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The marginal value of public pension wealth: Evidence from border house prices 公共养老金财富的边际价值：来自边境房价的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-28 DOI: 10.1016/j.jfineco.2025.104134
Darren Aiello , Asaf Bernstein , Mahyar Kargar , Ryan Lewis , Michael Schwert
{"title":"The marginal value of public pension wealth: Evidence from border house prices","authors":"Darren Aiello ,&nbsp;Asaf Bernstein ,&nbsp;Mahyar Kargar ,&nbsp;Ryan Lewis ,&nbsp;Michael Schwert","doi":"10.1016/j.jfineco.2025.104134","DOIUrl":"10.1016/j.jfineco.2025.104134","url":null,"abstract":"<div><div>We study how state pension windfalls affect property prices near state borders, where theory suggests real estate reflects the value of additional public resources. Windfalls, representing a source of state revenue about half the size of total taxes, provide economically significant and plausibly exogenous variation in fiscal conditions. We find that each dollar of pension asset returns increases border house prices by approximately two dollars, suggesting that governments allocate additional funds towards high-value projects or tax abatement rather than wasting incremental resources. Evidence of larger effects in financially constrained municipalities highlights how fiscal resources amplify welfare effects of economic shocks.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104134"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144714098","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
Stakes and investor behaviors 股权与投资者行为
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-25 DOI: 10.1016/j.jfineco.2025.104146
Pengfei Sui , Baolian Wang
{"title":"Stakes and investor behaviors","authors":"Pengfei Sui ,&nbsp;Baolian Wang","doi":"10.1016/j.jfineco.2025.104146","DOIUrl":"10.1016/j.jfineco.2025.104146","url":null,"abstract":"<div><div>We examine how stakes affect investor behaviors. In our unique setting, investors trade stocks in real accounts using their own money and simultaneously in a simulated setting. Our real-world within-investor estimation shows that investors exhibit stronger biases and perform worse in higher-stakes real accounts than in lower-stakes simulated accounts. Investors exhibit strong biases in both types of accounts, and the biases in both are strongly positively correlated. Such behavioral consistency suggests that low-stakes experiments are informative about real-world behaviors. Using additional account-level datasets, we demonstrate external validity by documenting a stronger (reverse) disposition effect on stocks (funds) with greater portfolio weights.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104146"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144703221","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
Equity duration and predictability 权益持续时间和可预测性
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-06-12 DOI: 10.1016/j.jfineco.2025.104114
Benjamin Golez , Peter Koudijs
{"title":"Equity duration and predictability","authors":"Benjamin Golez ,&nbsp;Peter Koudijs","doi":"10.1016/j.jfineco.2025.104114","DOIUrl":"10.1016/j.jfineco.2025.104114","url":null,"abstract":"<div><div>After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long time series for the aggregate market, and the cross-section of stocks. A simple present value model with time-varying duration can largely explain the post-1945 dominance of expected returns.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104114"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144263592","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
Mergers and acquisitions, technological change, and inequality 并购、技术变革和不平等
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-18 DOI: 10.1016/j.jfineco.2025.104136
Wenting Ma , Paige Ouimet , Elena Simintzi
{"title":"Mergers and acquisitions, technological change, and inequality","authors":"Wenting Ma ,&nbsp;Paige Ouimet ,&nbsp;Elena Simintzi","doi":"10.1016/j.jfineco.2025.104136","DOIUrl":"10.1016/j.jfineco.2025.104136","url":null,"abstract":"<div><div>Mergers and acquisitions (M&amp;As) are an important mechanism through which technology is adopted by firms. Firms with greater technological skill acquire less tech-savvy firms and, subsequently, increase technology investment at the target. This has important implications for labor reallocation following M&amp;As. We show that target establishments become less routine intensive post-M&amp;A, especially when a target had greater routine occupational employment, compared to its acquirer, ex-ante. We also provide evidence consistent with targets investing in information technology which tends to displace more office routine occupations. Such labor reallocation impacts wages, resulting in higher pay inequality within target establishments.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104136"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144656934","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
Stealthy shorts: Informed liquidity supply 隐形空头：知情的流动性供应
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-08-19 DOI: 10.1016/j.jfineco.2025.104155
Amit Goyal , Adam V. Reed , Esad Smajlbegovic , Amar Soebhag
{"title":"Stealthy shorts: Informed liquidity supply","authors":"Amit Goyal ,&nbsp;Adam V. Reed ,&nbsp;Esad Smajlbegovic ,&nbsp;Amar Soebhag","doi":"10.1016/j.jfineco.2025.104155","DOIUrl":"10.1016/j.jfineco.2025.104155","url":null,"abstract":"<div><div>Short sellers are widely known to be informed, which would typically suggest that they demand liquidity. We obtain comprehensive transaction-level data to decompose daily short volume into liquidity-demanding and liquidity-supplying components. Contrary to conventional wisdom, we show that the most informed short sellers are actually liquidity suppliers, not liquidity demanders. They are particularly informative about future returns on news days and trade on prominent cross-sectional return anomalies. Our analysis suggests that market making and opportunistic risk-bearing are unlikely to explain these findings. Instead, our results align with recent market microstructure theory, pointing to strategic liquidity provision by informed traders.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104155"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144866368","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
Machine learning from a “Universe” of signals: The role of feature engineering 来自信号“宇宙”的机器学习：特征工程的作用
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-22 DOI: 10.1016/j.jfineco.2025.104138
Bin Li , Alberto G. Rossi , Xuemin (Sterling) Yan , Lingling Zheng
