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Implicit guarantees and the rise of shadow banking: The case of trust products 隐性担保与影子银行的兴起——以信托产品为例
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.04.012
Franklin Allen , Xian Gu , C. Wei Li , Jun “QJ” Qian , Yiming Qian
{"title":"Implicit guarantees and the rise of shadow banking: The case of trust products","authors":"Franklin Allen ,&nbsp;Xian Gu ,&nbsp;C. Wei Li ,&nbsp;Jun “QJ” Qian ,&nbsp;Yiming Qian","doi":"10.1016/j.jfineco.2023.04.012","DOIUrl":"https://doi.org/10.1016/j.jfineco.2023.04.012","url":null,"abstract":"<div><p>Implicit guarantees provided by financial intermediaries are a key component of China's shadow banking sector. We show theoretically that project screening by intermediaries, accompanied by their implicit guarantees to investors, can be the second-best arrangement and mitigate capital misallocation that favors state-owned enterprises (SOEs). Using a dataset of trusts’ investment products, we find, consistent with our model, that <em>ex ante</em> expected yields reflect borrower risks and implicit guarantee strength, and risk sensitivity is reduced by strong guarantees. Regulations in 2018 restricting implicit guarantees lead to a weaker relationship between yield spread and guarantee strength, and more credit rationing of non-SOEs.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 115-141"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50189640","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
Economic uncertainty and investor attention 经济不确定性与投资者关注
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.05.003
Daniel Andrei , Henry Friedman , N. Bugra Ozel
{"title":"Economic uncertainty and investor attention","authors":"Daniel Andrei ,&nbsp;Henry Friedman ,&nbsp;N. Bugra Ozel","doi":"10.1016/j.jfineco.2023.05.003","DOIUrl":"10.1016/j.jfineco.2023.05.003","url":null,"abstract":"<div><p>This paper develops a multi-firm equilibrium model of information acquisition based on differences in firms’ characteristics. The model shows that heightened economic uncertainty amplifies stock price reactions to earnings announcements via increased investor attention, which varies by firm characteristics. Firms with higher systematic risk or more informative announcements attract more attention and exhibit stronger reactions to earnings announcements. Moreover, heightened investor attention caused by high economic uncertainty leads to a steeper CAPM relation and higher betas for announcing firms. Empirical analyses using firm-level attention measures and CAPM tests on high- versus low-attention days support the model’s predictions.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 179-217"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50167999","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
Loan guarantees, bank underwriting policies and financial stability 贷款担保、银行承销政策和金融稳定
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.04.013
Elena Carletti , Agnese Leonello , Robert Marquez
{"title":"Loan guarantees, bank underwriting policies and financial stability","authors":"Elena Carletti ,&nbsp;Agnese Leonello ,&nbsp;Robert Marquez","doi":"10.1016/j.jfineco.2023.04.013","DOIUrl":"10.1016/j.jfineco.2023.04.013","url":null,"abstract":"<div><p>Loan guarantees represent a form of government intervention to support bank lending. However, their use raises concerns as to their effect on bank risk-taking incentives. In a model of financial fragility that incorporates bank capital and a bank incentive problem, we show that loan guarantees reduce depositor runs and improve bank underwriting standards, except for the most poorly capitalized banks. We highlight a novel feedback effect between banks’ underwriting choices and depositors’ run decisions, and show that the effect of loan guarantees on banks’ incentives is different from that of other types of guarantees, such as deposit insurance.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 260-295"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50167848","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
Can the changes in fundamentals explain the attenuation of anomalies? 基本面的变化能否解释异常现象的衰减?
