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Aspirational utility and investment behavior 期望效用和投资行为
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-16 DOI: 10.1016/j.jfineco.2024.103970
Andreas Aristidou , Aleksandar Giga , Suk Lee , Fernando Zapatero
{"title":"Aspirational utility and investment behavior","authors":"Andreas Aristidou ,&nbsp;Aleksandar Giga ,&nbsp;Suk Lee ,&nbsp;Fernando Zapatero","doi":"10.1016/j.jfineco.2024.103970","DOIUrl":"10.1016/j.jfineco.2024.103970","url":null,"abstract":"<div><div>We explore the extent to which aspirations – such as those forged in the course of social interactions – explain ‘puzzling’ behavioral patterns in investment decisions. We motivate an aspirational utility, reminiscent of Friedman and Savage (1948), where social considerations (<em>e.g.</em>, status concerns) provide an economic foundation for aspirations. We show this utility can explain a range of observed investor behaviors, such as the demand for both right- and left-skewed assets; aspects of the disposition effect; and patterns in stock-market participation consistent with empirical observations. We corroborate our theoretical findings with two novel laboratory experimental studies, where we observed participants’ preference for skewness in risky lotteries shift as lab-induced aspirations shifted.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103970"},"PeriodicalIF":10.4,"publicationDate":"2024-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142652143","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
Arbitrage-based recovery 套利回收
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-08 DOI: 10.1016/j.jfineco.2024.103969
Ferenc Horvath
{"title":"Arbitrage-based recovery","authors":"Ferenc Horvath","doi":"10.1016/j.jfineco.2024.103969","DOIUrl":"10.1016/j.jfineco.2024.103969","url":null,"abstract":"<div><div>We develop a novel recovery theorem based on no-arbitrage principles. To implement our Arbitrage-Based Recovery Theorem empirically, one needs to observe the Arrow–Debreu prices only for one single maturity. We perform several different density tests and mean prediction tests using more than 26 years of S&amp;P 500 options data, and we find evidence that our method can correctly recover the probability distribution of the S&amp;P 500 index return on a monthly horizon, despite the presence of a non-trivial permanent SDF component.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103969"},"PeriodicalIF":10.4,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142652142","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
Gig labor: Trading safety nets for steering wheels 临时工：用安全网换方向盘
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-07 DOI: 10.1016/j.jfineco.2024.103956
Vyacheslav Fos , Naser Hamdi , Ankit Kalda , Jordan Nickerson
{"title":"Gig labor: Trading safety nets for steering wheels","authors":"Vyacheslav Fos ,&nbsp;Naser Hamdi ,&nbsp;Ankit Kalda ,&nbsp;Jordan Nickerson","doi":"10.1016/j.jfineco.2024.103956","DOIUrl":"10.1016/j.jfineco.2024.103956","url":null,"abstract":"<div><div>Using administrative data on credit profiles matched with unemployment insurance (UI) for individuals in the U.S., we show that laid-off workers with access to Uber rely less on household debt, experience fewer delinquencies, and are less likely to apply for UI benefits. Our empirical strategy exploits both the staggered market entry of Uber across cities and the differential benefit of its entry across car owners based on car age, a key eligibility requirement of the platform. We conclude that the introduction of Uber reduced reliance on these alternative means of smoothing extreme income shocks.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103956"},"PeriodicalIF":10.4,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142652141","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
Cleansing by tight credit: Rational cycles and endogenous lending standards 紧缩信贷的净化：理性周期与内生贷款标准
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-10-01 DOI: 10.1016/j.jfineco.2023.07.003
Maryam Farboodi , Péter Kondor
