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Pension fund flows, exchange rates, and covered interest rate parity 养老基金流量、汇率和覆盖利率平价
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-10 DOI: 10.1016/j.jfineco.2025.104075
Felipe Aldunate , Zhi Da , Borja Larrain , Clemens Sialm
{"title":"Pension fund flows, exchange rates, and covered interest rate parity","authors":"Felipe Aldunate ,&nbsp;Zhi Da ,&nbsp;Borja Larrain ,&nbsp;Clemens Sialm","doi":"10.1016/j.jfineco.2025.104075","DOIUrl":"10.1016/j.jfineco.2025.104075","url":null,"abstract":"<div><div>Frequent, yet uninformed, market timing recommendations by a financial advisory firm generate significant flows for Chilean pension funds. These flows induce substantial changes in the Chilean foreign exchange rate due to the funds’ high allocation to international securities. Local banks provide liquidity to pension funds in the spot market and their hedging transactions propagate the demand fluctuations from the spot to the forward market, resulting in deviations from covered interest rate parity. Using bank balance sheet data, we confirm that banks’ risk bearing constraints create limits to arbitrage.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104075"},"PeriodicalIF":10.4,"publicationDate":"2025-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143929463","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
Revenue collapses and the consumption of small business owners in the COVID-19 pandemic 在COVID-19大流行期间，收入崩溃和小企业主的消费
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-10 DOI: 10.1016/j.jfineco.2025.104079
Olivia S. Kim , Jonathan A. Parker , Antoinette Schoar
{"title":"Revenue collapses and the consumption of small business owners in the COVID-19 pandemic","authors":"Olivia S. Kim ,&nbsp;Jonathan A. Parker ,&nbsp;Antoinette Schoar","doi":"10.1016/j.jfineco.2025.104079","DOIUrl":"10.1016/j.jfineco.2025.104079","url":null,"abstract":"<div><div>Using financial account data linking small businesses to their owner households, we examine how business owners’ consumption responded to changes in business revenues during the COVID-19 crisis. In the first two months following the National Emergency, business revenues declined by 40 percent, largely driven by national factors rather than local infection rates or policies. However, the pass-through of revenue losses to owner consumption was limited: each dollar of revenue loss resulted in only a 1.6-cent decline in consumption. This muted pass-through persisted through 2021, even after the introduction of COVID-19 vaccines. Our findings suggest that federal subsidies and pandemic-induced reductions in spending opportunities explain the limited impact.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104079"},"PeriodicalIF":10.4,"publicationDate":"2025-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144107004","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
A quantitative analysis of bank lending relationships 银行贷款关系的定量分析
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-09 DOI: 10.1016/j.jfineco.2025.104083
Kyle Dempsey , Miguel Faria-e-Castro
{"title":"A quantitative analysis of bank lending relationships","authors":"Kyle Dempsey ,&nbsp;Miguel Faria-e-Castro","doi":"10.1016/j.jfineco.2025.104083","DOIUrl":"10.1016/j.jfineco.2025.104083","url":null,"abstract":"<div><div>We study the aggregate consequences of dynamic lending relationships in a model of heterogeneous banks facing financial frictions. We estimate the model’s loan demand system on administrative loan-level data: the market power implied by the estimated strength and persistence of relationships yields a long run reduction in credit of 5.9%. Relationships amplify the negative real effects of credit supply shocks, but mute those of negative credit demand shocks. In a financial crisis which destroys 25% of bank net worth, for example, loan volume drops more than twice as much in our baseline model than in a competitive analog with no relationships, but banks recapitalize faster.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104083"},"PeriodicalIF":10.4,"publicationDate":"2025-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143924061","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
Do intermediaries improve GSE lending? Evidence from proprietary GSE data 中介机构是否改善了GSE贷款？来自专有GSE数据的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-09 DOI: 10.1016/j.jfineco.2025.104082
Joshua Bosshardt , Ali Kakhbod , Amir Kermani
