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Investments that make our homes greener: The role of regulation 让我们的家园更环保的投资：监管的作用
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.jfineco.2026.104236
Nuno Clara , João F. Cocco , S. Lakshmi Naaraayanan , Varun Sharma
{"title":"Investments that make our homes greener: The role of regulation","authors":"Nuno Clara ,&nbsp;João F. Cocco ,&nbsp;S. Lakshmi Naaraayanan ,&nbsp;Varun Sharma","doi":"10.1016/j.jfineco.2026.104236","DOIUrl":"10.1016/j.jfineco.2026.104236","url":null,"abstract":"<div><div>Operation of residential buildings is responsible for roughly 22% of global energy consumption and 17% of CO<sub>2</sub> emissions. We study the investments triggered by a regulatory intervention requiring rented properties to satisfy minimum energy efficiency standards. The analysis shows significant investments in low capital expenditure retrofits. Using an instrumented difference-in-differences methodology, we show that the investments do not have an economically significant impact on rents, so that landlords are not compensated for them.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"177 ","pages":"Article 104236"},"PeriodicalIF":10.4,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146014272","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
Deep surrogates for finance: With an application to option pricing 金融的深层替代物：期权定价的应用
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-03-01 Epub Date: 2026-01-03 DOI: 10.1016/j.jfineco.2025.104222
Hui Chen , Antoine Didisheim , Simon Scheidegger
{"title":"Deep surrogates for finance: With an application to option pricing","authors":"Hui Chen ,&nbsp;Antoine Didisheim ,&nbsp;Simon Scheidegger","doi":"10.1016/j.jfineco.2025.104222","DOIUrl":"10.1016/j.jfineco.2025.104222","url":null,"abstract":"<div><div>We introduce “deep surrogates” – high-precision approximations of structural models based on deep neural networks, which speed up model evaluation and estimation by orders of magnitude and allow for various compute-intensive applications that were previously infeasible. As an application, we build a deep surrogate for a high-dimensional workhorse option pricing model. The surrogate enables us to re-estimate the model at high frequency to construct an option-implied tail risk measure, which is highly predictive of future market crashes. It also helps us systematically examine the model’s out-of-sample performance, which reveals the tradeoffs between structural and reduced-form approaches for option pricing. Moreover, we construct a measure for the degree of parameter instability and connect it to option market illiquidity in the data. Finally, we use the surrogate to construct conditional distributions of option returns, which is useful for risk management and provides a new way to test the model.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"177 ","pages":"Article 104222"},"PeriodicalIF":10.4,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145886171","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 incentives of SPAC sponsors SPAC赞助商的激励措施
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-03-01 Epub Date: 2026-01-09 DOI: 10.1016/j.jfineco.2025.104220
Felix Feng , Tom Nohel , Xuan Tian , Wenyu Wang , Yufeng Wu
{"title":"The incentives of SPAC sponsors","authors":"Felix Feng ,&nbsp;Tom Nohel ,&nbsp;Xuan Tian ,&nbsp;Wenyu Wang ,&nbsp;Yufeng Wu","doi":"10.1016/j.jfineco.2025.104220","DOIUrl":"10.1016/j.jfineco.2025.104220","url":null,"abstract":"<div><div>Special Purpose Acquisition Companies (SPACs) took Wall Street by storm in 2020/2021 and continue to play a significant role in today’s capital markets. Estimating a structural model using a hand-collected comprehensive dataset, we find that SPACs add value by identifying and bringing high-potential firms to public markets, though contractual frictions skew the distribution of spoils away from SPAC shareholders and towards sponsors and target owners. Nonetheless, shareholder excess returns are positive once redemptions are accounted for. Policy analyses reveal that earnout provisions enhance welfare, while modest improvements in disclosure and limits on warrant usage have minimal impact on improving outcomes.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"177 ","pages":"Article 104220"},"PeriodicalIF":10.4,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145927976","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
Retail option traders and the implied volatility surface 零售期权交易者和隐含波动率表面
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-03-01 Epub Date: 2026-01-24 DOI: 10.1016/j.jfineco.2026.104238
Gregory W. Eaton , T. Clifton Green , Brian S. Roseman , Yanbin Wu
