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Self-Declared benchmarks and fund manager intent: “Cheating” or competing? 自封基准和基金经理意图：“作弊”还是竞争？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-06 DOI: 10.1016/j.jfineco.2024.103975
Huaizhi Chen , Richard Evans , Yang Sun
{"title":"Self-Declared benchmarks and fund manager intent: “Cheating” or competing?","authors":"Huaizhi Chen ,&nbsp;Richard Evans ,&nbsp;Yang Sun","doi":"10.1016/j.jfineco.2024.103975","DOIUrl":"10.1016/j.jfineco.2024.103975","url":null,"abstract":"<div><div>Using a panel of self-declared benchmarks, we examine funds’ use of mismatched benchmarks over time. Mismatching is high at the beginning of our sample (45 % of TNA in 2008), consistent with prior studies, but declines significantly over time (27 % in 2020), driven by existing specialized funds changing benchmarks to match their style. Market forces including investor learning, institutional governance, market competition, and product positioning all play a role in benchmark correction decisions. For funds with difficult to categorize investment strategies, mismatched benchmarks are less associated with performance bias. Our study highlights the value of market solutions in aligning manager-investor interests.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103975"},"PeriodicalIF":10.4,"publicationDate":"2025-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142968121","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 impact of impact investing 影响力投资的影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-12-02 DOI: 10.1016/j.jfineco.2024.103972
Jonathan B. Berk , Jules H. van Binsbergen
{"title":"The impact of impact investing","authors":"Jonathan B. Berk ,&nbsp;Jules H. van Binsbergen","doi":"10.1016/j.jfineco.2024.103972","DOIUrl":"10.1016/j.jfineco.2024.103972","url":null,"abstract":"<div><div>The change in the cost of capital that results from a divestiture strategy can be closely approximated by a simple function of three parameters: (1) the fraction of socially conscious capital, (2) the fraction of targeted firms in the economy and (3) the return correlation between the targeted firms and the rest of the stock market. When calibrated to current data, we demonstrate that the impact on the cost of capital is too small to meaningfully affect real investment decisions. We then derive the conditions that would be required for the strategy to have a meaningful impact. We empirically corroborate our theoretical results by studying firm changes in ESG status and are unable to detect an impact of ESG divestiture strategies on the cost of capital of treated firms. Our results suggest that to have impact, instead of divesting, socially conscious investors should invest and exercise their rights of control to change corporate policy.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"164 ","pages":"Article 103972"},"PeriodicalIF":10.4,"publicationDate":"2024-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142759101","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
CEO turnover and director reputation 首席执行官更替和董事声誉
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-23 DOI: 10.1016/j.jfineco.2024.103971
Felix von Meyerinck , Jonas Romer , Markus Schmid
{"title":"CEO turnover and director reputation","authors":"Felix von Meyerinck ,&nbsp;Jonas Romer ,&nbsp;Markus Schmid","doi":"10.1016/j.jfineco.2024.103971","DOIUrl":"10.1016/j.jfineco.2024.103971","url":null,"abstract":"<div><div>This paper analyzes the reputational effects of forced CEO turnovers on outside directors. We find that directors interlocked to a forced CEO turnover experience large and persistent increases in withheld votes at subsequent re-elections relative to non-turnover-interlocked directors. Directors are not penalized for an involvement in a turnover per se but for forced CEO turnovers that are related to governance failures by the board. Our results challenge the widespread view that forcing out a CEO can generally be understood as a sign of a well-functioning corporate governance.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103971"},"PeriodicalIF":10.4,"publicationDate":"2024-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142696380","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
Signals and stigmas from banking interventions: Lessons from the Bank Holiday of 1933 银行干预的信号和烙印：1933 年银行假日的教训
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-22 DOI: 10.1016/j.jfineco.2024.103968
Matthew Jaremski , Gary Richardson , Angela Vossmeyer
