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Global volatility and firm-level capital flows 全球波动和企业层面的资本流动
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-30 DOI: 10.1016/j.jfineco.2025.104078
Marcin Kacperczyk , Jaromir Nosal , Tianyu Wang
{"title":"Global volatility and firm-level capital flows","authors":"Marcin Kacperczyk ,&nbsp;Jaromir Nosal ,&nbsp;Tianyu Wang","doi":"10.1016/j.jfineco.2025.104078","DOIUrl":"10.1016/j.jfineco.2025.104078","url":null,"abstract":"<div><div>We study the impact of global volatility on the equity portfolio flows of institutional investors worldwide. Aggregate equity allocations of institutional investors decrease during periods of high volatility, both in developed and, even more strongly, in emerging markets. Our granular portfolio-level data allows us to uncover disaggregated investor responses that are an order of magnitude larger than aggregate estimates, and are dominated by discretionary (investor-driven) component of flows. We further show that periods of high volatility are associated with portfolio rebalancing by institutional investors from small-cap to large-cap stocks. Finally, institutional flows have significant impact on future firm stability, measured by their volatility and liquidity. Our findings are consistent with the economic mechanism in which investors with heterogeneous information capacity are learning about assets with different information rents.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104078"},"PeriodicalIF":10.4,"publicationDate":"2025-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143886349","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
Innovation and capital 创新与资本
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-24 DOI: 10.1016/j.jfineco.2025.104029
Daniel C. Fehder , Naomi Hausman , Yael V. Hochberg
{"title":"Innovation and capital","authors":"Daniel C. Fehder ,&nbsp;Naomi Hausman ,&nbsp;Yael V. Hochberg","doi":"10.1016/j.jfineco.2025.104029","DOIUrl":"10.1016/j.jfineco.2025.104029","url":null,"abstract":"<div><div>Using a regime change in the commercialization of university innovation in 1980 that strongly increased university incentives to patent and license discoveries, we document that an increase in the supply of commercializable innovation attracts venture capital investment to the region. The Bayh-Dole Act shifted ownership of intellectual property stemming from federally-funded research from the federal government to universities, spurring technology transfer into the local area. Because universities have different technological strengths, each local area surrounding a university experienced an increase after 1980 in commercializable innovation relevant to particular sets of industries which differed widely across university counties. Comparing industries within a county that were more versus less related to the local university's innovative strengths, we show that venture capital dollars after 1980 flowed systematically towards geographic areas and industries affected most by the sudden influx of commercializable innovation from universities. These results persist even when controlling for ex ante geographic and industry distributions of corporate patenting and prior venture financing. The findings support the notion that increased supply of commercializable innovation serves to draw private capital investment to a region.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104029"},"PeriodicalIF":10.4,"publicationDate":"2025-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143863594","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
LTCM Redux? Hedge fund Treasury trading, funding fragility, and risk constraints 长期资本管理公司回来的吗?对冲基金国债交易、资金脆弱性和风险约束
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-23 DOI: 10.1016/j.jfineco.2025.104017
Mathias S. Kruttli , Phillip J. Monin , Lubomir Petrasek , Sumudu W. Watugala
{"title":"LTCM Redux? Hedge fund Treasury trading, funding fragility, and risk constraints","authors":"Mathias S. Kruttli ,&nbsp;Phillip J. Monin ,&nbsp;Lubomir Petrasek ,&nbsp;Sumudu W. Watugala","doi":"10.1016/j.jfineco.2025.104017","DOIUrl":"10.1016/j.jfineco.2025.104017","url":null,"abstract":"<div><div>We exploit the 2020 Treasury market shock to analyze how external and internal constraints impact arbitrageurs. Using regulatory filings, we find that hedge funds reduced arbitrage activities and increased cash holdings, despite stable credit and low contemporaneous redemptions. Creditors’ regulatory and liquidity constraints were not propagated to hedge funds through repo—Treasury arbitrageurs’ predominant financing source. Fund-creditor borrowing data reveal more regulated dealers provided, and more important clients received, disproportionately higher funding. Value-at-risk reported by funds suggests internal risk constraints were binding. Our results support theoretical predictions that arbitrageur risk constraints and precautionary liquidity management can amplify market instability even when contemporaneous financing remains resilient.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104017"},"PeriodicalIF":10.4,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143858956","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 value of privacy and the choice of limited partners by venture capitalists 隐私的价值与风险资本家对有限合伙人的选择
