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Loan guarantees, bank lending and credit risk reallocation 贷款担保、银行贷款和信用风险再分配
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-07-23 DOI: 10.1016/j.jfineco.2025.104137
Carlo Altavilla , Andrew Ellul , Marco Pagano , Andrea Polo , Thomas Vlassopoulos
{"title":"Loan guarantees, bank lending and credit risk reallocation","authors":"Carlo Altavilla ,&nbsp;Andrew Ellul ,&nbsp;Marco Pagano ,&nbsp;Andrea Polo ,&nbsp;Thomas Vlassopoulos","doi":"10.1016/j.jfineco.2025.104137","DOIUrl":"10.1016/j.jfineco.2025.104137","url":null,"abstract":"<div><div>Do banks extending government-guaranteed loans simultaneously reduce their risk exposure to firms? Using unique euro-area credit register data and the COVID-19 guarantee programs as a laboratory, we find that 1 euro of guaranteed lending was associated with a reduction of 28 cents in non-guaranteed credit, relative to other banks lending to the same firm. Substitution was highest for riskier and smaller firms in more affected sectors and for stronger banks. Nevertheless, banks offered cheaper credit and longer maturities to guaranteed loan recipients, especially more fragile ones. This improvement in lending terms is the flipside of credit substitution.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104137"},"PeriodicalIF":10.4,"publicationDate":"2025-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144687354","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-based pricing in specialized lending 专业化借贷的信息化定价
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-07-23 DOI: 10.1016/j.jfineco.2025.104135
Kristian Blickle , Zhiguo He , Jing Huang , Cecilia Parlatore
{"title":"Information-based pricing in specialized lending","authors":"Kristian Blickle ,&nbsp;Zhiguo He ,&nbsp;Jing Huang ,&nbsp;Cecilia Parlatore","doi":"10.1016/j.jfineco.2025.104135","DOIUrl":"10.1016/j.jfineco.2025.104135","url":null,"abstract":"<div><div>We study how competition between asymmetrically informed banks, one specialized and one nonspecialized, affects loan prices. Both banks possess “general” signals regarding the borrower’s quality, which they use to screen loans. The specialized bank also has access to a “specialized” signal on which it bases its loan pricing. This private information-based pricing makes the specialized bank bid more aggressively, mitigating the informational rent effect that gives it monopolistic power. Our findings explain why loans from specialized lenders feature lower interest rates and better ex post performance. Supporting empirical evidence emphasizes the role of specialized information in shaping credit market outcomes.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104135"},"PeriodicalIF":10.4,"publicationDate":"2025-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144687353","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
Machine learning from a “Universe” of signals: The role of feature engineering 来自信号“宇宙”的机器学习：特征工程的作用
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-07-22 DOI: 10.1016/j.jfineco.2025.104138
Bin Li , Alberto G. Rossi , Xuemin (Sterling) Yan , Lingling Zheng
{"title":"Machine learning from a “Universe” of signals: The role of feature engineering","authors":"Bin Li ,&nbsp;Alberto G. Rossi ,&nbsp;Xuemin (Sterling) Yan ,&nbsp;Lingling Zheng","doi":"10.1016/j.jfineco.2025.104138","DOIUrl":"10.1016/j.jfineco.2025.104138","url":null,"abstract":"<div><div>We construct real-time machine learning strategies based on a “universe” of fundamental signals. The out-of-sample performance of these strategies is economically meaningful and statistically significant, but considerably weaker than those documented by prior studies that use curated sets of signals as predictors. Strategies based on a simple recursive ranking of each signal’s past performance also yield substantially better out-of-sample performance. We find qualitatively similar results when examining past-return-based signals. Our results underscore the key role of feature engineering and, more broadly, inductive biases in enhancing the economic benefits of machine learning investment strategies.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104138"},"PeriodicalIF":10.4,"publicationDate":"2025-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144680204","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
Climbing and falling off the ladder: Asset pricing implications of labor market event risk 攀登和跌落阶梯：劳动力市场事件风险的资产定价含义
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-07-22 DOI: 10.1016/j.jfineco.2025.104131
Lawrence D.W. Schmidt
