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Journal of Financial Intermediation最新文献

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Carrot and stick: A role for benchmark-adjusted compensation in active fund management 胡萝卜加大棒:基准调整薪酬在主动型基金管理中的作用
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-10-01 DOI: 10.1016/j.jfi.2022.100981
Juan Sotes-Paladino , Fernando Zapatero
{"title":"Carrot and stick: A role for benchmark-adjusted compensation in active fund management","authors":"Juan Sotes-Paladino ,&nbsp;Fernando Zapatero","doi":"10.1016/j.jfi.2022.100981","DOIUrl":"10.1016/j.jfi.2022.100981","url":null,"abstract":"<div><p>Investors delegating their wealth to privately informed managers face not only an intrinsic asymmetric information problem but also a potential misalignment in risk preferences. In this setting, we show that by tying fees symmetrically to the appropriate benchmark investors can tilt a fund portfolio toward their optimal risk exposure and realize nearly all the value of managers’ information. They attain these benefits despite an inherent inefficiency in the choice of the benchmark, and at no extra cost of compensating managers for exposure to relative-performance risk. Under certain conditions, benchmark-adjusted performance fees are necessary to prevent passive alternatives from dominating active management. Our results shed light on a recent debate on the appropriate fee structure of active funds in contexts of high competition from passive funds.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44440666","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: 1
Private equity and Covid-19 私募股权与Covid-19
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100968
Paul A. Gompers , Steven N. Kaplan , Vladimir Mukharlyamov
{"title":"Private equity and Covid-19","authors":"Paul A. Gompers ,&nbsp;Steven N. Kaplan ,&nbsp;Vladimir Mukharlyamov","doi":"10.1016/j.jfi.2022.100968","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100968","url":null,"abstract":"<div><p>We survey more than 200 private equity (PE) managers from firms with $1.9 trillion of assets under management (AUM) about their portfolio performance, decision-making and activities during the Covid-19 pandemic. Given that PE managers have significant incentives to maximize value, their actions during the pandemic should indicate what they perceive as being important for both the preservation and creation of value. PE managers believe that 40% of their portfolio companies are moderately negatively affected and 10% are very negatively affected by the pandemic. The private equity managers—both investment and operating partners—are actively engaged in the operations, governance, and financing in all of their current portfolio companies. These activities are more intensively pursued in those companies that have been more severely affected by the Covid-19 pandemic. As a result of the pandemic, they expect the performance of their existing funds to decline. They are more pessimistic about that decline than the venture capitalists (VCs) surveyed in Gompers et al. (2021). Despite the pandemic, private equity managers are seeking new investments. Rather than focusing on cost cutting, PE investors place a much greater weight on revenue growth for value creation. Relative to the 2012 survey results reported in Gompers, Kaplan, and Mukharlyamov (2016), they appear to give a larger equity stake to management teams and target somewhat lower returns.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042957322000213/pdfft?md5=8b911ac2705f7c8b66658628479fec82&pid=1-s2.0-S1042957322000213-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860013","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: 15
The riskiness of credit allocation and financial stability 信贷配置风险与金融稳定
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100980
Luis Brandão-Marques , Qianying Chen , Claudio Raddatz , Jérôme Vandenbussche , Peichu Xie
{"title":"The riskiness of credit allocation and financial stability","authors":"Luis Brandão-Marques ,&nbsp;Qianying Chen ,&nbsp;Claudio Raddatz ,&nbsp;Jérôme Vandenbussche ,&nbsp;Peichu Xie","doi":"10.1016/j.jfi.2022.100980","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100980","url":null,"abstract":"<div><p>Using firm-level data for 42 countries over 1991-2016, we show that the extent to which credit flows to relatively risker firms—which we label riskiness of credit allocation—is a distinct dimension of the credit cycle that helps predict downside risks to GDP growth and financial stress episodes, one to three years ahead, even after controlling for the magnitude of credit expansions and for financial conditions. The riskiness of credit allocation is both a measure of corporate vulnerability and of investor sentiment, but its predictive power does not simply come from its relation to these correlates of future financial stress.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860040","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