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-18 DOI: 10.1016/j.jfineco.2025.104063
Rustam Abuzov , Will Gornall , Ilya A. Strebulaev
{"title":"The value of privacy and the choice of limited partners by venture capitalists","authors":"Rustam Abuzov ,&nbsp;Will Gornall ,&nbsp;Ilya A. Strebulaev","doi":"10.1016/j.jfineco.2025.104063","DOIUrl":"10.1016/j.jfineco.2025.104063","url":null,"abstract":"<div><div>We study how information disclosure concerns shape the choice of limited partners (LPs) by venture capitalists (VCs). Late-2002 court rulings prevented public LPs from providing confidentiality to investment managers. The best-performing VCs, but not other managers, responded by excluding public LPs from their new funds. Lost access reduced public LP returns by $1.6 billion relative to $14 billion of their VC commitments. Legislation reducing disclosure, contracts limiting information access, and added fund-of-funds intermediaries helped restore access. These changes focused on protecting portfolio company information, highlighting the importance of proprietary information for VC investing and the potential costs of transparency.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104063"},"PeriodicalIF":10.4,"publicationDate":"2025-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143844881","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
Trust as an entry barrier: Evidence from FinTech adoption 信任是进入壁垒：来自金融科技采用的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-16 DOI: 10.1016/j.jfineco.2025.104062
Keer Yang
{"title":"Trust as an entry barrier: Evidence from FinTech adoption","authors":"Keer Yang","doi":"10.1016/j.jfineco.2025.104062","DOIUrl":"10.1016/j.jfineco.2025.104062","url":null,"abstract":"<div><div>This paper studies the role of trust in incumbent lenders (banks) as an entry barrier to emerging FinTech lenders in credit markets. The empirical setting exploits the outbreak of the Wells Fargo scandal as a negative shock to borrowers’ trust in banks. Using a difference-in-differences framework, I find that increased exposure to the Wells Fargo scandal leads to an increase in the probability of borrowers using FinTech as mortgage originators. Utilizing political affiliation to proxy for the magnitude of trust erosion in banks in a triple-differences specification, I find that, conditional on the same exposure to the scandal, a county experiencing a greater erosion of trust has a larger increase in FinTech share relative to a county experiencing less of an erosion of trust. Estimating treatment effect heterogeneity using generic machine learning inference suggests that borrowers with the greatest decrease in trust in banks and the greatest increase in FinTech adoption have similar characteristics.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104062"},"PeriodicalIF":10.4,"publicationDate":"2025-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143838981","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
Screening using a menu of contracts: A structural model for lending markets 使用合同菜单筛选：借贷市场的结构模型
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-16 DOI: 10.1016/j.jfineco.2025.104056
Alberto Polo , Arthur Taburet , Quynh-Anh Vo
{"title":"Screening using a menu of contracts: A structural model for lending markets","authors":"Alberto Polo ,&nbsp;Arthur Taburet ,&nbsp;Quynh-Anh Vo","doi":"10.1016/j.jfineco.2025.104056","DOIUrl":"10.1016/j.jfineco.2025.104056","url":null,"abstract":"<div><div>When lenders screen borrowers using a menu, they generate a contractual externality by rendering the composition of their competitors’ borrowers worse. Using data from the UK mortgage market and a structural model of screening with endogenous menus, this paper quantifies the impact of asymmetric information on equilibrium contracts and welfare. Counterfactual simulations show that, because of the externality, there is too much screening along the loan-to-value dimension. The deadweight loss, expressed in borrower utility, is equivalent to an interest rate increase of 30 basis points (a 15% increase) on all loans.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104056"},"PeriodicalIF":10.4,"publicationDate":"2025-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143838982","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 return of return dominance: Decomposing the cross-section of prices 收益支配的收益：分解价格的横截面
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-10 DOI: 10.1016/j.jfineco.2025.104059
Ricardo Delao , Xiao Han , Sean Myers
