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Uncertainty about what is in the price 价格内容的不确定性
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-24 DOI: 10.1016/j.jfineco.2024.103915
Joël Peress , Daniel Schmidt
{"title":"Uncertainty about what is in the price","authors":"Joël Peress ,&nbsp;Daniel Schmidt","doi":"10.1016/j.jfineco.2024.103915","DOIUrl":"10.1016/j.jfineco.2024.103915","url":null,"abstract":"<div><p>A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103915"},"PeriodicalIF":10.4,"publicationDate":"2024-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001387/pdfft?md5=a3e1da142d1ffeef93def072558526e1&pid=1-s2.0-S0304405X24001387-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142058424","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
Efficient estimation of bid–ask spreads from open, high, low, and close prices 根据开盘价、最高价、最低价和收盘价有效估算买卖价差
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-14 DOI: 10.1016/j.jfineco.2024.103916
David Ardia , Emanuele Guidotti , Tim A. Kroencke
{"title":"Efficient estimation of bid–ask spreads from open, high, low, and close prices","authors":"David Ardia ,&nbsp;Emanuele Guidotti ,&nbsp;Tim A. Kroencke","doi":"10.1016/j.jfineco.2024.103916","DOIUrl":"10.1016/j.jfineco.2024.103916","url":null,"abstract":"<div><p>Popular bid–ask spread estimators are downward biased when trading is infrequent. Moreover, they consider only a subset of open, high, low, and close prices and neglect potentially useful information to improve the spread estimate. By accounting for discretely observed prices, this paper derives asymptotically unbiased estimators of the effective bid–ask spread. Moreover, we combine them optimally to minimize the estimation variance and obtain an efficient estimator. Through theoretical analyses, numerical simulations, and empirical evaluations, we show that our efficient estimator dominates other estimators from transaction prices, yields novel insights for measuring bid–ask spreads, and has broad applicability in empirical finance.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103916"},"PeriodicalIF":10.4,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001399/pdfft?md5=3f6188017aa89a132910e7c0b15cd480&pid=1-s2.0-S0304405X24001399-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141985589","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
Racial disparities in the Paycheck Protection Program 薪酬保护计划中的种族差异
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-08 DOI: 10.1016/j.jfineco.2024.103911
Sergey Chernenko , David Scharfstein
{"title":"Racial disparities in the Paycheck Protection Program","authors":"Sergey Chernenko ,&nbsp;David Scharfstein","doi":"10.1016/j.jfineco.2024.103911","DOIUrl":"10.1016/j.jfineco.2024.103911","url":null,"abstract":"<div><p>Consistent with contemporaneous research, we document that minority-owned firms were more likely than observationally similar white-owned firms to receive PPP loans from nonbank lenders than from banks. However, we show that this substitution to nonbanks was only partial, resulting in significantly lower PPP take-up by minority-owned firms, particularly Black-owned ones. Location and firm characteristics explain about two-thirds of the 25 percentage point disparity in PPP take-up by Black-owned firms. While there was greater substitution to nonbanks in more racially biased locations, overall take-up was still lower in those locations. Access to professional help with applications facilitated use of nonbanks and mitigated disparities.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103911"},"PeriodicalIF":10.4,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141915289","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 cross-border effects of bank capital regulation 银行资本监管的跨境影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-08 DOI: 10.1016/j.jfineco.2024.103912
Saleem Bahaj , Frederic Malherbe