{"title":"Cleansing by tight credit: Rational cycles and endogenous lending standards","authors":"Maryam Farboodi ,&nbsp;Péter Kondor","doi":"10.1016/j.jfineco.2023.07.003","DOIUrl":"10.1016/j.jfineco.2023.07.003","url":null,"abstract":"<div><p>Endogenous cycles emerge through the two-way interaction between lending standards and production fundamentals. Lax lending standards in booms lead to low interest rates and high output but the deterioration of future loan quality. Low borrower quality in turn precipitates tight standards: the economy enters a recession with high credit spreads and low output but a gradual improvement in the quality of loans. This eventually triggers a shift back to a boom with lax lending, and the cycle continues. The capitalization of expert investors determines the strength of capital reallocation in recessions. Furthermore, although the constrained efficient economy is often cyclical, it features both a static and a dynamic externality in credit supply, hence differing from the decentralized equilibrium.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 1","pages":"Pages 46-67"},"PeriodicalIF":8.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41745702","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: 3
The short- and long-run effects of remote work on U.S. housing markets 远程工作对美国住房市场的短期和长期影响
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-10-01 DOI: 10.1016/j.jfineco.2023.103705
Greg Howard , Jack Liebersohn , Adam Ozimek
{"title":"The short- and long-run effects of remote work on U.S. housing markets","authors":"Greg Howard ,&nbsp;Jack Liebersohn ,&nbsp;Adam Ozimek","doi":"10.1016/j.jfineco.2023.103705","DOIUrl":"10.1016/j.jfineco.2023.103705","url":null,"abstract":"<div><p>Remote work has increased the demand for housing and changed the demand for the location of that housing. Because housing supply is heterogeneous across space and more elastic in the long-run, the effects on rents and populations may differ over time. We use the lens of a spatial housing model with heterogeneous housing supply elasticities to identify the housing and location demand changes from 2020–2022, and show that the same shocks will have different effects in the long run. Even though rents and prices increased significantly in the short-run, we estimate that in the long-run, increased housing demand will increase rents by only 1.8 percentage points, and that changing location demand will decrease rents by 0.3 percentage points, with a more negative impact on cities in which CPI is measured and cities that were initially expensive.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 1","pages":"Pages 166-184"},"PeriodicalIF":8.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42745615","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
Cheapest-to-deliver pricing, optimal MBS securitization, and welfare implications 最便宜的定价、最佳MBS证券化和福利影响
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-10-01 DOI: 10.1016/j.jfineco.2023.07.001
Yesol Huh, You Suk Kim
{"title":"Cheapest-to-deliver pricing, optimal MBS securitization, and welfare implications","authors":"Yesol Huh,&nbsp;You Suk Kim","doi":"10.1016/j.jfineco.2023.07.001","DOIUrl":"10.1016/j.jfineco.2023.07.001","url":null,"abstract":"<div><p>We study optimal securitization in the agency mortgage-backed securities (MBS) market. Many MBS are traded in the liquid to-be-announced (TBA) market, which however induces adverse selection due to cheapest-to-deliver pricing. We find that lenders pool high-value loans separately and trade them in a less liquid market. We estimate a model of MBS pooling and trading to study welfare implications of pooling policies. TBA market structure produces a trade-off between efficiency and equity; broader pooling increases liquidity and average welfare, but results in a larger cross-subsidy from smaller loans to larger loans. Minimizing costs or limiting strategic pooling results in a more regressive redistribution.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 1","pages":"Pages 68-93"},"PeriodicalIF":8.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42597959","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
Collateral competition: Evidence from central counterparties 抵押品竞争：来自中央交易对手的证据
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-09-01 DOI: 10.1016/j.jfineco.2023.06.005
Magdalena Grothe , N. Aaron Pancost , Stathis Tompaidis
{"title":"Collateral competition: Evidence from central counterparties","authors":"Magdalena Grothe ,&nbsp;N. Aaron Pancost ,&nbsp;Stathis Tompaidis","doi":"10.1016/j.jfineco.2023.06.005","DOIUrl":"10.1016/j.jfineco.2023.06.005","url":null,"abstract":"<div><p>We analyze competition and risk management at central counterparties (CCPs) using a granular transaction-level dataset, and find that CCPs decrease collateral in response to lower collateral at their competitors, an effect that becomes stronger as the correlation between positions increases. To interpret our findings, we derive a model in which collateral is driven by risk and CCP competition. Our results are consistent with the model and suggest that a single monopolistic CCP would require more collateral. We also show that amid the substantial increase in collateral during the Covid-19 pandemic, the probability of a margin breach did not significantly change.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 3","pages":"Pages 536-556"},"PeriodicalIF":8.9,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43534266","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
