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Bank heterogeneity and financial stability 银行异质性与金融稳定性
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-10 DOI: 10.1016/j.jfineco.2024.103934
Itay Goldstein , Alexandr Kopytov , Lin Shen , Haotian Xiang
{"title":"Bank heterogeneity and financial stability","authors":"Itay Goldstein ,&nbsp;Alexandr Kopytov ,&nbsp;Lin Shen ,&nbsp;Haotian Xiang","doi":"10.1016/j.jfineco.2024.103934","DOIUrl":"10.1016/j.jfineco.2024.103934","url":null,"abstract":"<div><p>We propose a model of the financial system in which banks are individually prone to runs and connected through fire sales. Strategic complementarities within and across banks amplify each other, making heterogeneity in bank risks a key factor shaping the fragility of each bank and the entire system. As long as different banks are interconnected, an increase in heterogeneity stabilizes all banks. Reductions in asset commonality, bank-specific disclosures, and even broad-based policies such as asset purchases and liquidity requirements can enhance stability by increasing bank heterogeneity.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103934"},"PeriodicalIF":10.4,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142163223","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
Specialization and performance in private equity: Evidence from the hotel industry 私募股权的专业化与业绩：酒店业的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-07 DOI: 10.1016/j.jfineco.2024.103930
Christophe Spaenjers , Eva Steiner
{"title":"Specialization and performance in private equity: Evidence from the hotel industry","authors":"Christophe Spaenjers ,&nbsp;Eva Steiner","doi":"10.1016/j.jfineco.2024.103930","DOIUrl":"10.1016/j.jfineco.2024.103930","url":null,"abstract":"<div><p>Using granular data on U.S. hotel investments over the past two decades, we show that industry-specialist PE firms achieve higher net income from operations and higher capital gains from sale than generalist PE firms for comparable properties. Those results are driven by specialists implementing more and larger cost savings without compromising revenues. Fundamentally, specialists utilize their hotel-specific operating expertise to produce superior performance outcomes. We show that specialists across investment sectors possess deeper industry-specific operating expertise. Our results suggest that specialist PE firms can compete with their generalist rivals by leveraging such expertise in a chosen market niche.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103930"},"PeriodicalIF":10.4,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142148979","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
Systemic bank runs without aggregate risk: How a misallocation of liquidity may trigger a solvency crisis 无总体风险的系统性银行挤兑：流动性分配不当如何引发偿付能力危机
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-31 DOI: 10.1016/j.jfineco.2024.103929
Lukas Altermatt , Hugo van Buggenum , Lukas Voellmy
{"title":"Systemic bank runs without aggregate risk: How a misallocation of liquidity may trigger a solvency crisis","authors":"Lukas Altermatt ,&nbsp;Hugo van Buggenum ,&nbsp;Lukas Voellmy","doi":"10.1016/j.jfineco.2024.103929","DOIUrl":"10.1016/j.jfineco.2024.103929","url":null,"abstract":"<div><p>We develop a general equilibrium model of self-fulfilling bank runs. The key novelty is the way in which the banking system’s assets and liabilities are connected. Banks issue loans to entrepreneurs who sell goods to households, which in turn pay for the goods by redeeming bank deposits. The return on bank assets is thus contingent on households being able to withdraw their deposits. In a run, not all households that wish to consume manage to withdraw, since part of banks’ cash reserves end up in the hands of households without consumption needs. This misallocation of liquidity lowers revenues of entrepreneurs and bank asset returns, thereby rationalising the run. Interventions that restrict redemptions in a run can be self-defeating due to their negative effect on demand in goods markets. We show how runs can sometimes be prevented with combinations of deposit freezes and redemption penalties as well as with the provision of emergency liquidity.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103929"},"PeriodicalIF":10.4,"publicationDate":"2024-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001521/pdfft?md5=93455a9c133826516c898b4ef2ac28ca&pid=1-s2.0-S0304405X24001521-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142095873","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
Modeling volatility in dynamic term structure models 动态期限结构模型中的波动建模
