Journal of Financial Economics最新文献

筛选
英文 中文
The cross-border effects of bank capital regulation 银行资本监管的跨境影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-08 DOI: 10.1016/j.jfineco.2024.103912
Saleem Bahaj , Frederic Malherbe
{"title":"The cross-border effects of bank capital regulation","authors":"Saleem Bahaj ,&nbsp;Frederic Malherbe","doi":"10.1016/j.jfineco.2024.103912","DOIUrl":"10.1016/j.jfineco.2024.103912","url":null,"abstract":"<div><p>We study the international coordination of bank capital requirements under a host-country rule: the requirement depends on where the borrower, not the bank, is located. In such a regime, countries compete for scarce bank equity capital. Raising a country’s requirement may generate bank capital outflows as well as inflows. We pin down the condition for the sign of the capital flow and the associated externality, and highlight the policy implications. Absent collaboration, overshooting is likely: individual countries have an incentive to increase Basel III’s Counter-Cyclical Capital Buffer too much in good times and cut it too much in bad times.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103912"},"PeriodicalIF":10.4,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141915281","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 credit supply channel of monetary policy tightening and its distributional impacts 货币政策紧缩的信贷供给渠道及其分配影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-06 DOI: 10.1016/j.jfineco.2024.103914
Joshua Bosshardt , Marco Di Maggio , Ali Kakhbod , Amir Kermani
{"title":"The credit supply channel of monetary policy tightening and its distributional impacts","authors":"Joshua Bosshardt ,&nbsp;Marco Di Maggio ,&nbsp;Ali Kakhbod ,&nbsp;Amir Kermani","doi":"10.1016/j.jfineco.2024.103914","DOIUrl":"10.1016/j.jfineco.2024.103914","url":null,"abstract":"<div><p>This paper studies how tightening monetary policy transmits to the economy through the mortgage market and sheds new light on the distributional consequences at both individual and regional levels. We specifically examine the sharp increase in mortgage interest rates during 2022 and 2023. We find that almost all of the decline in mortgages compared to prior years was concentrated in loans that would have had a debt-to-income (DTI) ratio above underwriting thresholds. These effects are even more pronounced for minority and middle-income borrowers. Additionally, regions more affected by the thresholds exhibited greater reductions in mortgage originations, house prices, and consumption.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103914"},"PeriodicalIF":10.4,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141915298","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
Inflation and Disintermediation 通货膨胀与脱媒
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-01 DOI: 10.1016/j.jfineco.2024.103902
Isha Agarwal , Matthew Baron
{"title":"Inflation and Disintermediation","authors":"Isha Agarwal ,&nbsp;Matthew Baron","doi":"10.1016/j.jfineco.2024.103902","DOIUrl":"10.1016/j.jfineco.2024.103902","url":null,"abstract":"<div><p>We test a bank credit channel through which unexpected increases in inflation lead to short-run macroeconomic fluctuations. For identification, we study an unexpected U.S. inflation increase in early 1977 and exploit differences in state-level reserve requirements for Federal Reserve nonmember banks, which create differences in banks’ inflation exposures. More exposed banks reduce lending, lowering local house prices and construction employment. We provide evidence for potential mechanisms, including a bank net wealth and a loan misallocation channel. Our results suggest that an important consequence of inflation is its impairment of the banking sector.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103902"},"PeriodicalIF":10.4,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141891934","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
Disclosing and cooling-off: An analysis of insider trading rules 披露与冷却:内幕交易规则分析
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-01 DOI: 10.1016/j.jfineco.2024.103913
Jun Deng , Huifeng Pan , Hongjun Yan , Liyan Yang
{"title":"Disclosing and cooling-off: An analysis of insider trading rules","authors":"Jun Deng ,&nbsp;Huifeng Pan ,&nbsp;Hongjun Yan ,&nbsp;Liyan Yang","doi":"10.1016/j.jfineco.2024.103913","DOIUrl":"10.1016/j.jfineco.2024.103913","url":null,"abstract":"<div><p>We analyze two insider-trading regulations recently introduced by the Securities and Exchange Commission: mandatory disclosure and “cooling-off period”. The former requires insiders disclose trading plans at adoption, while the latter mandates a delay period before trading. These policies affect investors’ trading profits, risk sharing, and hence their welfare. If the insider has sufficiently large hedging needs, in contrast to the conventional wisdom from “sunshine trading”, disclosure reduces the welfare of all investors. In our calibration, a longer cooling-off period benefits speculators, and its implications for the insider and hedgers depend on whether the disclosure policy is already in place.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103913"},"PeriodicalIF":10.4,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001363/pdfft?md5=dbe47e22661fc40ff0c497bd1b33df36&pid=1-s2.0-S0304405X24001363-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141891933","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 Man vs. Machine to Man + Machine: The art and AI of stock analyses 从 "人机大战 "到 "人+机":股票分析的艺术与人工智能
