Review of Financial Studies

最新文章

• Effects of Credit Expansions on Stock Market Booms and Busts AI翻译
  作者：Hansman, Christopher; Hong, Harrison; Jiang, Wenxi; Liu, Yu-Jane; Meng, Juan-Juan
  作者单位：Emory University; Columbia University; Chinese University of Hong Kong; Peking University
  摘要：There is causal evidence that mortgage credit expansions increase house prices. Does an expansion of margin lending increase stock prices? Because unconstrained arbitrageurs are more important for pricing stocks than homes, the impact is not obvious. Tests are limited because sizable shocks to margin lending are rare. We examine a major Chinese margin-lending expansion between 2010 and 2015. Institutional holding, regression discontinuity, and event study evidence-exploiting the rollout of mar...
• Man versus Machine Learning Revisited AI翻译
  作者：Zhang, Yingguang; Zhu, Yandi; Linnainmaa, Juhani T.
  作者单位：Peking University; Central University of Finance & Economics; Dartmouth College; National Bureau of Economic Research
  摘要：Binsbergen, Han, and Lopez-Lira (2023) predict analysts' forecast errors using a random forest model. A strategy that trades against this model's predictions earns a monthly alpha of 1.54% ($ t $-value = 5.84). This estimate represents a large improvement over studies using classical statistical methods. We attribute the difference to a look-ahead bias. Removing the bias erases the alpha. Linear models yield as accurate forecasts and superior trading profits. Neither alternative machine learni...
• An Equilibrium Model of Imperfect Hedging: Transaction Costs, Heterogeneity in Risk Aversion, and Return Volatility AI翻译
  作者：Loewenstein, Mark; Qin, Zhenjiang
  作者单位：University System of Maryland; University of Maryland College Park; University of Macau
  摘要：Financial transaction taxes, or generally transaction costs, are salient in derivatives markets and seldom studied in equilibrium models. We study a tractable model with proportional transaction costs where agents trade a derivative with nonlinear payoffs to hedge nontraded endowments. We show that trade is sustained in an equilibrium with transaction costs only if there is sufficient heterogeneity in risk aversion. When there is trade, the equilibrium return variance increases in transaction ...
• 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 ...
• Memory Moves Markets AI翻译
  作者：Charles, Constantin
  作者单位：University of London; London School Economics & Political Science
  摘要：I show that memory-induced attention can distort prices in financial markets. I exploit rigid earnings announcement schedules to identify which firms are associated in investors' memory. Firms with randomly overlapping earnings announcements are associated in memory because many investors experience them in the same context. Months later, when only one of the two firms announces earnings, this context is cued, and triggers the recall of the other, associated firm. On such days, I find that mem...
• Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes AI翻译
  作者：Goyal, Amit; Saretto, Alessio
  作者单位：University of Lausanne; Swiss Finance Institute (SFI); Federal Reserve System - USA; Federal Reserve Bank - Dallas
  摘要：A number of delta-hedged equity option strategies exhibit very large average returns. We show that much of the profitability of these strategies can be explained by an IPCA factor model. The economic magnitude of the return-adjustment produced by IPCA is impressive: even before transaction costs, the average IPCA alpha of 46 long-short trading strategies constructed on previously discovered signals, is close to zero and contrasts with average realized returns of over 80 basis points per month....
• The Shadow Cost of Collateral AI翻译
  作者：Pan, Guangqian; Pan, Zheyao; Xiao, Kairong
  作者单位：University of Sydney; Macquarie University; Columbia University
  摘要：We quantify the cost of pledging collateral for small businesses by exploiting a regulatoryquirk of the SBA disaster lending program in which firms are exempt from posting collateralif their loan size is below a threshold. Firms bunch their loans below the threshold,and the resultant distortion in the loan size distribution reveals the magnitude of thecollateral cost. The collateral cost is substantial and varies across collateral types, businesssectors, and collateral laws in ways consistent ...
• Is Capital Structure Irrelevant with ESG Investors? AI翻译
  作者：Feldhutter, Peter; Pedersen, Lasse Heje
  作者单位：Copenhagen Business School; Copenhagen Business School
  摘要：This paper examines whether capital structure is irrelevant for enterprise value and investment when investors care about environmental, social, and governance issues, which we refer to as ESG-Modigliani-Miller (ESG-MM). Theoretically, we show that ESG-MM holds with linear pricing and additive ESG. ESG-MM means that issuing low-yielding green bonds does not lower the overall cost of capital because it makes the issuer's other securities browner. Hence, a firm's incentive to make a green invest...