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Asset Prices and Portfolios with Externalities 考虑外部性的资产价格和投资组合
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-10-06 DOI: 10.1093/rof/rfac065
Steven D Baker, Burton Hollifield, Emilio Osambela
{"title":"Asset Prices and Portfolios with Externalities","authors":"Steven D Baker, Burton Hollifield, Emilio Osambela","doi":"10.1093/rof/rfac065","DOIUrl":"https://doi.org/10.1093/rof/rfac065","url":null,"abstract":"Elementary portfolio theory implies that environmentalists optimally hold more shares of polluting firms than non-environmentalists, and that polluting firms attract more investment capital than otherwise identical non-polluting firms through a hedging channel. Pigouvian taxation can reverse the aggregate investment results, but environmentalists still overweight polluters. We introduce countervailing motives for environmentalists to underweight polluters, comparing the implications when environmentalists coordinate to internalize pollution, or have nonpecuniary disutility from holding polluter stock. With nonpecuniary disutility, introducing a green derivative may dramatically alter who invests most in polluters, but has no impact on aggregate pollution.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138494538","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
Macroeconomic News and Stock–Bond Comovement 宏观经济新闻和股票-债券走势
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-09-29 DOI: 10.1093/rof/rfac066
G. Duffee
{"title":"Macroeconomic News and Stock–Bond Comovement","authors":"G. Duffee","doi":"10.1093/rof/rfac066","DOIUrl":"https://doi.org/10.1093/rof/rfac066","url":null,"abstract":"\u0000 Covariances between aggregate stock returns and changes in bond yields change sign over time. Existing theories emphasize either time-varying properties of expected inflation or time-varying properties of real yields. Using revisions in survey forecasts as proxies for macroeconomic news, neither approach succeeds empirically. Inflation-centric models require much more news about expected future inflation than we observe from surveys. Real-centric models posit signs of covariances among macroeconomic news, changes in yields, and stock returns that do not match those in the data. In a nutshell, macroeconomic news appears to drive a substantial part of stock–bond comovement, but not in ways consistent with our theories.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42120826","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: 9
Precious Neighbors: The Value of Co-Locating with the Government 珍贵的邻居:与政府同址的价值
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-09-27 DOI: 10.1093/rof/rfac063
Jörg R Stahl
{"title":"Precious Neighbors: The Value of Co-Locating with the Government","authors":"Jörg R Stahl","doi":"10.1093/rof/rfac063","DOIUrl":"https://doi.org/10.1093/rof/rfac063","url":null,"abstract":"In many countries, disproportionately many firms locate their headquarters in the capital city. Spatial proximity to a country’s leading politicians may be beneficial for a number of reasons. Since neither firms nor governments move randomly, the effects of firms' co-locating with the government are normally hard to identify. I solve this problem by examining a unique event—the decision to relocate the German federal government from Bonn to Berlin in 1991. Following reunification, there was a free vote in the German parliament on the future location of the government. Berlin won by a narrow margin, an event that could not be anticipated even days before and that is free from confounding factors. Firms with corporate headquarters in Berlin experience abnormal equity returns of more than 3 percent following the relocation decision.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138494537","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
Do Responsible Investors Invest Responsibly? 负责任的投资者负责投资吗?
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-09-21 DOI: 10.1093/rof/rfac064
Rajna Gibson Brandon, Simon Glossner, Philipp Krueger, Pedro Matos, Tom Steffen
{"title":"Do Responsible Investors Invest Responsibly?","authors":"Rajna Gibson Brandon, Simon Glossner, Philipp Krueger, Pedro Matos, Tom Steffen","doi":"10.1093/rof/rfac064","DOIUrl":"https://doi.org/10.1093/rof/rfac064","url":null,"abstract":"We study whether institutional investors that sign the Principles for Responsible Investment (PRI), a commitment to responsible investing, exhibit better portfolio-level environmental, social, and governance (ESG) scores. Signatories outside the US have superior ESG scores than non-signatories, but US signatories have at best similar ESG ratings, and worse scores if they have underperformed recently, are retail-client facing, and joined the PRI late. US signatories do not improve the ESG scores of portfolio companies after investing in them. Commercial motives, uncertainty about fiduciary duties, and lower ESG market maturity explain why US-domiciled PRI signatories do not follow through on their responsible investment commitments.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138494536","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
The Term Structure of Equity Risk Premia: Levered Noise and New Estimates 股权风险溢价的期限结构：杠杆噪声和新的估计
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-09-19 DOI: 10.1093/rof/rfac062
Oliver Boguth, Murray D. Carlson, Adlai J. Fisher, Mikhail Simutin
{"title":"The Term Structure of Equity Risk Premia: Levered Noise and New Estimates","authors":"Oliver Boguth, Murray D. Carlson, Adlai J. Fisher, Mikhail Simutin","doi":"10.1093/rof/rfac062","DOIUrl":"https://doi.org/10.1093/rof/rfac062","url":null,"abstract":"\u0000 Levered noise occurs when no-arbitrage replication hedges fundamentals but amplifies price errors. Motivated by our theory, we use widely-available end-of-day OptionMetrics data to improve accuracy of synthetic dividend strip prices and provide longer samples than prior studies. Term-structure point estimates are approximately flat in simple returns (88 vs. 87 bp/month for short-term dividends vs. index), and upward-sloping in measurement-error-robust logarithmic returns (43 vs. 77 bp/month). These results from prominent index options show the importance of diagnosing noise in no-arbitrage prices. Prior conclusions of an average downward slope in the equity term structure are not robust.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47791119","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
