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Strategic arbitrage in segmented markets
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-30 DOI: 10.1016/j.jfineco.2025.104008
Svetlana Bryzgalova , Anna Pavlova , Taisiya Sikorskaya
{"title":"Strategic arbitrage in segmented markets","authors":"Svetlana Bryzgalova ,&nbsp;Anna Pavlova ,&nbsp;Taisiya Sikorskaya","doi":"10.1016/j.jfineco.2025.104008","DOIUrl":"10.1016/j.jfineco.2025.104008","url":null,"abstract":"<div><div>We propose a model in which arbitrageurs act strategically in markets with entry costs. In a repeated game, arbitrageurs choose to specialize in some markets, which leads to the highest combined profits. We present evidence consistent with our theory from the options market, in which suboptimally unexercised options create arbitrage opportunities for intermediaries. We use transaction-level data to identify the corresponding arbitrage trades. Consistent with the model, only 57% of these opportunities attract entry by arbitrageurs. Of those that do, 49% attract only one arbitrageur. Finally, we detail how market participants circumvent a regulation devised to curtail this arbitrage strategy.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"166 ","pages":"Article 104008"},"PeriodicalIF":10.4,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143077762","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
Optimal policy for behavioral financial crises
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-28 DOI: 10.1016/j.jfineco.2025.104005
Paul Fontanier
{"title":"Optimal policy for behavioral financial crises","authors":"Paul Fontanier","doi":"10.1016/j.jfineco.2025.104005","DOIUrl":"10.1016/j.jfineco.2025.104005","url":null,"abstract":"<div><div>Should policymakers adapt their macroprudential and monetary policies when the financial sector is vulnerable to belief-driven boom-bust cycles? I develop a model in which financial intermediaries are subject to collateral constraints, and that features a general class of deviations from rational expectations. I show that distinguishing between the drivers of behavioral biases matters for the precise calibration of policy: when biases are a function of equilibrium asset prices, as in return extrapolation, new externalities arise, even in models that do not have any room for policy in their rational benchmark. These effects are robust to the degree of sophistication of agents regarding their future biases. I show how time-varying leverage, investment and price regulations can achieve constrained efficiency. Importantly, greater uncertainty about the extent of behavioral biases in financial markets reinforces incentives for preventive action.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"166 ","pages":"Article 104005"},"PeriodicalIF":10.4,"publicationDate":"2025-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143077767","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
ESG: A panacea for market power?
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-24 DOI: 10.1016/j.jfineco.2024.103991
Philip Bond, Doron Levit
{"title":"ESG: A panacea for market power?","authors":"Philip Bond,&nbsp;Doron Levit","doi":"10.1016/j.jfineco.2024.103991","DOIUrl":"10.1016/j.jfineco.2024.103991","url":null,"abstract":"<div><div>We study the equilibrium effects of the “S” dimension of ESG under imperfect competition. ESG policies are pledges made by firms that constrain managers to treat their stakeholders better than market conditions alone dictate. Moderate policies limit market power and prompt managers to be more competitive; aggressive polices backfire, both for adopting firms and intended beneficiaries. In contrast to the “shareholder primacy” paradigm, competition in ESG policies under the “stakeholder capitalism” paradigm is a panacea for market power, delivering the first-best outcome in equilibrium. We discuss drivers behind the recent rise in ESG, ESG-linked compensation, and disclosure practices.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103991"},"PeriodicalIF":10.4,"publicationDate":"2025-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143050008","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 volatility puzzle of the beta anomaly
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-24 DOI: 10.1016/j.jfineco.2025.103994
Pedro Barroso , Andrew Detzel , Paulo Maio
