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Refinancing cross-subsidies in the mortgage market 抵押贷款市场中的再融资交叉补贴
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-04 DOI: 10.1016/j.jfineco.2024.103876
Jack Fisher , Alessandro Gavazza , Lu Liu , Tarun Ramadorai , Jagdish Tripathy
{"title":"Refinancing cross-subsidies in the mortgage market","authors":"Jack Fisher ,&nbsp;Alessandro Gavazza ,&nbsp;Lu Liu ,&nbsp;Tarun Ramadorai ,&nbsp;Jagdish Tripathy","doi":"10.1016/j.jfineco.2024.103876","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103876","url":null,"abstract":"<div><p>In household finance markets, inactive households can implicitly cross-subsidize active households who promptly respond to financial incentives. We assess the magnitude and distribution of cross-subsidies in the mortgage market. To do so, we build a structural model of household mortgage refinancing and estimate it on rich administrative data covering the stock of outstanding mortgages in the UK. We estimate sizeable cross-subsidies that flow from relatively poorer households and those located in less-wealthy areas towards richer households and those located in wealthier areas. Our work highlights how the design of household finance markets can contribute to wealth inequality.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"158 ","pages":"Article 103876"},"PeriodicalIF":8.9,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000990/pdfft?md5=dcf6c9b2a9f252555891ffd851b0951c&pid=1-s2.0-S0304405X24000990-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141250491","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
The social signal 社会信号
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-03 DOI: 10.1016/j.jfineco.2024.103870
J. Anthony Cookson , Runjing Lu , William Mullins , Marina Niessner
{"title":"The social signal","authors":"J. Anthony Cookson ,&nbsp;Runjing Lu ,&nbsp;William Mullins ,&nbsp;Marina Niessner","doi":"10.1016/j.jfineco.2024.103870","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103870","url":null,"abstract":"<div><p>We examine social media attention and sentiment from three major platforms: Twitter, StockTwits, and Seeking Alpha. We find that, even after controlling for firm disclosures and news, attention is highly correlated across platforms, but sentiment is not: its first principal component explains little more variation than purely idiosyncratic sentiment. Using market events, we attribute differences across platforms to differences in users (e.g., professionals versus novices) and differences in platform design (e.g., character limits in posts). We also find that sentiment and attention contain different return-relevant information. Sentiment predicts positive next-day returns, but attention predicts negative next-day returns. These results highlight the importance of considering both social media sentiment and attention, and of distinguishing between different investor social media platforms.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"158 ","pages":"Article 103870"},"PeriodicalIF":8.9,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141244514","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
Tiny trades, big questions: Fractional shares 小交易，大问题：零碎股份
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-28 DOI: 10.1016/j.jfineco.2024.103836
Robert P. Bartlett , Justin McCrary , Maureen O'Hara
{"title":"Tiny trades, big questions: Fractional shares","authors":"Robert P. Bartlett ,&nbsp;Justin McCrary ,&nbsp;Maureen O'Hara","doi":"10.1016/j.jfineco.2024.103836","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103836","url":null,"abstract":"<div><p>This paper investigates fractional share trading. We develop a latency-based method for identifying a large sample of fractional share trades. We find that high-priced stocks, meme stocks, IPOs, SPACs, and popular retail stocks exhibit considerable numbers of these tiny trades. We surmise that this reflects dollar-based order entry, with many tiny trades being fractional components of larger orders. We show that our fractional trade measure is predictive of future liquidity and volatility, suggesting a new metric to capture the information in retail trades. We identify how data and reporting protocols preclude knowing the extent of fractional share trading, inflate volume data, and provide censured samples of these off-exchange trades.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103836"},"PeriodicalIF":8.9,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141163723","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 diversification and welfare effects of robo-advising 机器人咨询的多样化和福利效应
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-25 DOI: 10.1016/j.jfineco.2024.103869
Alberto G. Rossi , Stephen Utkus
{"title":"The diversification and welfare effects of robo-advising","authors":"Alberto G. Rossi ,&nbsp;Stephen Utkus","doi":"10.1016/j.jfineco.2024.103869","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103869","url":null,"abstract":"<div><p>We study the diversification and welfare effects of a large US robo-advisor on the portfolios of previously self-directed investors and document five facts. First, robo-advice reshapes portfolios by increasing indexing and reducing home bias, number of assets held, and fees. Second, these portfolio changes contribute to higher Sharpe ratios. Third, those who benefit most from robo-advice are investors who did not have high exposure to equities or indexing and had poorer diversification levels. Fourth, robo-advice decreases the time investors dedicate to managing their investments. Fifth, those investors who benefit most are more likely to join the service and not quit it.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103869"},"PeriodicalIF":8.9,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141095251","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
Crowdsourcing peer information to change spending behavior 众包同行信息，改变消费行为
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-22 DOI: 10.1016/j.jfineco.2024.103858
Francesco D’Acunto , Alberto G. Rossi , Michael Weber
{"title":"Crowdsourcing peer information to change spending behavior","authors":"Francesco D’Acunto ,&nbsp;Alberto G. Rossi ,&nbsp;Michael Weber","doi":"10.1016/j.jfineco.2024.103858","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103858","url":null,"abstract":"<div><p>We isolate the information channel of peer effects in consumption in a setting that excludes a role for common shocks or social pressure—a spending panel paired with crowdsourced information about anonymous “peers” elicited at different times. Consumers converge to peers’ spending, and more so when peer signals are more informative. Convergence is asymmetric: within 12 months of information provision, overspenders close 17% and underspenders 5% of their gap relative to peers. We exploit the quasi-random assignment to peer groups in an instrumental-variable strategy and implement an experiment for external validity. Our results are consistent with information-based theories of overconsumption.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103858"},"PeriodicalIF":8.9,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141083362","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
