Journal of Financial Economics

最新文章

• Estimating and testing investment-based asset pricing models AI翻译
  作者：Belo, Frederico; Deng, Yao; Salomao, Juliana
  作者单位：INSEAD Business School; University of Connecticut; University of Minnesota System; University of Minnesota Twin Cities; Centre for Economic Policy Research - UK
  摘要：Investment-based asset pricing models typically predict a close link between a firm's stock return and its characteristics at any point in time. Yet, previous studies have primarily focused on the weaker prediction that this link holds on average, finding substantial empirical support. We show how to incorporate the time- series predictions in the estimation and testing of investment-based models using the generalized method of moments. We find that standard specifications of investment-based ...
• Systemic bank runs without aggregate risk: How a misallocation of liquidity may trigger a solvency crisis AI翻译
  作者：Altermatt, Lukas; van Buggenum, Hugo; Voellmy, Lukas
  作者单位：University of Essex; Swiss National Bank (SNB)
  摘要：We develop a general equilibrium model of self-fulfilling bank runs. The key novelty is the way in which the banking system's assets and liabilities are connected. Banks issue loans to entrepreneurs who sell goods to households, which in turn pay for the goods by redeeming bank deposits. The return on bank assets is thus contingent on households being able to withdraw their deposits. In a run, not all households that wish to consume manage to withdraw, since part of banks' cash reserves end up...
• How do Treasury dealers manage their positions? AI翻译
  作者：Fleming, Michael; Nguyen, Giang; Rosenberg, Joshua
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
  摘要：Using 31 years of data (1990-2020) on U.S. Treasury dealer positions, we find that Treasury issuance is the main driver of dealers' weekly inventory changes. Such inventory fluctuations are only partially offset in adjacent weeks and not significantly hedged with futures. Dealers are compensated for inventory risk by means of subsequent price appreciation of their holdings. Amid increased balance sheet costs attributable to post -crisis regulatory changes, dealers significantly reduce their po...
• Independent regulators and financial stability evidence from gubernatorial election campaigns in the Progressive Era AI翻译
  作者：Del Angel, Marco; Richardson, Gary
  作者单位：California State University System; California State University Los Angeles; Tsinghua University; National Bureau of Economic Research; University of California System; University of California Irvine
  摘要：Regulatory independence forms a foundation for modern financial systems. The institutions' value is illuminated by a Progressive Era policy experiment when independent state-bank regulators came under governors' supervision. Afterwards, bank resolution rates declined during gubernatorial election campaigns for banks supervised by state but not national authorities. This gubernatorial-campaign effect diminished by two orders of magnitude, but did not disappear, after the FDIC became the indepen...
• Monetary policy transmission in segmented markets AI翻译
  作者：Eisenschmidt, Jens; Ma, Yiming; Zhang, Anthony Lee
  作者单位：Columbia University; University of Chicago
  摘要：Repo markets are an important first stage of monetary policy transmission. In the European repo market, the majority of participants, including non-dealer banks and non-banks, do not have access to centralized trading platforms. Rather, they rely on OTC intermediation by a small number of dealers that exert significant market power. Dealer market power causes the passthrough of the ECB's policy rate to be inefficient and unequal. Allowing market participants access to centralized trading platf...
• The effects of policy interventions to limit illegal money lending AI翻译
  作者：Leong, Kaiwen; Li, Huailu; Pavanini, Nicola; Walsh, Christoph
  作者单位：Griffith University; Fudan University; Shanghai Institute of International Finance & Economics; Tilburg University; Centre for Economic Policy Research - UK; Tilburg University
  摘要：We estimate a structural model of borrowing and lending in the illegal money lending market using a unique panel survey of 1,090 borrowers taking out 11,032 loans from loan sharks. We use the model to evaluate the effects of interventions aimed at limiting this market. We find that an enforcement crackdown that occurred during our sample period increased lenders' unit cost of harassment and interest rates, while lowering volume of loans, lender profits and borrower welfare. Policies removing b...
• Measuring macroeconomic tail risk AI翻译
  作者：Marfe, Roberto; Penasse, Julien
  作者单位：University of Turin; Collegio Carlo Alberto; University of Turin; University of Luxembourg
  摘要：This paper estimates consumption and GDP tail risk dynamics over the long run (1900-2020). Our predictive approach circumvents the scarcity of large macroeconomic crises by exploiting a rich information set covering 42 countries. This flexible approach does not require asset price information and can thus serve as a benchmark to evaluate the empirical validity of rare disaster models. Our estimates covary with asset prices and forecast future stock returns, in line with theory. A calibration d...
• Learning about the consumption risk exposure of firms AI翻译
  作者：Kim, Yongjin; Kuehn, Lars-Alexander; Lic, Kai
  作者单位：University of New Mexico; Carnegie Mellon University; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
  摘要：We structurally estimate an investment-based asset pricing model, in which firms' exposure to macroeconomic risk is unknown. Bayesian beliefs about this parameter are updated from firms' and industry peers' comovement between their productivity and consumption growth. The model implies that discount rates rise endogenously with the perceived risk exposure of firms, thereby depressing investment and valuation ratios. We test these predictions in the data and find strong support for them. We als...
• When the markets get COVID: COntagion, Viruses, and Information Diffusion ☆ AI翻译
  作者：Arteaga-Garavito, Maria Jose; Croce, Mariano M.; Farroni, Paolo; Wolfskeil, Isabella
  作者单位：Bocconi University; Centre for Economic Policy Research - UK; Bocconi University; European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve System Board of Governors
  摘要：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 frequenci...
• The proxy advisory industry: Influencing and being influenced AI翻译
  作者：Shu, Chong
  作者单位：Utah System of Higher Education; University of Utah
  摘要：This paper develops two new methods to infer a mutual fund's proxy advisors from SEC filings. It then applies these methods to characterize features of the proxy advice industry from 2007 to 2021: (i) As of 2021, ISS and Glass Lewis collectively control approximately 90 percent of the market. During this period, the market share of ISS remains stable, while that of Glass Lewis has increased. (ii) When a proxy advisor issues a recommendation opposing management, its customers are approximately ...