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Price ceilings, market structure, and payout policies 价格上限、市场结构和赔付政策
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-04-01 DOI: 10.1016/j.jfineco.2024.103818
Xiongshi Li , Mao Ye , Miles Zheng
{"title":"Price ceilings, market structure, and payout policies","authors":"Xiongshi Li ,&nbsp;Mao Ye ,&nbsp;Miles Zheng","doi":"10.1016/j.jfineco.2024.103818","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103818","url":null,"abstract":"<div><p>To prevent issuers from inflating their share prices, SEC Rule 10b-18 sets price ceilings on share repurchases through open markets. We find that market-structure reforms in the 1990s and 2000s dramatically increased share repurchases because they relaxed constraints on issuers competing with other buyers under price ceilings. The Tick Size Pilot Program, a controlled experiment that partially reversed previous reforms, significantly reduced share repurchases. We estimate that price ceilings and reduced market-structure frictions explain 18% of the secular increase in share repurchases. Meanwhile, these two frictions still exist, which explains why share repurchases have not crowded out dividends entirely.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103818"},"PeriodicalIF":8.9,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140332434","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
Sustainability or performance? Ratings and fund managers’ incentives 可持续性还是业绩？评级与基金经理的激励机制
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-27 DOI: 10.1016/j.jfineco.2024.103831
Nickolay Gantchev, Mariassunta Giannetti, Rachel Li
{"title":"Sustainability or performance? Ratings and fund managers’ incentives","authors":"Nickolay Gantchev,&nbsp;Mariassunta Giannetti,&nbsp;Rachel Li","doi":"10.1016/j.jfineco.2024.103831","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103831","url":null,"abstract":"<div><p>We explore how mutual fund managers and investors react when the tradeoff between a fund's sustainability and performance becomes salient. Following the introduction of Morningstar's sustainability ratings (the “globe” ratings), mutual funds increased their holdings of sustainable stocks to attract flows. Such sustainability-driven trades, however, underperformed, impairing the funds’ overall performance. Consequently, a tradeoff between sustainability and performance emerged. In the new equilibrium, the globe ratings do not affect investor flows and funds no longer trade to improve their globe ratings.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103831"},"PeriodicalIF":8.9,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000540/pdfft?md5=fad827b0a10295f0e333e3ba61b8e6a4&pid=1-s2.0-S0304405X24000540-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140296856","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 pricing of U.S. Treasury floating rate notes 美国国债浮动利率票据的定价
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-27 DOI: 10.1016/j.jfineco.2024.103833
Jonathan S. Hartley , Urban J. Jermann
{"title":"The pricing of U.S. Treasury floating rate notes","authors":"Jonathan S. Hartley ,&nbsp;Urban J. Jermann","doi":"10.1016/j.jfineco.2024.103833","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103833","url":null,"abstract":"<div><p>Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T-bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We interpret this fact through the lens of a model where money-like assets differ in their degrees of moneyness. Additional empirical evidence supports this interpretation.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103833"},"PeriodicalIF":8.9,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140308686","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
Robo advisors and access to wealth management 机器人顾问和财富管理
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-22 DOI: 10.1016/j.jfineco.2024.103829
Michael Reher , Stanislav Sokolinski
{"title":"Robo advisors and access to wealth management","authors":"Michael Reher ,&nbsp;Stanislav Sokolinski","doi":"10.1016/j.jfineco.2024.103829","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103829","url":null,"abstract":"<div><p>We investigate how access to robo-advisors impacts the financial investment and welfare of less-wealthy investors. We leverage a quasi-experiment where a major U.S. robo-advisor significantly expands access by reducing its account minimum, increasing participation by middle-class investors but not the poor. A benchmark model calibrated to portfolio-level data rationalizes this increase: middle-class investors want sophisticated investing but cannot achieve it themselves. Their welfare rises moderately, driven by advanced features like multi-dimensional glide-paths and additional priced risk factors. Middle-age investors gain three times more than millennials. Our results reveal novel margins of demand for robo-advisors, helping explain their sustained growth.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103829"},"PeriodicalIF":8.9,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140186992","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
Trade credit and the stability of supply chains 贸易信贷和供应链的稳定性
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-21 DOI: 10.1016/j.jfineco.2024.103830
Nuri Ersahin , Mariassunta Giannetti , Ruidi Huang
{"title":"Trade credit and the stability of supply chains","authors":"Nuri Ersahin ,&nbsp;Mariassunta Giannetti ,&nbsp;Ruidi Huang","doi":"10.1016/j.jfineco.2024.103830","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103830","url":null,"abstract":"<div><p>We show that trade credit flows increase when a firm in a production network becomes a less reliable supplier due to an operating shock. Affected firms extend more trade credit when their customers have lower switching costs or expect more disruption. Suppliers that are more dependent on the affected firms facilitate the trade credit extension. However, when financial constraints at the affected firms and their suppliers prevent the increase in trade credit, customers sever their relationships with the affected firms, and the sales of the affected firms and their suppliers drop, suggesting that trade credit enhances production network stability.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103830"},"PeriodicalIF":8.9,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24000539/pdfft?md5=2f3465e284a86d7f45642cd15e7ce2cf&pid=1-s2.0-S0304405X24000539-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140181107","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 governance of director compensation 董事薪酬管理
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-20 DOI: 10.1016/j.jfineco.2024.103813
Lily Fang , Sterling Huang