{"title":"Do intermediaries improve GSE lending? Evidence from proprietary GSE data","authors":"Joshua Bosshardt ,&nbsp;Ali Kakhbod ,&nbsp;Amir Kermani","doi":"10.1016/j.jfineco.2025.104082","DOIUrl":"10.1016/j.jfineco.2025.104082","url":null,"abstract":"<div><div>We analyze the trade-offs of having intermediaries originate government-sponsored enterprise (GSE) mortgages using proprietary GSE data. We first find evidence of lenders pricing for observable and unobservable default risk independently of the GSEs. We then develop and estimate a model of competitive lending in which lenders have skin-in-the-game and conduct additional screening beyond the GSEs’ criteria. Lenders reduce costs via screening but also charge markups. On net, interest rates are higher compared to a counterfactual effectively without intermediaries. In an extension, the observed differences between banks and nonbanks are more consistent with differences in their skin-in-the-game rather than screening quality.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104082"},"PeriodicalIF":10.4,"publicationDate":"2025-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143922471","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
Receiving investors in the block market for corporate bonds 在公司债券的大宗市场上接待投资者
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-05 DOI: 10.1016/j.jfineco.2025.104061
Stacey Jacobsen, Kumar Venkataraman
{"title":"Receiving investors in the block market for corporate bonds","authors":"Stacey Jacobsen,&nbsp;Kumar Venkataraman","doi":"10.1016/j.jfineco.2025.104061","DOIUrl":"10.1016/j.jfineco.2025.104061","url":null,"abstract":"<div><div>We study block trades in the corporate bond market, where dealers buy or sell blocks from initiating customers and offset their positions with receiving investors. Our findings indicate that while receivers benefit from trading cost savings, they primarily bear adverse selection costs and experience worse outcomes when informed trading is prevalent. Mandatory trade reporting improves receiver outcomes by revealing dealers’ private information, but the benefits are reduced when reporting is delayed. Our results emphasize the importance of transparency regime design and suggest potential market fragility: if information asymmetry becomes severe, receivers may withdraw from the block market.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104061"},"PeriodicalIF":10.4,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143903858","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
Redeploying dirty assets: The impact of environmental 重新部署肮脏资产：环境的影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-05-05 DOI: 10.1016/j.jfineco.2025.104070
Jason Chen
{"title":"Redeploying dirty assets: The impact of environmental","authors":"Jason Chen","doi":"10.1016/j.jfineco.2025.104070","DOIUrl":"10.1016/j.jfineco.2025.104070","url":null,"abstract":"<div><div>This paper investigates how firms’ pollution incentives are influenced by their ability to divest polluted assets. My empirical setting is a major reform that exempts purchasers from liability for past contamination. Using a difference-in-differences framework, I find that the reform reduces toxic emissions, lowers bankruptcy risk, and increases firm value. Cross-sectional tests show that the decline in emissions is driven by firms with weaker financial health and fewer assets. These findings highlight a novel net worth channel: by limiting ex-post liability, the reform enhances landowners’ net worth ex-ante, reducing their incentives to engage in risky behavior, such as excessive emissions.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"170 ","pages":"Article 104070"},"PeriodicalIF":10.4,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143907702","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
Global volatility and firm-level capital flows 全球波动和企业层面的资本流动
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-30 DOI: 10.1016/j.jfineco.2025.104078
Marcin Kacperczyk , Jaromir Nosal , Tianyu Wang
{"title":"Global volatility and firm-level capital flows","authors":"Marcin Kacperczyk ,&nbsp;Jaromir Nosal ,&nbsp;Tianyu Wang","doi":"10.1016/j.jfineco.2025.104078","DOIUrl":"10.1016/j.jfineco.2025.104078","url":null,"abstract":"<div><div>We study the impact of global volatility on the equity portfolio flows of institutional investors worldwide. Aggregate equity allocations of institutional investors decrease during periods of high volatility, both in developed and, even more strongly, in emerging markets. Our granular portfolio-level data allows us to uncover disaggregated investor responses that are an order of magnitude larger than aggregate estimates, and are dominated by discretionary (investor-driven) component of flows. We further show that periods of high volatility are associated with portfolio rebalancing by institutional investors from small-cap to large-cap stocks. Finally, institutional flows have significant impact on future firm stability, measured by their volatility and liquidity. Our findings are consistent with the economic mechanism in which investors with heterogeneous information capacity are learning about assets with different information rents.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104078"},"PeriodicalIF":10.4,"publicationDate":"2025-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143886349","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
Innovation and capital 创新与资本
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-24 DOI: 10.1016/j.jfineco.2025.104029