{"title":"Climbing and falling off the ladder: Asset pricing implications of labor market event risk","authors":"Lawrence D.W. Schmidt","doi":"10.1016/j.jfineco.2025.104131","DOIUrl":"10.1016/j.jfineco.2025.104131","url":null,"abstract":"<div><div>Administrative earnings data reveal that households are exposed to large, countercyclical idiosyncratic tail risks in labor earnings. I illustrate how these risks affect asset prices within an asset pricing framework with recursive preferences, heterogeneous agents and incomplete markets. Quantitatively, a model in which agents face a time-varying probability of experiencing a rare, idiosyncratic disaster, with parameters disciplined by data, matches the level and dynamics of the equity premium. Stock returns are highly informative about labor market event risk, and, consistent with model predictions, initial claims for unemployment, a proxy for labor market uncertainty, is a highly robust predictor of returns.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104131"},"PeriodicalIF":10.4,"publicationDate":"2025-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144687352","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
Macroeconomic drivers and the pricing of uncertainty, inflation, and bonds 宏观经济驱动因素以及不确定性、通货膨胀和债券的定价
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-07-21 DOI: 10.1016/j.jfineco.2025.104130
Brandyn Bok , Thomas M. Mertens , John C. Williams
{"title":"Macroeconomic drivers and the pricing of uncertainty, inflation, and bonds","authors":"Brandyn Bok ,&nbsp;Thomas M. Mertens ,&nbsp;John C. Williams","doi":"10.1016/j.jfineco.2025.104130","DOIUrl":"10.1016/j.jfineco.2025.104130","url":null,"abstract":"<div><div>The correlation between uncertainty shocks, as measured by changes in the VIX, and changes in break-even inflation rates declined and turned negative after the Great Recession. This estimated time-varying correlation is shown to be consistent with the predictions of a standard New Keynesian model with a lower bound on interest rates and a trend decline in the natural rate of interest. In one equilibrium of the model, higher uncertainty raises the probability of large shocks that leave the central bank constrained by the lower bound and unable to offset negative shocks. Resulting inflation shortfalls lower average inflation rates.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104130"},"PeriodicalIF":10.4,"publicationDate":"2025-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144669838","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
Mergers and acquisitions, technological change, and inequality 并购、技术变革和不平等
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-07-18 DOI: 10.1016/j.jfineco.2025.104136
Wenting Ma , Paige Ouimet , Elena Simintzi
{"title":"Mergers and acquisitions, technological change, and inequality","authors":"Wenting Ma ,&nbsp;Paige Ouimet ,&nbsp;Elena Simintzi","doi":"10.1016/j.jfineco.2025.104136","DOIUrl":"10.1016/j.jfineco.2025.104136","url":null,"abstract":"<div><div>Mergers and acquisitions (M&amp;As) are an important mechanism through which technology is adopted by firms. Firms with greater technological skill acquire less tech-savvy firms and, subsequently, increase technology investment at the target. This has important implications for labor reallocation following M&amp;As. We show that target establishments become less routine intensive post-M&amp;A, especially when a target had greater routine occupational employment, compared to its acquirer, ex-ante. We also provide evidence consistent with targets investing in information technology which tends to displace more office routine occupations. Such labor reallocation impacts wages, resulting in higher pay inequality within target establishments.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104136"},"PeriodicalIF":10.4,"publicationDate":"2025-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144656934","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
Defunding controversial industries: Can targeted credit rationing choke firms? 削减有争议行业的资金：有针对性的信贷配给能扼杀公司吗？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-07-16 DOI: 10.1016/j.jfineco.2025.104133
Kunal Sachdeva , André F. Silva , Pablo Slutzky , Billy Y. Xu