A leverage-based measure of financial stability 一种基于杠杆的金融稳定指标
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2021.100907
Tobias Adrian , Karol Jan Borowiecki , Alexander Tepper
{"title":"A leverage-based measure of financial stability","authors":"Tobias Adrian ,&nbsp;Karol Jan Borowiecki ,&nbsp;Alexander Tepper","doi":"10.1016/j.jfi.2021.100907","DOIUrl":"https://doi.org/10.1016/j.jfi.2021.100907","url":null,"abstract":"<div><p>The size and the leverage of financial market investors and the elasticity of demand of unlevered investors define MinMaSS, the smallest market size that can support a given degree of leverage. The financial system’s potential for financial crises can be measured by the <em>stability ratio</em>, the ratio of total market size to MinMaSS. We use that financial stability metric to gauge the buildup of vulnerability in the run-up to the 1998 Long-Term Capital Management crisis and argue that policymakers could have detected the potential for the crisis.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.jfi.2021.100907","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860041","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
Interbank connections, contagion and bank distress in the Great Depression✰ 大萧条中的银行间联系、传染和银行困境
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2020.100899
Charles W. Calomiris , Matthew Jaremski , David C. Wheelock
{"title":"Interbank connections, contagion and bank distress in the Great Depression✰","authors":"Charles W. Calomiris ,&nbsp;Matthew Jaremski ,&nbsp;David C. Wheelock","doi":"10.1016/j.jfi.2020.100899","DOIUrl":"https://doi.org/10.1016/j.jfi.2020.100899","url":null,"abstract":"<div><p>Liquidity shocks transmitted through interbank connections contributed to bank distress during the Great Depression. New data on interbank connections reveal that banks were vulnerable to closures of their correspondents and their respondents. Further, banks were less responsive to network liquidity risk in their management of cash and capital buffers after the Federal Reserve was established, suggesting that banks expected the Fed to reduce that risk. The Fed's presence weakened incentives for the most systemically important banks to maintain capital and cash buffers against liquidity risk, and thereby likely contributed to the banking system's vulnerability to contagion during the Depression.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.jfi.2020.100899","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860042","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
Consumption response to temporary price shock: Evidence from Singapore's annual sale event 消费对暂时价格冲击的反应:来自新加坡年度销售活动的证据
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100966
Sumit Agarwal , Kang Mo Koo , Wenlan Qian
{"title":"Consumption response to temporary price shock: Evidence from Singapore's annual sale event","authors":"Sumit Agarwal ,&nbsp;Kang Mo Koo ,&nbsp;Wenlan Qian","doi":"10.1016/j.jfi.2022.100966","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100966","url":null,"abstract":"<div><p>Exploiting debit card and credit card transactions of a large, representative sample of consumers from a leading bank in Singapore, we examine the consumption response to an anticipated, transitory price shock generated by the nation-wide annual sale event. Consumers significantly increase their spending during the sale event. More importantly, we find inter-temporal substitution where consumers spend less immediately before the event, and cross-categorical substitution behavior where consumers decrease spending in items unaffected by the sale event. However, consumers exhibit little substitution behavior when they use credit cards or when they are liquidity constrained, highlighting the importance of heterogeneity in assessing the aggregate impact of such stimulus programs.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860014","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
What lies beneath—Negative interest rates and bank lending 下面是什么?负利率和银行贷款
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100969
Tan Schelling, Pascal Towbin
{"title":"What lies beneath—Negative interest rates and bank lending","authors":"Tan Schelling,&nbsp;Pascal Towbin","doi":"10.1016/j.jfi.2022.100969","DOIUrl":"10.1016/j.jfi.2022.100969","url":null,"abstract":"<div><p>We study the transmission of negative interest rates to bank lending around an unexpected policy rate cut into deep negative territory by the Swiss National Bank (−0.75%). We exploit a rich data set on transaction-level corporate loans matched with bank balance sheet data. We find that banks more affected by negative interest rates offer looser lending terms and lend more than other banks. This result is consistent with the risk-taking channel, where a lower policy rate spurs bank risk-taking to maintain profits. The result implies that, even in such deep negative territory, the reversal rate has not yet been hit.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46886749","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: 6