{"title":"Retail option traders and the implied volatility surface","authors":"Gregory W. Eaton ,&nbsp;T. Clifton Green ,&nbsp;Brian S. Roseman ,&nbsp;Yanbin Wu","doi":"10.1016/j.jfineco.2026.104238","DOIUrl":"10.1016/j.jfineco.2026.104238","url":null,"abstract":"<div><div>Retail option traders are typically net purchasers of short-dated options, especially out-of-the-money contracts, whereas they frequently sell long-dated options. Using retail brokerage platform outages as shocks to trading, we find that outages are associated with commensurate demand shocks to implied volatility. Outages produce lower implied volatility on average, with stronger reductions for options that tend to be purchased by retail investors. In contrast, implied volatility increases for long-dated options during outages, consistent with reduced retail writing activity. The findings suggest that retail demand pressure can have important effects on the implied volatility term structure, moneyness curve, and call-put spread.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"177 ","pages":"Article 104238"},"PeriodicalIF":10.4,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146038422","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 secular decline in interest rates and the rise of shadow banks 利率的长期下降和影子银行的崛起
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-03-01 Epub Date: 2026-01-06 DOI: 10.1016/j.jfineco.2025.104228
Andrés Sarto , Olivier Wang
{"title":"The secular decline in interest rates and the rise of shadow banks","authors":"Andrés Sarto ,&nbsp;Olivier Wang","doi":"10.1016/j.jfineco.2025.104228","DOIUrl":"10.1016/j.jfineco.2025.104228","url":null,"abstract":"<div><div>Over the past two decades, shadow banks have significantly expanded their share of residential mortgage lending, even surpassing pre-financial crisis levels. This surge is often attributed to post-crisis regulatory changes and improvements in shadow banks’ technology. In this paper, we document a new driving force: the persistent decline in interest rates. When interest rates are high, cheap deposit funding provides banks with a significant competitive advantage against shadow banks relying on wholesale funding. As interest rates plummet and approach the zero lower bound, banks lose this advantage, experience a squeeze in their net interest margin, leading to diminished profitability, weaker growth, and cost-cutting measures such as branch closures. By contrast, shadow banks are able to gain market share. We test this mechanism using a shift-share empirical design based on differences in historical bank balance sheet composition. We find that banks more vulnerable to falling interest rates contracted lending as a response to lower profitability while also scaling back non-interest expenses on their branches. This created a fertile environment for non-banks to expand in areas with banks exposed to declining interest rates.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"177 ","pages":"Article 104228"},"PeriodicalIF":10.4,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145902440","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
Constrained by law: The impact of fiduciary duties on portfolios and prices in US equity markets 受法律约束：受托责任对美国股市投资组合和价格的影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-03-01 Epub Date: 2026-01-12 DOI: 10.1016/j.jfineco.2025.104227
Stefano Cassella , A. Emanuele Rizzo , Oliver G. Spalt , Leah Zimmerer
{"title":"Constrained by law: The impact of fiduciary duties on portfolios and prices in US equity markets","authors":"Stefano Cassella ,&nbsp;A. Emanuele Rizzo ,&nbsp;Oliver G. Spalt ,&nbsp;Leah Zimmerer","doi":"10.1016/j.jfineco.2025.104227","DOIUrl":"10.1016/j.jfineco.2025.104227","url":null,"abstract":"<div><div>We study the equity market implications of a reform in the fiduciary laws that govern trust investments (prudent man laws), implemented in a staggered fashion across U.S. states from 1985 to 2006. As trusts account for a substantial fraction of institutional equity holdings in our sample period, and since the reform does not pertain to other investors, our empirical setting provides a rare opportunity to study the impact of a regulatory change on institutional investor holdings and relative prices in the U.S. equity market. We show that, before the reform, trusts tilt their portfolios towards prudent stocks. After the law change, trusts undo these tilts, which leads to substantial changes in portfolio performance, investor demand, and stock returns, consistent with a model of inelastic equity markets. More broadly, our paper documents a striking case of investment distortions: while the concept of diversification has been playing a key role in asset pricing theory since the 1950s, fiduciary duties severely constrained trusts’ ability to diversify their portfolios for up to half a century later.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"177 ","pages":"Article 104227"},"PeriodicalIF":10.4,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145957090","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 benchmark greenium 基准的greenium
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-12-03 DOI: 10.1016/j.jfineco.2025.104217
Stefania D’Amico , Johannes Klausmann , N. Aaron Pancost