{"title":"Machine learning from a “Universe” of signals: The role of feature engineering","authors":"Bin Li ,&nbsp;Alberto G. Rossi ,&nbsp;Xuemin (Sterling) Yan ,&nbsp;Lingling Zheng","doi":"10.1016/j.jfineco.2025.104138","DOIUrl":"10.1016/j.jfineco.2025.104138","url":null,"abstract":"<div><div>We construct real-time machine learning strategies based on a “universe” of fundamental signals. The out-of-sample performance of these strategies is economically meaningful and statistically significant, but considerably weaker than those documented by prior studies that use curated sets of signals as predictors. Strategies based on a simple recursive ranking of each signal’s past performance also yield substantially better out-of-sample performance. We find qualitatively similar results when examining past-return-based signals. Our results underscore the key role of feature engineering and, more broadly, inductive biases in enhancing the economic benefits of machine learning investment strategies.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104138"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144680204","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
Overvaluing simple bets: Evidence from the options market 高估简单押注：来自期权市场的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-28 DOI: 10.1016/j.jfineco.2025.104140
Aaron Goodman , Indira Puri
{"title":"Overvaluing simple bets: Evidence from the options market","authors":"Aaron Goodman ,&nbsp;Indira Puri","doi":"10.1016/j.jfineco.2025.104140","DOIUrl":"10.1016/j.jfineco.2025.104140","url":null,"abstract":"<div><div>We document a new anomaly that we prove standard preference models are unable to capture, regardless of functional form or parametric specification used. Analyzing trading behavior in the binary option market for retail investors, we find that market participants purchase binary options although strictly dominant bull spreads are available at lower prices: 15% of S&amp;P index, 19% of gold, and 25% of silver trades violate no-dominance conditions consistently across three different asset classes. Buyers of dominated binaries lose on average 34% of the contract price by forgoing the dominating product. We prove that neither prospect theory nor ambiguity aversion nor other popular theoretical justifications for retail anomalies such as rational inattention and salience, can capture these results. We also test for, and reject, standard financial explanations including trading costs, liquidity, exchange fixed effects, and noise trading. We show that our results are consistent with retail investors valuing simple, easy-to-understand binary bets. Our work provides a theoretically-grounded empirical impetus for research in behavioral finance which goes beyond historically pervasive utility frameworks.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104140"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144714097","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
Price regulation in two-sided markets: Empirical evidence from debit cards 双边市场中的价格调控：来自借记卡的经验证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-06-12 DOI: 10.1016/j.jfineco.2025.104094
Vladimir Mukharlyamov , Natasha Sarin
{"title":"Price regulation in two-sided markets: Empirical evidence from debit cards","authors":"Vladimir Mukharlyamov ,&nbsp;Natasha Sarin","doi":"10.1016/j.jfineco.2025.104094","DOIUrl":"10.1016/j.jfineco.2025.104094","url":null,"abstract":"<div><div>This paper provides empirical evidence of a well-known theoretical concern that market failures in two-sided markets are hard to identify and correct. We study the reactions of banks, merchants, and consumers to Dodd-Frank’s Durbin Amendment that lowered interchange fees on debit card transactions. Banks recouped a significant portion of their losses by charging consumers for products that they previously provided for free on the subsidized side of the two-sided market. The accelerated adoption of credit cards with higher interchange fees likely diminished—if not eliminated—merchants’ savings. These effects impede the regulation’s stated objective of enhancing consumers’ welfare through lower retail prices.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104094"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144271913","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
Firm uncertainty and households: Spending, savings, and risks 企业不确定性与家庭：支出、储蓄和风险
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-30 DOI: 10.1016/j.jfineco.2025.104143
Iván Alfaro , Hoonsuk Park
{"title":"Firm uncertainty and households: Spending, savings, and risks","authors":"Iván Alfaro ,&nbsp;Hoonsuk Park","doi":"10.1016/j.jfineco.2025.104143","DOIUrl":"10.1016/j.jfineco.2025.104143","url":null,"abstract":"<div><div>Using daily banking and credit card data for thousands of households linked to U.S. publicly listed employers, we find novel evidence that firm-specific uncertainty persistently reduces future spending and spurs precautionary savings. A one-standard-deviation rise in option-implied firm volatility—akin to the S&amp;P 500 VIX—predicts a $106 monthly spending drop (8 hours of wages) and a $193 increase in bank balances, reflecting notable cutbacks in typical non-durable goods and services. The mechanism operates through heightened household risks: firm uncertainty expands both income and consumption risk over the next year, with the largest effects among lower and top earners (notably the top 1%). Employers only partly shield earnings, while households only partly self-insulate consumption risk via smoothing channels. Detrimental uncertainty effects on households are stronger than firm stock price declines.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104143"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144724706","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 financial intermediation: Evidence from online debt crowdfunding 金融中介的价值：来自网络债务众筹的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-09 DOI: 10.1016/j.jfineco.2025.104113
Fabio Braggion , Alberto Manconi , Nicola Pavanini , Haikun Zhu
{"title":"The value of financial intermediation: Evidence from online debt crowdfunding","authors":"Fabio Braggion ,&nbsp;Alberto Manconi ,&nbsp;Nicola Pavanini ,&nbsp;Haikun Zhu","doi":"10.1016/j.jfineco.2025.104113","DOIUrl":"10.1016/j.jfineco.2025.104113","url":null,"abstract":"<div><div>Most online marketplaces are peer-to-peer. Credit ones, however, are not and they have resurrected many features of traditional financial intermediaries. To understand why, we use online credit as a laboratory to investigate the value of financial intermediation. We develop a structural model of online debt crowdfunding and estimate it on a novel database. We find that abandoning the peer-to-peer paradigm raises lender surplus, platform profits, and credit provision, but exposes investors to liquidity risk. A counterfactual where the platform resembles a bank by bearing liquidity risk can generate larger lender surplus and credit provision when liquidity is low and lenders are risk averse.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104113"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144580547","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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