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.04.005
Siu Kai Choy , Craig Lewis , Yongxian Tan
{"title":"Can the changes in fundamentals explain the attenuation of anomalies?","authors":"Siu Kai Choy ,&nbsp;Craig Lewis ,&nbsp;Yongxian Tan","doi":"10.1016/j.jfineco.2023.04.005","DOIUrl":"10.1016/j.jfineco.2023.04.005","url":null,"abstract":"<div><p><span>The existing literature attributes the recent decay of stock market anomalies to increased arbitrage activities (e.g., Chordia, Subrahmanyam, and Tong, 2014; McLean and Pontiff, 2016; Green, Hand, and Zhang, 2017). In this paper, we present evidence that the apparent demise of several prominent classes of stock market anomalies is better explained by changes in underlying fundamentals. The attenuation of anomalies in the Momentum, Investment, and Profitability categories are accompanied by a reduced difference in fundamental performance between the long- and short-leg portfolios, as measured by the fundamental return from a two-capital investment CAPM. After accounting for the change in fundamental return, the attenuation of Investment and Profitability anomalies decreases to statistically insignificant levels. These results are consistent with the q-theory of investment, which attributes the attenuation of </span>stock returns and fundamental returns of anomalies to the time variation in discount rates implied by fundamentals. We also show that neither academic publication nor proxies for increased arbitrage activities can explain the attenuation of these anomalies.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 142-160"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45317928","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: 1
Firm-bank linkages and optimal policies after a rare disaster 罕见灾难后的稳固银行联系和最佳政策
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.05.002
Anatoli Segura , Alonso Villacorta
{"title":"Firm-bank linkages and optimal policies after a rare disaster","authors":"Anatoli Segura ,&nbsp;Alonso Villacorta","doi":"10.1016/j.jfineco.2023.05.002","DOIUrl":"10.1016/j.jfineco.2023.05.002","url":null,"abstract":"<div><p>We study optimal government support following a rare disaster that creates heterogeneous firm liquidity needs. Firms’ increase in debt reduces their output due to moral hazard. Banks are subject to a minimum capital requirement that limits deposit insurance costs upon bad aggregate shocks. Without government support, firms’ moral hazard and banks’ funding frictions reinforce each other amplifying output losses. Optimal support is implemented with firm-specific transfers combined with the provision of aggregate risk insurance through a capital requirement relaxation and a public preferred equity stake in banks. Our results shed light on suboptimality features in the actual policy responses to Covid-19 lockdowns.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 296-322"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43167576","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 Big Three and board gender diversity: The effectiveness of shareholder voice 三巨头与董事会性别多样性：股东话语权的有效性
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.04.001
Todd A. Gormley , Vishal K. Gupta , David A. Matsa , Sandra C. Mortal , Lukai Yang
{"title":"The Big Three and board gender diversity: The effectiveness of shareholder voice","authors":"Todd A. Gormley ,&nbsp;Vishal K. Gupta ,&nbsp;David A. Matsa ,&nbsp;Sandra C. Mortal ,&nbsp;Lukai Yang","doi":"10.1016/j.jfineco.2023.04.001","DOIUrl":"10.1016/j.jfineco.2023.04.001","url":null,"abstract":"<div><p>In 2017, “The Big Three” institutional investors launched campaigns to increase gender diversity on corporate boards. We estimate that their campaigns led American corporations to add at least 2.5 times as many female directors in 2019 as they had in 2016. Firms increased diversity by identifying candidates beyond managers’ existing networks and by placing less emphasis on candidates’ executive experience. Firms also promoted more female directors to key board positions, indicating firms’ responses went beyond tokenism. Our results highlight index investors’ ability to effectuate broad-based governance changes and the impact of investor buy-in in increasing corporate-leadership diversity.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 323-348"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50167990","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
Market power in wholesale funding: A structural perspective from the triparty repo market 批发融资中的市场力量:来自三方回购市场的结构性视角
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.04.007
Amy Wang Huber
