发布求助
文献互助 智能选刊 最新文献

Journal of Financial Economics最新文献

筛选
英文 中文
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
Associative memory, beliefs and market interactions 联想记忆、信念和市场互动
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-07 DOI: 10.1016/j.jfineco.2024.103853
Benjamin Enke , Frederik Schwerter , Florian Zimmermann
{"title":"Associative memory, beliefs and market interactions","authors":"Benjamin Enke ,&nbsp;Frederik Schwerter ,&nbsp;Florian Zimmermann","doi":"10.1016/j.jfineco.2024.103853","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103853","url":null,"abstract":"<div><p>Recent theories and narratives highlight the potential role of associative recall in driving overreaction in expectations and market behavior. Based on a simple model, we test this idea through a series of experiments in which news are communicated with memorable contexts. Because the experimental participants predominantly remember those past news that get cued by new information, their beliefs about fundamentals strongly overreact. In a betting market experiment, associative recall translates into overreaction in market prices, which makes realized prices too extreme. Our results highlight the importance of associative memory for beliefs and financial decisions.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"157 ","pages":"Article 103853"},"PeriodicalIF":8.9,"publicationDate":"2024-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X2400076X/pdfft?md5=dea2b1f241e6082556b240607e9324da&pid=1-s2.0-S0304405X2400076X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140878554","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
Financial inclusion, economic development, and inequality: Evidence from Brazil 金融包容性、经济发展和不平等：巴西的证据
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-05-02 DOI: 10.1016/j.jfineco.2024.103854
Julia Fonseca , Adrien Matray
{"title":"Financial inclusion, economic development, and inequality: Evidence from Brazil","authors":"Julia Fonseca ,&nbsp;Adrien Matray","doi":"10.1016/j.jfineco.2024.103854","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103854","url":null,"abstract":"<div><p>We study a financial inclusion policy targeting Brazilian cities with low bank branch coverage using data on the universe of employees from 2000–2014. The policy leads to bank entry and to similar increases in both deposits and lending. It also fosters entrepreneurship, employment, and wage growth, especially for cities initially in banking deserts. These gains are not shared equally and instead increase with workers’ education, implying a substantial increase in wage inequality. The changes in inequality are concentrated in cities where the initial supply of skilled workers is low, indicating that talent scarcity can drive how financial development affects inequality.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"156 ","pages":"Article 103854"},"PeriodicalIF":8.9,"publicationDate":"2024-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000771/pdfft?md5=19c52b392050c60b30d5b01a13c15b47&pid=1-s2.0-S0304405X24000771-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140818600","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
Ambiguity and private investors’ behavior after forced fund liquidations 基金强制清算后的模糊性和私人投资者的行为
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-04-29 DOI: 10.1016/j.jfineco.2024.103849
Steffen Meyer , Charline Uhr
{"title":"Ambiguity and private investors’ behavior after forced fund liquidations","authors":"Steffen Meyer ,&nbsp;Charline Uhr","doi":"10.1016/j.jfineco.2024.103849","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103849","url":null,"abstract":"<div><p>We investigate individual investors' decisions under time-varying ambiguity (VVIX) using plausibly exogenous forced mutual fund liquidations at a German brokerage. Investors reinvest 87% of forced liquidations when the refund occurs on a day of low ambiguity and 0% when it occurs on a day of high ambiguity. Instead of reinvesting, investors become inert and keep the refund in their cash holdings. The effect reverses approximately six months after the liquidation. If investors reinvest, they decrease their risk-taking under ambiguity. Our results are not driven by risk, rebalancing decisions, experiencing losses, or attention and are robust to alternative measures of ambiguity.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"156 ","pages":"Article 103849"},"PeriodicalIF":8.9,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000722/pdfft?md5=f77d5289553925bd2ba54071c173f406&pid=1-s2.0-S0304405X24000722-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140807727","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信