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-30 DOI: 10.1016/j.jfineco.2024.103926
Hitesh Doshi , Kris Jacobs , Rui Liu
{"title":"Modeling volatility in dynamic term structure models","authors":"Hitesh Doshi ,&nbsp;Kris Jacobs ,&nbsp;Rui Liu","doi":"10.1016/j.jfineco.2024.103926","DOIUrl":"10.1016/j.jfineco.2024.103926","url":null,"abstract":"<div><p>We propose no-arbitrage term structure models with volatility factors that follow GARCH processes. The models’ tractability is similar to canonical affine term structure models, but they fit yield volatility much better, especially for long-maturity yields. This improvement does not come at the expense of a deterioration in yield fit. Because of the improved volatility fit, the model performs substantially better in pricing Treasury futures options. We conclude that the specification of the volatility factors is critical. Modeling volatility as a function of (lagged) squared innovations to factors improves on models where volatility is a linear function of the factors.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103926"},"PeriodicalIF":10.4,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142095871","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 risk and return of equity and credit index options 股票和信贷指数期权的风险与收益
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-30 DOI: 10.1016/j.jfineco.2024.103932
Hitesh Doshi , Jan Ericsson , Mathieu Fournier , Sang Byung Seo
{"title":"The risk and return of equity and credit index options","authors":"Hitesh Doshi ,&nbsp;Jan Ericsson ,&nbsp;Mathieu Fournier ,&nbsp;Sang Byung Seo","doi":"10.1016/j.jfineco.2024.103932","DOIUrl":"10.1016/j.jfineco.2024.103932","url":null,"abstract":"<div><p>We develop a structural credit risk model, which allows us to price equity/credit indices and their options through the asset dynamics of index constituents. We estimate the model via MLE and find that equity and credit index option prices are well explained out-of-sample. Contrary to recent empirical findings, the two option markets are not inconsistently priced through the lens of our model. Returns on both options, while extreme, do not indicate any evidence of mispricing. Our analysis suggests that jointly addressing the pricing of various instruments requires properly attributing three different sources of systematic risk: asset, variance, and jump risks.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103932"},"PeriodicalIF":10.4,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142095872","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 risk and return of impact investing funds 社会企业投资基金的风险与回报
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-30 DOI: 10.1016/j.jfineco.2024.103928
Jessica Jeffers , Tianshu Lyu , Kelly Posenau
{"title":"The risk and return of impact investing funds","authors":"Jessica Jeffers ,&nbsp;Tianshu Lyu ,&nbsp;Kelly Posenau","doi":"10.1016/j.jfineco.2024.103928","DOIUrl":"10.1016/j.jfineco.2024.103928","url":null,"abstract":"<div><p>We provide the first analysis of the risk exposure and risk-adjusted performance of impact investing funds, private market funds with dual financial and social goals. We introduce a dataset of impact fund cash flows and exploit distortions in VC performance measures to characterize risk profiles. Impact funds have a lower market <span><math><mi>β</mi></math></span> than comparable private market strategies. Accounting for <span><math><mi>β</mi></math></span>, impact funds underperform the public market, though not necessarily more so than comparable strategies. We consider alternative pricing models, accounting for sustainability and emerging markets risk. We show investors’ wealth portfolios and taste change the perceived financial merit of impact investing.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103928"},"PeriodicalIF":10.4,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142095870","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
Monetary policy and fragility in corporate bond mutual funds 货币政策与公司债券共同基金的脆弱性
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-29 DOI: 10.1016/j.jfineco.2024.103931
John Chi-Fong Kuong , James O’Donovan , Jinyuan Zhang
