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Portfolio pumping in mutual fund families 共同基金家族的投资组合抽水
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-04-15 DOI: 10.1016/j.jfineco.2024.103839
Pingle Wang
{"title":"Portfolio pumping in mutual fund families","authors":"Pingle Wang","doi":"10.1016/j.jfineco.2024.103839","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103839","url":null,"abstract":"<div><p>This paper investigates portfolio pumping at the fund family level, where non-star fund managers strategically purchase stocks held by star funds in the family to inflate their quarter-end performance. Star funds that engage in such activities show inflated performance after 2002 when the Securities and Exchange Commission increased regulation on portfolio pumping. Stocks pumped by the strategy show strong reversals at the quarter end. Moreover, despite a minor underperformance stemming from portfolio misallocation, non-star fund managers pumping for star funds receive abnormally high subsequent flows, suggesting a pattern of family subsidization.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"156 ","pages":"Article 103839"},"PeriodicalIF":8.9,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140554028","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
Measuring macroeconomic tail risk 衡量宏观经济尾部风险
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-04-12 DOI: 10.1016/j.jfineco.2024.103838
Roberto Marfè , Julien Pénasse
{"title":"Measuring macroeconomic tail risk","authors":"Roberto Marfè ,&nbsp;Julien Pénasse","doi":"10.1016/j.jfineco.2024.103838","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103838","url":null,"abstract":"<div><p>This paper estimates consumption and GDP tail risk dynamics over the long run (1900–2020). Our predictive approach circumvents the scarcity of large macroeconomic crises by exploiting a rich information set covering 42 countries. This flexible approach does not require asset price information and can thus serve as a benchmark to evaluate the empirical validity of rare disaster models. Our estimates covary with asset prices and forecast future stock returns, in line with theory. A calibration disciplined by our estimates supports the prediction that macroeconomic tail risk drives the equity premium.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"156 ","pages":"Article 103838"},"PeriodicalIF":8.9,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140549806","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
Shattered housing 破碎的住房
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-04-09 DOI: 10.1016/j.jfineco.2024.103835
Jonas Happel , Yigitcan Karabulut , Larissa Schäfer , Şelale Tüzel
{"title":"Shattered housing","authors":"Jonas Happel ,&nbsp;Yigitcan Karabulut ,&nbsp;Larissa Schäfer ,&nbsp;Şelale Tüzel","doi":"10.1016/j.jfineco.2024.103835","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103835","url":null,"abstract":"<div><p>Do negative housing shocks lead to persistent changes in household attitudes toward housing and homeownership? We use the residential destruction of Germany during World War II (WWII) as a quasi-experiment and exploit the reasonably exogenous region-by-cohort variation in destruction exposure. We find that WWII-experiencing cohorts from high destruction regions are significantly less likely to be homeowners decades later, controlling for regional differences and household characteristics. Underlying this effect are changes in household attitudes toward homeownership that also extend to preferences for housing consumption, with little or no support for risk preferences, income and wealth effects, or supply-side factors.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"156 ","pages":"Article 103835"},"PeriodicalIF":8.9,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140539423","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
Consumption smoothing or consumption binging? The effects of government-led consumer credit expansion in Brazil 消费平滑还是消费狂欢？巴西政府主导的消费信贷扩张的影响
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-04-05 DOI: 10.1016/j.jfineco.2024.103834
Gabriel Garber , Atif Mian , Jacopo Ponticelli , Amir Sufi
{"title":"Consumption smoothing or consumption binging? The effects of government-led consumer credit expansion in Brazil","authors":"Gabriel Garber ,&nbsp;Atif Mian ,&nbsp;Jacopo Ponticelli ,&nbsp;Amir Sufi","doi":"10.1016/j.jfineco.2024.103834","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103834","url":null,"abstract":"<div><p>Brazil initiated a major credit expansion program through government banks in 2011. The program primarily targeted public sector workers with offers of payroll-backed loans. Using individual-level administrative data we find that the program led to a 15 percentage point rise in debt to initial income for public sector workers. We develop a new method for estimating workers' expected income growth, and show that “consumption smoothing” cannot explain the rise in consumer borrowing. Instead, the evidence supports “consumption binging”: less financially sophisticated workers borrowed more at high real interest rates, and experienced both higher consumption volatility and lower average consumption.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"156 ","pages":"Article 103834"},"PeriodicalIF":8.9,"publicationDate":"2024-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140350409","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
In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models 多因子资产定价模型的样本内和样外夏普比率
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-04-04 DOI: 10.1016/j.jfineco.2024.103837
Raymond Kan , Xiaolu Wang , Xinghua Zheng
{"title":"In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models","authors":"Raymond Kan ,&nbsp;Xiaolu Wang ,&nbsp;Xinghua Zheng","doi":"10.1016/j.jfineco.2024.103837","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103837","url":null,"abstract":"<div><p>Using available return data, many multi-factor asset pricing models present impressive in-sample Sharpe ratios, significantly surpassing that of the market portfolio. Such a performance, however, contradicts the conventional wisdom in finance. Investors cannot realistically attain the in-sample Sharpe ratios. They obtain the out-of-sample Sharpe ratios, which are significantly lower. Estimation risk is one reason for this performance deterioration. We theoretically study the effect of estimation risk by obtaining the exact distributions of in-sample and out-of-sample Sharpe ratios, and argue that such effect needs to be considered in model comparisons.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103837"},"PeriodicalIF":8.9,"publicationDate":"2024-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140347132","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 timing of voluntary delisting 自愿除名的时机