{"title":"The governance of director compensation","authors":"Lily Fang ,&nbsp;Sterling Huang","doi":"10.1016/j.jfineco.2024.103813","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103813","url":null,"abstract":"<div><p>The average total compensation of directors in U.S.-listed companies was $342,030 in 2020, 5.06 times the median household income. Directors set their own pay, giving rise to potential self-dealing. We argue and document that in the presence of self-dealing, external mechanisms such as legal standards act as effective means of governance. Following a landmark Delaware court ruling that subjected director pay to a more stringent legal standard, Delaware-incorporated firms reduced director compensation relative to non-Delaware firms and experienced positive and non-transient stock price reactions. Our results indicate that proper governance of director compensation enhances firm value.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103813"},"PeriodicalIF":8.9,"publicationDate":"2024-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140162858","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
Aggregate lapsation risk 总失效风险
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-18 DOI: 10.1016/j.jfineco.2024.103819
Ralph S.J. Koijen , Hae Kang Lee , Stijn Van Nieuwerburgh
{"title":"Aggregate lapsation risk","authors":"Ralph S.J. Koijen ,&nbsp;Hae Kang Lee ,&nbsp;Stijn Van Nieuwerburgh","doi":"10.1016/j.jfineco.2024.103819","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103819","url":null,"abstract":"<div><p>We study aggregate lapsation risk in the life insurance sector. We construct two lapsation risk factors that explain a large fraction of the common variation in lapse rates of the 30 largest life insurance companies. The first is a cyclical factor that is positively correlated with credit spreads and unemployment, while the second factor is a trend factor that correlates with the level of interest rates. Using a novel policy-level database from a large life insurer, we examine the heterogeneity in risk factor exposures based on policy and policyholder characteristics. Young policyholders with higher health risk in low-income areas are more likely to lapse their policies during economic downturns. We explore the implications for hedging and valuation of life insurance contracts. Ignoring aggregate lapsation risk results in mispricing of life insurance policies. The calibrated model points to overpricing on average. In the cross-section, young, low-income, and high-health risk households face higher effective mark-ups than the old, high-income, and healthy.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103819"},"PeriodicalIF":8.9,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140160362","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
Political polarization in financial news 财经新闻中的政治两极分化
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-12 DOI: 10.1016/j.jfineco.2024.103816
Eitan Goldman , Nandini Gupta , Ryan Israelsen
{"title":"Political polarization in financial news","authors":"Eitan Goldman ,&nbsp;Nandini Gupta ,&nbsp;Ryan Israelsen","doi":"10.1016/j.jfineco.2024.103816","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103816","url":null,"abstract":"<div><p>Comparing coverage of the same corporate financial news by the conservative <em>Wall Street Journal</em> and the liberal <em>New York Times</em>, we find strong evidence of political polarization in their reporting on both the intensive and extensive margins of coverage. We show that this politics-induced disagreement in corporate financial news leads to an increase in abnormal trading volume for the most politically extreme firms. Our results highlight a new source of investor disagreement, arising out of polarized reporting of corporate financial news, that generates trade among investors.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103816"},"PeriodicalIF":8.9,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140112873","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
Production complementarity and information transmission across industries 跨行业的生产互补性和信息传递
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-10 DOI: 10.1016/j.jfineco.2024.103812
Charles M.C. Lee , Terrence Tianshuo Shi , Stephen Teng Sun , Ran Zhang
{"title":"Production complementarity and information transmission across industries","authors":"Charles M.C. Lee ,&nbsp;Terrence Tianshuo Shi ,&nbsp;Stephen Teng Sun ,&nbsp;Ran Zhang","doi":"10.1016/j.jfineco.2024.103812","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103812","url":null,"abstract":"<div><p>Economic theory suggests that production complementarity is an important driver of sectoral co-movements and business cycle fluctuations. We operationalize this concept using a measure of production complementarity proximity (<em>COMPL</em>) between any two companies. We show firms from different industries but are closely aligned in <em>COMPL</em> exhibit strong co-movement in their operating, investing, and financing activities, as well as quarterly earnings revisions and monthly returns. We further document a lead-lag effect in their returns, such that a long-short strategy based on recent <em>COMPL</em> peer returns yields a monthly 6-factor alpha of 122 basis points. This inter-industry momentum spillover effect is not explained by other network-based mechanisms, such as shared analyst coverage. We conclude information transmission takes place along complementarity networks, but stock prices do not update instantaneously.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103812"},"PeriodicalIF":8.9,"publicationDate":"2024-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140095919","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
Missing values handling for machine learning portfolios 处理机器学习投资组合的缺失值
IF 8.9 1区 经济学
Journal of Financial Economics Pub Date : 2024-03-08 DOI: 10.1016/j.jfineco.2024.103815
Andrew Y. Chen , Jack McCoy
{"title":"Missing values handling for machine learning portfolios","authors":"Andrew Y. Chen ,&nbsp;Jack McCoy","doi":"10.1016/j.jfineco.2024.103815","DOIUrl":"https://doi.org/10.1016/j.jfineco.2024.103815","url":null,"abstract":"<div><p>We characterize the structure and origins of missingness for 159 cross-sectional return predictors and study missing value handling for portfolios constructed using machine learning. Simply imputing with cross-sectional means performs well compared to rigorous expectation-maximization methods. This stems from three facts about predictor data: (1) missingness occurs in large blocks organized by time, (2) cross-sectional correlations are small, and (3) missingness tends to occur in blocks organized by the underlying data source. As a result, observed data provide little information about missing data. Sophisticated imputations introduce estimation noise that can lead to underperformance if machine learning is not carefully applied.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103815"},"PeriodicalIF":8.9,"publicationDate":"2024-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140062637","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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