{"title":"Monetary policy and fragility in corporate bond mutual funds","authors":"John Chi-Fong Kuong ,&nbsp;James O’Donovan ,&nbsp;Jinyuan Zhang","doi":"10.1016/j.jfineco.2024.103931","DOIUrl":"10.1016/j.jfineco.2024.103931","url":null,"abstract":"<div><p>We document aggregate outflows from corporate bond mutual funds days before and after the announcement of increases in the Federal Funds Target rate (FFTar). To rationalize this phenomenon, we build a model in which funds’ net-asset-values (NAVs) are stale and investors strategically redeem to profit from the mispricing when they learn about the increases of FFTar. Consistent with the model’s predictions, we find that stale NAVs and loose monetary policy environments weaken (strengthen) outflows sensitivity to increases in FFTar during illiquid (liquid) market conditions. Our results highlight when and how monetary policy could systematically exacerbate the fragility of corporate bond funds.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103931"},"PeriodicalIF":10.4,"publicationDate":"2024-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001545/pdfft?md5=64da97183dfaa971e62467f5474712a3&pid=1-s2.0-S0304405X24001545-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142095869","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
Uncertainty about what is in the price 价格内容的不确定性
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-24 DOI: 10.1016/j.jfineco.2024.103915
Joël Peress , Daniel Schmidt
{"title":"Uncertainty about what is in the price","authors":"Joël Peress ,&nbsp;Daniel Schmidt","doi":"10.1016/j.jfineco.2024.103915","DOIUrl":"10.1016/j.jfineco.2024.103915","url":null,"abstract":"<div><p>A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103915"},"PeriodicalIF":10.4,"publicationDate":"2024-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001387/pdfft?md5=a3e1da142d1ffeef93def072558526e1&pid=1-s2.0-S0304405X24001387-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142058424","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
Efficient estimation of bid–ask spreads from open, high, low, and close prices 根据开盘价、最高价、最低价和收盘价有效估算买卖价差
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-14 DOI: 10.1016/j.jfineco.2024.103916
David Ardia , Emanuele Guidotti , Tim A. Kroencke
{"title":"Efficient estimation of bid–ask spreads from open, high, low, and close prices","authors":"David Ardia ,&nbsp;Emanuele Guidotti ,&nbsp;Tim A. Kroencke","doi":"10.1016/j.jfineco.2024.103916","DOIUrl":"10.1016/j.jfineco.2024.103916","url":null,"abstract":"<div><p>Popular bid–ask spread estimators are downward biased when trading is infrequent. Moreover, they consider only a subset of open, high, low, and close prices and neglect potentially useful information to improve the spread estimate. By accounting for discretely observed prices, this paper derives asymptotically unbiased estimators of the effective bid–ask spread. Moreover, we combine them optimally to minimize the estimation variance and obtain an efficient estimator. Through theoretical analyses, numerical simulations, and empirical evaluations, we show that our efficient estimator dominates other estimators from transaction prices, yields novel insights for measuring bid–ask spreads, and has broad applicability in empirical finance.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103916"},"PeriodicalIF":10.4,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001399/pdfft?md5=3f6188017aa89a132910e7c0b15cd480&pid=1-s2.0-S0304405X24001399-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141985589","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
Racial disparities in the Paycheck Protection Program 薪酬保护计划中的种族差异
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-08 DOI: 10.1016/j.jfineco.2024.103911
Sergey Chernenko , David Scharfstein
{"title":"Racial disparities in the Paycheck Protection Program","authors":"Sergey Chernenko ,&nbsp;David Scharfstein","doi":"10.1016/j.jfineco.2024.103911","DOIUrl":"10.1016/j.jfineco.2024.103911","url":null,"abstract":"<div><p>Consistent with contemporaneous research, we document that minority-owned firms were more likely than observationally similar white-owned firms to receive PPP loans from nonbank lenders than from banks. However, we show that this substitution to nonbanks was only partial, resulting in significantly lower PPP take-up by minority-owned firms, particularly Black-owned ones. Location and firm characteristics explain about two-thirds of the 25 percentage point disparity in PPP take-up by Black-owned firms. While there was greater substitution to nonbanks in more racially biased locations, overall take-up was still lower in those locations. Access to professional help with applications facilitated use of nonbanks and mitigated disparities.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103911"},"PeriodicalIF":10.4,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141915289","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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