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Intermediary balance sheets and the treasury yield curve 中间资产负债表和国债收益率曲线
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-10-10 DOI: 10.1016/j.jfineco.2023.103722
Wenxin Du , Benjamin Hébert , Wenhao Li
{"title":"Intermediary balance sheets and the treasury yield curve","authors":"Wenxin Du ,&nbsp;Benjamin Hébert ,&nbsp;Wenhao Li","doi":"10.1016/j.jfineco.2023.103722","DOIUrl":"10.1016/j.jfineco.2023.103722","url":null,"abstract":"<div><p>We document a regime change in the Treasury market post-Global Financial Crisis (GFC): dealers switched from net short to net long Treasury bonds. We construct “net-long” and “net-short” curves that account for balance sheet and financing costs, and show that actual yields moved from the net short curve pre-GFC to the net long curve post-GFC. Our theory shows the regime shift caused negative swap spreads and co-movement among swap spreads, dealer positions, and covered-interest-parity violations. Furthermore, the effects of various monetary and regulatory policies are regime-dependent. We highlight Treasury supply as a plausible driver of this regime shift.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 3","pages":"Article 103722"},"PeriodicalIF":8.9,"publicationDate":"2023-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50166205","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 jump leverage risk premium 跳跃式杠杆风险溢价
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-10-09 DOI: 10.1016/j.jfineco.2023.103723
Tim Bollerslev , Viktor Todorov
{"title":"The jump leverage risk premium","authors":"Tim Bollerslev ,&nbsp;Viktor Todorov","doi":"10.1016/j.jfineco.2023.103723","DOIUrl":"10.1016/j.jfineco.2023.103723","url":null,"abstract":"<div><p>Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is commonly viewed as puzzling. We develop new model-free short-time risk-neutral variance expansions, allowing us to clearly delineate the importance of jumps in generating both price and variance risks. We find that simultaneous jumps in the price and the stochastic volatility and/or jump intensity of the market commands a sizeable risk premium. The existence of “jump leverage” risk premium may be rationalized in the context of equilibrium-based models by jumps in the conditional moments of the underlying fundamentals and/or changes in investors' risk aversion.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 3","pages":"Article 103723"},"PeriodicalIF":8.9,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50166283","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: 2
Partisanship in loan pricing 贷款定价中的党派之争
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-10-07 DOI: 10.1016/j.jfineco.2023.103717
Ramona Dagostino , Janet Gao , Pengfei Ma
{"title":"Partisanship in loan pricing","authors":"Ramona Dagostino ,&nbsp;Janet Gao ,&nbsp;Pengfei Ma","doi":"10.1016/j.jfineco.2023.103717","DOIUrl":"10.1016/j.jfineco.2023.103717","url":null,"abstract":"<div><p>Does partisanship influence the way investors price financial assets? Using voter registration data of bankers originating large corporate loans, we show that bankers whose party differs from that of the U.S. President charge 7% higher loan spreads than other bankers. This effect holds regardless of borrowers’ partisanship, and becomes stronger for politically active bankers and when partisan media exhibit greater disagreement. Bankers do not match disproportionately with co-partisan borrowers but they lead syndicates more frequently with co-partisan bankers. Our results are not driven by bank or borrower fundamentals, but suggest that investor optimism, driven by political alignment, shapes asset prices.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 3","pages":"Article 103717"},"PeriodicalIF":8.9,"publicationDate":"2023-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50166281","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
Active trading and (poor) performance: The social transmission channel 活跃的交易和（糟糕的）表现：社会传播渠道
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-10-01 DOI: 10.1016/j.jfineco.2023.103706
Laura Escobar , Alvaro Pedraza
{"title":"Active trading and (poor) performance: The social transmission channel","authors":"Laura Escobar ,&nbsp;Alvaro Pedraza","doi":"10.1016/j.jfineco.2023.103706","DOIUrl":"10.1016/j.jfineco.2023.103706","url":null,"abstract":"<div><p>We study the influence from social interactions on equity trading. Using unique data on stock transactions, we exploit the quasi-random assignment of students to classrooms in a financial training program to identify how peer experience affects investor behavior. We find that individuals react more to peer gains than to peer losses. Students enrolled in courses where peers have positive outcomes: (i) are more likely to start trading, (ii) purchase similar stocks as their classmates, and (iii) are disproportionally attracted to stocks with extreme returns. These stocks have low subsequent returns, and new investors reacting to peer gains underperform other investors.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 1","pages":"Pages 139-165"},"PeriodicalIF":8.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50167158","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
