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Why do portfolio choice models predict inelastic demand? 为什么投资组合选择模型预测非弹性需求？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-06-02 DOI: 10.1016/j.jfineco.2025.104096
Carter Davis , Mahyar Kargar , Jiacui Li
{"title":"Why do portfolio choice models predict inelastic demand?","authors":"Carter Davis ,&nbsp;Mahyar Kargar ,&nbsp;Jiacui Li","doi":"10.1016/j.jfineco.2025.104096","DOIUrl":"10.1016/j.jfineco.2025.104096","url":null,"abstract":"<div><div>Classical asset pricing models predict that optimizing investors exhibit extremely high demand elasticities, while empirical estimates are significantly lower—by three orders of magnitude. To reconcile this disparity, we introduce a novel decomposition of investor demand elasticity into two key components: “price pass-through”, which captures how price movements forecast returns, and “unspanned returns”, reflecting a stock’s lack of perfect substitutes. In a factor model framework, we show that unspanned returns become significant when models include “weak factors”. Classical models overestimate demand elasticity by assuming both very low unspanned returns and high price pass-throughs, assumptions that are inconsistent with empirical evidence.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104096"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144194971","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 do short sellers trade? Evidence from intraday data and implications for informed trading models 卖空者什么时候交易？来自盘中数据的证据和对知情交易模型的影响
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-08-01 DOI: 10.1016/j.jfineco.2025.104148
Danqi Hu , Charles M. Jones , Xiaoyan Zhang , Xinran Zhang
{"title":"When do short sellers trade? Evidence from intraday data and implications for informed trading models","authors":"Danqi Hu ,&nbsp;Charles M. Jones ,&nbsp;Xiaoyan Zhang ,&nbsp;Xinran Zhang","doi":"10.1016/j.jfineco.2025.104148","DOIUrl":"10.1016/j.jfineco.2025.104148","url":null,"abstract":"<div><div>Using 2015–2019 intraday short sale data from CBOE, we show that shorting flows near the open, middle, and close all negatively predict future returns, but the shorting flows near the open and middle have stronger predictive power than shorting flows near the close. We relate our findings to three informed trading models with different predictions on the timing of the trades. The long term predictive power of shorting flows near the open and midday is consistent with Kyle’s (1985) model of steady trading; the intraday variation in shorting flows’ predictive power is more consistent with Holden and Subrahmanyam’s (1992) aggressive trading model, in the sense that predictive power of shorting flows is stronger when there is greater urgency to trade at open and when the securities lending market is more competitive; and the liquidity timing hypothesis from Collin-Dufresne and Fos (2016) is also supported by the finding that opening shorting flows increase for firms with better liquidity conditions.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104148"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144757452","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
Diversification driven demand for large stock 多元化带动了大量库存需求
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-06-04 DOI: 10.1016/j.jfineco.2025.104109
Huaizhi Chen
{"title":"Diversification driven demand for large stock","authors":"Huaizhi Chen","doi":"10.1016/j.jfineco.2025.104109","DOIUrl":"10.1016/j.jfineco.2025.104109","url":null,"abstract":"<div><div>I show that as a portfolio’s value concentration increases, actively managed portfolios predictably trim large positions, maintaining a level of practical diversification. This rebalancing channel is concentrated at thresholds implied by regulatory guidelines and by a fund’s own risk management histories. Since larger stocks are typically held widely and in large weights, they experience a coordinated contrarian trading demand that originates from this form of risk management. Diversification driven demand captures a novel return-reversal pattern in the large stock portfolios. Compensating this source of demand accentuates momentum returns during the modern sample period (1990 to 2022).</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104109"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144212744","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
Why does options market information predict stock returns? 为什么期权市场信息可以预测股票收益？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-08-12 DOI: 10.1016/j.jfineco.2025.104153
Dmitriy Muravyev , Neil D. Pearson , Joshua M. Pollet