Villains or scapegoats? The role of subprime borrowers in driving the U.S. housing boom 恶棍还是替罪羊?次级借款人在推动美国房地产繁荣中的作用
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2021.100906
James N. Conklin , W. Scott Frame , Kristopher Gerardi , Haoyang Liu
{"title":"Villains or scapegoats? The role of subprime borrowers in driving the U.S. housing boom","authors":"James N. Conklin ,&nbsp;W. Scott Frame ,&nbsp;Kristopher Gerardi ,&nbsp;Haoyang Liu","doi":"10.1016/j.jfi.2021.100906","DOIUrl":"https://doi.org/10.1016/j.jfi.2021.100906","url":null,"abstract":"<div><p><span>An expansion in mortgage credit to subprime borrowers is widely believed to have been a principal driver of the 2002-2006 U.S. </span>house price<span> boom. By contrast, this paper documents a robust, negative correlation between the growth in the share of purchase mortgages to subprime borrowers and house price appreciation at the county-level during this time. Using two different instrumental variables approaches, we also establish causal evidence that house price appreciation lowered the share of purchase loans to subprime borrowers. Further analysis using micro-level credit bureau data shows that higher house price appreciation reduced the transition rate into first-time homeownership for subprime individuals. Finally, the paper documents that subprime borrowers did not play a significant role in the increased speculative activity and underwriting fraud that the literature has linked directly to the housing boom. Taken together, these results are more consistent with subprime borrowers being priced out of housing boom markets rather than inflating prices in those markets.</span></p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.jfi.2021.100906","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860012","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
Countercyclical prudential buffers and bank risk-taking 逆周期审慎缓冲和银行冒险
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100961
Manuel Illueca , Lars Norden , Joseph Pacelli , Gregory F. Udell
{"title":"Countercyclical prudential buffers and bank risk-taking","authors":"Manuel Illueca ,&nbsp;Lars Norden ,&nbsp;Joseph Pacelli ,&nbsp;Gregory F. Udell","doi":"10.1016/j.jfi.2022.100961","DOIUrl":"https://doi.org/10.1016/j.jfi.2022.100961","url":null,"abstract":"<div><p>We investigate the effects of countercyclical prudential buffers on bank risk-taking. We exploit the introduction of dynamic loan loss provisioning in Spain, mandating that banks use historical average loss rates in their estimation of loan loss provisions. We find that dynamic loan loss provisioning is associated with reductions in timely loan loss provisioning. Banks that previously recognized loan losses in a timely fashion exhibit the greatest reductions in timeliness and consequently extend loans to riskier borrowers with lower accounting quality. Our results have policy implications for the debate on the use of financial reporting requirements in mitigating capital pro-cyclicality.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71860015","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
Bailing out conflicted sovereigns 拯救冲突的主权？
IF 5.2 1区 经济学
Journal of Financial Intermediation Pub Date : 2022-07-01 DOI: 10.1016/j.jfi.2022.100979
Charles W. Calomiris , Theofanis Tsoulouhas
{"title":"Bailing out conflicted sovereigns","authors":"Charles W. Calomiris ,&nbsp;Theofanis Tsoulouhas","doi":"10.1016/j.jfi.2022.100979","DOIUrl":"10.1016/j.jfi.2022.100979","url":null,"abstract":"<div><p>How should sovereign bailouts take account of the effects bailouts have on policy reforms? Conflicted recipient governments complicate bailout choices because some reforms that spur growth reduce rents that benefit government decision makers. Our model takes account of whether bailout generosity and policy reforms are strategic substitutes, strategic complements or both, and each case implies a different optimal bailout contract, which generally cannot achieve First Best. Conditional forgiveness of some loan payments when economic outcomes are sufficiently favorable can achieve outcomes closer to First Best, and this is so for a small ex ante amount of the bailout subsidy.</p></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":null,"pages":null},"PeriodicalIF":5.2,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45528847","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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