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Can everyone tap into the housing piggy bank? Racial disparities in access to home equity 每个人都能动用住房储蓄吗？获得房屋净值的种族差异
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-03-15 DOI: 10.1016/j.jfineco.2025.104038
James N. Conklin , Kristopher Gerardi , Lauren Lambie-Hanson
{"title":"Can everyone tap into the housing piggy bank? Racial disparities in access to home equity","authors":"James N. Conklin ,&nbsp;Kristopher Gerardi ,&nbsp;Lauren Lambie-Hanson","doi":"10.1016/j.jfineco.2025.104038","DOIUrl":"10.1016/j.jfineco.2025.104038","url":null,"abstract":"<div><div>We document large racial disparities in the ability of homeowners to access their accumulated housing wealth. Minority homeowners are significantly more likely to have their mortgage equity withdrawal (MEW) product applications rejected than White homeowners, and the unconditional disparities are significantly larger than those found in prior studies that focused on purchase and rate/term refinance loans. Had Black homeowners faced the same MEW denial rate as White homeowners in our sample period we show they would have extracted an additional $11.2 billion in housing equity, or almost 25% of the total amount of actual equity extracted. Controlling for key underwriting variables significantly narrows the racial disparities, with the Black–White gap falling by nearly 85%, and the Hispanic-White gap falling by more than 75%. Credit scores and debt-to-income ratios are the most important factors explaining the gaps, while differences in loan-to-value ratios contribute only modestly. “Residual” disparities after conditioning on observable underwriting factors are large and vary significantly across lenders. A battery of tests suggests that differences in unobserved underwriting factors are unlikely to fully explain the residual disparities, which tend to be larger in geographic areas characterized by more racial animus.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"168 ","pages":"Article 104038"},"PeriodicalIF":10.4,"publicationDate":"2025-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143631804","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
Main Street’s Pain, Wall Street’s gain 主街的痛苦，华尔街的收获
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-03-12 DOI: 10.1016/j.jfineco.2025.104037
Nancy R. Xu , Yang You
{"title":"Main Street’s Pain, Wall Street’s gain","authors":"Nancy R. Xu ,&nbsp;Yang You","doi":"10.1016/j.jfineco.2025.104037","DOIUrl":"10.1016/j.jfineco.2025.104037","url":null,"abstract":"<div><div>We propose a fiscal policy expectations mechanism. When bad macro news arrives (in our study, when initial jobless claims (IJC) are higher than expected), investors may expect more generous government spending and drive up aggregate stock prices through the expected cash flow channel. Using a time-series sample from January 2013 to March 2021, we find that this phenomenon emerges when newspapers mention fiscal policy more. In the cross section, firms expected to receive more government spending – through stimulus supports during COVID-19 or procurement contracts before 2020 – exhibit higher individual stock returns when bad IJC shocks arrive.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"168 ","pages":"Article 104037"},"PeriodicalIF":10.4,"publicationDate":"2025-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143610650","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
Back to the 1980s or not? The drivers of inflation and real risks in Treasury bonds 是不是回到了上世纪80年代？通胀的驱动因素和国债的实际风险
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-02-27 DOI: 10.1016/j.jfineco.2025.104027
Carolin Pflueger
{"title":"Back to the 1980s or not? The drivers of inflation and real risks in Treasury bonds","authors":"Carolin Pflueger","doi":"10.1016/j.jfineco.2025.104027","DOIUrl":"10.1016/j.jfineco.2025.104027","url":null,"abstract":"<div><div>This paper shows that supply shock uncertainty interacts with the monetary policy rule to drive bond risks in a New Keynesian asset pricing model. In my model, positive nominal bond-stock betas emerge as the result of volatile supply shocks but only if the monetary policy rule features a high inflation weight. Habit formation preferences generate endogenously time-varying risk premia, explaining the volatility and predictability of bond and stock excess returns in the data, and implying that bond-stock betas price the expected equilibrium mix of shocks rather than realized shocks. The model explains the change from positive nominal and real bond-stock betas in the 1980s to negative nominal and real bond-stock betas in the 2000s with a shift from dominant supply shocks and an inflation-focused monetary policy rule, to demand shocks in the 2000s. Post-pandemic nominal and real bond-stock betas are explained with dominant supply shocks and a late increase in the monetary policy inflation coefficient.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"167 ","pages":"Article 104027"},"PeriodicalIF":10.4,"publicationDate":"2025-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143508815","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
