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Intermediation frictions in equity markets 股票市场的中介摩擦
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-12-26 DOI: 10.1016/j.jfineco.2025.104223
Bryan Seegmiller
{"title":"Intermediation frictions in equity markets","authors":"Bryan Seegmiller","doi":"10.1016/j.jfineco.2025.104223","DOIUrl":"10.1016/j.jfineco.2025.104223","url":null,"abstract":"<div><div>Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk-bearing capacity of dealer banks. After observable stock characteristics are accounted for, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. Intermediary risk-bearing capacity also explains a substantial and increasing fraction of the variation in conditional risk premia for portfolios sorted on intermediation. These effects are concentrated in stocks held by hedge funds or mutual fund investors who are more likely to be exposed to dealer banks. The empirical evidence supports the predictions of asset pricing models in which financial intermediaries are marginal investors but face frictions that induce changes in their risk-bearing capacity.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104223"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145839809","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
Social media as a bank run catalyst 社交媒体是银行挤兑的催化剂
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-12-01 DOI: 10.1016/j.jfineco.2025.104218
J. Anthony Cookson , Corbin Fox , Javier Gil-Bazo , Juan F. Imbet , Christoph Schiller
{"title":"Social media as a bank run catalyst","authors":"J. Anthony Cookson ,&nbsp;Corbin Fox ,&nbsp;Javier Gil-Bazo ,&nbsp;Juan F. Imbet ,&nbsp;Christoph Schiller","doi":"10.1016/j.jfineco.2025.104218","DOIUrl":"10.1016/j.jfineco.2025.104218","url":null,"abstract":"<div><div>After the run on Silicon Valley Bank (SVB) in March 2023, U.S. regional banks entered a period of significant distress. We quantify social media’s role in this distress using comprehensive Twitter data. During the SVB run period, banks with high <em>pre-existing exposure</em> to Twitter lost 4.3 percentage points more stock market value. Moreover, Twitter pre-exposure interacts significantly with classical run risks to predict greater run severity and greater deposit outflows during Q1-2023, effects unexplained by other banking or market characteristics. At the hourly frequency during the run, high Twitter attention over the past four hours predicts stock market losses, especially for banks with high run risks. By contrast, we find that negative Twitter sentiment does not amplify bank run risks. Rather, our evidence points to a distinctive role of Twitter attention, particularly when tweets are retweeted broadly.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104218"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145651554","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
Government bond risk and return in the US and China 美国和中国政府债券的风险和回报
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-12-19 DOI: 10.1016/j.jfineco.2025.104224
Jennifer N. Carpenter , Fangzhou Lu , Robert F. Whitelaw
{"title":"Government bond risk and return in the US and China","authors":"Jennifer N. Carpenter ,&nbsp;Fangzhou Lu ,&nbsp;Robert F. Whitelaw","doi":"10.1016/j.jfineco.2025.104224","DOIUrl":"10.1016/j.jfineco.2025.104224","url":null,"abstract":"<div><div>We propose a new approach to modeling bond risk and risk premia, inspired by the equity risk-return literature, which does not impose the tight restrictions found in models that generate closed-form bond prices. We estimate the joint dynamics of the volatility and Sharpe ratio of principal-component bond-factor portfolios for the US and China. Predictors include yield curve variables and, for the US, VIX. We document complex time-varying relations between the price and quantity of interest rate risk inconsistent with the frameworks in existing studies. Interesting differences between the US and China further highlight the need for our more flexible approach.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104224"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145797110","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
Appropriated growth 拨款增长
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-11-27 DOI: 10.1016/j.jfineco.2025.104207
Yuchen Chen , Xuelin Li , Richard T. Thakor , Colin Ward
{"title":"Appropriated growth","authors":"Yuchen Chen ,&nbsp;Xuelin Li ,&nbsp;Richard T. Thakor ,&nbsp;Colin Ward","doi":"10.1016/j.jfineco.2025.104207","DOIUrl":"10.1016/j.jfineco.2025.104207","url":null,"abstract":"<div><div>We assess how labor mobility affects intangible investment in a dynamic agency model featuring both knowledge appropriation and moral hazard. We argue that restricting worker mobility, while reducing employees’ appropriation of firm intangible capital, can hurt their incentives to exert effort. Our calibration to U.S. data targets responses of employee turnover and firms’ intangible investment to variations in workers’ outside option values, identified through exogenous shocks to non-compete enforcement. The model simulation shows that knowledge spillovers mitigate the costs of incentive provision when agency frictions are severe, and the optimal labor mobility regulation should balance this benefit against turnover risk. Finally, we highlight the use of deferred compensation bonuses in the optimal contract as a retention mechanism, even among under-performing firms.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104207"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145609081","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
Investing in misallocation 投资错配
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-11-13 DOI: 10.1016/j.jfineco.2025.104208
Mete Kılıç, Şelale Tüzel
{"title":"Investing in misallocation","authors":"Mete Kılıç,&nbsp;Şelale Tüzel","doi":"10.1016/j.jfineco.2025.104208","DOIUrl":"10.1016/j.jfineco.2025.104208","url":null,"abstract":"<div><div>We document that 20% of Compustat firms exhibit above-median investment rates despite having below-median marginal product of capital (MPK), seemingly “misallocating” resources. These firms are typically younger and more likely to experience substantial upwards jumps in sales and MPK in subsequent years. They contribute significantly to innovation, and their investments predict future aggregate productivity, creating value beyond their current MPK. We propose and estimate a simple endogenous firm growth model that captures key cross-sectional features and enables counterfactual analysis. Ignoring the potential for future jumps in hypothetical investment policies reduces MPK and investment dispersion but also lowers aggregate productivity.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104208"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145500197","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
