Review of Financial Studies

最新文章

• Hedging, Contract Enforceability, and Competition AI翻译
  作者：Giambona, Erasmo; Kumar, Anil; Phillips, Gordon M.
  作者单位：Syracuse University; Aarhus University; Danish Finance Institute; Dartmouth College; National Bureau of Economic Research
  摘要：We study how risk management through hedging affects firms and competition among firms in the life insurance industry, an industry with over 7 trillion in assets and over 1,000 private and public firms. We examine firms after a staggered state-level reform that reduces the costs of hedging by granting derivatives superpriority in case of insolvency. We show that firms that are likely to face costly external finance increase hedging and reduce risk and the probability of receivership. Firms tha...
• Common Pricing of Decentralized Risk: A Linear Option Pricing Model AI翻译
  作者：Wu, Liuren; Zhang, Yuzhao
  作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
  摘要：This paper proposes a top-down linear option pricing model that unifies the pricing of different option contracts not by assuming common dynamics but by imposing common pricing on each risk source in proportion to decentralized risk estimates. The model generates significantly better pricing performance than existing bottom-up models. Its high-dimensional risk structure effectively explains the options return variation, allowing for the seamless integration of option pricing with risk manageme...
• Unmasking Mutual Fund Derivative Use AI翻译
  作者：Kaniel, Ron; Wang, Pingle
  作者单位：University of Rochester; Centre for Economic Policy Research - UK; University of Texas System; University of Texas Dallas
  摘要：Using new SEC data, we study fund derivative use and its impact on performance. Despite small portfolio weights, derivatives contribute largely to fund returns. Contrary to prior research, we find most employ derivatives to amplify, not hedge, equity returns. Using machine learning to classify funds' derivative strategies reveals high specializations linked to information-related trading, liquidity management, gaining exposure, or hedging motives. Long index derivative users drive the amplific...
• Mutual Fund Flows at Long Horizons AI翻译
  作者：Bessembinder, Hendrik; Chen, Shuaiyu; Cooper, Michael J.; Xue, Jinming; Zhang, Feng
  作者单位：Arizona State University; Arizona State University-Tempe; University of Virginia; Utah System of Higher Education; University of Utah; Southern Methodist University
  摘要：We show that positive flows to active mutual funds with high recent returns partially reverse at longer horizons. This outcome is robust across a broad range of alternative specifications. Reversal occurs from greater outflows associated with high prior returns, not reduced inflows. We test theories to explain the reversal: investment life cycles, tax loss selling, and a behavioral disappointment hypothesis based on investors' overreaction to positive returns. While both tax loss selling and s...
• Smokestacks and the Swamp AI翻译
  作者：Bisetti, Emilio; Lewellen, Stefan; Sarkar, Arkodipta; Zhao, Xiao
  作者单位：Hong Kong University of Science & Technology; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; European Corporate Governance Institute; National University of Singapore; Shanghai Jiao Tong University
  摘要：We examine whether politicians affect local firms' industrial pollution, and whether such effects are transmitted through plant-level networks to affect pollution in other regions. We first document that close Democrat wins in U.S. congressional races are associated with lower emissions and higher abatement at the plant level, especially when politicians have strong pro-environmental preferences. We also find evidence of reallocation: firms shift emissions away from areas represented by Democr...
• Financial Restructuring and Resolution of Banks AI翻译
  作者：Colliard, Jean-Edouard; Gromb, Denis
  作者单位：Hautes Etudes Commerciales (HEC) Paris
  摘要：How do resolution frameworks affect the private restructuring of distressed banks? We model a bank's shareholders and creditors negotiating a restructuring, under two frictions: asymmetric information about asset quality and externalities on the government. High-quality banks signal themselves by delaying the negotiation, which is socially inefficient. Public policies can improve welfare if they reduce the signaling motive or increase the negotiation surplus. Stricter bail-in rules make debt m...
• Dissecting Corporate Culture Using Generative AI AI翻译
  作者：Li, Kai; Mai, Feng; Shen, Rui; Yang, Chelsea; Zhang, Tengfei
  作者单位：University of British Columbia; University of Iowa; The Chinese University of Hong Kong, Shenzhen; Rutgers University System; Rutgers University Camden; Rutgers University New Brunswick
  摘要：We conduct the first large-scale study of how different stakeholder groups assess corporate culture and quantify the economic implications of those differences. We employ generative AI to analyze analyst reports, call transcripts, and employee reviews, and organize the
• Societal Inequality and Bank Deposit Dynamics: Evidence from the Freedman's Savings Bank AI翻译
  作者：Traweek, Virginia; Wardlaw, Malcolm
  作者单位：Texas Christian University; University System of Georgia; University of Georgia
  摘要：We study depositor behavior and capital flight using data from the Freedman's Savings Bank, a bank established after the U.S. Civil War to support formerly enslaved individuals. White depositors, who generally had better access to financial information, begin providing significant funding as interest terms are enhanced. They respond faster to postpanic stabilization efforts and negative bank-specific information, and are twice as likely to close accounts before failure, passing expected losses...
• Shared Destinies? Small Banks and Small Businesses AI翻译
  作者：Brennecke, Claire; Jacewitz, Stefan; Pogach, Jonathan
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; Federal Deposit Insurance Corporation (FDIC)
  摘要：We identify a new source for the declining role of small banks in the banking industry: Long-term changes in the banking sector are partially a consequence of changes in the industrial sector. Small banks are relatively more exposed to small business shocks, because small businesses compose a larger share of their customers. Lower real-side demand for small business financial services is responsible for part of the relative decline in small banks' deposits. Rough calculations suggest that depo...
• Bail-Ins, Optimal Regulation, and Crisis Resolution AI翻译
  作者：Clayton, Christopher; Schaab, Andreas
  作者单位：Yale University; National Bureau of Economic Research; University of California System; University of California Berkeley
  摘要：We develop a tractable dynamic contracting framework to study bank bail-in regimes. In the presence of a repeated monitoring problem, the optimal bank capital structure combines standard debt, which induces liquidation and provides strong incentives, and bail-in debt, which restores solvency but provides weaker incentives. Given fire sales, an optimal policy response entails joint regulation: a bail-in regime reduces standard debt while leverage regulation reduces total debt. Bail-ins replace ...