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-07-22 DOI: 10.1016/j.jfineco.2024.103910
Sean Cao , Wei Jiang , Junbo Wang , Baozhong Yang
{"title":"From Man vs. Machine to Man + Machine: The art and AI of stock analyses","authors":"Sean Cao ,&nbsp;Wei Jiang ,&nbsp;Junbo Wang ,&nbsp;Baozhong Yang","doi":"10.1016/j.jfineco.2024.103910","DOIUrl":"10.1016/j.jfineco.2024.103910","url":null,"abstract":"<div><p>An AI analyst trained to digest corporate disclosures, industry trends, and macroeconomic indicators surpasses most analysts in stock return predictions. Nevertheless, humans win “Man vs. Machine” when institutional knowledge is crucial, e.g., involving intangible assets and financial distress. AI wins when information is transparent but voluminous. Humans provide significant incremental value in “Man + Machine”, which also substantially reduces extreme errors. Analysts catch up with machines after “alternative data” become available if their employers build AI capabilities. Documented synergies between humans and machines inform how humans can leverage their advantage for better adaptation to the growing AI prowess.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103910"},"PeriodicalIF":10.4,"publicationDate":"2024-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141769309","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
Block trade contracting 阻止贸易签约
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-07-19 DOI: 10.1016/j.jfineco.2024.103901
Markus Baldauf , Christoph Frei , Joshua Mollner
{"title":"Block trade contracting","authors":"Markus Baldauf ,&nbsp;Christoph Frei ,&nbsp;Joshua Mollner","doi":"10.1016/j.jfineco.2024.103901","DOIUrl":"10.1016/j.jfineco.2024.103901","url":null,"abstract":"<div><p>We study the optimal execution problem in a principal–agent setting. A client contracts to purchase from a dealer. The dealer hedges, buying from the market, creating temporary and permanent price impact. The client chooses a contract, which specifies payment as a function of market prices; hidden action precludes conditioning on the dealer’s hedging trades. We show the first-best benchmark is theoretically achievable with an unrestricted contract set. We then consider weighted-average-price contracts, which are commonly used. In the continuous-time limit, the optimal weighting entails a constant density at interior times and discrete masses at the extremes.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103901"},"PeriodicalIF":10.4,"publicationDate":"2024-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141728901","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
Are cryptos different? Evidence from retail trading 加密货币与众不同吗?来自零售交易的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-07-06 DOI: 10.1016/j.jfineco.2024.103897
Shimon Kogan , Igor Makarov , Marina Niessner , Antoinette Schoar
{"title":"Are cryptos different? Evidence from retail trading","authors":"Shimon Kogan ,&nbsp;Igor Makarov ,&nbsp;Marina Niessner ,&nbsp;Antoinette Schoar","doi":"10.1016/j.jfineco.2024.103897","DOIUrl":"10.1016/j.jfineco.2024.103897","url":null,"abstract":"<div><p>Trading in cryptocurrencies grew rapidly over the last decade, dominated by retail investors. Using data from eToro, we show that retail traders are contrarian in stocks and gold, yet the same traders follow a momentum-like strategy in cryptocurrencies. The differences are not explained by individual characteristics, investor composition, inattention, differences in fees, or preference for lottery-like assets. We conjecture that retail investors have a model where cryptocurrency price changes affect the likelihood of future widespread adoption, which leads them to further update their price expectations in the same direction.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103897"},"PeriodicalIF":10.4,"publicationDate":"2024-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X2400120X/pdfft?md5=a42a66682dd449d752b6b768f31efaeb&pid=1-s2.0-S0304405X2400120X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141556926","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
Monetary tightening and U.S. bank fragility in 2023: Mark-to-market losses and uninsured depositor runs? 货币紧缩与 2023 年美国银行的脆弱性:按市值计价损失和无担保储户挤兑?