{"title":"The volatility puzzle of the beta anomaly","authors":"Pedro Barroso ,&nbsp;Andrew Detzel ,&nbsp;Paulo Maio","doi":"10.1016/j.jfineco.2025.103994","DOIUrl":"10.1016/j.jfineco.2025.103994","url":null,"abstract":"<div><div>This paper shows that leading theories of the beta anomaly fail to explain the anomaly’s conditional performance. Abnormal returns and Sharpe ratios of betting-against-beta (BAB) factors rise following months with below-median realized volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment. Moreover, the leverage constraints theory counterfactually predicts that market and BAB Sharpe ratios increase with volatility. We further show that institutional investors shift their demand from high- to low-beta stocks as volatility increases, and the resulting price impact is sufficient to explain the difference in abnormal BAB returns between high- and low-volatility states.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103994"},"PeriodicalIF":10.4,"publicationDate":"2025-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143050007","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
Asymmetric information, disagreement, and the valuation of debt and equity
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-21 DOI: 10.1016/j.jfineco.2025.103995
Snehal Banerjee , Bradyn Breon-Drish , Kevin Smith
{"title":"Asymmetric information, disagreement, and the valuation of debt and equity","authors":"Snehal Banerjee ,&nbsp;Bradyn Breon-Drish ,&nbsp;Kevin Smith","doi":"10.1016/j.jfineco.2025.103995","DOIUrl":"10.1016/j.jfineco.2025.103995","url":null,"abstract":"<div><div>We study debt and equity valuation when investors have private information and may exhibit differences of opinion. Our model generates several predictions that are consistent with empirical evidence but difficult to reconcile with traditional models. Belief dispersion relates to expected equity and debt returns in opposite directions. Similarly, expected debt (equity) returns typically increase (decrease) with default risk, though these relationships reverse for firms close to bankruptcy. Firms’ capital structures affect their valuations even without classical capital structure frictions (e.g., tax shields, distress costs) – when liquidity is higher in the equity than in the debt market, leverage can raise firm value.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103995"},"PeriodicalIF":10.4,"publicationDate":"2025-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143050010","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
Optimal illiquidity 最佳流动性不足
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-18 DOI: 10.1016/j.jfineco.2025.103996
John Beshears , James J. Choi , Christopher Clayton , Christopher Harris , David Laibson , Brigitte C. Madrian
{"title":"Optimal illiquidity","authors":"John Beshears ,&nbsp;James J. Choi ,&nbsp;Christopher Clayton ,&nbsp;Christopher Harris ,&nbsp;David Laibson ,&nbsp;Brigitte C. Madrian","doi":"10.1016/j.jfineco.2025.103996","DOIUrl":"10.1016/j.jfineco.2025.103996","url":null,"abstract":"<div><div>We study the socially optimal level of illiquidity in an economy populated by households with taste shocks and present bias with naive beliefs. The government chooses mandatory contributions to accounts, each with a different pre-retirement withdrawal penalty. Collected penalties are rebated lump sum. When households have homogeneous present bias, <span><math><mi>β</mi></math></span>, the social optimum is well approximated by a single account with an early-withdrawal penalty of <span><math><mrow><mn>1</mn><mo>−</mo><mi>β</mi></mrow></math></span>. When households have heterogeneous present bias, the social optimum is well approximated by a two-account system: (i) an account that is completely liquid and (ii) an account that is completely illiquid until retirement.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103996"},"PeriodicalIF":10.4,"publicationDate":"2025-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142990174","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
Fed information effects: Evidence from the equity term structure 美联储信息效应：来自股票期限结构的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-14 DOI: 10.1016/j.jfineco.2024.103988
Benjamin Golez , Ben Matthies
{"title":"Fed information effects: Evidence from the equity term structure","authors":"Benjamin Golez ,&nbsp;Ben Matthies","doi":"10.1016/j.jfineco.2024.103988","DOIUrl":"10.1016/j.jfineco.2024.103988","url":null,"abstract":"<div><div>Do investors interpret central bank target rate decisions as signals about the current state of the economy? We study this question using a short-term equity asset that entitles the owner to the near-term dividends of the aggregate stock market. We develop a stylized model of monetary policy and the equity term structure and derive tests of Fed information effects using the short-term asset announcement return. Consistent with the existence of information effects, we find that the short-term asset return in a 30-minute window around FOMC announcements loads positively on monetary policy surprises. Furthermore, the announcement return predicts near-term macroeconomic growth.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103988"},"PeriodicalIF":10.4,"publicationDate":"2025-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142990170","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