Daniel C. Fehder , Naomi Hausman , Yael V. Hochberg
{"title":"Innovation and capital","authors":"Daniel C. Fehder ,&nbsp;Naomi Hausman ,&nbsp;Yael V. Hochberg","doi":"10.1016/j.jfineco.2025.104029","DOIUrl":"10.1016/j.jfineco.2025.104029","url":null,"abstract":"<div><div>Using a regime change in the commercialization of university innovation in 1980 that strongly increased university incentives to patent and license discoveries, we document that an increase in the supply of commercializable innovation attracts venture capital investment to the region. The Bayh-Dole Act shifted ownership of intellectual property stemming from federally-funded research from the federal government to universities, spurring technology transfer into the local area. Because universities have different technological strengths, each local area surrounding a university experienced an increase after 1980 in commercializable innovation relevant to particular sets of industries which differed widely across university counties. Comparing industries within a county that were more versus less related to the local university's innovative strengths, we show that venture capital dollars after 1980 flowed systematically towards geographic areas and industries affected most by the sudden influx of commercializable innovation from universities. These results persist even when controlling for ex ante geographic and industry distributions of corporate patenting and prior venture financing. The findings support the notion that increased supply of commercializable innovation serves to draw private capital investment to a region.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104029"},"PeriodicalIF":10.4,"publicationDate":"2025-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143863594","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
LTCM Redux? Hedge fund Treasury trading, funding fragility, and risk constraints 长期资本管理公司回来的吗?对冲基金国债交易、资金脆弱性和风险约束
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-23 DOI: 10.1016/j.jfineco.2025.104017
Mathias S. Kruttli , Phillip J. Monin , Lubomir Petrasek , Sumudu W. Watugala
{"title":"LTCM Redux? Hedge fund Treasury trading, funding fragility, and risk constraints","authors":"Mathias S. Kruttli ,&nbsp;Phillip J. Monin ,&nbsp;Lubomir Petrasek ,&nbsp;Sumudu W. Watugala","doi":"10.1016/j.jfineco.2025.104017","DOIUrl":"10.1016/j.jfineco.2025.104017","url":null,"abstract":"<div><div>We exploit the 2020 Treasury market shock to analyze how external and internal constraints impact arbitrageurs. Using regulatory filings, we find that hedge funds reduced arbitrage activities and increased cash holdings, despite stable credit and low contemporaneous redemptions. Creditors’ regulatory and liquidity constraints were not propagated to hedge funds through repo—Treasury arbitrageurs’ predominant financing source. Fund-creditor borrowing data reveal more regulated dealers provided, and more important clients received, disproportionately higher funding. Value-at-risk reported by funds suggests internal risk constraints were binding. Our results support theoretical predictions that arbitrageur risk constraints and precautionary liquidity management can amplify market instability even when contemporaneous financing remains resilient.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104017"},"PeriodicalIF":10.4,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143858956","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 value of privacy and the choice of limited partners by venture capitalists 隐私的价值与风险资本家对有限合伙人的选择
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-04-18 DOI: 10.1016/j.jfineco.2025.104063
Rustam Abuzov , Will Gornall , Ilya A. Strebulaev
{"title":"The value of privacy and the choice of limited partners by venture capitalists","authors":"Rustam Abuzov ,&nbsp;Will Gornall ,&nbsp;Ilya A. Strebulaev","doi":"10.1016/j.jfineco.2025.104063","DOIUrl":"10.1016/j.jfineco.2025.104063","url":null,"abstract":"<div><div>We study how information disclosure concerns shape the choice of limited partners (LPs) by venture capitalists (VCs). Late-2002 court rulings prevented public LPs from providing confidentiality to investment managers. The best-performing VCs, but not other managers, responded by excluding public LPs from their new funds. Lost access reduced public LP returns by $1.6 billion relative to $14 billion of their VC commitments. Legislation reducing disclosure, contracts limiting information access, and added fund-of-funds intermediaries helped restore access. These changes focused on protecting portfolio company information, highlighting the importance of proprietary information for VC investing and the potential costs of transparency.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104063"},"PeriodicalIF":10.4,"publicationDate":"2025-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143844881","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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