{"title":"The cross-border effects of bank capital regulation","authors":"Saleem Bahaj ,&nbsp;Frederic Malherbe","doi":"10.1016/j.jfineco.2024.103912","DOIUrl":"10.1016/j.jfineco.2024.103912","url":null,"abstract":"<div><p>We study the international coordination of bank capital requirements under a host-country rule: the requirement depends on where the borrower, not the bank, is located. In such a regime, countries compete for scarce bank equity capital. Raising a country’s requirement may generate bank capital outflows as well as inflows. We pin down the condition for the sign of the capital flow and the associated externality, and highlight the policy implications. Absent collaboration, overshooting is likely: individual countries have an incentive to increase Basel III’s Counter-Cyclical Capital Buffer too much in good times and cut it too much in bad times.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103912"},"PeriodicalIF":10.4,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141915281","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 credit supply channel of monetary policy tightening and its distributional impacts 货币政策紧缩的信贷供给渠道及其分配影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-06 DOI: 10.1016/j.jfineco.2024.103914
Joshua Bosshardt , Marco Di Maggio , Ali Kakhbod , Amir Kermani
{"title":"The credit supply channel of monetary policy tightening and its distributional impacts","authors":"Joshua Bosshardt ,&nbsp;Marco Di Maggio ,&nbsp;Ali Kakhbod ,&nbsp;Amir Kermani","doi":"10.1016/j.jfineco.2024.103914","DOIUrl":"10.1016/j.jfineco.2024.103914","url":null,"abstract":"<div><p>This paper studies how tightening monetary policy transmits to the economy through the mortgage market and sheds new light on the distributional consequences at both individual and regional levels. We specifically examine the sharp increase in mortgage interest rates during 2022 and 2023. We find that almost all of the decline in mortgages compared to prior years was concentrated in loans that would have had a debt-to-income (DTI) ratio above underwriting thresholds. These effects are even more pronounced for minority and middle-income borrowers. Additionally, regions more affected by the thresholds exhibited greater reductions in mortgage originations, house prices, and consumption.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103914"},"PeriodicalIF":10.4,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141915298","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
Inflation and Disintermediation 通货膨胀与脱媒
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-01 DOI: 10.1016/j.jfineco.2024.103902
Isha Agarwal , Matthew Baron
{"title":"Inflation and Disintermediation","authors":"Isha Agarwal ,&nbsp;Matthew Baron","doi":"10.1016/j.jfineco.2024.103902","DOIUrl":"10.1016/j.jfineco.2024.103902","url":null,"abstract":"<div><p>We test a bank credit channel through which unexpected increases in inflation lead to short-run macroeconomic fluctuations. For identification, we study an unexpected U.S. inflation increase in early 1977 and exploit differences in state-level reserve requirements for Federal Reserve nonmember banks, which create differences in banks’ inflation exposures. More exposed banks reduce lending, lowering local house prices and construction employment. We provide evidence for potential mechanisms, including a bank net wealth and a loan misallocation channel. Our results suggest that an important consequence of inflation is its impairment of the banking sector.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103902"},"PeriodicalIF":10.4,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141891934","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
Disclosing and cooling-off: An analysis of insider trading rules 披露与冷却：内幕交易规则分析
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-08-01 DOI: 10.1016/j.jfineco.2024.103913
Jun Deng , Huifeng Pan , Hongjun Yan , Liyan Yang
{"title":"Disclosing and cooling-off: An analysis of insider trading rules","authors":"Jun Deng ,&nbsp;Huifeng Pan ,&nbsp;Hongjun Yan ,&nbsp;Liyan Yang","doi":"10.1016/j.jfineco.2024.103913","DOIUrl":"10.1016/j.jfineco.2024.103913","url":null,"abstract":"<div><p>We analyze two insider-trading regulations recently introduced by the Securities and Exchange Commission: mandatory disclosure and “cooling-off period”. The former requires insiders disclose trading plans at adoption, while the latter mandates a delay period before trading. These policies affect investors’ trading profits, risk sharing, and hence their welfare. If the insider has sufficiently large hedging needs, in contrast to the conventional wisdom from “sunshine trading”, disclosure reduces the welfare of all investors. In our calibration, a longer cooling-off period benefits speculators, and its implications for the insider and hedgers depend on whether the disclosure policy is already in place.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103913"},"PeriodicalIF":10.4,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001363/pdfft?md5=dbe47e22661fc40ff0c497bd1b33df36&pid=1-s2.0-S0304405X24001363-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141891933","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
