Journal of Financial Economics

最新文章

• Benchmark interest rates when the government is risky AI翻译
  作者：Augustin, P.; Chernov, M.; Schmid, L.; Song, D.
  作者单位：McGill University; University of California System; University of California Los Angeles; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Southern California; Center for Economic & Policy Research (CEPR); Johns Hopkins University
  摘要：Since the global financial crisis, interest rate swap rates, which represent future uncollateralized interbank borrowing, have fallen below maturity-matched Treasury rates. This is surprising, because US Treasuries, which are deemed expensive because of superior liquidity and safety, should produce yields that are lower than those of swap rates. We show, by no-arbitrage, that sovereign default risk explains negative swap spreads even without frictions such as balance sheet constraints, conveni...
• Inspecting the mechanism of quantitative easing in the euro area AI翻译
  作者：Koijen, Ralph S. J.; Koulischer, Francois; Nguyen, Benoit; Yogo, Motohiro
  作者单位：University of Chicago; National Bureau of Economic Research; University of Luxembourg; European Central Bank; Bank of France; Princeton University
  摘要：Using security-level holdings for all euro-area investors, we study portfolio rebalancing during the quantitative easing program from March 2015 to December 2017. Foreign investors outside the euro area accommodated most of the Eurosystem's purchases. Duration, government credit, and corporate credit risk did not get concentrated in particular regions or investor sectors. We estimate a demand system for government bonds by instrumental variables to relate portfolio rebalancing to yield changes...
• The hidden costs of being public: Evidence from multinational firms operating in an emerging market AI翻译
  作者：Slutzky, Pablo
  作者单位：University System of Maryland; University of Maryland College Park
  摘要：I study how firms deal with business regulations that limit their operations. I first show that the ownership structure of a firm affects its degree of compliance with regulations, with publicly listed firms complying more than privately held ones. This differential compliance imposes a burden on listed firms that helps explain mergers and acquisitions patterns. When regulatory levels increase, private firms acquire listed ones and listed firms stop acquiring private ones. These results uncove...
• Mutual fund flows and fluctuations in credit and business cycles AI翻译
  作者：Ben-Rephael, Azi; Choi, Jaewon; Goldstein, Itay
  作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; University of Illinois System; University of Illinois Urbana-Champaign; Yonsei University; University of Pennsylvania
  摘要：Several measures of credit-market booms are known to precede downturns in real economic activity. We offer an early indicator for all known measures of credit booms. Our measure is based on intra-family flow shifts towards high-yield bond mutual funds. It predicts indicators such as growth in financial intermediary balance sheets, increase in shares of high-yield bond issuers, and downturns of various measures of credit spreads. It also directly predicts the business cycle by positively predic...
• Unlocking clients: The importance of relationships in the financial advisory industry AI翻译
  作者：Gurun, Umit G.; Stoffman, Noah; Yonker, Scott E.
  作者单位：University of Texas System; University of Texas Dallas; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Cornell University
  摘要：We investigate the importance of client relationships in the financial advisory industry. We exploit firm-level variation in adoption of the Broker Protocol, which enabled clients to follow their advisers to member firms without fear of litigation. We show that advisers' ability to maintain client relationships is a significant predictor of their employment decisions; that about 40% of client assets follow advisers when they move; and that once clients are unlocked, firms become less willing t...
• Central bank communication and the yield curve AI翻译
  作者：Leombroni, Matteo; Vedolin, Andrea; Venter, Gyuri; Whelan, Paul
  作者单位：Stanford University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Boston University; Boston University; University of Warwick; Copenhagen Business School
  摘要：In this paper, we argue that monetary policy in the form of central bank communication can shape long-term interest rates by changing risk premia. Using high-frequency movements of default-free rates and equity, we show that monetary policy communications by the European Central Bank on regular announcement days led to a significant yield spread between peripheral and core countries during the European sovereign debt crisis by increasing credit risk premia. We also show that central bank commu...
• Pervasive underreaction: Evidence from high-frequency data AI翻译
  作者：Jiang, Hao; Li, Sophia Zhengzi; Wang, Hao
  作者单位：Michigan State University; Michigan State University's Broad College of Business; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
  摘要：We propose a novel high-frequency decomposition of daily stock returns into news-and non-news-driven components, and uncover evidence of pervasive stock market underreaction to firm news. Prices tend to drift in the same direction as the initial market response for several days after the news arrival without reversals. A trading strategy exploiting the return drift generates high abnormal returns and remains profitable after transaction costs. To understand the economic mechanism, we find that...
• Reciprocal lending relationships in shadow banking * AI翻译
  作者：Li, Yi
  作者单位：Federal Reserve System - USA
  摘要：Postcrisis regulations apply stricter liquidity rules to both money market funds (MMFs) and banks, requiring MMFs to do more overnight lending and banks to borrow longer term. MMFs and banks resolve this dilemma by developing a bundling strategy across overnight and longer term markets. In particular, MMFs increase longer term funding and charge a lower rate to banks that have recently accommodated MMFs' overnight depositing needs. Such cross-market reciprocity is stronger between MMFs and for...
• Failing to forecast rare events AI翻译
  作者：Bond, Philip; Dow, James
  作者单位：University of Washington; University of Washington Seattle; University of London; London Business School
  摘要：Do more talented traders prefer to bet on and against rare events or common events? Bets on rare events include out of the money options. Bets against rare events include the carry trade and investment grade bonds. In a model where traders specialize, equilibrium pricing reflects trading ability: A market with more skilled traders has a larger bid ask spread. We show that lower skill traders bet on and against rare events, while higher skill traders bet on and against frequent events, leading ...
• A day late and a dollar short: Liquidity and household formation among student borrowers AI翻译
  作者：Goodman, Sarena; Isen, Adam; Yannelis, Constantine
  作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; United States Department of the Treasury; University of Chicago; National Bureau of Economic Research
  摘要：The federal government encourages human capital investment through lending and grant programs, but resources from these programs may also finance non-education activities for liquidity-constrained students. To explore this possibility, we use administrative data for federal student borrowers linked to tax records and a sharp discontinuity generated by the timing of a student's 24th birthday, which induces a jump in federal support. We es-timate a corresponding increase in homeownership, with l...