When failure is an option: Fragile liquidity in over-the-counter markets 当失败成为一种选择时：场外交易市场脆弱的流动性
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-21 DOI: 10.1016/j.jfineco.2024.103859
Terrence Hendershott , Dan Li , Dmitry Livdan , Norman Schürhoff
{"title":"When failure is an option: Fragile liquidity in over-the-counter markets","authors":"Terrence Hendershott ,&nbsp;Dan Li ,&nbsp;Dmitry Livdan ,&nbsp;Norman Schürhoff","doi":"10.1016/j.jfineco.2024.103859","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103859","url":null,"abstract":"<div><p>Markets can give false impressions of liquidity and stability if failed attempts to trade are ignored. For collateralized loan obligations, we quantify this bias by estimating the total cost of immediacy (TCI) which incorporates failure rates and failure costs. TCI is substantially higher than the observed cost, 0.3–3.8% versus 0.04–0.12% across credit-quality tranches because trade failures are frequent, failure costs are large, and failure costs and rates are correlated. TCI is almost double the realized gains from trade for low-rated tranches. Overall, auction-based over-the-counter markets become illiquid and fragile, especially during stressful periods for low-rated assets.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103859"},"PeriodicalIF":8.9,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000825/pdfft?md5=53426343eaf7395f25bd8a3ca8b0b53d&pid=1-s2.0-S0304405X24000825-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141077712","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
The passive ownership share is double what you think it is 被动所有权份额是你想象的两倍
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-21 DOI: 10.1016/j.jfineco.2024.103860
Alex Chinco , Marco Sammon
{"title":"The passive ownership share is double what you think it is","authors":"Alex Chinco ,&nbsp;Marco Sammon","doi":"10.1016/j.jfineco.2024.103860","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103860","url":null,"abstract":"<div><p>Each time a stock gets added to or dropped from an index, we ask: “How much money would have to be tracking that index to explain the huge spike in rebalancing volume we observe on reconstitution day?” While index funds held <span><math><mrow><mn>16</mn><mtext>%</mtext></mrow></math></span> of the US stock market in 2021, we put the overall passive ownership share at <span><math><mrow><mn>33</mn><mo>.</mo><mn>5</mn><mtext>%</mtext></mrow></math></span>. Our headline number is twice as large because it reflects index funds as well as other kinds of passive investors, such as institutional investors with internally managed index portfolios and active managers who are closet indexing.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103860"},"PeriodicalIF":8.9,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141077707","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
Real effects of supplying safe private money 提供安全私人资金的实际效果
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-21 DOI: 10.1016/j.jfineco.2024.103868
Chenzi Xu , He Yang
{"title":"Real effects of supplying safe private money","authors":"Chenzi Xu ,&nbsp;He Yang","doi":"10.1016/j.jfineco.2024.103868","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103868","url":null,"abstract":"<div><p>Privately issued money often bears default risk, which creates transaction frictions when used as a medium of exchange. The late 19th century US provides a unique context to evaluate the real effects of supplying a new type of money that is safe from default. We measure the local change in “monetary” transaction frictions with a market access approach derived from general equilibrium trade theory. Consistent with theories hypothesizing that lowering transaction frictions benefits the traded and inputs-intensive sectors, we find an increase in traded goods production, in the share of manufacturing output and employment, and in innovation.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103868"},"PeriodicalIF":8.9,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141077713","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
Intermediary-based equity term structure 基于中介的股权期限结构
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-20 DOI: 10.1016/j.jfineco.2024.103856
Kai Li , Chenjie Xu
{"title":"Intermediary-based equity term structure","authors":"Kai Li ,&nbsp;Chenjie Xu","doi":"10.1016/j.jfineco.2024.103856","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103856","url":null,"abstract":"<div><p>We demonstrate that a financial intermediary-based asset pricing model offers a compelling explanation for a new set of conditional moments of equity term structure and convenience yields. The model’s key mechanism is that the time-varying tightness of intermediaries’ leverage constraints drives significant mean reversion in the price of risk. This model guides us in devising a novel empirical methodology to estimate the tightness of these constraints (i.e., the Relative Tightness Index) from cross-sectional returns of various asset classes. Our findings affirm that this measure significantly drives the dynamics of equity yield slope and convenience yields, both empirically and quantitatively.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103856"},"PeriodicalIF":8.9,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141073245","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
Financial constraints, cash flow timing patterns, and asset prices 财务限制、现金流时间模式和资产价格
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-17 DOI: 10.1016/j.jfineco.2024.103855
Weiping Hu , Kai Li , Xiao Zhang
{"title":"Financial constraints, cash flow timing patterns, and asset prices","authors":"Weiping Hu ,&nbsp;Kai Li ,&nbsp;Xiao Zhang","doi":"10.1016/j.jfineco.2024.103855","DOIUrl":"10.1016/j.jfineco.2024.103855","url":null,"abstract":"<div><p>We show that firms collect almost 70% of their cash flows in the second half of the fiscal year, and that firms that collect more cash by year-end earn a 6.8% higher per annum risk premium and save more cash. We rationalize these facts in a quantitative investment-based asset pricing model. Immediate cash payments negatively affect profitability, but reduce equity financing costs by increasing information transparency. Financially constrained firms optimally collect more cash at year-end when firms’ performance attracts more attention and information transparency is more valuable. Such behavior further results in greater exposure to aggregate productivity and financial shocks.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103855"},"PeriodicalIF":8.9,"publicationDate":"2024-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140961528","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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