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Liquidity picking and fund performance 流动性选择和基金业绩
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-17 DOI: 10.1016/j.jfineco.2025.104085
Feng Jiao , Sergei Sarkissian , David Schumacher
{"title":"Liquidity picking and fund performance","authors":"Feng Jiao ,&nbsp;Sergei Sarkissian ,&nbsp;David Schumacher","doi":"10.1016/j.jfineco.2025.104085","DOIUrl":"10.1016/j.jfineco.2025.104085","url":null,"abstract":"<div><div>Using global mutual fund and American Depositary Receipt (ADR) data, we test if funds strategically trade cross-listed firms’ equity shares in the most liquid trading location. We find that especially funds that score high on traditional skill measures exhibit a liquidity-based trading venue preference. We identify an informed trading motive as the most likely driver for such behaviour rather than preference based on geographic, economic, cultural, or governance motives. Thus, liquidity picking is associated with fund outperformance and stock selection ability that is not limited to only cross-listed firms. Our tests directly support theories of informed trading in a multi-market setting.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104085"},"PeriodicalIF":10.4,"publicationDate":"2025-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144071673","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
Robust difference-in-differences analysis when there is a term structure 当存在期限结构时，稳健的差异中差异分析
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-17 DOI: 10.1016/j.jfineco.2025.104081
Kjell G. Nyborg , Jiri Woschitz
{"title":"Robust difference-in-differences analysis when there is a term structure","authors":"Kjell G. Nyborg ,&nbsp;Jiri Woschitz","doi":"10.1016/j.jfineco.2025.104081","DOIUrl":"10.1016/j.jfineco.2025.104081","url":null,"abstract":"<div><div>For variables with a term structure, the standard difference-in-differences (DiD) model is predisposed toward misspecification, even under random assignment, because of heterogeneity over the maturity spectrum and imperfect matching between treated and control units. Estimated treatment effects that are false, biased, or hard to interpret become a concern. Neither unit fixed effects nor standard term-structure controls resolve the problem. Solutions that overcome imperfect matching involve estimating the term structure of hypothesized treatment, which is also what is economically interesting (regardless of matching efficiency). These issues are not unique to DiD analysis, but are generic to group-assignment settings.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104081"},"PeriodicalIF":10.4,"publicationDate":"2025-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144072363","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
Exorbitant privilege? Quantitative easing and the bond market subsidy of prospective fallen angels 过分的特权吗?量化宽松与债券市场对未来堕落天使的补贴
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-15 DOI: 10.1016/j.jfineco.2025.104084
Viral V. Acharya , Ryan Banerjee , Matteo Crosignani , Tim Eisert , Renée Spigt
{"title":"Exorbitant privilege? Quantitative easing and the bond market subsidy of prospective fallen angels","authors":"Viral V. Acharya ,&nbsp;Ryan Banerjee ,&nbsp;Matteo Crosignani ,&nbsp;Tim Eisert ,&nbsp;Renée Spigt","doi":"10.1016/j.jfineco.2025.104084","DOIUrl":"10.1016/j.jfineco.2025.104084","url":null,"abstract":"<div><div>We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative easing (QE). Prospective fallen angels — risky firms just above the IG cutoff — enjoyed subsidized bond financing in 2009–19. This effect is driven by Fed purchases of securities inducing long-duration IG-focused investors to rebalance their portfolios towards higher-yielding IG bonds. The benefiting firms (i) exploited the sluggish downward adjustment of credit ratings after M&amp;A to finance risky acquisitions with bond issuances, and (ii) increased market share affecting competitors’ employment and investment, but (iii) suffered severe downgrades at the onset of the pandemic.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104084"},"PeriodicalIF":10.4,"publicationDate":"2025-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143947148","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
Entrepreneurial spillovers across coworkers 同事间的创业溢出效应
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-13 DOI: 10.1016/j.jfineco.2025.104077
Melanie Wallskog