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-07-04 DOI: 10.1016/j.jfineco.2024.103899
Erica Xuewei Jiang , Gregor Matvos , Tomasz Piskorski , Amit Seru
{"title":"Monetary tightening and U.S. bank fragility in 2023: Mark-to-market losses and uninsured depositor runs?","authors":"Erica Xuewei Jiang ,&nbsp;Gregor Matvos ,&nbsp;Tomasz Piskorski ,&nbsp;Amit Seru","doi":"10.1016/j.jfineco.2024.103899","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103899","url":null,"abstract":"<div><p>We develop a conceptual framework and an empirical methodology to analyze the effect of rising interest rates on the value of U.S. bank assets and bank stability. We mark-to-market the value of banks’ assets due to interest rate increases from Q1 2022 to Q1 2023, revealing an average decline of 10 %, totaling about $2 trillion in aggregate. We present a model illustrating how asset value declines due to higher rates can lead to <em>self-fulfilling solvency runs</em> even when banks’ assets are fully liquid. Banks with high asset losses, low capital, and, critically, high uninsured leverage are most fragile. A case study of the failed Silicon Valley Bank confirms the model insights. Our empirical measures of bank fragility suggest that, in the absence of regulatory intervention, many U.S. banks would have been at risk of self-fulfilling solvency runs.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103899"},"PeriodicalIF":10.4,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141543451","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
High-frequency trading in the stock market and the costs of options market making 股票市场的高频交易与期权做市成本
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-07-03 DOI: 10.1016/j.jfineco.2024.103900
Mahendrarajah Nimalendran , Khaladdin Rzayev , Satchit Sagade
{"title":"High-frequency trading in the stock market and the costs of options market making","authors":"Mahendrarajah Nimalendran ,&nbsp;Khaladdin Rzayev ,&nbsp;Satchit Sagade","doi":"10.1016/j.jfineco.2024.103900","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103900","url":null,"abstract":"<div><p>We investigate how high-frequency trading (HFT) in equity markets affects options market liquidity. We find that increased aggressive HFT activity in the stock market leads to wider bid–ask spreads in the options market through two main channels. First, options market makers’ quotes are exposed to sniping risk from HFTs exploiting put–call parity violations. Second, informed trading in the options market further amplifies the impact of HFT in equity markets on the liquidity of options by simultaneously increasing the options bid–ask spread and intensifying aggressive HFT activity in the underlying market.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103900"},"PeriodicalIF":10.4,"publicationDate":"2024-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001235/pdfft?md5=7a085ce5241675bdd865a9d548d42d53&pid=1-s2.0-S0304405X24001235-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141543450","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
Borrow now, pay even later: A quantitative analysis of student debt payment plans 现在借,以后还:学生债务偿还计划的定量分析
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-06-25 DOI: 10.1016/j.jfineco.2024.103898
Michael Boutros , Nuno Clara , Francisco Gomes
{"title":"Borrow now, pay even later: A quantitative analysis of student debt payment plans","authors":"Michael Boutros ,&nbsp;Nuno Clara ,&nbsp;Francisco Gomes","doi":"10.1016/j.jfineco.2024.103898","DOIUrl":"10.1016/j.jfineco.2024.103898","url":null,"abstract":"<div><p>In the U.S., student debt is currently the second largest component of consumer debt. Households are required to repay these loans early in their lifecycle, when marginal utility is particularly high. We study alternative contracts that offer partial or full payment deferral until later in life. We calibrate an economy with the current contracts, and then solve for counterfactual equilibria. The alternative contracts yield large welfare gains, which are robust to assumptions about the behavior of the lenders and borrower preferences. The gains are similar to those that could come from the debt relief program currently being considered in the U.S., but without its adverse fiscal implications.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103898"},"PeriodicalIF":10.4,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141464100","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
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信