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Sustainable finance versus environmental policy: Does greenwashing justify a taxonomy for sustainable investments? 可持续金融与环境政策："洗绿 "是否证明了可持续投资分类法的合理性？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-10-23 DOI: 10.1016/j.jfineco.2024.103954
Roman Inderst , Marcus M. Opp
{"title":"Sustainable finance versus environmental policy: Does greenwashing justify a taxonomy for sustainable investments?","authors":"Roman Inderst ,&nbsp;Marcus M. Opp","doi":"10.1016/j.jfineco.2024.103954","DOIUrl":"10.1016/j.jfineco.2024.103954","url":null,"abstract":"<div><div>Our paper analyzes whether a planner should design a taxonomy for sustainable investment products when conventional tools for environmental regulation can also be used to address externalities arising from firm production. We first show that the private market provision of ESG funds marketed to retail investors involves greenwashing, so that a mandatory taxonomy is necessary to generate real effects of sustainable finance. However, the introduction of such a taxonomy can only improve welfare, on top of optimally chosen environmental regulation, if financial frictions constrain socially valuable economic activity. Otherwise, environmental policy alone is sufficient to optimally address externalities.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"163 ","pages":"Article 103954"},"PeriodicalIF":10.4,"publicationDate":"2024-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142528737","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
Macroeconomic perceptions, financial constraints, and anomalies 宏观经济观念、财政限制和异常现象
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-10-05 DOI: 10.1016/j.jfineco.2024.103952
Wei He , Zhiwei Su , Jianfeng Yu
{"title":"Macroeconomic perceptions, financial constraints, and anomalies","authors":"Wei He ,&nbsp;Zhiwei Su ,&nbsp;Jianfeng Yu","doi":"10.1016/j.jfineco.2024.103952","DOIUrl":"10.1016/j.jfineco.2024.103952","url":null,"abstract":"<div><div>This paper studies the heterogeneous effects of subjective macroeconomic expectations on the cross-section of equity returns. We argue that an upward revision in expectations of macroeconomic productivity might be accompanied by an excessive increase in investment and external financing, inflated current equity prices, and thus lowered subsequent returns, particularly for financially constrained firms. Thus, following upward revisions in expectations of macroeconomic productivity, subsequent returns are relatively low for small firms, value firms, low-investment firms, risky firms, unprofitable firms, low-quality firms, and financially distressed firms—all of which are more financially constrained. In sharp contrast, following downward revisions in expectations of macroeconomic productivity, these categories of firms earn relatively high subsequent returns. We find that revisions in subjective macroeconomic expectations induce strong predictable time variation in a large set of anomalies. In particular, favorable revisions in expectations of macroeconomic productivity predict significantly stronger profitability, quality, distress, and low-risk anomalies but weaker value, investment, and size anomalies.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103952"},"PeriodicalIF":10.4,"publicationDate":"2024-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142416530","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
Token-based platform governance 基于令牌的平台管理
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-10-03 DOI: 10.1016/j.jfineco.2024.103951
Joseph Abadi , Markus Brunnermeier
{"title":"Token-based platform governance","authors":"Joseph Abadi ,&nbsp;Markus Brunnermeier","doi":"10.1016/j.jfineco.2024.103951","DOIUrl":"10.1016/j.jfineco.2024.103951","url":null,"abstract":"<div><div>We develop a model to compare the governance of traditional shareholder-owned platforms to that of platforms that issue tokens. A traditional shareholder governance structure leads a platform to extract rents from its users. A platform that issues tokens for its services can mitigate this rent extraction, as rent extraction lowers the platform owners’ token seigniorage revenues. However, this mitigation from issuing “service tokens” is effective only if the platform can commit itself not to dilute the “service token” subsequently. Issuing “hybrid tokens” that bundle claims on the platform’s services and its profits enhances efficiency even absent ex-ante commitment power. Finally, giving users the right to vote on platform policies, by contrast, redistributes surplus but does not necessarily enhance efficiency.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103951"},"PeriodicalIF":10.4,"publicationDate":"2024-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142416531","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
Broken promises, competition, and capital allocation in the mutual fund industry 共同基金行业的失信、竞争和资本分配
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-09-28 DOI: 10.1016/j.jfineco.2024.103948
Simona Abis , Anton Lines
{"title":"Broken promises, competition, and capital allocation in the mutual fund industry","authors":"Simona Abis ,&nbsp;Anton Lines","doi":"10.1016/j.jfineco.2024.103948","DOIUrl":"10.1016/j.jfineco.2024.103948","url":null,"abstract":"<div><div>What characteristics of mutual funds do investors care about? In addition to performance and fees, we show that investors exhibit a clear preference for managers who adhere to the strategies they describe in their prospectuses. Capital flows respond negatively when funds diverge from the average holdings of their text-based strategy peer groups, but positively when they outperform those peer averages. We identify this effect using a novel instrumental variables approach, and show that funds face a delicate trade-off between keeping their promises and outperforming their peers who make similar promises.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"162 ","pages":"Article 103948"},"PeriodicalIF":10.4,"publicationDate":"2024-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142329517","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
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
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