{"title":"The return of return dominance: Decomposing the cross-section of prices","authors":"Ricardo Delao ,&nbsp;Xiao Han ,&nbsp;Sean Myers","doi":"10.1016/j.jfineco.2025.104059","DOIUrl":"10.1016/j.jfineco.2025.104059","url":null,"abstract":"<div><div>What explains cross-sectional dispersion in stock valuation ratios? We find that 75% of dispersion in price–earnings ratios is reflected in differences in future returns, while only 25% is reflected in differences in future earnings growth. This holds at both the portfolio-level and the firm-level. We reconcile these conclusions with previous literature which has found a strong relation between prices and future profitability. Our results support models in which the cross-section of price–earnings ratios is driven mainly by discount rates or mispricing rather than future earnings growth. Evaluating six models of the value premium, we find that most models struggle to match our results; however, models with long-lived differences in risk exposure or gradual learning about parameters perform the best. The lack of earnings growth differences at long horizons provides new evidence in favor of long-run return predictability. We also show a similar dominance of predicted returns for explaining the dispersion in return surprises.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104059"},"PeriodicalIF":10.4,"publicationDate":"2025-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143807923","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
Collateral value uncertainty and mortgage credit provision 抵押品价值的不确定性和抵押信贷供应
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-09 DOI: 10.1016/j.jfineco.2025.104054
Erica Xuewei Jiang , Anthony Lee Zhang
{"title":"Collateral value uncertainty and mortgage credit provision","authors":"Erica Xuewei Jiang ,&nbsp;Anthony Lee Zhang","doi":"10.1016/j.jfineco.2025.104054","DOIUrl":"10.1016/j.jfineco.2025.104054","url":null,"abstract":"<div><div>Houses with higher value uncertainty receive less mortgage credit: mortgages backed by these houses are more likely to be rejected, have higher interest rates, and have lower loan-to-price ratios. The relationship between house value uncertainty and credit availability is driven partly by a classic channel in which uncertainty lowers debt recovery rates, and partly by a novel channel where more uncertain appraisals make regulatory constraints on loan size more likely to bind. We build a structural model to quantify the effects of each channel, and show how a shift toward computerized asset appraisals could influence credit access.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143799213","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
Payments and privacy in the digital economy 数字经济中的支付和隐私
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-08 DOI: 10.1016/j.jfineco.2025.104050
Toni Ahnert , Peter Hoffmann , Cyril Monnet
{"title":"Payments and privacy in the digital economy","authors":"Toni Ahnert ,&nbsp;Peter Hoffmann ,&nbsp;Cyril Monnet","doi":"10.1016/j.jfineco.2025.104050","DOIUrl":"10.1016/j.jfineco.2025.104050","url":null,"abstract":"<div><div>We propose a model of lending, payments choice, and privacy in the digital economy. While digital payments enable merchants to sell goods online, they reveal information to their lender. Cash guarantees anonymity, but limits distribution to less efficient offline venues. In equilibrium, merchants trade off the efficiency gains from online distribution (with digital payments) and the informational rents from staying anonymous (with cash). While new technologies can reduce the privacy concerns associated with digital payments, they also redistribute surplus from the lender to merchants. Hence, privacy enhancements do not always improve welfare.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104050"},"PeriodicalIF":10.4,"publicationDate":"2025-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143791870","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
Data sales and data dilution 数据销售和数据稀释
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-07 DOI: 10.1016/j.jfineco.2025.104053
Ernest Liu , Song Ma , Laura Veldkamp
{"title":"Data sales and data dilution","authors":"Ernest Liu ,&nbsp;Song Ma ,&nbsp;Laura Veldkamp","doi":"10.1016/j.jfineco.2025.104053","DOIUrl":"10.1016/j.jfineco.2025.104053","url":null,"abstract":"<div><div>We explore indicators of market power in a data market. Markups cannot measure competition, because most data products’ marginal cost is zero, making the markup infinite. Yet, data monopolists may not exert monopoly power because they cannot commit to restricting data sales to future customers. This limited commitment and strategic substitutability of data undermine sellers’ monopoly power. But data subscriptions restore this monopoly power. Evidence from online data markets supports the model’s insight that subscriptions indicate market power. Model and evidence reveal that data subscriptions are better for consumers because they sustain the incentive to invest in high-quality data.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104053"},"PeriodicalIF":10.4,"publicationDate":"2025-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143785776","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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