From Man vs. Machine to Man + Machine: The art and AI of stock analyses 从 "人机大战 "到 "人+机"：股票分析的艺术与人工智能
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-07-22 DOI: 10.1016/j.jfineco.2024.103910
Sean Cao , Wei Jiang , Junbo Wang , Baozhong Yang
{"title":"From Man vs. Machine to Man + Machine: The art and AI of stock analyses","authors":"Sean Cao ,&nbsp;Wei Jiang ,&nbsp;Junbo Wang ,&nbsp;Baozhong Yang","doi":"10.1016/j.jfineco.2024.103910","DOIUrl":"10.1016/j.jfineco.2024.103910","url":null,"abstract":"<div><p>An AI analyst trained to digest corporate disclosures, industry trends, and macroeconomic indicators surpasses most analysts in stock return predictions. Nevertheless, humans win “Man vs. Machine” when institutional knowledge is crucial, e.g., involving intangible assets and financial distress. AI wins when information is transparent but voluminous. Humans provide significant incremental value in “Man + Machine”, which also substantially reduces extreme errors. Analysts catch up with machines after “alternative data” become available if their employers build AI capabilities. Documented synergies between humans and machines inform how humans can leverage their advantage for better adaptation to the growing AI prowess.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103910"},"PeriodicalIF":10.4,"publicationDate":"2024-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141769309","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
Block trade contracting 阻止贸易签约
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-07-19 DOI: 10.1016/j.jfineco.2024.103901
Markus Baldauf , Christoph Frei , Joshua Mollner
{"title":"Block trade contracting","authors":"Markus Baldauf ,&nbsp;Christoph Frei ,&nbsp;Joshua Mollner","doi":"10.1016/j.jfineco.2024.103901","DOIUrl":"10.1016/j.jfineco.2024.103901","url":null,"abstract":"<div><p>We study the optimal execution problem in a principal–agent setting. A client contracts to purchase from a dealer. The dealer hedges, buying from the market, creating temporary and permanent price impact. The client chooses a contract, which specifies payment as a function of market prices; hidden action precludes conditioning on the dealer’s hedging trades. We show the first-best benchmark is theoretically achievable with an unrestricted contract set. We then consider weighted-average-price contracts, which are commonly used. In the continuous-time limit, the optimal weighting entails a constant density at interior times and discrete masses at the extremes.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"160 ","pages":"Article 103901"},"PeriodicalIF":10.4,"publicationDate":"2024-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141728901","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
Are cryptos different? Evidence from retail trading 加密货币与众不同吗？来自零售交易的证据
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2024-07-06 DOI: 10.1016/j.jfineco.2024.103897
Shimon Kogan , Igor Makarov , Marina Niessner , Antoinette Schoar
{"title":"Are cryptos different? Evidence from retail trading","authors":"Shimon Kogan ,&nbsp;Igor Makarov ,&nbsp;Marina Niessner ,&nbsp;Antoinette Schoar","doi":"10.1016/j.jfineco.2024.103897","DOIUrl":"10.1016/j.jfineco.2024.103897","url":null,"abstract":"<div><p>Trading in cryptocurrencies grew rapidly over the last decade, dominated by retail investors. Using data from eToro, we show that retail traders are contrarian in stocks and gold, yet the same traders follow a momentum-like strategy in cryptocurrencies. The differences are not explained by individual characteristics, investor composition, inattention, differences in fees, or preference for lottery-like assets. We conjecture that retail investors have a model where cryptocurrency price changes affect the likelihood of future widespread adoption, which leads them to further update their price expectations in the same direction.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"159 ","pages":"Article 103897"},"PeriodicalIF":10.4,"publicationDate":"2024-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X2400120X/pdfft?md5=a42a66682dd449d752b6b768f31efaeb&pid=1-s2.0-S0304405X2400120X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141556926","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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