Journal of Financial Economics

最新文章

• Diversification driven demand for large stock AI翻译
  作者：Chen, Huaizhi
  作者单位：University of Notre Dame
  摘要：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 ...
• Central Bank-Driven Mispricing AI翻译
  作者：Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide
  作者单位：Goethe University Frankfurt; Universita Ca Foscari Venezia; New York University; New York University; University of Virginia
  摘要：We explore whether Quantitative Easing (QE) negatively affected the functioning of the treasury market. Focusing on the arbitrage between European sovereign bonds and their futures contracts, we show that the scarcity of treasuries created by QE led to a disconnect between the prices of identical assets. We identify three channels: reduced bond market liquidity, increased funding costs in the repo market, and a higher cost of carry. A change in a policy instrument allows us to identify scarcit...
• The impact of introducing a (nearly) redundant security: Evidence from Malaysian corporate bonds AI翻译
  作者：Berndt, Antje; Helwege, Jean; Liu, Amanda; Packer, Frank
  作者单位：Australian National University; University of California System; University of California Riverside; Bank for International Settlements (BIS)
  摘要：We develop a general equilibrium model in which firms issue nearly redundant securities to investor clienteles with participation constraints, with prices and demand determined endogenously in primary and secondary markets. The model characterizes how issuance costs, market frictions, and investor composition shape firms' funding choices, equilibrium prices, and asset allocations. We test the model's predictions using data from the Malaysian corporate bond market following the introduction of ...
• Forecast bias across horizons: Inflation expectations and the Treasury yields AI翻译
  作者：Pang, Hao
  作者单位：University of Texas System; University of Texas Dallas
  摘要：I show that the overreaction of the long-term yield forecasts to yield news, evidenced in recent studies, results directly from the overreaction of long-horizon inflation forecasts to inflation news. Motivated by this finding, I study how agents form inflation expectations across forecast horizons. Short-horizon survey forecasts underreact, while long-horizon forecasts overreact to inflation news. To reconcile this behavior, I implement a long-run bias, building on the widely shared intuition ...
• Social media as a bank run catalyst AI翻译
  作者：Cookson, J. Anthony; Fox, Corbin; Gil-Bazo, Javier; Imbet, Juan F.; Schiller, Christoph
  作者单位：University of Colorado System; University of Colorado Boulder; Clemson University; Barcelona School of Economics; Pompeu Fabra University; Universite PSL; Universite Paris-Dauphine; University System of Ohio; Ohio State University
  摘要：After the run on Silicon Valley Bank (SVB) in March 2023, U.S. regional banks entered a period of significant distress. We quantify social media's role in this distress using comprehensive Twitter data. During the SVB run period, banks with high pre-existing exposure to Twitter lost 4.3 percentage points more stock market value. Moreover, Twitter pre-exposure interacts significantly with classical run risks to predict greater run severity and greater deposit outflows during Q1-2023, effects un...
• The lessons of Michael C. Jensen AI翻译
  作者：Stulz, Rene M.
  作者单位：University System of Ohio; Ohio State University; European Corporate Governance Institute
  摘要：This paper assesses the contributions of Michael C. Jensen to financial economics and to American business. His work on agency theory is the cornerstone of modern corporate finance. He influenced how American business operates by helping make the internal and external governance of firms more efficient. He changed how knowledge in financial economics is diffused both through the founding of the Journal of Financial Economics and of the Social Science Research Network. I question the claim made...
• Resilience in collective bargaining AI翻译
  作者：Avenancio-Leon, Carlos F.; Piccolo, Alessio; Pinto, Roberto
  作者单位：University of California System; University of California San Diego; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Lancaster University
  摘要：A central finding of the theoretical literature on bargaining is that parties' attitudes towards delay influence bargaining outcomes. However, the ability to endure delays, resilience, is often private information and hard to measure in most real-world contexts. In the context of collective bargaining, we show firms actively attempt to become financially resilient in anticipation of labor negotiations. Firms adjust their financial resilience to respond to the passage of right-to-work laws (RWL...
• Maximal extractable value and allocative inefficiencies in public blockchains AI翻译
  作者：Capponi, Agostino; Jia, Ruizhe; Wang, Kanye Ye
  作者单位：Columbia University; Stanford University; University of Macau; University of Macau; University of Macau
  摘要：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 Eth...
• Entrepreneurial spillovers across coworkers AI翻译
  作者：Wallskog, Melanie
  作者单位：Duke University
  摘要：How do workplace social connections shape everyday entrepreneurship? Using comprehensive data on millions of American workers across the economy, I find three key patterns. First, entrepreneurial coworkers inspire and teach entrepreneurship: individuals are more likely to become entrepreneurs after working with coworkers who previously led young businesses. Second, these effects predominantly occur within demographic groups, perpetuating lower entrepreneurship rates for women and Black America...
• Global volatility and firm-level capital flows AI翻译
  作者：Kacperczyk, Marcin; Nosal, Jaromir; Wang, Tianyu
  作者单位：Imperial College London; Centre for Economic Policy Research - UK; Boston College; Tsinghua University
  摘要：We study the impact of global volatility on the equity portfolio flows of institutional investors worldwide. Aggregate equity allocations of institutional investors decrease during periods of high volatility, both in developed and, even more strongly, in emerging markets. Our granular portfolio-level data allows us to uncover disaggregated investor responses that are an order of magnitude larger than aggregate estimates, and are dominated by discretionary (investor-driven) component of flows. ...