当前期刊: Journal of Finance Go to current issue    加入关注   
显示样式:        排序: IF: - GO 导出
我的关注
我的收藏
您暂时未登录!
登录
  • Don't Take Their Word For It: The Misclassification of Bond Mutual Funds
    J. Financ. (IF 6.813) Pub Date : 2021-04-09
    HUAIZHI CHEN, LAUREN COHEN, UMIT G. GURUN

    We provide evidence that bond fund managers misclassify their holdings, and that these misclassifications have a real and significant impact on investor capital flows. The problem is widespread, resulting in up to 31.4% of funds being misclassified with safer profiles, compared to their true, publicly reported holdings. “Misclassified funds” – those that hold risky bonds but claim to hold safer bonds

  • Sentiment Trading and Hedge Fund Returns
    J. Financ. (IF 6.813) Pub Date : 2021-04-08
    YONG CHEN, BING HAN, JING PAN

    In the presence of sentiment fluctuations, arbitrageurs may engage in different strategies leading to dispersed sentiment exposures. We find that hedge funds in the top decile ranked by sentiment beta outperform those in the bottom decile by 0.59% per month on a risk‐adjusted basis, with the spread being larger among skilled funds. We also find that about 10% of hedge funds have sentiment timing skill

  • A Theory of Zombie Lending
    J. Financ. (IF 6.813) Pub Date : 2021-04-06
    YUNZHI HU, FELIPE VARAS

    An entrepreneur borrows from a relationship bank or the market. The bank has a higher cost of capital but produces private information over time. While the entrepreneur accumulates reputation as the lending relationship continues, asymmetric information is also developed between the bank/entrepreneur and the market. In this setting, zombie lending is inevitable: once the entrepreneur becomes sufficiently

  • Rent Extraction with Securities Plus Cash
    J. Financ. (IF 6.813) Pub Date : 2021-03-16
    TINGJUN LIU, DAN BERNHARDT

    In our target‐initiated theory of takeovers, a target approaches potential acquirers that privately know their standalone values and merger synergies, where higher synergy acquirers tend to have larger standalone values. Despite their information disadvantage, targets can extract all surplus when synergies and standalone values are concavely related by offering payment choices that are combinations

  • Banking on Deposits: Maturity Transformation without Interest Rate Risk
    J. Financ. (IF 6.813) Pub Date : 2021-02-15
    ITAMAR DRECHSLER, ALEXI SAVOV, PHILIPP SCHNABL

    We show that maturity transformation does not expose banks to interest rate risk—it hedges it. The reason is the deposit franchise, which allows banks to pay deposit rates that are low and insensitive to market interest rates. Hedging the deposit franchise requires banks to earn income that is also insensitive, that is, to lend long term at fixed rates. As predicted by this theory, we show that banks

  • Are CEOs Different?
    J. Financ. (IF 6.813) Pub Date : 2021-03-09
    STEVEN N. KAPLAN, MORTEN SORENSEN

    Using 2,603 executive assessments, we study how CEO candidates differ from candidates for other top management positions, particularly CFOs. More than half of the variation in the 30 assessed characteristics is explained by four factors that we interpret as general ability, execution (vs. interpersonal), charisma (vs. analytical), and strategic (vs. managerial). CEO candidates have more extreme factor

  • Time Variation of the Equity Term Structure
    J. Financ. (IF 6.813) Pub Date : 2021-03-30
    NIELS JOACHIM GORMSEN

    I study the term structure of one‐period expected returns on dividend claims with different maturity. I find that the slope of the term structure is counter cyclical. The counter cyclical variation is consistent with theories of long‐run risk and habit, but these theories cannot explain the average downward slope. At the same time, the cyclical variation is inconsistent with recent models constructed

  • How Debit Cards Enable the Poor to Save More
    J. Financ. (IF 6.813) Pub Date : 2021-03-29
    PIERRE BACHAS, PAUL GERTLER, SEAN HIGGINS, ENRIQUE SEIRA

    We study an at‐scale natural experiment in which debit cards were given to cash transfer recipients who already had a bank account. Using administrative account data and household surveys, we find that beneficiaries accumulated a savings stock equal to 2% of annual income after two years with the card. The increase in formal savings represents an increase in overall savings, financed by a reduction

  • Foreign Safe Asset Demand and the Dollar Exchange Rate
    J. Financ. (IF 6.813) Pub Date : 2021-02-02
    ZHENGYANG JIANG, ARVIND KRISHNAMURTHY, HANNO LUSTIG

    We develop a theory that links the U.S. dollar's valuation in FX markets to the convenience yield that foreign investors derive from holding U.S. safe assets. We show that this convenience yield can be inferred from the Treasury basis, the yield gap between U.S. government and currency‐hedged foreign government bonds. Consistent with the theory, a widening of the basis coincides with an immediate appreciation

  • Subjective Cash Flow and Discount Rate Expectations
    J. Financ. (IF 6.813) Pub Date : 2021-02-26
    RICARDO DE LA O, SEAN MYERS

    Why do stock prices vary? Using survey forecasts, we find that cash flow growth expectations explain most movements in the S&P 500 price‐dividend and price‐earnings ratios, accounting for at least 93% and 63% of their variation. These expectations comove strongly with price ratios, even when price ratios do not predict future cash flow growth. In comparison, return expectations have low volatility

  • For Richer, for Poorer: Bankers' Liability and Bank Risk in New England, 1867 to 1880
    J. Financ. (IF 6.813) Pub Date : 2021-02-11
    PETER KOUDIJS, LAURA SALISBURY, GURPAL SRAN