{"title":"Defunding controversial industries: Can targeted credit rationing choke firms?","authors":"Kunal Sachdeva ,&nbsp;André F. Silva ,&nbsp;Pablo Slutzky ,&nbsp;Billy Y. Xu","doi":"10.1016/j.jfineco.2025.104133","DOIUrl":"10.1016/j.jfineco.2025.104133","url":null,"abstract":"<div><div>This paper examines the effects of targeted credit rationing by banks on firms likely to generate negative externalities. We exploit an initiative of the U.S. Department of Justice, labeled Operation Choke Point, which compelled banks to limit relationships with firms in controversial industries. Using supervisory loan-level data, we show that, as intended, targeted banks reduced lending and terminated relationships with affected firms. However, most of these firms fully substituted credit through nontargeted banks under similar terms. Overall, we find no significant shifts in the performance and investment of affected firms, suggesting that targeted credit rationing is widely ineffective in promoting change.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104133"},"PeriodicalIF":10.4,"publicationDate":"2025-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144633578","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 value of financial intermediation: Evidence from online debt crowdfunding 金融中介的价值：来自网络债务众筹的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-07-09 DOI: 10.1016/j.jfineco.2025.104113
Fabio Braggion , Alberto Manconi , Nicola Pavanini , Haikun Zhu
{"title":"The value of financial intermediation: Evidence from online debt crowdfunding","authors":"Fabio Braggion ,&nbsp;Alberto Manconi ,&nbsp;Nicola Pavanini ,&nbsp;Haikun Zhu","doi":"10.1016/j.jfineco.2025.104113","DOIUrl":"10.1016/j.jfineco.2025.104113","url":null,"abstract":"<div><div>Most online marketplaces are peer-to-peer. Credit ones, however, are not and they have resurrected many features of traditional financial intermediaries. To understand why, we use online credit as a laboratory to investigate the value of financial intermediation. We develop a structural model of online debt crowdfunding and estimate it on a novel database. We find that abandoning the peer-to-peer paradigm raises lender surplus, platform profits, and credit provision, but exposes investors to liquidity risk. A counterfactual where the platform resembles a bank by bearing liquidity risk can generate larger lender surplus and credit provision when liquidity is low and lenders are risk averse.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104113"},"PeriodicalIF":10.4,"publicationDate":"2025-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144580547","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 trade imbalance network and currency returns 贸易不平衡的网络和货币回报
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-24 DOI: 10.1016/j.jfineco.2025.104112
Ai Jun Hou , Lucio Sarno , Xiaoxia Ye
{"title":"The trade imbalance network and currency returns","authors":"Ai Jun Hou ,&nbsp;Lucio Sarno ,&nbsp;Xiaoxia Ye","doi":"10.1016/j.jfineco.2025.104112","DOIUrl":"10.1016/j.jfineco.2025.104112","url":null,"abstract":"<div><div>We introduce in the theory of Gabaix and Maggiori (2015) a network structure to capture the complexity of the balance sheets of financial intermediaries, using the Leontief inverse-based centrality. We use this framework in a multi-country world with imperfect financial markets to study how currency risk premia are connected to financiers’ risk bearing capacity. Guided by the theory, we construct a Centrality Based Characteristic (CBC), based on the centrality of the trade imbalance network and variance–covariance matrix of currency returns. Sorting currencies on CBC generates a high Sharpe ratio, and the resulting excess returns reflect a novel source of predictability.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104112"},"PeriodicalIF":10.4,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144366474","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 lessons of Michael C. Jensen Michael C. Jensen的教训
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-06-23 DOI: 10.1016/j.jfineco.2025.104118
René M. Stulz
{"title":"The lessons of Michael C. Jensen","authors":"René M. Stulz","doi":"10.1016/j.jfineco.2025.104118","DOIUrl":"10.1016/j.jfineco.2025.104118","url":null,"abstract":"<div><div>This paper assesses the contributions of Michael C. Jensen to financial economics and to American business. His work on agency theory is the cornerstone of modern corporate finance. He influenced how American business operates by helping make the internal and external governance of firms more efficient. He changed how knowledge in financial economics is diffused both through the founding of the <em>Journal of Financial Economics</em> and of the Social Science Research Network. I question the claim made by some that he recanted his ideas in the 2000s.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104118"},"PeriodicalIF":10.4,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145003840","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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