca, Mark Van Achter","doi":"10.1093/rof/rfae029","DOIUrl":"https://doi.org/10.1093/rof/rfae029","url":null,"abstract":"Traders may run on financial markets merely out of fear of future liquidity shocks. We present a model that shows that adequately calibrated circuit breakers can prevent such coordination failures by curbing excessive trading. It suggests a novel, forward-looking circuit breaker that becomes most restrictive in cases when expected welfare losses of inefficient market runs are largest. The probabilities of current and future liquidity shortages are important determinants for such welfare-optimized circuit breakers. We empirically illustrate how to calibrate these parameters. We also determine under which economic conditions circuit breakers damage welfare and should not be implemented.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142215250","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Debt and taxes: the role of corporate group structure 债务与税收：公司集团结构的作用
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-08-22 DOI: 10.1093/rof/rfae024
Peter Brok
{"title":"Debt and taxes: the role of corporate group structure","authors":"Peter Brok","doi":"10.1093/rof/rfae024","DOIUrl":"https://doi.org/10.1093/rof/rfae024","url":null,"abstract":"I show that the corporate group structure generates tax benefits that create incentives for higher leverage. The tax benefits arise when losses on distressed subsidiaries are tax deductible for a parent firm. Higher tax rates then imply that more of these losses are borne by the government instead of the parent firm, reducing the expected costs of bankruptcy and thereby incentivizing the subsidiaries to take on higher leverage. Using data from a large sample of European multinationals, I show that this tax benefit exists on top of the trade-off theory and debt-shifting effects, and is stronger when deductions of subsidiary losses are more generous.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142215248","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Local IPOs and Household Stock Market Participation 本地首次公开募股和家庭股市参与情况
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-08-11 DOI: 10.1093/rof/rfae023
Feng Jiang, Michelle Lowry, Yiming Qian
{"title":"Local IPOs and Household Stock Market Participation","authors":"Feng Jiang, Michelle Lowry, Yiming Qian","doi":"10.1093/rof/rfae023","DOIUrl":"https://doi.org/10.1093/rof/rfae023","url":null,"abstract":"The decrease in companies going public has received widespread attention, and the associated costs are widely debated. We document high local IPO activity leads to increases in stock market participation of 5–6%. This is striking given that such participation represents a key factor toward building wealth. Local IPOs increase both households’ propensity to own stock and their percent equity holdings. The attention channel drives effects: local IPOs attract attention to the market, through increased information production and publicity. The wealth channel has little influence, consistent with local IPOs not generating wealth shocks for most households.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141941382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Cash is King? Understanding Financing Risk in Housing Markets 现金为王？了解住房市场的融资风险
IF 4.4 2区 经济学
Review of Finance Pub Date : 2024-08-11 DOI: 10.1093/rof/rfae025
Lu Han, Seung-Hyun Hong
{"title":"Cash is King? Understanding Financing Risk in Housing Markets","authors":"Lu Han, Seung-Hyun Hong","doi":"10.1093/rof/rfae025","DOIUrl":"https://doi.org/10.1093/rof/rfae025","url":null,"abstract":"In Los Angeles, all-cash home purchases quintupled during the last decade. Compared with an else-equal mortgage offer, a cash offer is associated with 29% shorter time-to-close and a 2-3.9% price discount, indicating a substantial amount of financing risk—the risk to a seller that a transaction may not close on time and may fail to occur again because a mortgage contingency fails. The estimated cash discount aligns well with a canonical model calibrated to the sample market. Our findings reveal that closing risk alone is insufficient to explain the cash discount. Rather, it turns on the possibility that a property back on the market may fail to sell, requiring a substantial risk compensation. The estimated cash discount is smaller during booms and in larger markets, highlighting the inseparability of financial frictions in the mortgage market and search frictions in the housing market.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2024-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141941385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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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