Machine-learning the skill of mutual fund managers 机器学习共同基金经理的技能
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-10-01 DOI: 10.1016/j.jfineco.2023.07.004
Ron Kaniel , Zihan Lin , Markus Pelger , Stijn Van Nieuwerburgh
{"title":"Machine-learning the skill of mutual fund managers","authors":"Ron Kaniel ,&nbsp;Zihan Lin ,&nbsp;Markus Pelger ,&nbsp;Stijn Van Nieuwerburgh","doi":"10.1016/j.jfineco.2023.07.004","DOIUrl":"10.1016/j.jfineco.2023.07.004","url":null,"abstract":"<div><p>We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, before and after fees. The outperformance persists for more than three years. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance, while characteristics of the stocks that funds hold are not predictive. Returns of predictive long-short portfolios are higher following a period of high sentiment. Our estimation with neural networks enables us to uncover novel and substantial interaction effects between sentiment and both fund flow and fund momentum.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 1","pages":"Pages 94-138"},"PeriodicalIF":8.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50167374","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 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
Temperature shocks and industry earnings news 温度冲击与行业盈利消息
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-10-01 DOI: 10.1016/j.jfineco.2023.07.002
Jawad M. Addoum, David T. Ng, Ariel Ortiz-Bobea
{"title":"Temperature shocks and industry earnings news","authors":"Jawad M. Addoum,&nbsp;David T. Ng,&nbsp;Ariel Ortiz-Bobea","doi":"10.1016/j.jfineco.2023.07.002","DOIUrl":"10.1016/j.jfineco.2023.07.002","url":null,"abstract":"<div><p>Climate scientists project rising average temperatures and increasing frequency of temperature extremes. We study how extreme temperatures affect corporate profitability across different industries and whether sell-side analysts understand these relationships. We combine granular daily data on temperatures across the continental U.S. with locations of public companies’ establishments and build a panel of quarterly firm-level temperature exposures. Extreme temperatures significantly impact earnings in over 40% of industries, with bi-directional effects that harm some industries while others benefit. Analysts and investors do not immediately react to observable intra-quarter temperature shocks, though earnings forecasts account for temperature effects by quarter-end in many industries.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 1","pages":"Pages 1-45"},"PeriodicalIF":8.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50167501","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
The labor effects of judicial bias in bankruptcy 破产中司法偏见的劳动效应
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-09-28 DOI: 10.1016/j.jfineco.2023.103720
Aloisio Araujo , Rafael Ferreira , Spyridon Lagaras , Flavio Moraes , Jacopo Ponticelli , Margarita Tsoutsoura
{"title":"The labor effects of judicial bias in bankruptcy","authors":"Aloisio Araujo ,&nbsp;Rafael Ferreira ,&nbsp;Spyridon Lagaras ,&nbsp;Flavio Moraes ,&nbsp;Jacopo Ponticelli ,&nbsp;Margarita Tsoutsoura","doi":"10.1016/j.jfineco.2023.103720","DOIUrl":"10.1016/j.jfineco.2023.103720","url":null,"abstract":"<div><p><span>We study the effect of judicial bias favoring firm continuation in bankruptcy on the labor market outcomes of employees by exploiting the random assignment of cases across courts in the State of São Paulo in Brazil. Employees of firms assigned to courts that favor firm continuation are more likely to stay with their employer, but they earn, on average, </span>lower wages three to five years after bankruptcy. We discuss several potential mechanisms that can rationalize this result, and provide evidence that imperfect information about outside options in the local labor market and adjustment costs associated with job change play an important role.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"150 2","pages":"Article 103720"},"PeriodicalIF":8.9,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50166287","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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