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The trade imbalance network and currency returns 贸易不平衡的网络和货币回报
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-24 DOI: 10.1016/j.jfineco.2025.104112
Ai Jun Hou , Lucio Sarno , Xiaoxia Ye
{"title":"The trade imbalance network and currency returns","authors":"Ai Jun Hou ,&nbsp;Lucio Sarno ,&nbsp;Xiaoxia Ye","doi":"10.1016/j.jfineco.2025.104112","DOIUrl":"10.1016/j.jfineco.2025.104112","url":null,"abstract":"<div><div>We introduce in the theory of Gabaix and Maggiori (2015) a network structure to capture the complexity of the balance sheets of financial intermediaries, using the Leontief inverse-based centrality. We use this framework in a multi-country world with imperfect financial markets to study how currency risk premia are connected to financiers’ risk bearing capacity. Guided by the theory, we construct a Centrality Based Characteristic (CBC), based on the centrality of the trade imbalance network and variance–covariance matrix of currency returns. Sorting currencies on CBC generates a high Sharpe ratio, and the resulting excess returns reflect a novel source of predictability.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104112"},"PeriodicalIF":10.4,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144366474","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
Michael C. Jensen’s empirical work Michael C. Jensen的实证研究
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-21 DOI: 10.1016/j.jfineco.2025.104119
Eugene F. Fama, Kenneth R. French
{"title":"Michael C. Jensen’s empirical work","authors":"Eugene F. Fama, Kenneth R. French","doi":"10.1016/j.jfineco.2025.104119","DOIUrl":"https://doi.org/10.1016/j.jfineco.2025.104119","url":null,"abstract":"Much of Mike Jensen's research is foundational, including his early publications, which focus on empirical asset pricing. For example, Jensen's alpha, which he developss in Jensen (1968 and 1969) to evaluate mutual fund managers, is the foundation for most measures of investment performance. Similarly, in Fama et al (1969), Jensen and coauthors present the first event study, Thereafter, event studies play a major role in finance, accounting, and legal research. Finally, Black, Jensen, and Scholes (1972) develop a key insight about the importance of interdependence of sampling errors in the precision of asset pricing tests.","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"47 1","pages":""},"PeriodicalIF":8.9,"publicationDate":"2025-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144341212","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
The invention of corporate governance 公司治理的发明
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-18 DOI: 10.1016/j.jfineco.2025.104115
Yueran Ma, Andrei Shleifer
{"title":"The invention of corporate governance","authors":"Yueran Ma, Andrei Shleifer","doi":"10.1016/j.jfineco.2025.104115","DOIUrl":"https://doi.org/10.1016/j.jfineco.2025.104115","url":null,"abstract":"The analysis of corporate governance begins with a central feature of modern capitalism – the separation of ownership and control in large corporations – first empirically documented by Berle and Means (1932). Such separation entails several agency problems reflecting conflicts between managers and shareholders, such as self-dealing by managers, low effort, consumption of perquisites, and excessive growth and diversification. Berle and Means saw self-dealing as the central agency problem and stressed the law as the fundamental mechanism of addressing it. Jensen and Meckling (1976) considered the consumption of perquisites and emphasized private mechanisms, such as financial incentives for managers, to counter wasteful perks. Jensen (1986) instead focused on excessive growth and diversification, which led him to count on leverage and takeovers. The combination of public corporate governance mechanisms, mostly the law, and market governance shaped both theory and practice.","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"1 1","pages":""},"PeriodicalIF":8.9,"publicationDate":"2025-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144341211","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
Equity duration and predictability 权益持续时间和可预测性
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-12 DOI: 10.1016/j.jfineco.2025.104114
Benjamin Golez , Peter Koudijs
{"title":"Equity duration and predictability","authors":"Benjamin Golez ,&nbsp;Peter Koudijs","doi":"10.1016/j.jfineco.2025.104114","DOIUrl":"10.1016/j.jfineco.2025.104114","url":null,"abstract":"<div><div>After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long time series for the aggregate market, and the cross-section of stocks. A simple present value model with time-varying duration can largely explain the post-1945 dominance of expected returns.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104114"},"PeriodicalIF":10.4,"publicationDate":"2025-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144263592","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
Price regulation in two-sided markets: Empirical evidence from debit cards 双边市场中的价格调控：来自借记卡的经验证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-12 DOI: 10.1016/j.jfineco.2025.104094
Vladimir Mukharlyamov , Natasha Sarin
{"title":"Price regulation in two-sided markets: Empirical evidence from debit cards","authors":"Vladimir Mukharlyamov ,&nbsp;Natasha Sarin","doi":"10.1016/j.jfineco.2025.104094","DOIUrl":"10.1016/j.jfineco.2025.104094","url":null,"abstract":"<div><div>This paper provides empirical evidence of a well-known theoretical concern that market failures in two-sided markets are hard to identify and correct. We study the reactions of banks, merchants, and consumers to Dodd-Frank’s Durbin Amendment that lowered interchange fees on debit card transactions. Banks recouped a significant portion of their losses by charging consumers for products that they previously provided for free on the subsidized side of the two-sided market. The accelerated adoption of credit cards with higher interchange fees likely diminished—if not eliminated—merchants’ savings. These effects impede the regulation’s stated objective of enhancing consumers’ welfare through lower retail prices.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104094"},"PeriodicalIF":10.4,"publicationDate":"2025-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144271913","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
Jensen and Meckling at 50 詹森和梅克林在50
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-11 DOI: 10.1016/j.jfineco.2025.104116
Patrick Bolton