Intermediary financing without commitment 无承诺中介融资
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-02-24 DOI: 10.1016/j.jfineco.2025.104025
Yunzhi Hu , Felipe Varas
{"title":"Intermediary financing without commitment","authors":"Yunzhi Hu ,&nbsp;Felipe Varas","doi":"10.1016/j.jfineco.2025.104025","DOIUrl":"10.1016/j.jfineco.2025.104025","url":null,"abstract":"<div><div>Intermediaries reduce agency problems through monitoring, but credible monitoring requires sufficient retention until the loan matures. We study credit markets when intermediaries cannot commit to retention. Two structures are examined: investors lending alongside an all-equity bank and investors lending through the bank via short-term debt. With a commitment to retention, they are equivalent. Without commitment, the all-equity bank sells loans and reduces monitoring over time. Short-term debt encourages the intermediary to retain loans and incentivizes monitoring. Our analysis provides a novel mechanism for intermediaries’ reliance on short-term debt—the constant repricing of debt creates incentives that resolve the commitment problem in loan retention and monitoring.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"167 ","pages":"Article 104025"},"PeriodicalIF":10.4,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143480036","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
Warp speed price moves: Jumps after earnings announcements 翘曲速度价格变动：收益公告后跳跃
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-02-24 DOI: 10.1016/j.jfineco.2025.104010
Kim Christensen , Allan Timmermann , Bezirgen Veliyev
{"title":"Warp speed price moves: Jumps after earnings announcements","authors":"Kim Christensen ,&nbsp;Allan Timmermann ,&nbsp;Bezirgen Veliyev","doi":"10.1016/j.jfineco.2025.104010","DOIUrl":"10.1016/j.jfineco.2025.104010","url":null,"abstract":"<div><div>Corporate earnings announcements unpack large bundles of public information that should, in efficient markets, trigger jumps in stock prices. Testing this implication is difficult in practice, as it requires noisy high-frequency data from after-hours markets, where most earnings announcements are released. Using a unique dataset and a new microstructure noise-robust jump test, we show that earnings announcements almost always induce jumps in the stock price of announcing firms. They also significantly raise the probability of price co-jumps in non-announcing firms and the market. We find that returns from a post-announcement trading strategy are consistent with efficient price formation after 2016.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"167 ","pages":"Article 104010"},"PeriodicalIF":10.4,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143479967","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 liquidity provision in currency markets 外汇市场流动性供应受限
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-02-24 DOI: 10.1016/j.jfineco.2025.104028
Wenqian Huang , Angelo Ranaldo , Andreas Schrimpf , Fabricius Somogyi
{"title":"Constrained liquidity provision in currency markets","authors":"Wenqian Huang ,&nbsp;Angelo Ranaldo ,&nbsp;Andreas Schrimpf ,&nbsp;Fabricius Somogyi","doi":"10.1016/j.jfineco.2025.104028","DOIUrl":"10.1016/j.jfineco.2025.104028","url":null,"abstract":"<div><div>We devise a simple model of liquidity demand and supply to study dealers’ liquidity provision in currency markets. Drawing on a globally representative data set of currency trading volumes, we show that at times when dealers’ intermediation capacity is constrained the cost of liquidity provision increases disproportionately relative to dealer-intermediated volume. Consequently, the otherwise strong and positive relation between liquidity costs and trading volume diminishes significantly when dealers face tighter Value-at-Risk limits or higher funding costs. Using various econometric approaches, we show that this nonlinear effect of dealer constraints on market liquidity primarily stems from a reduction in the elasticity of liquidity supply, rather than changes in liquidity demand.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"167 ","pages":"Article 104028"},"PeriodicalIF":10.4,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143474780","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
Distributed ledgers and the governance of money 分布式账本和货币管理
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-02-22 DOI: 10.1016/j.jfineco.2025.104026
Raphael Auer , Cyril Monnet , Hyun Song Shin
