Journal of Financial Economics

最新文章

• Honoring Michael C. Jensen AI翻译
  作者：[Anonymous]
• Strategic arbitrage in segmented markets AI翻译
  作者：Bryzgalova, Svetlana; Pavlova, Anna; Sikorskaya, Taisiya
  作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of Chicago
  摘要：We propose a model in which arbitrageurs act strategically in markets with entry costs. In a repeated game, arbitrageurs choose to specialize in some markets, which leads to the highest combined profits. We present evidence consistent with our theory from the options market, in which suboptimally unexercised options create arbitrage opportunities for intermediaries. We use transaction-level data to identify the corresponding arbitrage trades. Consistent with the model, only 57% of these opport...
• Can everyone tap into the housing piggy bank? Racial disparities in access to home equity AI翻译
  作者：Conklin, James N.; Gerardi, Kristopher; Lambie-Hanson, Lauren
  作者单位：University System of Georgia; University of Georgia; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
  摘要：We document large racial disparities in the ability of homeowners to access their accumulated housing wealth. Minority homeowners are significantly more likely to have their mortgage equity withdrawal (MEW) product applications rejected than White homeowners, and the unconditional disparities are significantly larger than those found in prior studies that focused on purchase and rate/term refinance loans. Had Black homeowners faced the same MEW denial rate as White homeowners in our sample per...
• The real and financial effects of internal liquidity: Evidence from the Tax Cuts and Jobs Act AI翻译
  作者：Albertus, James F.; Glover, Brent; Levine, Oliver
  作者单位：Carnegie Mellon University; University of Wisconsin System; University of Wisconsin Madison
  摘要：The Tax Cuts and Jobs Act unlocked as much as $1.7 trillion of U.S. multinationals' foreign cash. We examine the real and financial response to this liquidity shock and find that firms did not increase capital expenditures, employment, R&D, or M&A, regardless of financial constraints. On the financial side, firms paid out only about one-third of the new liquidity to shareholders and retained half as cash. This high retention was not associated with poor governance. The high propensity to retai...
• In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models AI翻译
  作者：Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua
  作者单位：University of Toronto; Iowa State University; Hong Kong University of Science & Technology
  摘要：Using available return data, many multi-factor asset pricing models present impressive in-sample Sharpe ratios, significantly surpassing that of the market portfolio. Such a performance, however, contradicts the conventional wisdom in finance. Investors cannot realistically attain the in-sample Sharpe ratios. They obtain the out-of-sample Sharpe ratios, which are significantly lower. Estimation risk is one reason for this performance deterioration. We theoretically study the effect of estimati...
• Robo advisors and access to wealth management AI翻译
  作者：Reher, Michael; Sokolinski, Stanislav
  作者单位：University of California System; University of California San Diego; Michigan State University; Michigan State University's Broad College of Business
  摘要：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 mo...
• Personality differences and investment decision-making AI翻译
  作者：Jiang, Zhengyang; Peng, Cameron; Yan, Hongjun
  作者单位：Northwestern University; National Bureau of Economic Research; University of London; London School Economics & Political Science; DePaul University
  摘要：We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five personality traits correlate with investors' beliefs about the stock market and economy, risk preferences, and social interaction tendencies. Two personality traits, Neuroticism and Openness, stand out in their explanatory power for equity investments. Investors with high Neuroticism and those with low Openness tend to allocate less investment to equities....
• Persistent and transitory components of firm characteristics: Implications for asset pricing AI翻译
  作者：Baba-Yara, Fahiz; Boons, Martijn; Tamoni, Andrea
  作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Tilburg University; Universidade Nova de Lisboa; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
  摘要：We study the horizon dimension of cross-sectional return predictability using a model where characteristics contain both persistent and transitory components. We test the implications of this model for the average returns of popular characteristic -based trading strategies at short versus long horizons after portfolio formation. Our evidence supports the claim that the relative compensation for persistent and transitory components varies across characteristics, in both magnitude and sign. Benc...
• High-frequency trading in the stock market and the costs of options market making AI翻译
  作者：Nimalendran, Mahendrarajah; Rzayev, Khaladdin; Sagade, Satchit
  作者单位：State University System of Florida; University of Florida; University of Edinburgh; Koc University; University of London; London School Economics & Political Science
  摘要：We investigate how high-frequency trading (HFT) in equity markets affects options market liquidity. We find that increased aggressive HFT activity in the stock market leads to wider bid-ask spreads in the options market through two main channels. First, options market makers' quotes are exposed to sniping risk from HFTs exploiting put-call parity violations. Second, informed trading in the options market further amplifies the impact of HFT in equity markets on the liquidity of options by simul...
• Price ceilings, market structure, and payout policies AI翻译
  作者：Li, Xiongshi; Ye, Mao; Zheng, Miles
  作者单位：Guangxi University of Finance & Economics; Cornell University; National Bureau of Economic Research; Texas Christian University
  摘要：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 a...