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The diversification and welfare effects of robo-advising 机器人咨询的多样化和福利效应
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-25 DOI: 10.1016/j.jfineco.2024.103869
Alberto G. Rossi , Stephen Utkus
{"title":"The diversification and welfare effects of robo-advising","authors":"Alberto G. Rossi ,&nbsp;Stephen Utkus","doi":"10.1016/j.jfineco.2024.103869","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103869","url":null,"abstract":"<div><p>We study the diversification and welfare effects of a large US robo-advisor on the portfolios of previously self-directed investors and document five facts. First, robo-advice reshapes portfolios by increasing indexing and reducing home bias, number of assets held, and fees. Second, these portfolio changes contribute to higher Sharpe ratios. Third, those who benefit most from robo-advice are investors who did not have high exposure to equities or indexing and had poorer diversification levels. Fourth, robo-advice decreases the time investors dedicate to managing their investments. Fifth, those investors who benefit most are more likely to join the service and not quit it.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103869"},"PeriodicalIF":8.9,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141095251","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
Crowdsourcing peer information to change spending behavior 众包同行信息，改变消费行为
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-22 DOI: 10.1016/j.jfineco.2024.103858
Francesco D’Acunto , Alberto G. Rossi , Michael Weber
{"title":"Crowdsourcing peer information to change spending behavior","authors":"Francesco D’Acunto ,&nbsp;Alberto G. Rossi ,&nbsp;Michael Weber","doi":"10.1016/j.jfineco.2024.103858","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103858","url":null,"abstract":"<div><p>We isolate the information channel of peer effects in consumption in a setting that excludes a role for common shocks or social pressure—a spending panel paired with crowdsourced information about anonymous “peers” elicited at different times. Consumers converge to peers’ spending, and more so when peer signals are more informative. Convergence is asymmetric: within 12 months of information provision, overspenders close 17% and underspenders 5% of their gap relative to peers. We exploit the quasi-random assignment to peer groups in an instrumental-variable strategy and implement an experiment for external validity. Our results are consistent with information-based theories of overconsumption.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103858"},"PeriodicalIF":8.9,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141083362","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 failure is an option: Fragile liquidity in over-the-counter markets 当失败成为一种选择时：场外交易市场脆弱的流动性
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-21 DOI: 10.1016/j.jfineco.2024.103859
Terrence Hendershott , Dan Li , Dmitry Livdan , Norman Schürhoff
{"title":"When failure is an option: Fragile liquidity in over-the-counter markets","authors":"Terrence Hendershott ,&nbsp;Dan Li ,&nbsp;Dmitry Livdan ,&nbsp;Norman Schürhoff","doi":"10.1016/j.jfineco.2024.103859","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103859","url":null,"abstract":"<div><p>Markets can give false impressions of liquidity and stability if failed attempts to trade are ignored. For collateralized loan obligations, we quantify this bias by estimating the total cost of immediacy (TCI) which incorporates failure rates and failure costs. TCI is substantially higher than the observed cost, 0.3–3.8% versus 0.04–0.12% across credit-quality tranches because trade failures are frequent, failure costs are large, and failure costs and rates are correlated. TCI is almost double the realized gains from trade for low-rated tranches. Overall, auction-based over-the-counter markets become illiquid and fragile, especially during stressful periods for low-rated assets.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103859"},"PeriodicalIF":8.9,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000825/pdfft?md5=53426343eaf7395f25bd8a3ca8b0b53d&pid=1-s2.0-S0304405X24000825-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141077712","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
The passive ownership share is double what you think it is 被动所有权份额是你想象的两倍
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-21 DOI: 10.1016/j.jfineco.2024.103860
Alex Chinco , Marco Sammon
{"title":"The passive ownership share is double what you think it is","authors":"Alex Chinco ,&nbsp;Marco Sammon","doi":"10.1016/j.jfineco.2024.103860","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103860","url":null,"abstract":"<div><p>Each time a stock gets added to or dropped from an index, we ask: “How much money would have to be tracking that index to explain the huge spike in rebalancing volume we observe on reconstitution day?” While index funds held <span><math><mrow><mn>16</mn><mtext>%</mtext></mrow></math></span> of the US stock market in 2021, we put the overall passive ownership share at <span><math><mrow><mn>33</mn><mo>.</mo><mn>5</mn><mtext>%</mtext></mrow></math></span>. Our headline number is twice as large because it reflects index funds as well as other kinds of passive investors, such as institutional investors with internally managed index portfolios and active managers who are closet indexing.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103860"},"PeriodicalIF":8.9,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141077707","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
Real effects of supplying safe private money 提供安全私人资金的实际效果
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-21 DOI: 10.1016/j.jfineco.2024.103868
Chenzi Xu , He Yang
{"title":"Real effects of supplying safe private money","authors":"Chenzi Xu ,&nbsp;He Yang","doi":"10.1016/j.jfineco.2024.103868","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103868","url":null,"abstract":"<div><p>Privately issued money often bears default risk, which creates transaction frictions when used as a medium of exchange. The late 19th century US provides a unique context to evaluate the real effects of supplying a new type of money that is safe from default. We measure the local change in “monetary” transaction frictions with a market access approach derived from general equilibrium trade theory. Consistent with theories hypothesizing that lowering transaction frictions benefits the traded and inputs-intensive sectors, we find an increase in traded goods production, in the share of manufacturing output and employment, and in innovation.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103868"},"PeriodicalIF":8.9,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141077713","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
Intermediary-based equity term structure 基于中介的股权期限结构