{"title":"Signals and stigmas from banking interventions: Lessons from the Bank Holiday of 1933","authors":"Matthew Jaremski ,&nbsp;Gary Richardson ,&nbsp;Angela Vossmeyer","doi":"10.1016/j.jfineco.2024.103968","DOIUrl":"10.1016/j.jfineco.2024.103968","url":null,"abstract":"<div><div>A nationwide panic forced President Roosevelt to declare a banking holiday in March 1933. The government reopened banks sequentially using a process that sent noisy signals about banks’ health. New microdata reveals that the public responded to these signals. Deposits at rapidly reopened banks rebounded quicker than at comparable or stronger banks that reopened even a few days later. The stigma of late reopening shifted funds from stigmatized to lauded banks and among communities that they served. Despite persisting over a decade, the shift had no measurable impact on the rate at which localities recovered from the Great Depression.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103968"},"PeriodicalIF":10.4,"publicationDate":"2024-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142696384","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
Aspirational utility and investment behavior 期望效用和投资行为
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-16 DOI: 10.1016/j.jfineco.2024.103970
Andreas Aristidou , Aleksandar Giga , Suk Lee , Fernando Zapatero
{"title":"Aspirational utility and investment behavior","authors":"Andreas Aristidou ,&nbsp;Aleksandar Giga ,&nbsp;Suk Lee ,&nbsp;Fernando Zapatero","doi":"10.1016/j.jfineco.2024.103970","DOIUrl":"10.1016/j.jfineco.2024.103970","url":null,"abstract":"<div><div>We explore the extent to which aspirations – such as those forged in the course of social interactions – explain ‘puzzling’ behavioral patterns in investment decisions. We motivate an aspirational utility, reminiscent of Friedman and Savage (1948), where social considerations (<em>e.g.</em>, status concerns) provide an economic foundation for aspirations. We show this utility can explain a range of observed investor behaviors, such as the demand for both right- and left-skewed assets; aspects of the disposition effect; and patterns in stock-market participation consistent with empirical observations. We corroborate our theoretical findings with two novel laboratory experimental studies, where we observed participants’ preference for skewness in risky lotteries shift as lab-induced aspirations shifted.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103970"},"PeriodicalIF":10.4,"publicationDate":"2024-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142652143","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
Arbitrage-based recovery 套利回收
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-08 DOI: 10.1016/j.jfineco.2024.103969
Ferenc Horvath
{"title":"Arbitrage-based recovery","authors":"Ferenc Horvath","doi":"10.1016/j.jfineco.2024.103969","DOIUrl":"10.1016/j.jfineco.2024.103969","url":null,"abstract":"<div><div>We develop a novel recovery theorem based on no-arbitrage principles. To implement our Arbitrage-Based Recovery Theorem empirically, one needs to observe the Arrow–Debreu prices only for one single maturity. We perform several different density tests and mean prediction tests using more than 26 years of S&amp;P 500 options data, and we find evidence that our method can correctly recover the probability distribution of the S&amp;P 500 index return on a monthly horizon, despite the presence of a non-trivial permanent SDF component.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103969"},"PeriodicalIF":10.4,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142652142","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
Gig labor: Trading safety nets for steering wheels 临时工：用安全网换方向盘
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-07 DOI: 10.1016/j.jfineco.2024.103956
Vyacheslav Fos , Naser Hamdi , Ankit Kalda , Jordan Nickerson
{"title":"Gig labor: Trading safety nets for steering wheels","authors":"Vyacheslav Fos ,&nbsp;Naser Hamdi ,&nbsp;Ankit Kalda ,&nbsp;Jordan Nickerson","doi":"10.1016/j.jfineco.2024.103956","DOIUrl":"10.1016/j.jfineco.2024.103956","url":null,"abstract":"<div><div>Using administrative data on credit profiles matched with unemployment insurance (UI) for individuals in the U.S., we show that laid-off workers with access to Uber rely less on household debt, experience fewer delinquencies, and are less likely to apply for UI benefits. Our empirical strategy exploits both the staggered market entry of Uber across cities and the differential benefit of its entry across car owners based on car age, a key eligibility requirement of the platform. We conclude that the introduction of Uber reduced reliance on these alternative means of smoothing extreme income shocks.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103956"},"PeriodicalIF":10.4,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142652141","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
