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Comparing factor models with price-impact costs 比较具有价格影响成本的要素模型
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-21 DOI: 10.1016/j.jfineco.2024.103949
Sicong Li , Victor DeMiguel , Alberto Martín-Utrera
{"title":"Comparing factor models with price-impact costs","authors":"Sicong Li ,&nbsp;Victor DeMiguel ,&nbsp;Alberto Martín-Utrera","doi":"10.1016/j.jfineco.2024.103949","DOIUrl":"10.1016/j.jfineco.2024.103949","url":null,"abstract":"<div><p>We propose a formal statistical test to compare asset-pricing models in the presence of price impact. In contrast to the case without trading costs, we show that in the presence of price-impact costs different models may be best at spanning the investment opportunities of different investors depending on their absolute risk aversion. Empirically, we find that the five-factor model of Hou et al. (2021), the six-factor model of Fama and French (2018) with cash-based operating profitability, and a high-dimensional model are best at spanning the investment opportunities of investors with high, medium, and low absolute risk aversion, respectively.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103949"},"PeriodicalIF":10.4,"publicationDate":"2024-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001727/pdfft?md5=1c23bd2d25adc2b9b2eae0113a80b92e&pid=1-s2.0-S0304405X24001727-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142271826","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
Estimating and testing investment-based asset pricing models 估算和测试基于投资的资产定价模型
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-20 DOI: 10.1016/j.jfineco.2024.103945
Frederico Belo , Yao Deng , Juliana Salomao
{"title":"Estimating and testing investment-based asset pricing models","authors":"Frederico Belo ,&nbsp;Yao Deng ,&nbsp;Juliana Salomao","doi":"10.1016/j.jfineco.2024.103945","DOIUrl":"10.1016/j.jfineco.2024.103945","url":null,"abstract":"<div><p>Investment-based asset pricing models typically predict a close link between a firm’s stock return and its characteristics at any point in time. Yet, previous studies have primarily focused on the weaker prediction that this link holds on average, finding substantial empirical support. We show how to incorporate the time-series predictions in the estimation and testing of investment-based models using the generalized method of moments. We find that standard specifications of investment-based models with one physical capital input fail to match the time series properties of stock returns in the data, and discuss the implications of the findings for future research.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103945"},"PeriodicalIF":10.4,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142271824","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
Conditional risk 有条件风险
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-20 DOI: 10.1016/j.jfineco.2024.103933
Niels Joachim Gormsen , Christian Skov Jensen
{"title":"Conditional risk","authors":"Niels Joachim Gormsen ,&nbsp;Christian Skov Jensen","doi":"10.1016/j.jfineco.2024.103933","DOIUrl":"10.1016/j.jfineco.2024.103933","url":null,"abstract":"<div><p>We study the extent to which time-variation in market betas influence estimates of CAPM alphas. Given the observed variation in conditional market betas, market risk premia, and market variance, the required compensation for conditional market risk can, in theory, be as large as the unconditional equity premium. We implement the conditional CAPM using state-of-the-art methods in a broad global sample. We find that accounting for conditional risk helps explain the return on all the major anomalies we consider and that conditional risk explains two percentage points of alpha for value, investment, and momentum strategies in recent years.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103933"},"PeriodicalIF":10.4,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142271825","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
Direct lenders in the U.S. middle market 美国中间市场的直接贷款机构
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-17 DOI: 10.1016/j.jfineco.2024.103946
Tetiana Davydiuk , Tatyana Marchuk , Samuel Rosen
{"title":"Direct lenders in the U.S. middle market","authors":"Tetiana Davydiuk ,&nbsp;Tatyana Marchuk ,&nbsp;Samuel Rosen","doi":"10.1016/j.jfineco.2024.103946","DOIUrl":"10.1016/j.jfineco.2024.103946","url":null,"abstract":"<div><p>This paper studies the rise of direct lending using a comprehensive dataset of investments by business development companies (BDC). We exploit three exogenous shocks to credit supply, including new banking regulations and a major finance company collapse, to establish that BDC capital acts as a substitute for traditional financing. Using firm-level data, we further document that firms’ access to BDC funding stimulates their employment growth and patenting activity. Beyond credit provision, BDCs contribute to firm growth through managerial assistance.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103946"},"PeriodicalIF":10.4,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001697/pdfft?md5=938dde9d5a50c3c0994e93b0e8bd356b&pid=1-s2.0-S0304405X24001697-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142239903","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