{"title":"Entrepreneurial spillovers across coworkers","authors":"Melanie Wallskog","doi":"10.1016/j.jfineco.2025.104077","DOIUrl":"10.1016/j.jfineco.2025.104077","url":null,"abstract":"<div><div>How do workplace social connections shape everyday entrepreneurship? Using comprehensive data on millions of American workers across the economy, I find three key patterns. First, entrepreneurial coworkers inspire and teach entrepreneurship: individuals are more likely to become entrepreneurs after working with coworkers who previously led young businesses. Second, these effects predominantly occur within demographic groups, perpetuating lower entrepreneurship rates for women and Black Americans. Third, these workplace spillovers can increase productivity: individuals exposed to relatively successful coworkers subsequently run successful companies too.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104077"},"PeriodicalIF":10.4,"publicationDate":"2025-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143941993","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
Banks as regulated traders 银行作为受监管的交易商
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-12 DOI: 10.1016/j.jfineco.2025.104080
Antonio Falato, Diana Iercosan, Filip Zikes
{"title":"Banks as regulated traders","authors":"Antonio Falato,&nbsp;Diana Iercosan,&nbsp;Filip Zikes","doi":"10.1016/j.jfineco.2025.104080","DOIUrl":"10.1016/j.jfineco.2025.104080","url":null,"abstract":"<div><div>Banks use trading as a vehicle to take risk. Using high-frequency regulatory data, we estimate the sensitivity of weekly bank trading profits to aggregate equity, fixed-income, credit, currency, and commodity risk factors. Our estimates imply that U.S. banks had large trading exposures to equity market risk before the Volcker Rule, which they curtailed afterwards. Credit and currency risk exposures were smaller. The results hold up in a quasi-natural experiment that exploits the phased-in introduction of reporting requirements for identification. Total trading-book risk was also curtailed afterwards with material financial stability implications and no evidence of migration to other bank activities.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104080"},"PeriodicalIF":10.4,"publicationDate":"2025-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143935089","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
Pension fund flows, exchange rates, and covered interest rate parity 养老基金流量、汇率和覆盖利率平价
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-10 DOI: 10.1016/j.jfineco.2025.104075
Felipe Aldunate , Zhi Da , Borja Larrain , Clemens Sialm
{"title":"Pension fund flows, exchange rates, and covered interest rate parity","authors":"Felipe Aldunate ,&nbsp;Zhi Da ,&nbsp;Borja Larrain ,&nbsp;Clemens Sialm","doi":"10.1016/j.jfineco.2025.104075","DOIUrl":"10.1016/j.jfineco.2025.104075","url":null,"abstract":"<div><div>Frequent, yet uninformed, market timing recommendations by a financial advisory firm generate significant flows for Chilean pension funds. These flows induce substantial changes in the Chilean foreign exchange rate due to the funds’ high allocation to international securities. Local banks provide liquidity to pension funds in the spot market and their hedging transactions propagate the demand fluctuations from the spot to the forward market, resulting in deviations from covered interest rate parity. Using bank balance sheet data, we confirm that banks’ risk bearing constraints create limits to arbitrage.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104075"},"PeriodicalIF":10.4,"publicationDate":"2025-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143929463","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
A quantitative analysis of bank lending relationships 银行贷款关系的定量分析
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-09 DOI: 10.1016/j.jfineco.2025.104083
Kyle Dempsey , Miguel Faria-e-Castro
{"title":"A quantitative analysis of bank lending relationships","authors":"Kyle Dempsey ,&nbsp;Miguel Faria-e-Castro","doi":"10.1016/j.jfineco.2025.104083","DOIUrl":"10.1016/j.jfineco.2025.104083","url":null,"abstract":"<div><div>We study the aggregate consequences of dynamic lending relationships in a model of heterogeneous banks facing financial frictions. We estimate the model’s loan demand system on administrative loan-level data: the market power implied by the estimated strength and persistence of relationships yields a long run reduction in credit of 5.9%. Relationships amplify the negative real effects of credit supply shocks, but mute those of negative credit demand shocks. In a financial crisis which destroys 25% of bank net worth, for example, loan volume drops more than twice as much in our baseline model than in a competitive analog with no relationships, but banks recapitalize faster.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104083"},"PeriodicalIF":10.4,"publicationDate":"2025-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143924061","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