Do teams alleviate or exacerbate overreaction in beliefs? 团队是缓解还是加剧了信念的过度反应？
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.2025.104219
Ricardo Barahona , Stefano Cassella , Kristy A.E. Jansen , Vincenzo Pezone
{"title":"Do teams alleviate or exacerbate overreaction in beliefs?","authors":"Ricardo Barahona ,&nbsp;Stefano Cassella ,&nbsp;Kristy A.E. Jansen ,&nbsp;Vincenzo Pezone","doi":"10.1016/j.jfineco.2025.104219","DOIUrl":"10.1016/j.jfineco.2025.104219","url":null,"abstract":"<div><div>We investigate whether teams exhibit increased or reduced overreaction in expectation formation relative to individuals. Using preregistered randomized experiments that directly elicit expectations about future returns, we find that teams display lower belief overreaction to recent investment performance. A quantitative decomposition shows that this team effect stems primarily from a “self-selection” mechanism, whereby the most biased team member chooses to influence the team decision less. An LLM-based analysis of team interactions reinforces this result. A complementary analysis of US equity mutual fund managers operating both individually and as part of a team yields consistent evidence of lower overreaction in teams.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104219"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145657236","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
Prospect theory in the field: Revealed preferences from mutual fund flows 领域中的前景理论：共同基金流动的揭示偏好
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.2025.104221
Bing Han , Pengfei Sui , Wenhao Yang
{"title":"Prospect theory in the field: Revealed preferences from mutual fund flows","authors":"Bing Han ,&nbsp;Pengfei Sui ,&nbsp;Wenhao Yang","doi":"10.1016/j.jfineco.2025.104221","DOIUrl":"10.1016/j.jfineco.2025.104221","url":null,"abstract":"<div><div>Using mutual fund flows, we evaluate prospect theory with choice outcomes in the market. We provide strong support for prospect theory: under a standard set of parameters, funds whose past returns generate higher prospect theory value attract significantly larger future flows; we also find corroborative evidence using account-level data. Taking a revealed preference approach, we estimate the prospect theory parameters through a discrete choice model and find that our field-based estimates align well with previous experiment-based estimates. Moreover, we show that prospect theory offers a new framework for understanding flows, as it has explanatory power beyond existing drivers.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104221"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145785983","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
Richer earnings dynamics, consumption and portfolio choice over the life cycle 在整个生命周期中，更丰富的收益动态、消费和投资组合选择
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-11-14 DOI: 10.1016/j.jfineco.2025.104206
Julio Gálvez , Gonzalo Paz-Pardo
{"title":"Richer earnings dynamics, consumption and portfolio choice over the life cycle","authors":"Julio Gálvez ,&nbsp;Gonzalo Paz-Pardo","doi":"10.1016/j.jfineco.2025.104206","DOIUrl":"10.1016/j.jfineco.2025.104206","url":null,"abstract":"<div><div>Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited stock market participation and the low risky asset holdings of households. Because people are subject to more background risk than previously considered, the estimated model implies a substantially lower coefficient of risk aversion and lower stock market participation costs. Older workers and higher earners are exposed to negatively skewed risk and choose lower stock exposures.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104206"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145529105","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
Manufacturing risk-free government debt 制造无风险的政府债券
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-11-21 DOI: 10.1016/j.jfineco.2025.104203
Zhengyang Jiang , Hanno Lustig , Stijn Van Nieuwerburgh , Mindy Z. Xiaolan
{"title":"Manufacturing risk-free government debt","authors":"Zhengyang Jiang ,&nbsp;Hanno Lustig ,&nbsp;Stijn Van Nieuwerburgh ,&nbsp;Mindy Z. Xiaolan","doi":"10.1016/j.jfineco.2025.104203","DOIUrl":"10.1016/j.jfineco.2025.104203","url":null,"abstract":"<div><div>In the presence of aggregate risk, governments face a trade-off between insuring taxpayers or bondholders. The literature assumes that the government can finance deficits at the risk-free rate, protecting bondholders at the expense of taxpayers. We characterize the implications of this assumption on the surplus process. Under reasonable debt dynamics, counter-cyclical debt issuance that protects taxpayers against adverse macro-economic shocks is limited in time and scope, and comes at the expense of higher long-run risk. We find that the restrictions imposed by risk-free debt are rejected in U.S. surplus data, especially after the GFC. Taxpayers have been protected at the expense of bondholders.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104203"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145575671","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
Public goods under financial distress 财政困难的公共产品
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2026-02-01 Epub Date: 2025-11-21 DOI: 10.1016/j.jfineco.2025.104205
Pawel Janas
{"title":"Public goods under financial distress","authors":"Pawel Janas","doi":"10.1016/j.jfineco.2025.104205","DOIUrl":"10.1016/j.jfineco.2025.104205","url":null,"abstract":"<div><div>I examine the effects of public debt on municipal services and real outcomes during financial crises using a unique archival dataset of U.S. cities from 1924 to 1943. Unlike today’s countercyclical fiscal policies, the Great Depression provides a rare setting to observe fiscal shocks without substantial intergovernmental or Federal Reserve support. My findings show that financial market frictions – especially the need to refinance debt – led cities to sharply cut expenditures, particularly on capital projects and police services. As urban development halted during the Depression, cities with high pre-crisis debt levels faced significant austerity pressures, a decline in population growth, a rise in crime, and a departure of skilled public servants from municipal governments.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"176 ","pages":"Article 104205"},"PeriodicalIF":10.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145575608","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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