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-04-03 DOI: 10.1016/j.jfineco.2024.103832
Alcino Azevedo , Gonul Colak , Izidin El Kalak , Radu Tunaru
{"title":"The timing of voluntary delisting","authors":"Alcino Azevedo ,&nbsp;Gonul Colak ,&nbsp;Izidin El Kalak ,&nbsp;Radu Tunaru","doi":"10.1016/j.jfineco.2024.103832","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103832","url":null,"abstract":"<div><p>For many firms, voluntarily delisting from a stock exchange can be optimal. We model an entrepreneur's incentives to voluntarily delist the firm as a trade-off between consumption of private benefits when listed and expected improvements in the firm's performance after delisting. Our model allows for heterogeneity across firms and countries, and various micro and macro shocks affect the delisting decision. Such a model makes novel predictions regarding the delisting patterns around the world. We empirically confirm these predictions using manually collected delisting data from 26 countries. Increasing policy and regulatory uncertainties can partially explain the greater popularity of voluntary delistings.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103832"},"PeriodicalIF":8.9,"publicationDate":"2024-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000552/pdfft?md5=c1c4a0289e52ae3c2dfb8a9b8e128a4e&pid=1-s2.0-S0304405X24000552-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140341328","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
Price ceilings, market structure, and payout policies 价格上限、市场结构和赔付政策
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-04-01 DOI: 10.1016/j.jfineco.2024.103818
Xiongshi Li , Mao Ye , Miles Zheng
{"title":"Price ceilings, market structure, and payout policies","authors":"Xiongshi Li ,&nbsp;Mao Ye ,&nbsp;Miles Zheng","doi":"10.1016/j.jfineco.2024.103818","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103818","url":null,"abstract":"<div><p>To prevent issuers from inflating their share prices, SEC Rule 10b-18 sets price ceilings on share repurchases through open markets. We find that market-structure reforms in the 1990s and 2000s dramatically increased share repurchases because they relaxed constraints on issuers competing with other buyers under price ceilings. The Tick Size Pilot Program, a controlled experiment that partially reversed previous reforms, significantly reduced share repurchases. We estimate that price ceilings and reduced market-structure frictions explain 18% of the secular increase in share repurchases. Meanwhile, these two frictions still exist, which explains why share repurchases have not crowded out dividends entirely.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103818"},"PeriodicalIF":8.9,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140332434","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
Sustainability or performance? Ratings and fund managers’ incentives 可持续性还是业绩？评级与基金经理的激励机制
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-27 DOI: 10.1016/j.jfineco.2024.103831
Nickolay Gantchev, Mariassunta Giannetti, Rachel Li
{"title":"Sustainability or performance? Ratings and fund managers’ incentives","authors":"Nickolay Gantchev,&nbsp;Mariassunta Giannetti,&nbsp;Rachel Li","doi":"10.1016/j.jfineco.2024.103831","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103831","url":null,"abstract":"<div><p>We explore how mutual fund managers and investors react when the tradeoff between a fund's sustainability and performance becomes salient. Following the introduction of Morningstar's sustainability ratings (the “globe” ratings), mutual funds increased their holdings of sustainable stocks to attract flows. Such sustainability-driven trades, however, underperformed, impairing the funds’ overall performance. Consequently, a tradeoff between sustainability and performance emerged. In the new equilibrium, the globe ratings do not affect investor flows and funds no longer trade to improve their globe ratings.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103831"},"PeriodicalIF":8.9,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000540/pdfft?md5=fad827b0a10295f0e333e3ba61b8e6a4&pid=1-s2.0-S0304405X24000540-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140296856","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 pricing of U.S. Treasury floating rate notes 美国国债浮动利率票据的定价
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-27 DOI: 10.1016/j.jfineco.2024.103833
Jonathan S. Hartley , Urban J. Jermann
{"title":"The pricing of U.S. Treasury floating rate notes","authors":"Jonathan S. Hartley ,&nbsp;Urban J. Jermann","doi":"10.1016/j.jfineco.2024.103833","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103833","url":null,"abstract":"<div><p>Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T-bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We interpret this fact through the lens of a model where money-like assets differ in their degrees of moneyness. Additional empirical evidence supports this interpretation.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103833"},"PeriodicalIF":8.9,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140308686","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
Robo advisors and access to wealth management 机器人顾问和财富管理
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-22 DOI: 10.1016/j.jfineco.2024.103829
Michael Reher , Stanislav Sokolinski
{"title":"Robo advisors and access to wealth management","authors":"Michael Reher ,&nbsp;Stanislav Sokolinski","doi":"10.1016/j.jfineco.2024.103829","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103829","url":null,"abstract":"<div><p>We investigate how access to robo-advisors impacts the financial investment and welfare of less-wealthy investors. We leverage a quasi-experiment where a major U.S. robo-advisor significantly expands access by reducing its account minimum, increasing participation by middle-class investors but not the poor. A benchmark model calibrated to portfolio-level data rationalizes this increase: middle-class investors want sophisticated investing but cannot achieve it themselves. Their welfare rises moderately, driven by advanced features like multi-dimensional glide-paths and additional priced risk factors. Middle-age investors gain three times more than millennials. Our results reveal novel margins of demand for robo-advisors, helping explain their sustained growth.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103829"},"PeriodicalIF":8.9,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140186992","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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