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Information sharing in financial markets 金融市场的信息共享
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-06 DOI: 10.1016/j.jfineco.2024.103967
Itay Goldstein , Yan Xiong , Liyan Yang
{"title":"Information sharing in financial markets","authors":"Itay Goldstein ,&nbsp;Yan Xiong ,&nbsp;Liyan Yang","doi":"10.1016/j.jfineco.2024.103967","DOIUrl":"10.1016/j.jfineco.2024.103967","url":null,"abstract":"<div><div>We study information sharing between strategic investors who are informed about asset fundamentals. We demonstrate that a coarsely informed investor optimally chooses to share information if his counterparty investor is well informed. By doing so, the coarsely informed investor invites the other investor to trade against his information, thereby reducing his price impact. Paradoxically, the well informed investor loses from receiving information because of the resulting worsened market liquidity and the more aggressive trading by the coarsely informed investor. Our analysis sheds light on phenomena such as private communications among investors and public information sharing on social media.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103967"},"PeriodicalIF":10.4,"publicationDate":"2024-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142592595","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
From employee to entrepreneur: The role of unemployment risk 从雇员到企业家：失业风险的作用
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-04 DOI: 10.1016/j.jfineco.2024.103966
Ai Jun Hou , Sara Jonsson , Xiaoyang Li , Qinglin Ouyang
{"title":"From employee to entrepreneur: The role of unemployment risk","authors":"Ai Jun Hou ,&nbsp;Sara Jonsson ,&nbsp;Xiaoyang Li ,&nbsp;Qinglin Ouyang","doi":"10.1016/j.jfineco.2024.103966","DOIUrl":"10.1016/j.jfineco.2024.103966","url":null,"abstract":"<div><div>We use Swedish administrative data to study the role of unemployment risk in salaried employees’ decisions to become entrepreneurs. Using the 2001 relaxation of Sweden’s last-in-first-out (LIFO) dismissal rule as an exogenous shock to unemployment risk, we find that employees facing increased unemployment risk are more likely to become entrepreneurs. The effect is more pronounced for employees with longer tenure, as they were newly exposed to greater unemployment risk. When we track entrepreneurs’ income dynamics and the performance of their ventures, we find that entrepreneurs who used to face greater unemployment risk do not underperform compared to other entrepreneurs. Our results provide some of the first empirical evidence of how employees respond to increased unemployment risk.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103966"},"PeriodicalIF":10.4,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142578894","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 moral preferences of investors: Experimental evidence 投资者的道德偏好：实验证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-01 DOI: 10.1016/j.jfineco.2024.103955
Jean-François Bonnefon , Augustin Landier , Parinitha Sastry , David Thesmar
{"title":"The moral preferences of investors: Experimental evidence","authors":"Jean-François Bonnefon ,&nbsp;Augustin Landier ,&nbsp;Parinitha Sastry ,&nbsp;David Thesmar","doi":"10.1016/j.jfineco.2024.103955","DOIUrl":"10.1016/j.jfineco.2024.103955","url":null,"abstract":"<div><div>We characterize investors’ moral preferences in a parsimonious experimental setting, where we auction stocks with various ethical features. We find strong evidence that investors seek to align their investments with their social values (“value alignment”), and find no evidence of behavior driven by the social impact of investment decisions (“impact-seeking preferences”). First, the willingness to pay (WTP) for a stock is an increasing and quasi-linear function of corporate externalities. Second, this WTP does not change when corporate externalities are made contingent on investors buying the auctioned stock. Our results are thus compatible with a utility-maximization model where non-pecuniary benefits of firms’ externalities only accrue through stock ownership, not through the actual impact of investment decisions. Finally, the ability to directly contribute to the externality (by donating) does not reduce the willingness to pay for virtuous stocks.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103955"},"PeriodicalIF":10.4,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572798","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
Credit supply and house prices: Evidence from mortgage market segmentation 信贷供应与房价：抵押贷款市场细分的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-10-28 DOI: 10.1016/j.jfineco.2024.103958
Manuel Adelino , Antoinette Schoar , Felipe Severino