{"title":"Jensen and Meckling at 50","authors":"Patrick Bolton","doi":"10.1016/j.jfineco.2025.104116","DOIUrl":"https://doi.org/10.1016/j.jfineco.2025.104116","url":null,"abstract":"This article does three things: (1) it offers a slightly modernized treatment of the two well-known agency costs of external financing of Jensen and Meckling; (2) it provides a deeper exploration than they offer of the limited liability corporation, and of optimal control allocations when financial contracts are incomplete; and, (3) it assesses the lasting influence or their ideas, their multiple interpretations, as well as misinterpretations.","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"14 1","pages":"104116"},"PeriodicalIF":8.9,"publicationDate":"2025-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144304681","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
Show me the receipts: B2B payment timeliness and expected returns 给我看收据：B2B支付及时性和预期回报
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-11 DOI: 10.1016/j.jfineco.2025.104108
Paul Lieberman , Atanas Mihov , Andy Naranjo , Mihail Velikov
{"title":"Show me the receipts: B2B payment timeliness and expected returns","authors":"Paul Lieberman ,&nbsp;Atanas Mihov ,&nbsp;Andy Naranjo ,&nbsp;Mihail Velikov","doi":"10.1016/j.jfineco.2025.104108","DOIUrl":"10.1016/j.jfineco.2025.104108","url":null,"abstract":"<div><div>Trade credit is an important source of firm financing, yet its rich informational content pertaining to payment timeliness is under-explored in asset pricing. Using an extensive data set from a leading private information exchange on business payment performance, we study the effects of trade credit payment timeliness on stock returns. We document two distinct channels through which trade credit payment behavior impacts future stock returns — slow diffusion of information and risk stemming from a customer firm’s vertical bargaining power position in the supply chain. Consistent with our first channel, a sudden delay in a firm’s payment to its suppliers predicts significantly lower future returns for its stock. Consistent with our second channel, firms that pay their bills moderately late on a consistent basis relative to terms earn significantly higher stock returns.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104108"},"PeriodicalIF":10.4,"publicationDate":"2025-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144263591","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
Diversification driven demand for large stock 多元化带动了大量库存需求
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-04 DOI: 10.1016/j.jfineco.2025.104109
Huaizhi Chen
{"title":"Diversification driven demand for large stock","authors":"Huaizhi Chen","doi":"10.1016/j.jfineco.2025.104109","DOIUrl":"10.1016/j.jfineco.2025.104109","url":null,"abstract":"<div><div>I show that as a portfolio’s value concentration increases, actively managed portfolios predictably trim large positions, maintaining a level of practical diversification. This rebalancing channel is concentrated at thresholds implied by regulatory guidelines and by a fund’s own risk management histories. Since larger stocks are typically held widely and in large weights, they experience a coordinated contrarian trading demand that originates from this form of risk management. Diversification driven demand captures a novel return-reversal pattern in the large stock portfolios. Compensating this source of demand accentuates momentum returns during the modern sample period (1990 to 2022).</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104109"},"PeriodicalIF":10.4,"publicationDate":"2025-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144212744","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
Why do portfolio choice models predict inelastic demand? 为什么投资组合选择模型预测非弹性需求？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-02 DOI: 10.1016/j.jfineco.2025.104096
Carter Davis , Mahyar Kargar , Jiacui Li
{"title":"Why do portfolio choice models predict inelastic demand?","authors":"Carter Davis ,&nbsp;Mahyar Kargar ,&nbsp;Jiacui Li","doi":"10.1016/j.jfineco.2025.104096","DOIUrl":"10.1016/j.jfineco.2025.104096","url":null,"abstract":"<div><div>Classical asset pricing models predict that optimizing investors exhibit extremely high demand elasticities, while empirical estimates are significantly lower—by three orders of magnitude. To reconcile this disparity, we introduce a novel decomposition of investor demand elasticity into two key components: “price pass-through”, which captures how price movements forecast returns, and “unspanned returns”, reflecting a stock’s lack of perfect substitutes. In a factor model framework, we show that unspanned returns become significant when models include “weak factors”. Classical models overestimate demand elasticity by assuming both very low unspanned returns and high price pass-throughs, assumptions that are inconsistent with empirical evidence.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104096"},"PeriodicalIF":10.4,"publicationDate":"2025-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144194971","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
Too Levered for Pigou: Carbon pricing, financial constraints, and leverage regulation 对庇古来说杠杆过高：碳定价、金融约束和杠杆监管
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-29 DOI: 10.1016/j.jfineco.2025.104105
Robin Döttling , Magdalena Rola-Janicka
{"title":"Too Levered for Pigou: Carbon pricing, financial constraints, and leverage regulation","authors":"Robin Döttling ,&nbsp;Magdalena Rola-Janicka","doi":"10.1016/j.jfineco.2025.104105","DOIUrl":"10.1016/j.jfineco.2025.104105","url":null,"abstract":"<div><div>We analyze optimal carbon pricing under financial constraints and endogenous climate-related transition and physical costs. The socially optimal emissions tax may be above or below a Pigouvian benchmark, depending on the strength of physical climate impacts on pledgeable resources. We derive necessary conditions for emissions taxes alone to implement a constrained-efficient allocation, and show a cap-and-trade system may dominate emissions taxes because it can be designed to have a less adverse effect on financial constraints. We also assess how capital structure, carbon price hedging markets, and socially responsible investors interact with emissions pricing, and evaluate other commonly used policy tools.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104105"},"PeriodicalIF":10.4,"publicationDate":"2025-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144168678","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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