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Fed information effects: Evidence from the equity term structure 美联储信息效应：来自股票期限结构的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-14 DOI: 10.1016/j.jfineco.2024.103988
Benjamin Golez , Ben Matthies
{"title":"Fed information effects: Evidence from the equity term structure","authors":"Benjamin Golez ,&nbsp;Ben Matthies","doi":"10.1016/j.jfineco.2024.103988","DOIUrl":"10.1016/j.jfineco.2024.103988","url":null,"abstract":"<div><div>Do investors interpret central bank target rate decisions as signals about the current state of the economy? We study this question using a short-term equity asset that entitles the owner to the near-term dividends of the aggregate stock market. We develop a stylized model of monetary policy and the equity term structure and derive tests of Fed information effects using the short-term asset announcement return. Consistent with the existence of information effects, we find that the short-term asset return in a 30-minute window around FOMC announcements loads positively on monetary policy surprises. Furthermore, the announcement return predicts near-term macroeconomic growth.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103988"},"PeriodicalIF":10.4,"publicationDate":"2025-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142990170","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
Yield drifts when issuance comes before macro news 当债券发行先于宏观新闻发布时，收益率会出现波动
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-13 DOI: 10.1016/j.jfineco.2025.103993
Dong Lou , Gabor Pinter , Semih Üslü , Danny Walker
{"title":"Yield drifts when issuance comes before macro news","authors":"Dong Lou ,&nbsp;Gabor Pinter ,&nbsp;Semih Üslü ,&nbsp;Danny Walker","doi":"10.1016/j.jfineco.2025.103993","DOIUrl":"10.1016/j.jfineco.2025.103993","url":null,"abstract":"<div><div>UK government bond yields tend to drift upwards before scheduled news such as monetary policy announcements and labour market data releases. This effect is particularly pronounced during periods of UK bond issuance and is linked to higher term premia. Financial intermediary constraints play a role as dealers avoid accumulating inventory in pre-news windows following issuance. The composition of liquidity providers also shifts: hedge funds buy a large share of the bond issuance outside pre-news windows, but more passive investors – such as foreign central banks and pension funds – provide liquidity in pre-news windows. We outline a simple model to rationalize these findings.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103993"},"PeriodicalIF":10.4,"publicationDate":"2025-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142990171","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
Q: Risk, rents, or growth? 问：风险、租金还是增长？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-01-09 DOI: 10.1016/j.jfineco.2024.103990
Alexandre Corhay , Howard Kung , Lukas Schmid
{"title":"Q: Risk, rents, or growth?","authors":"Alexandre Corhay ,&nbsp;Howard Kung ,&nbsp;Lukas Schmid","doi":"10.1016/j.jfineco.2024.103990","DOIUrl":"10.1016/j.jfineco.2024.103990","url":null,"abstract":"<div><div>We document that the increasing polarization in Tobin’s <span><math><mi>Q</mi></math></span> within industries is closely connected to the growing divergence in rents and the emergence of superstar firms over the past four decades, while discount rates and growth rates did not exhibit the same increasing dispersion. We explain these industry polarization trends in an estimated general equilibrium model where each industry consists of large superstar oligopolists and small monopolistically competitive firms with endogenous transitions between them. Small firms make investments in speculative innovation to increase their probability of becoming superstars. Our model estimation finds that rising entry barriers in both small and superstar firms contribute to rising polarization in markups, but the rising barriers to creating small firms and increasing tastes for goods produced by superstars account for most of the divergence in <span><math><mi>Q</mi></math></span>. Stunting the creation of small firms generates greater incentives for speculative innovation, magnifying the impact of market power dispersion on industry polarization in <span><math><mi>Q</mi></math></span>.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"165 ","pages":"Article 103990"},"PeriodicalIF":10.4,"publicationDate":"2025-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142968119","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
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
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