{"title":"Distributed ledgers and the governance of money","authors":"Raphael Auer ,&nbsp;Cyril Monnet ,&nbsp;Hyun Song Shin","doi":"10.1016/j.jfineco.2025.104026","DOIUrl":"10.1016/j.jfineco.2025.104026","url":null,"abstract":"<div><div>Distributed ledgers promise to enable the classical vision of money as a universal transaction record. But is it ever optimal to update a ledger through decentralized consensus? Analyzing an exchange economy with credit, we show that centralized updating is optimal when long-term rewards are more valued, minimizing redundant validation costs and maximizing economic surplus. Decentralization becomes preferable under weaker intertemporal incentives and when validators are drawn from market participants. We show how competing ledgers – anonymous or identified, permissioned or permissionless – can achieve socially optimal outcomes even in low-trust environments. Our framework provides a foundation for designing robust and efficient ledger systems.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"167 ","pages":"Article 104026"},"PeriodicalIF":10.4,"publicationDate":"2025-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143464078","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
Expected idiosyncratic volatility 预期特殊波动率
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-02-20 DOI: 10.1016/j.jfineco.2025.104023
Geert Bekaert , Mikael Bergbrant , Haimanot Kassa
{"title":"Expected idiosyncratic volatility","authors":"Geert Bekaert ,&nbsp;Mikael Bergbrant ,&nbsp;Haimanot Kassa","doi":"10.1016/j.jfineco.2025.104023","DOIUrl":"10.1016/j.jfineco.2025.104023","url":null,"abstract":"<div><div>We use close to 80 million daily returns for more than 19,000 CRSP listed firms to establish the best forecasting model for realized idiosyncratic variances. Comparing forecasts from multiple models, we find that the popular martingale model performs worst. Using the root-mean-squared-error (RMSE) to judge model performance, ARMA(1,1) models perform the best for about 46 % of the firms in out-of-sample tests. The ARMA(1,1) model delivers an average RMSE that is statistically significantly lower than all alternative models, and also performs well when not the very best. Its forecasts reverse large, unexpected shocks to realized variances. When using this model to revisit the relation between idiosyncratic risk and returns (the IVOL puzzle), we fail to find a significant relation. The IVOL puzzle is closely connected to a very small set of observations where the martingale forecast over-predicts the future realized variance. These extreme observations are correlated with well-known firm characteristics associated with the IVOL puzzle such as poor liquidity as measured by high bid-ask spreads and the “MAX” effect.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"167 ","pages":"Article 104023"},"PeriodicalIF":10.4,"publicationDate":"2025-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143453280","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
Growing the efficient frontier on panel trees 种植面板树的有效边界
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-02-18 DOI: 10.1016/j.jfineco.2025.104024
Lin William Cong , Guanhao Feng , Jingyu He , Xin He
{"title":"Growing the efficient frontier on panel trees","authors":"Lin William Cong ,&nbsp;Guanhao Feng ,&nbsp;Jingyu He ,&nbsp;Xin He","doi":"10.1016/j.jfineco.2025.104024","DOIUrl":"10.1016/j.jfineco.2025.104024","url":null,"abstract":"<div><div>We introduce a new class of tree-based models, P-Trees, for analyzing (unbalanced) panel of individual asset returns, generalizing high-dimensional sorting with economic guidance and interpretability. Under the mean–variance efficient framework, P-Trees construct test assets that significantly advance the efficient frontier compared to commonly used test assets, with alphas unexplained by benchmark pricing models. P-Tree tangency portfolios also constitute traded factors, recovering the pricing kernel and outperforming popular observable and latent factor models for investments and cross-sectional pricing. Finally, P-Trees capture the complexity of asset returns with sparsity, achieving out-of-sample Sharpe ratios close to those attained only by over-parameterized large models.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"167 ","pages":"Article 104024"},"PeriodicalIF":10.4,"publicationDate":"2025-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143437613","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
The impact of bank financing on municipalities’ bond issuance and the real economy 银行融资对市政债券发行和实体经济的影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-02-13 DOI: 10.1016/j.jfineco.2025.104022
Ramona Dagostino
{"title":"The impact of bank financing on municipalities’ bond issuance and the real economy","authors":"Ramona Dagostino","doi":"10.1016/j.jfineco.2025.104022","DOIUrl":"10.1016/j.jfineco.2025.104022","url":null,"abstract":"<div><div>Do federal tax incentives for banks investing in municipal bonds support local governments during recessions? This paper exploits a change in tax benefits for banks purchasing municipal bonds and finds that expanding access to bank financing during recessions increases local governments’ debt issuance and employment growth. The estimated job multiplier is 22 jobs per million dollars of spending. There is moderate evidence of mortgage loans being crowded out by banks’ increased holdings of municipal bonds.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"166 ","pages":"Article 104022"},"PeriodicalIF":10.4,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143395491","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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