{"title":"The benchmark greenium","authors":"Stefania D’Amico ,&nbsp;Johannes Klausmann ,&nbsp;N. Aaron Pancost","doi":"10.1016/j.jfineco.2025.104217","DOIUrl":"10.1016/j.jfineco.2025.104217","url":null,"abstract":"<div><div>Exploiting the “twin” structure of German government green and conventional securities, we use a dynamic term structure model to estimate a time-varying greenium stemming solely from investors’ green values and not their cash flow expectations. This greenium is distinct from the yield spread between the twin securities (the green spread), as the model purifies it from pecuniary and non-pecuniary factors unrelated to environmental concerns. While the green spread correlates with stock market prices, the conventional convenience yield, and temporary demand-supply imbalances, our greenium correlates only with proxies of environmental concerns. We also estimate expected green returns, which incorporate greenium risk.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104217"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145689443","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
Regional Banks, Aggregate Effects 地区银行，总体效应
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-12-18 DOI: 10.1016/j.jfineco.2025.104226
Quinn Maingi
{"title":"Regional Banks, Aggregate Effects","authors":"Quinn Maingi","doi":"10.1016/j.jfineco.2025.104226","DOIUrl":"10.1016/j.jfineco.2025.104226","url":null,"abstract":"<div><div>I develop and estimate a quantitative spatial model featuring banks’ spatial lending networks to study the real effects of bank funding shocks. I apply the model to the 2023 regional bank panic. I show that, during the panic, deposits were reallocated towards regional banks with better marginal lending opportunities, which offered higher deposit rates. This reallocation substantially mitigated the otherwise negative aggregate output effects of the remaining, panic-related deposit flows. This positive reallocation effect is primarily driven by inflows into banks with good lending opportunities, suggesting that fundamental forces, rather than panic-driven idiosyncratic runs, are behind the positive reallocation effect.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104226"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145785807","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
Windfall income shocks with finite planning horizons 意外收入冲击与有限的规划视野
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-12-10 DOI: 10.1016/j.jfineco.2025.104174
Michael Boutros
{"title":"Windfall income shocks with finite planning horizons","authors":"Michael Boutros","doi":"10.1016/j.jfineco.2025.104174","DOIUrl":"10.1016/j.jfineco.2025.104174","url":null,"abstract":"<div><div>I study how the cognitive demands of financial planning shape household decisionmaking with respect to consumption out of windfall income shocks. I build a quantitative model of bounded rationality in which reoptimization is costly. Households respond to windfall income shocks by choosing a finite planning horizon over which to reoptimize, and the optimal planning horizon is increasing in wealth and the magnitude of the income shock. Calibrated to U.S. data, the model’s distribution of consumption responses is consistent with three key facts: even highly liquid households have large consumption responses out of income shocks, the fraction of households with positive consumption responses increases with shock size, and conditional on responding, larger shocks generate smaller consumption responses.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104174"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145731005","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
Bank consolidation and uniform pricing 银行合并和统一定价
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-11-20 DOI: 10.1016/j.jfineco.2025.104204
João Granja , Nuno Paixão
{"title":"Bank consolidation and uniform pricing","authors":"João Granja ,&nbsp;Nuno Paixão","doi":"10.1016/j.jfineco.2025.104204","DOIUrl":"10.1016/j.jfineco.2025.104204","url":null,"abstract":"<div><div>We evaluate how bank mergers affect consumer welfare when banks set deposit rates with a high degree of uniformity across their branch networks. First, we document that merger-induced changes to local market concentration are only weakly correlated with pricing decisions. Second, we develop a structural model of the banking sector to simulate equilibrium post-merger deposit rates with and without uniform pricing. The simulated deposit rates from the model with uniform pricing best match the observed changes in deposit rates following bank mergers. We use the model to evaluate antitrust decisions that force acquirers to divest branches in order to contain local market concentration levels. Our counterfactual exercises suggest that forced divestitures sometimes improve consumer welfare but can also impose consumer welfare losses when antitrust regulators do not consider that uniform pricing practices might lead to better deposit rates at acquired branches after a merger.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104204"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145575672","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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