Information sharing in financial markets 金融市场的信息共享
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-06 DOI: 10.1016/j.jfineco.2024.103967
Itay Goldstein , Yan Xiong , Liyan Yang
{"title":"Information sharing in financial markets","authors":"Itay Goldstein ,&nbsp;Yan Xiong ,&nbsp;Liyan Yang","doi":"10.1016/j.jfineco.2024.103967","DOIUrl":"10.1016/j.jfineco.2024.103967","url":null,"abstract":"<div><div>We study information sharing between strategic investors who are informed about asset fundamentals. We demonstrate that a coarsely informed investor optimally chooses to share information if his counterparty investor is well informed. By doing so, the coarsely informed investor invites the other investor to trade against his information, thereby reducing his price impact. Paradoxically, the well informed investor loses from receiving information because of the resulting worsened market liquidity and the more aggressive trading by the coarsely informed investor. Our analysis sheds light on phenomena such as private communications among investors and public information sharing on social media.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103967"},"PeriodicalIF":10.4,"publicationDate":"2024-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142592595","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
From employee to entrepreneur: The role of unemployment risk 从雇员到企业家：失业风险的作用
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-04 DOI: 10.1016/j.jfineco.2024.103966
Ai Jun Hou , Sara Jonsson , Xiaoyang Li , Qinglin Ouyang
{"title":"From employee to entrepreneur: The role of unemployment risk","authors":"Ai Jun Hou ,&nbsp;Sara Jonsson ,&nbsp;Xiaoyang Li ,&nbsp;Qinglin Ouyang","doi":"10.1016/j.jfineco.2024.103966","DOIUrl":"10.1016/j.jfineco.2024.103966","url":null,"abstract":"<div><div>We use Swedish administrative data to study the role of unemployment risk in salaried employees’ decisions to become entrepreneurs. Using the 2001 relaxation of Sweden’s last-in-first-out (LIFO) dismissal rule as an exogenous shock to unemployment risk, we find that employees facing increased unemployment risk are more likely to become entrepreneurs. The effect is more pronounced for employees with longer tenure, as they were newly exposed to greater unemployment risk. When we track entrepreneurs’ income dynamics and the performance of their ventures, we find that entrepreneurs who used to face greater unemployment risk do not underperform compared to other entrepreneurs. Our results provide some of the first empirical evidence of how employees respond to increased unemployment risk.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103966"},"PeriodicalIF":10.4,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142578894","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 moral preferences of investors: Experimental evidence 投资者的道德偏好：实验证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-11-01 DOI: 10.1016/j.jfineco.2024.103955
Jean-François Bonnefon , Augustin Landier , Parinitha Sastry , David Thesmar
{"title":"The moral preferences of investors: Experimental evidence","authors":"Jean-François Bonnefon ,&nbsp;Augustin Landier ,&nbsp;Parinitha Sastry ,&nbsp;David Thesmar","doi":"10.1016/j.jfineco.2024.103955","DOIUrl":"10.1016/j.jfineco.2024.103955","url":null,"abstract":"<div><div>We characterize investors’ moral preferences in a parsimonious experimental setting, where we auction stocks with various ethical features. We find strong evidence that investors seek to align their investments with their social values (“value alignment”), and find no evidence of behavior driven by the social impact of investment decisions (“impact-seeking preferences”). First, the willingness to pay (WTP) for a stock is an increasing and quasi-linear function of corporate externalities. Second, this WTP does not change when corporate externalities are made contingent on investors buying the auctioned stock. Our results are thus compatible with a utility-maximization model where non-pecuniary benefits of firms’ externalities only accrue through stock ownership, not through the actual impact of investment decisions. Finally, the ability to directly contribute to the externality (by donating) does not reduce the willingness to pay for virtuous stocks.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103955"},"PeriodicalIF":10.4,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142572798","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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