{"title":"Market power in wholesale funding: A structural perspective from the triparty repo market","authors":"Amy Wang Huber","doi":"10.1016/j.jfineco.2023.04.007","DOIUrl":"10.1016/j.jfineco.2023.04.007","url":null,"abstract":"<div><p>I model and structurally estimate the equilibrium rates and volume in the Triparty repo market to study imperfect competition in wholesale funding. Even in this systemically important market, where seemingly homogeneous repos trade, I document persistent rate differences paid by dealers. I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that cash-lenders’ aversion to portfolio concentration and preference for stable lending grant dealers substantial market power: between 2011 and 2017, dealers borrowed at rates that were 26 bps lower than their marginal value from intermediating the borrowed repo funds. Dealers’ market power makes the observed wholesale repo rate understate the financing rate available to market participants who rely on repo funding, and offers a novel explanation for funding spreads such as the Treasury cash-futures basis and the Treasury swap spread.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 235-259"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43141766","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: 3
Angel investment and first impressions 天使投资和第一印象
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-08-01 DOI: 10.1016/j.jfineco.2023.05.001
Xing Huang , Zoran Ivković , John Xuefeng Jiang , Isabel Yanyan Wang
{"title":"Angel investment and first impressions","authors":"Xing Huang ,&nbsp;Zoran Ivković ,&nbsp;John Xuefeng Jiang ,&nbsp;Isabel Yanyan Wang","doi":"10.1016/j.jfineco.2023.05.001","DOIUrl":"10.1016/j.jfineco.2023.05.001","url":null,"abstract":"<div><p>We examine the role of first impressions in angel investor<span> decision-making. Video stills of entrepreneurs pitching on the Shark Tank show and in Startup Battlefield competitions yield six measures of first impressions of entrepreneurs’ facial traits and two principal components<span>: one that captures general ability and the other that contrasts charm and managerial ability. We find positive associations between both components and the likelihood of entrepreneurs receiving an investment offer or winning a competition round. Post-event business outcome analyses reveal that investors internalize entrepreneurs’ general ability rationally but exhibit irrational tendencies when internalizing entrepreneurs’ charm and managerial ability. Investment experience mitigates investors’ irrational use of charm and managerial ability cues.</span></span></p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 2","pages":"Pages 161-178"},"PeriodicalIF":8.9,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46397051","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
When can the market identify old news? 市场什么时候能识别旧消息？
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-07-01 DOI: 10.1016/j.jfineco.2023.04.008
Anastassia Fedyk , James Hodson
{"title":"When can the market identify old news?","authors":"Anastassia Fedyk ,&nbsp;James Hodson","doi":"10.1016/j.jfineco.2023.04.008","DOIUrl":"https://doi.org/10.1016/j.jfineco.2023.04.008","url":null,"abstract":"<div><p>What drives the puzzle of market reactions to old news? Motivated by theories of correlation neglect, we conduct an experiment on finance professionals and show that even sophisticated investors have difficulty identifying old information that <em>recombines</em> content from multiple sources. We evaluate the market implications of this mechanism using a unique dataset of 17 million news articles from the Bloomberg terminal. Recombination of old information prompts larger price moves and subsequent reversals than direct reprints. This effect persists across news sentiment, ambiguity, and investor attention. Furthermore, while overall reactions to old information decline over time, differential reactions to recombinations increase.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 1","pages":"Pages 92-113"},"PeriodicalIF":8.9,"publicationDate":"2023-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50190059","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
What matters in a characteristic? 特征中的什么重要？
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2023-07-01 DOI: 10.1016/j.jfineco.2023.04.010
Hugues Langlois
{"title":"What matters in a characteristic?","authors":"Hugues Langlois","doi":"10.1016/j.jfineco.2023.04.010","DOIUrl":"https://doi.org/10.1016/j.jfineco.2023.04.010","url":null,"abstract":"<div><p><span>We investigate how different components in firm characteristics affect expected returns and comovements in international stock markets. We decompose characteristics into country, industry, and country- and industry-adjusted (i.e., orthogonal) components. Then, we use these components to capture time-series and cross-sectional variations in stock-level alphas and factor exposures. Decomposing characteristics is crucial to explain jointly expected returns and comovements: </span><em>(i)</em> adjusted (country) components are the most important determinant of alphas (comovements), <em>(ii)</em> component-based models outperform benchmark models, and <em>(iii)</em> alphas are statistically significant. However, alphas have been trending down over time, and alpha-chasing strategies are not profitable once we account for estimation risk and trading costs.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"149 1","pages":"Pages 52-72"},"PeriodicalIF":8.9,"publicationDate":"2023-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50190086","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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