Do intermediaries improve GSE lending? Evidence from proprietary GSE data 中介机构是否改善了GSE贷款？来自专有GSE数据的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-09 DOI: 10.1016/j.jfineco.2025.104082
Joshua Bosshardt , Ali Kakhbod , Amir Kermani
{"title":"Do intermediaries improve GSE lending? Evidence from proprietary GSE data","authors":"Joshua Bosshardt ,&nbsp;Ali Kakhbod ,&nbsp;Amir Kermani","doi":"10.1016/j.jfineco.2025.104082","DOIUrl":"10.1016/j.jfineco.2025.104082","url":null,"abstract":"<div><div>We analyze the trade-offs of having intermediaries originate government-sponsored enterprise (GSE) mortgages using proprietary GSE data. We first find evidence of lenders pricing for observable and unobservable default risk independently of the GSEs. We then develop and estimate a model of competitive lending in which lenders have skin-in-the-game and conduct additional screening beyond the GSEs’ criteria. Lenders reduce costs via screening but also charge markups. On net, interest rates are higher compared to a counterfactual effectively without intermediaries. In an extension, the observed differences between banks and nonbanks are more consistent with differences in their skin-in-the-game rather than screening quality.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104082"},"PeriodicalIF":10.4,"publicationDate":"2025-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143922471","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
Receiving investors in the block market for corporate bonds 在公司债券的大宗市场上接待投资者
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-05 DOI: 10.1016/j.jfineco.2025.104061
Stacey Jacobsen, Kumar Venkataraman
{"title":"Receiving investors in the block market for corporate bonds","authors":"Stacey Jacobsen,&nbsp;Kumar Venkataraman","doi":"10.1016/j.jfineco.2025.104061","DOIUrl":"10.1016/j.jfineco.2025.104061","url":null,"abstract":"<div><div>We study block trades in the corporate bond market, where dealers buy or sell blocks from initiating customers and offset their positions with receiving investors. Our findings indicate that while receivers benefit from trading cost savings, they primarily bear adverse selection costs and experience worse outcomes when informed trading is prevalent. Mandatory trade reporting improves receiver outcomes by revealing dealers’ private information, but the benefits are reduced when reporting is delayed. Our results emphasize the importance of transparency regime design and suggest potential market fragility: if information asymmetry becomes severe, receivers may withdraw from the block market.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104061"},"PeriodicalIF":10.4,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143903858","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
Redeploying dirty assets: The impact of environmental 重新部署肮脏资产：环境的影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-05 DOI: 10.1016/j.jfineco.2025.104070
Jason Chen
{"title":"Redeploying dirty assets: The impact of environmental","authors":"Jason Chen","doi":"10.1016/j.jfineco.2025.104070","DOIUrl":"10.1016/j.jfineco.2025.104070","url":null,"abstract":"<div><div>This paper investigates how firms’ pollution incentives are influenced by their ability to divest polluted assets. My empirical setting is a major reform that exempts purchasers from liability for past contamination. Using a difference-in-differences framework, I find that the reform reduces toxic emissions, lowers bankruptcy risk, and increases firm value. Cross-sectional tests show that the decline in emissions is driven by firms with weaker financial health and fewer assets. These findings highlight a novel net worth channel: by limiting ex-post liability, the reform enhances landowners’ net worth ex-ante, reducing their incentives to engage in risky behavior, such as excessive emissions.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104070"},"PeriodicalIF":10.4,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143907702","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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