{"title":"Why does options market information predict stock returns?","authors":"Dmitriy Muravyev ,&nbsp;Neil D. Pearson ,&nbsp;Joshua M. Pollet","doi":"10.1016/j.jfineco.2025.104153","DOIUrl":"10.1016/j.jfineco.2025.104153","url":null,"abstract":"<div><div>Several influential studies show that transformations of implied volatilities calculated from options prices predict stock returns. This predictability is puzzling because market participants readily observe options prices. We find that this predictability is consistent with implied volatilities reflecting stock borrow fees that are known to predict stock returns. We derive a formula relating the option-implied volatility spread to the borrow fee. Motivated by this relation, we show that the return predictability from implied volatility spread and skew decreases by at least two-thirds if high-fee stocks are excluded. The patterns for other predictors computed from option implied volatilities are similar.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104153"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144827302","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 invention of corporate governance 公司治理的发明
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-06-18 DOI: 10.1016/j.jfineco.2025.104115
Yueran Ma , Andrei Shleifer
{"title":"The invention of corporate governance","authors":"Yueran Ma ,&nbsp;Andrei Shleifer","doi":"10.1016/j.jfineco.2025.104115","DOIUrl":"10.1016/j.jfineco.2025.104115","url":null,"abstract":"<div><div>The analysis of corporate governance begins with a central feature of modern capitalism – the separation of ownership and control in large corporations – first empirically documented by Berle and Means (1932). Such separation entails several agency problems reflecting conflicts between managers and shareholders, such as self-dealing by managers, low effort, consumption of perquisites, and excessive growth and diversification. Berle and Means saw self-dealing as the central agency problem and stressed the law as the fundamental mechanism of addressing it. Jensen and Meckling (1976) considered the consumption of perquisites and emphasized private mechanisms, such as financial incentives for managers, to counter wasteful perks. Jensen (1986) instead focused on excessive growth and diversification, which led him to count on leverage and takeovers. The combination of public corporate governance mechanisms, mostly the law, and market governance shaped both theory and practice.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104115"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144341211","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
Polarization, purpose and profit 两极化，目的和利益
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-08-04 DOI: 10.1016/j.jfineco.2025.104147
Daniel Ferreira , Radoslawa Nikolowa
{"title":"Polarization, purpose and profit","authors":"Daniel Ferreira ,&nbsp;Radoslawa Nikolowa","doi":"10.1016/j.jfineco.2025.104147","DOIUrl":"10.1016/j.jfineco.2025.104147","url":null,"abstract":"<div><div>We present a model in which firms compete for workers who value nonpecuniary job attributes, such as purpose, sustainability, political stances, or working conditions. Firms adopt production technologies that enable them to offer jobs with varying levels of these desirable attributes. Firms’ profits are higher when they cater to workers with extreme preferences. In a competitive assignment equilibrium, firms become polarized and not only reflect but also <em>amplify</em> the polarized preferences of the general population. More polarized sectors exhibit higher profits, lower average wages, and a reduced labor share of value added. Sustainable investing amplifies firm polarization.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104147"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144766619","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
Information-based pricing in specialized lending 专业化借贷的信息化定价
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-23 DOI: 10.1016/j.jfineco.2025.104135
Kristian Blickle , Zhiguo He , Jing Huang , Cecilia Parlatore
{"title":"Information-based pricing in specialized lending","authors":"Kristian Blickle ,&nbsp;Zhiguo He ,&nbsp;Jing Huang ,&nbsp;Cecilia Parlatore","doi":"10.1016/j.jfineco.2025.104135","DOIUrl":"10.1016/j.jfineco.2025.104135","url":null,"abstract":"<div><div>We study how competition between asymmetrically informed banks, one specialized and one nonspecialized, affects loan prices. Both banks possess “general” signals regarding the borrower’s quality, which they use to screen loans. The specialized bank also has access to a “specialized” signal on which it bases its loan pricing. This private information-based pricing makes the specialized bank bid more aggressively, mitigating the informational rent effect that gives it monopolistic power. Our findings explain why loans from specialized lenders feature lower interest rates and better ex post performance. Supporting empirical evidence emphasizes the role of specialized information in shaping credit market outcomes.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104135"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144687353","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