{"title":"Credit supply and house prices: Evidence from mortgage market segmentation","authors":"Manuel Adelino ,&nbsp;Antoinette Schoar ,&nbsp;Felipe Severino","doi":"10.1016/j.jfineco.2024.103958","DOIUrl":"10.1016/j.jfineco.2024.103958","url":null,"abstract":"<div><div>This paper develops a difference-in-differences estimator that uses annual changes in the conforming loan limit and the 80% loan-to-value (LTV) threshold to isolate the impact of easier access to credit on house prices. Houses that become eligible for financing with an 80% LTV conforming loan increase in value by about $1.17 per square foot, controlling for a rich set of characteristics. Our estimates imply a local elasticity of house prices to interest rates below 6, which suggests that interest rates are capitalized into prices to a lesser extent than proposed by studies relying on more aggregate variation.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103958"},"PeriodicalIF":10.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142528740","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
Robustness and dynamic sentiment 稳健性和动态情感
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-10-28 DOI: 10.1016/j.jfineco.2024.103953
Pascal J. Maenhout , Andrea Vedolin , Hao Xing
{"title":"Robustness and dynamic sentiment","authors":"Pascal J. Maenhout ,&nbsp;Andrea Vedolin ,&nbsp;Hao Xing","doi":"10.1016/j.jfineco.2024.103953","DOIUrl":"10.1016/j.jfineco.2024.103953","url":null,"abstract":"<div><div>Errors in survey expectations display waves of pessimism and optimism. This paper develops a novel theoretical framework of time-varying beliefs capturing this fact. In our model, dynamic beliefs arise endogenously due to agents’ attitude towards alternative models. Decision-maker’s distorted beliefs generate countercyclical risk aversion, procyclical portfolio weights, and countercyclical equilibrium asset returns. A calibrated version of our model is shown to jointly match salient features in survey data and equity markets.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103953"},"PeriodicalIF":10.4,"publicationDate":"2024-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142528738","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
Information technology and lender competition 信息技术与贷方竞争
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-10-25 DOI: 10.1016/j.jfineco.2024.103957
Xavier Vives , Zhiqiang Ye
{"title":"Information technology and lender competition","authors":"Xavier Vives ,&nbsp;Zhiqiang Ye","doi":"10.1016/j.jfineco.2024.103957","DOIUrl":"10.1016/j.jfineco.2024.103957","url":null,"abstract":"<div><div>We study how information technology (IT) affects lender competition, entrepreneurs’ investment, and welfare in a spatial model. The effects of an IT improvement depend on whether it weakens the influence of lender–borrower distance on monitoring costs. If it does, it has a hump-shaped effect on entrepreneurs’ investment and social welfare. If not, competition intensity does not vary, improving lender profits, entrepreneurs’ investment, and social welfare. When entrepreneurs’ moral hazard problem is severe, IT-induced competition is more likely to reduce investment and welfare. We also find that lenders’ price discrimination is not welfare-optimal. Our results are consistent with received empirical work on lending to SMEs.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103957"},"PeriodicalIF":10.4,"publicationDate":"2024-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142528739","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
Sustainable finance versus environmental policy: Does greenwashing justify a taxonomy for sustainable investments? 可持续金融与环境政策："洗绿 "是否证明了可持续投资分类法的合理性？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-10-23 DOI: 10.1016/j.jfineco.2024.103954
Roman Inderst , Marcus M. Opp
{"title":"Sustainable finance versus environmental policy: Does greenwashing justify a taxonomy for sustainable investments?","authors":"Roman Inderst ,&nbsp;Marcus M. Opp","doi":"10.1016/j.jfineco.2024.103954","DOIUrl":"10.1016/j.jfineco.2024.103954","url":null,"abstract":"<div><div>Our paper analyzes whether a planner should design a taxonomy for sustainable investment products when conventional tools for environmental regulation can also be used to address externalities arising from firm production. We first show that the private market provision of ESG funds marketed to retail investors involves greenwashing, so that a mandatory taxonomy is necessary to generate real effects of sustainable finance. However, the introduction of such a taxonomy can only improve welfare, on top of optimally chosen environmental regulation, if financial frictions constrain socially valuable economic activity. Otherwise, environmental policy alone is sufficient to optimally address externalities.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103954"},"PeriodicalIF":10.4,"publicationDate":"2024-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142528737","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