Social Interaction in the Family: Evidence from Investors’ Security Holdings 家庭中的社会互动:来自投资者证券持有的证据
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-09-10 DOI: 10.1093/rof/rfac060
Samuli Knüpfer, Elias Rantapuska, Matti Sarvimäki
{"title":"Social Interaction in the Family: Evidence from Investors’ Security Holdings","authors":"Samuli Knüpfer, Elias Rantapuska, Matti Sarvimäki","doi":"10.1093/rof/rfac060","DOIUrl":"https://doi.org/10.1093/rof/rfac060","url":null,"abstract":"We show investors tend to hold the same securities as their parents. This intergenerational correlation is stronger for mothers and family members who are more likely to communicate with each other. An instrumental variables estimation and a natural experiment suggest the correlation reflects social influence. This influence runs not only from parents to children, but also vice versa. The resulting holdings of identical securities increase intergenerational correlations in portfolio choice, exacerbate wealth inequality, and amplify the consequences of behavioral biases.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138494535","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 Renegotiations Outside Distress 困境之外的债务再谈判
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-09-09 DOI: 10.1093/rof/rfac059
M. Arnold, Ramona Westermann
{"title":"Debt Renegotiations Outside Distress","authors":"M. Arnold, Ramona Westermann","doi":"10.1093/rof/rfac059","DOIUrl":"https://doi.org/10.1093/rof/rfac059","url":null,"abstract":"\u0000 This paper develops a model to explore the implications of non-distressed debt renegotiation on debt prices and corporate policies. The model incorporates the empirical observation that creditors can influence firms also outside corporate distress through debt covenant renegotiation and not only in distress. We find that considering both distressed and non-distressed creditor interventions is key to investigating how creditor governance affects firms. The model explains cross-sectional patterns of control premiums and credit spreads that traditional debt renegotiation models do not capture. We also derive novel implications for the impact of firm characteristics associated with renegotiation on debt prices and corporate policies.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42529680","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: 1
Capital Gains Tax, Venture Capital and Innovation in Start-ups 资本利得税、风险资本和创业创新
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-09-08 DOI: 10.1093/rof/rfac057
Lora Dimitrova, Sapnoti K Eswar
{"title":"Capital Gains Tax, Venture Capital and Innovation in Start-ups","authors":"Lora Dimitrova, Sapnoti K Eswar","doi":"10.1093/rof/rfac057","DOIUrl":"https://doi.org/10.1093/rof/rfac057","url":null,"abstract":"We examine the effect of staggered changes in the state-level capital gains tax on venture capital (VC)-backed start-ups and show that an increase in the tax rate of VC firms reduces the quantity and quality of patents by the start-ups. The results are consistent with a reduction in VC firms’ incentives to provide effort: increases in the capital gains tax for VC firms lead to incrementally lower innovation exchanges between start-ups in the VC firm’s portfolio. VC firms also decrease the level of investment in start-ups and the size of their portfolio as well as increase the number of start-ups that they write off.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138494534","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
Financial Intermediation, Capital Accumulation and Crisis Recovery 金融中介、资本积累与危机复苏
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-09-07 DOI: 10.1093/rof/rfac046
Hans Gersbach, Jean-Charles Rochet, Martin Scheffel
{"title":"Financial Intermediation, Capital Accumulation and Crisis Recovery","authors":"Hans Gersbach, Jean-Charles Rochet, Martin Scheffel","doi":"10.1093/rof/rfac046","DOIUrl":"https://doi.org/10.1093/rof/rfac046","url":null,"abstract":"We integrate bank and bond financing into a two-sector neoclassical growth model and identify an automatic stabilization effect due to endogenous bank leverage adjustment. We show that although bank leverage amplifies shocks, the increase of leverage due to a decline in bank equity partially offsets the post crisis decline of bank lending and accelerates economic recovery by reducing the persistence of the bank lending channel. In this case, endogenous leverage adjustment is an automatic stabilizer. Regulatory state-independent capital limits and wage rigidities impair the re-allocation of capital between sectors and weaken this automatic stabilization. A quantitative analysis of the US during the Great Recession shows that the magnitude of automatic stabilization can be significant and informs about potentially high costs of strict capital regulation or wage rigidities during banking crises.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138494533","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
Optimal Capital Structure with Stock Market Feedback 股票市场反馈下的最优资本结构
IF 4.4 2区 经济学
Review of Finance Pub Date : 2022-08-17 DOI: 10.1093/rof/rfac056
Caio Machado, A. E. Pereira
{"title":"Optimal Capital Structure with Stock Market Feedback","authors":"Caio Machado, A. E. Pereira","doi":"10.1093/rof/rfac056","DOIUrl":"https://doi.org/10.1093/rof/rfac056","url":null,"abstract":"\u0000 This paper studies optimal capital structure when firms learn from financial markets. We present a tractable model of stock market feedback with imperfect information aggregation. Debt issuance affects speculators’ incentives to trade both directly, by changing the payoff structure of equity holders, and indirectly, through an asset substitution effect. We show that issuing debt can increase market informativeness and firm value, and may eliminate a coordination failure equilibrium with no provision of market information. We derive the optimal capital structure in this setting and present novel empirical predictions regarding the relationship between market frictions, market informativeness and capital structure. Once the effect of debt on market informativeness is considered, risky debt does not necessarily lead to risk shifting.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":4.4,"publicationDate":"2022-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46867899","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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