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-20 DOI: 10.1016/j.jfineco.2024.103856
Kai Li , Chenjie Xu
{"title":"Intermediary-based equity term structure","authors":"Kai Li ,&nbsp;Chenjie Xu","doi":"10.1016/j.jfineco.2024.103856","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103856","url":null,"abstract":"<div><p>We demonstrate that a financial intermediary-based asset pricing model offers a compelling explanation for a new set of conditional moments of equity term structure and convenience yields. The model’s key mechanism is that the time-varying tightness of intermediaries’ leverage constraints drives significant mean reversion in the price of risk. This model guides us in devising a novel empirical methodology to estimate the tightness of these constraints (i.e., the Relative Tightness Index) from cross-sectional returns of various asset classes. Our findings affirm that this measure significantly drives the dynamics of equity yield slope and convenience yields, both empirically and quantitatively.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103856"},"PeriodicalIF":8.9,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141073245","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
Financial constraints, cash flow timing patterns, and asset prices 财务限制、现金流时间模式和资产价格
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-17 DOI: 10.1016/j.jfineco.2024.103855
Weiping Hu , Kai Li , Xiao Zhang
{"title":"Financial constraints, cash flow timing patterns, and asset prices","authors":"Weiping Hu ,&nbsp;Kai Li ,&nbsp;Xiao Zhang","doi":"10.1016/j.jfineco.2024.103855","DOIUrl":"10.1016/j.jfineco.2024.103855","url":null,"abstract":"<div><p>We show that firms collect almost 70% of their cash flows in the second half of the fiscal year, and that firms that collect more cash by year-end earn a 6.8% higher per annum risk premium and save more cash. We rationalize these facts in a quantitative investment-based asset pricing model. Immediate cash payments negatively affect profitability, but reduce equity financing costs by increasing information transparency. Financially constrained firms optimally collect more cash at year-end when firms’ performance attracts more attention and information transparency is more valuable. Such behavior further results in greater exposure to aggregate productivity and financial shocks.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103855"},"PeriodicalIF":8.9,"publicationDate":"2024-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140961528","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 the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion 当市场出现 CO.V.I.D：传染、病毒和信息扩散时
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-13 DOI: 10.1016/j.jfineco.2024.103850
Maria Jose Arteaga-Garavito , Mariano M. Croce , Paolo Farroni , Isabella Wolfskeil
{"title":"When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion","authors":"Maria Jose Arteaga-Garavito ,&nbsp;Mariano M. Croce ,&nbsp;Paolo Farroni ,&nbsp;Isabella Wolfskeil","doi":"10.1016/j.jfineco.2024.103850","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103850","url":null,"abstract":"<div><p>We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel dataset comprising (i) announcements related to COVID19 and (ii) high-frequency data on epidemic news diffused through Twitter (Hassan et al., 2019’s methodology). We provide novel empirical evidence about financial dynamics both around epidemic announcements and at daily/intra-daily frequencies. Analysis of contagion data and social media activity about COVID19 suggest that the market price of contagion risk is significant.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103850"},"PeriodicalIF":8.9,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000734/pdfft?md5=fe4131ebe2e1c1c3ed6988e99b91dd1f&pid=1-s2.0-S0304405X24000734-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140917962","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
Regulatory arbitrage or random errors? Implications of race prediction algorithms in fair lending analysis 监管套利还是随机误差？公平借贷分析中种族预测算法的影响
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-10 DOI: 10.1016/j.jfineco.2024.103857
Daniel L. Greenwald , Sabrina T. Howell , Cangyuan Li , Emmanuel Yimfor
{"title":"Regulatory arbitrage or random errors? Implications of race prediction algorithms in fair lending analysis","authors":"Daniel L. Greenwald ,&nbsp;Sabrina T. Howell ,&nbsp;Cangyuan Li ,&nbsp;Emmanuel Yimfor","doi":"10.1016/j.jfineco.2024.103857","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103857","url":null,"abstract":"<div><p>When race is not directly observed, regulators and analysts commonly predict it using algorithms based on last name and address. In small business lending—where regulators assess fair lending law compliance using the Bayesian Improved Surname Geocoding (BISG) algorithm—we document large prediction errors among Black Americans. The errors bias measured racial disparities in loan approval rates downward by 43%, with greater bias for traditional vs. fintech lenders. Regulation using self-identified race would increase lending to Black borrowers, but also shift lending toward affluent areas because errors correlate with socioeconomics. Overall, using race proxies in policymaking and research presents challenges.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103857"},"PeriodicalIF":8.9,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140905962","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
Debtor income manipulation in consumer credit contracts 消费信贷合同中对债务人收入的操纵
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-10 DOI: 10.1016/j.jfineco.2024.103851
Vyacheslav Mikhed , Sahil Raina , Barry Scholnick , Man Zhang
{"title":"Debtor income manipulation in consumer credit contracts","authors":"Vyacheslav Mikhed ,&nbsp;Sahil Raina ,&nbsp;Barry Scholnick ,&nbsp;Man Zhang","doi":"10.1016/j.jfineco.2024.103851","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103851","url":null,"abstract":"<div><p>We show that forcing insolvent consumer debtors to repay a larger fraction of debt causes them to strategically manipulate the data they report to creditors. Exploiting a policy change that required insolvent debtors to increase debt repayments at an arbitrary income cutoff, we document that some debtors reduce reported income to just below this cutoff to avoid the higher repayment. Those debtors who manipulate income have a lower probability of default on their repayment plans, consistent with having access to hidden income. We estimate this strategic manipulation costs creditors 12% to 36% of their total payout per filing.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103851"},"PeriodicalIF":8.9,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140901564","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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