Macroeconomic perceptions, financial constraints, and anomalies 宏观经济观念、财政限制和异常现象
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-10-05 DOI: 10.1016/j.jfineco.2024.103952
Wei He , Zhiwei Su , Jianfeng Yu
{"title":"Macroeconomic perceptions, financial constraints, and anomalies","authors":"Wei He ,&nbsp;Zhiwei Su ,&nbsp;Jianfeng Yu","doi":"10.1016/j.jfineco.2024.103952","DOIUrl":"10.1016/j.jfineco.2024.103952","url":null,"abstract":"<div><div>This paper studies the heterogeneous effects of subjective macroeconomic expectations on the cross-section of equity returns. We argue that an upward revision in expectations of macroeconomic productivity might be accompanied by an excessive increase in investment and external financing, inflated current equity prices, and thus lowered subsequent returns, particularly for financially constrained firms. Thus, following upward revisions in expectations of macroeconomic productivity, subsequent returns are relatively low for small firms, value firms, low-investment firms, risky firms, unprofitable firms, low-quality firms, and financially distressed firms—all of which are more financially constrained. In sharp contrast, following downward revisions in expectations of macroeconomic productivity, these categories of firms earn relatively high subsequent returns. We find that revisions in subjective macroeconomic expectations induce strong predictable time variation in a large set of anomalies. In particular, favorable revisions in expectations of macroeconomic productivity predict significantly stronger profitability, quality, distress, and low-risk anomalies but weaker value, investment, and size anomalies.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103952"},"PeriodicalIF":10.4,"publicationDate":"2024-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142416530","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
Token-based platform governance 基于令牌的平台管理
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-10-03 DOI: 10.1016/j.jfineco.2024.103951
Joseph Abadi , Markus Brunnermeier
{"title":"Token-based platform governance","authors":"Joseph Abadi ,&nbsp;Markus Brunnermeier","doi":"10.1016/j.jfineco.2024.103951","DOIUrl":"10.1016/j.jfineco.2024.103951","url":null,"abstract":"<div><div>We develop a model to compare the governance of traditional shareholder-owned platforms to that of platforms that issue tokens. A traditional shareholder governance structure leads a platform to extract rents from its users. A platform that issues tokens for its services can mitigate this rent extraction, as rent extraction lowers the platform owners’ token seigniorage revenues. However, this mitigation from issuing “service tokens” is effective only if the platform can commit itself not to dilute the “service token” subsequently. Issuing “hybrid tokens” that bundle claims on the platform’s services and its profits enhances efficiency even absent ex-ante commitment power. Finally, giving users the right to vote on platform policies, by contrast, redistributes surplus but does not necessarily enhance efficiency.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103951"},"PeriodicalIF":10.4,"publicationDate":"2024-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142416531","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
Broken promises, competition, and capital allocation in the mutual fund industry 共同基金行业的失信、竞争和资本分配
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-28 DOI: 10.1016/j.jfineco.2024.103948
Simona Abis , Anton Lines
{"title":"Broken promises, competition, and capital allocation in the mutual fund industry","authors":"Simona Abis ,&nbsp;Anton Lines","doi":"10.1016/j.jfineco.2024.103948","DOIUrl":"10.1016/j.jfineco.2024.103948","url":null,"abstract":"<div><div>What characteristics of mutual funds do investors care about? In addition to performance and fees, we show that investors exhibit a clear preference for managers who adhere to the strategies they describe in their prospectuses. Capital flows respond negatively when funds diverge from the average holdings of their text-based strategy peer groups, but positively when they outperform those peer averages. We identify this effect using a novel instrumental variables approach, and show that funds face a delicate trade-off between keeping their promises and outperforming their peers who make similar promises.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103948"},"PeriodicalIF":10.4,"publicationDate":"2024-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142329517","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
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