Firm-bank linkages and optimal policies after a rare disaster 罕见灾难后的稳固银行联系和最佳政策
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.05.002
Anatoli Segura , Alonso Villacorta
{"title":"Firm-bank linkages and optimal policies after a rare disaster","authors":"Anatoli Segura ,&nbsp;Alonso Villacorta","doi":"10.1016/j.jfineco.2023.05.002","DOIUrl":"10.1016/j.jfineco.2023.05.002","url":null,"abstract":"<div><p>We study optimal government support following a rare disaster that creates heterogeneous firm liquidity needs. Firms’ increase in debt reduces their output due to moral hazard. Banks are subject to a minimum capital requirement that limits deposit insurance costs upon bad aggregate shocks. Without government support, firms’ moral hazard and banks’ funding frictions reinforce each other amplifying output losses. Optimal support is implemented with firm-specific transfers combined with the provision of aggregate risk insurance through a capital requirement relaxation and a public preferred equity stake in banks. Our results shed light on suboptimality features in the actual policy responses to Covid-19 lockdowns.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 296-322"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43167576","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
Market power in wholesale funding: A structural perspective from the triparty repo market 批发融资中的市场力量:来自三方回购市场的结构性视角
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.04.007
Amy Wang Huber
{"title":"Market power in wholesale funding: A structural perspective from the triparty repo market","authors":"Amy Wang Huber","doi":"10.1016/j.jfineco.2023.04.007","DOIUrl":"10.1016/j.jfineco.2023.04.007","url":null,"abstract":"<div><p>I model and structurally estimate the equilibrium rates and volume in the Triparty repo market to study imperfect competition in wholesale funding. Even in this systemically important market, where seemingly homogeneous repos trade, I document persistent rate differences paid by dealers. I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that cash-lenders’ aversion to portfolio concentration and preference for stable lending grant dealers substantial market power: between 2011 and 2017, dealers borrowed at rates that were 26 bps lower than their marginal value from intermediating the borrowed repo funds. Dealers’ market power makes the observed wholesale repo rate understate the financing rate available to market participants who rely on repo funding, and offers a novel explanation for funding spreads such as the Treasury cash-futures basis and the Treasury swap spread.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 235-259"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43141766","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: 3
Political ideology and international capital allocation 政治意识形态与国际资本配置
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-05-01 DOI: 10.1016/j.jfineco.2023.02.005
Elisabeth Kempf , Mancy Luo , Larissa Schäfer , Margarita Tsoutsoura
{"title":"Political ideology and international capital allocation","authors":"Elisabeth Kempf ,&nbsp;Mancy Luo ,&nbsp;Larissa Schäfer ,&nbsp;Margarita Tsoutsoura","doi":"10.1016/j.jfineco.2023.02.005","DOIUrl":"10.1016/j.jfineco.2023.02.005","url":null,"abstract":"<div><p>Does investors’ political ideology shape international capital allocation? We provide evidence from two settings—syndicated corporate loans and equity mutual funds—to show ideological alignment with foreign governments affects the cross-border capital allocation by U.S. institutional investors. Ideological alignment on both economic and social issues plays a role. Our empirical strategy ensures direct economic effects of foreign elections or government ties between countries are not driving the result. Ideological distance between countries also explains variation in bilateral investment. Combined, our findings imply ideological alignment is an important, omitted factor in models of international capital allocation.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"148 2","pages":"Pages 150-173"},"PeriodicalIF":8.9,"publicationDate":"2023-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41847397","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: 6
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