Yield drifts when issuance comes before macro news 当债券发行先于宏观新闻发布时，收益率会出现波动
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-13 DOI: 10.1016/j.jfineco.2025.103993
Dong Lou , Gabor Pinter , Semih Üslü , Danny Walker
{"title":"Yield drifts when issuance comes before macro news","authors":"Dong Lou ,&nbsp;Gabor Pinter ,&nbsp;Semih Üslü ,&nbsp;Danny Walker","doi":"10.1016/j.jfineco.2025.103993","DOIUrl":"10.1016/j.jfineco.2025.103993","url":null,"abstract":"<div><div>UK government bond yields tend to drift upwards before scheduled news such as monetary policy announcements and labour market data releases. This effect is particularly pronounced during periods of UK bond issuance and is linked to higher term premia. Financial intermediary constraints play a role as dealers avoid accumulating inventory in pre-news windows following issuance. The composition of liquidity providers also shifts: hedge funds buy a large share of the bond issuance outside pre-news windows, but more passive investors – such as foreign central banks and pension funds – provide liquidity in pre-news windows. We outline a simple model to rationalize these findings.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103993"},"PeriodicalIF":10.4,"publicationDate":"2025-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142990171","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
Q: Risk, rents, or growth? 问：风险、租金还是增长？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-09 DOI: 10.1016/j.jfineco.2024.103990
Alexandre Corhay , Howard Kung , Lukas Schmid
{"title":"Q: Risk, rents, or growth?","authors":"Alexandre Corhay ,&nbsp;Howard Kung ,&nbsp;Lukas Schmid","doi":"10.1016/j.jfineco.2024.103990","DOIUrl":"10.1016/j.jfineco.2024.103990","url":null,"abstract":"<div><div>We document that the increasing polarization in Tobin’s <span><math><mi>Q</mi></math></span> within industries is closely connected to the growing divergence in rents and the emergence of superstar firms over the past four decades, while discount rates and growth rates did not exhibit the same increasing dispersion. We explain these industry polarization trends in an estimated general equilibrium model where each industry consists of large superstar oligopolists and small monopolistically competitive firms with endogenous transitions between them. Small firms make investments in speculative innovation to increase their probability of becoming superstars. Our model estimation finds that rising entry barriers in both small and superstar firms contribute to rising polarization in markups, but the rising barriers to creating small firms and increasing tastes for goods produced by superstars account for most of the divergence in <span><math><mi>Q</mi></math></span>. Stunting the creation of small firms generates greater incentives for speculative innovation, magnifying the impact of market power dispersion on industry polarization in <span><math><mi>Q</mi></math></span>.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103990"},"PeriodicalIF":10.4,"publicationDate":"2025-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142968119","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
Self-Declared benchmarks and fund manager intent: “Cheating” or competing? 自封基准和基金经理意图：“作弊”还是竞争？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-06 DOI: 10.1016/j.jfineco.2024.103975
Huaizhi Chen , Richard Evans , Yang Sun
{"title":"Self-Declared benchmarks and fund manager intent: “Cheating” or competing?","authors":"Huaizhi Chen ,&nbsp;Richard Evans ,&nbsp;Yang Sun","doi":"10.1016/j.jfineco.2024.103975","DOIUrl":"10.1016/j.jfineco.2024.103975","url":null,"abstract":"<div><div>Using a panel of self-declared benchmarks, we examine funds’ use of mismatched benchmarks over time. Mismatching is high at the beginning of our sample (45 % of TNA in 2008), consistent with prior studies, but declines significantly over time (27 % in 2020), driven by existing specialized funds changing benchmarks to match their style. Market forces including investor learning, institutional governance, market competition, and product positioning all play a role in benchmark correction decisions. For funds with difficult to categorize investment strategies, mismatched benchmarks are less associated with performance bias. Our study highlights the value of market solutions in aligning manager-investor interests.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103975"},"PeriodicalIF":10.4,"publicationDate":"2025-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142968121","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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