Maximal extractable value and allocative inefficiencies in public blockchains 公共区块链中的最大可提取价值和分配效率低下
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-29 DOI: 10.1016/j.jfineco.2025.104132
Agostino Capponi , Ruizhe Jia , Kanye Ye Wang
{"title":"Maximal extractable value and allocative inefficiencies in public blockchains","authors":"Agostino Capponi ,&nbsp;Ruizhe Jia ,&nbsp;Kanye Ye Wang","doi":"10.1016/j.jfineco.2025.104132","DOIUrl":"10.1016/j.jfineco.2025.104132","url":null,"abstract":"<div><div>The blockchain settlement layer facilitates systematic frontrunning, resulting in inefficient block-space allocation. Private transaction pools can reduce these inefficiencies and enhance welfare. However, full adoption is limited by misaligned incentives between users and validators. Validators are reluctant to forgo rents they earn from frontrunning – referred to as maximal extractable value – leading to a partial adoption equilibrium in which frontrunning persists. Our empirical analysis of Ethereum’s Flashbots private pool supports these findings: validators earn higher revenues, users facing greater frontrunning risk are more likely to use the private pool, and attackers’ cost-to-revenue ratios in private pools converge to one.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104132"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144721158","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
Too Levered for Pigou: Carbon pricing, financial constraints, and leverage regulation 对庇古来说杠杆过高：碳定价、金融约束和杠杆监管
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-05-29 DOI: 10.1016/j.jfineco.2025.104105
Robin Döttling , Magdalena Rola-Janicka
{"title":"Too Levered for Pigou: Carbon pricing, financial constraints, and leverage regulation","authors":"Robin Döttling ,&nbsp;Magdalena Rola-Janicka","doi":"10.1016/j.jfineco.2025.104105","DOIUrl":"10.1016/j.jfineco.2025.104105","url":null,"abstract":"<div><div>We analyze optimal carbon pricing under financial constraints and endogenous climate-related transition and physical costs. The socially optimal emissions tax may be above or below a Pigouvian benchmark, depending on the strength of physical climate impacts on pledgeable resources. We derive necessary conditions for emissions taxes alone to implement a constrained-efficient allocation, and show a cap-and-trade system may dominate emissions taxes because it can be designed to have a less adverse effect on financial constraints. We also assess how capital structure, carbon price hedging markets, and socially responsible investors interact with emissions pricing, and evaluate other commonly used policy tools.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104105"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144168678","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
Defunding controversial industries: Can targeted credit rationing choke firms? 削减有争议行业的资金：有针对性的信贷配给能扼杀公司吗？
IF 10.4 1区 经济学
Journal of Financial Economics Pub Date : 2025-10-01 Epub Date: 2025-07-16 DOI: 10.1016/j.jfineco.2025.104133
Kunal Sachdeva , André F. Silva , Pablo Slutzky , Billy Y. Xu
{"title":"Defunding controversial industries: Can targeted credit rationing choke firms?","authors":"Kunal Sachdeva ,&nbsp;André F. Silva ,&nbsp;Pablo Slutzky ,&nbsp;Billy Y. Xu","doi":"10.1016/j.jfineco.2025.104133","DOIUrl":"10.1016/j.jfineco.2025.104133","url":null,"abstract":"<div><div>This paper examines the effects of targeted credit rationing by banks on firms likely to generate negative externalities. We exploit an initiative of the U.S. Department of Justice, labeled Operation Choke Point, which compelled banks to limit relationships with firms in controversial industries. Using supervisory loan-level data, we show that, as intended, targeted banks reduced lending and terminated relationships with affected firms. However, most of these firms fully substituted credit through nontargeted banks under similar terms. Overall, we find no significant shifts in the performance and investment of affected firms, suggesting that targeted credit rationing is widely ineffective in promoting change.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104133"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144633578","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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