Pricing of sustainability-linked bonds 与可持续性挂钩的债券的定价
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-12 DOI: 10.1016/j.jfineco.2024.103944
Peter Feldhütter , Kristoffer Halskov , Arthur Krebbers
{"title":"Pricing of sustainability-linked bonds","authors":"Peter Feldhütter ,&nbsp;Kristoffer Halskov ,&nbsp;Arthur Krebbers","doi":"10.1016/j.jfineco.2024.103944","DOIUrl":"10.1016/j.jfineco.2024.103944","url":null,"abstract":"<div><p>We examine the pricing of sustainability-linked bonds (SLBs), where the cash flows depend on the bond issuer achieving one or more Environmental, Social and Governance (ESG) goals. Investors are willing to accept a 1–2bps lower yield due to the bond’s ESG label, providing evidence of investors caring about environmental impact. Furthermore, we find the average probability of missing the target is 14%–39% so firms set ESG targets that are easy to reach. We find that the SLB market is efficient: the prices of SLBs depend strongly on the size of the potential penalty and there is no evidence of mispricing. Finally, our results suggest that SLBs serve as financial hedges against ESG risk.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103944"},"PeriodicalIF":10.4,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001673/pdfft?md5=15b7ba4296e4a936a34f8dcdbc1135d4&pid=1-s2.0-S0304405X24001673-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142172312","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
Competition, Product differentiation and Crises: Evidence from 18 million securitized loans 竞争、产品差异化与危机：来自 1800 万笔证券化贷款的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-12 DOI: 10.1016/j.jfineco.2024.103947
Peter Haslag , Kandarp Srinivasan , Anjan V. Thakor
{"title":"Competition, Product differentiation and Crises: Evidence from 18 million securitized loans","authors":"Peter Haslag ,&nbsp;Kandarp Srinivasan ,&nbsp;Anjan V. Thakor","doi":"10.1016/j.jfineco.2024.103947","DOIUrl":"10.1016/j.jfineco.2024.103947","url":null,"abstract":"<div><p>RMBS sponsors contributed to the rise of new product features in securitized mortgages prior to the 2008 financial crisis. Using a regulatory shock to sponsor competition , we show securitization influences the design of mortgage contracts, empirically demonstrating a unique, feedback loop of product differentiation from the derived security (MBS) to the underlying asset (loans). Product differentiation in Prime MBS collateral rises faster than that of non-prime in the early boom period (2000–2004), a strategic choice by MBS sponsors in the face of increasing competition. At very high levels of competition, product differentiation targets non-prime (marginal) borrowers. We develop a theoretical framework for sponsor-induced product differentiation that explains these empirical findings.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103947"},"PeriodicalIF":10.4,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001703/pdfft?md5=2f69d7e9b4b2d7675aa070a8230388a2&pid=1-s2.0-S0304405X24001703-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142172313","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
Do personal taxes affect investment decisions and stock returns? 个人税是否会影响投资决策和股票收益？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-11 DOI: 10.1016/j.jfineco.2024.103927
Alexander P. Kontoghiorghes
{"title":"Do personal taxes affect investment decisions and stock returns?","authors":"Alexander P. Kontoghiorghes","doi":"10.1016/j.jfineco.2024.103927","DOIUrl":"10.1016/j.jfineco.2024.103927","url":null,"abstract":"<div><div>This paper studies the causal effects of personal investment taxes on stock returns and the financial decisions of companies. I exploit a change in legislation in 2013 which allowed stocks listed on the Alternative Investment Market, a sub-market of the London Stock Exchange, to be held in capital gains and dividend tax-exempt investment accounts for the first time. Using a difference-in-differences approach, I find that excess stock returns decreased by their pre-legislation change effective tax rate, and that firms adjusted their capital structure and increased their spending on dividends, capital, and labour, in-line with the “traditional view” of corporate investment.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103927"},"PeriodicalIF":10.4,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142534172","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
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
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