    We study whether banks are riskier if managers have less liability. We focus on New England between 1867 and 1880 and consider the introduction of marital property laws that limited liability for newly wedded bankers. We find that banks with managers who married after a law had higher leverage, delayed loss recognition, made more risky and fraudulent loans, and lost more capital and deposits in the

  • Trading Costs and Informational Efficiency
    J. Financ. (IF 6.813) Pub Date : 2021-02-10
    EDUARDO DÁVILA, CECILIA PARLATORE

    We study the effect of trading costs on information aggregation and acquisition in financial markets. For a given precision of investors' private information, an irrelevance result emerges when investors are ex ante identical: price informativeness is independent of the level of trading costs. When investors are ex ante heterogeneous, a change in trading costs can increase or decrease price informativeness

  • Leveraged Funds and the Shadow Cost of Leverage Constraints
    J. Financ. (IF 6.813) Pub Date : 2021-02-11
    ZHONGJIN LU, ZHONGLING QIN

    Using the most comprehensive data set of leveraged funds known to the literature, we measure the market‐wide shadow cost of leverage constraints and examine its pricing implications. The shadow cost averages 0.53% per annum from 2006 to 2016, spikes upon quarter‐ends when banks face tighter capital requirements, positively predicts future betting‐against‐beta (BAB) returns, and negatively correlates

  • The Economics of Hedge Fund Startups: Theory and Empirical Evidence
    J. Financ. (IF 6.813) Pub Date : 2021-02-05
    CHARLES CAO, GRANT FARNSWORTH, HONG ZHANG

    This paper examines how market frictions influence the managerial incentives and organizational structure of new hedge funds. We develop a stylized model in which new managers search for accredited investors and have stronger incentives to acquire managerial skill when encountering low investor demand. Fund families endogenously arise to mitigate frictions and weaken the performance incentives of affiliated

  • Monetary Policy and Reaching for Income
    J. Financ. (IF 6.813) Pub Date : 2021-02-01
    KENT DANIEL, LORENZO GARLAPPI, KAIRONG XIAO

    Using data on individual portfolio holdings and on mutual fund flows, we find that low interest rates lead to significantly higher demand for income‐generating assets such as high‐dividend stocks and high‐yield bonds. We argue that this “reaching‐for‐income” phenomenon is driven by investors who follow the “living off income” rule‐of‐thumb. Our empirical analysis shows that this preference for current

  • Who Wears the Pants? Gender Identity Norms and Intrahousehold Financial Decision‐Making
    J. Financ. (IF 6.813) Pub Date : 2021-02-02
    DA KE

    Using microdata from U.S. household surveys, I document that families with a financially sophisticated husband are more likely to participate in the stock market than those with a wife of equal financial sophistication. This pattern is best explained by gender identity norms, which constrain women's influence over intrahousehold financial decision‐making. A randomized controlled experiment reveals

  • Fire‐Sale Spillovers and Systemic Risk
    J. Financ. (IF 6.813) Pub Date : 2021-02-11
    FERNANDO DUARTE, THOMAS M. EISENBACH

    We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire‐sale‐specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual

  • Leverage Dynamics without Commitment
    J. Financ. (IF 6.813) Pub Date : 2020-12-22
    PETER M. DEMARZO, ZHIGUO HE

    We characterize equilibrium leverage dynamics in a trade‐off model in which the firm can continuously adjust leverage and cannot commit to a policy ex ante. While the leverage ratchet effect leads shareholders to issue debt gradually over time, asset growth and debt maturity cause leverage to mean‐revert slowly toward a target. Investors anticipate future debt issuance and raise credit spreads, fully

  • The Private Production of Safe Assets
    J. Financ. (IF 6.813) Pub Date : 2020-12-07
    MARCIN KACPERCZYK, CHRISTOPHE PÉRIGNON, GUILLAUME VUILLEMEY

    Using high‐frequency, granular panel data on short‐term debt securities issued in Europe, we study the existence, empirical boundaries, and fragility of private assets' safety. We show that only securities with the shortest maturities, issued by banks (certificates of deposit, or CDs), benefit from a safety premium. The supply of such CDs responds positively to excess safety demand. During periods

  • Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield, and Risk
    J. Financ. (IF 6.813) Pub Date : 2020-12-04
    WEI JIANG, JITAO OU, ZHONGYAN ZHU

    This study analyzes the motivations for and consequences of funds' credit default swap (CDS) investments using mutual funds' quarterly holdings from pre‐ to postfinancial crisis. Funds invest in CDS when facing unpredictable liquidity needs. Funds sell more in reference entities when the CDS is liquid relative to the underlying bonds and buy more when the CDS‐bond basis is more negative. To enhance

  • Financial Fragility with SAM?
    J. Financ. (IF 6.813) Pub Date : 2020-12-03
    DANIEL L. GREENWALD, TIM LANDVOIGT, STIJN VAN NIEUWERBURGH

    Shared appreciation mortgages (SAMs) feature mortgage payments that adjust with house prices. They are designed to stave off borrower default by providing payment relief when house prices fall. Some argue that SAMs may help prevent the next foreclosure crisis. However, home owners' gains from payment relief are mortgage lenders' losses. A general equilibrium model in which financial intermediaries

  • The Misguided Beliefs of Financial Advisors
    J. Financ. (IF 6.813) Pub Date : 2020-11-28
    JUHANI T. LINNAINMAA, BRIAN T. MELZER, ALESSANDRO PREVITERO

    A common view of retail finance is that conflicts of interest contribute to the high cost of advice. Within a large sample of Canadian financial advisors and their clients, however, we show that advisors typically invest personally just as they advise their clients. Advisors trade frequently, chase returns, prefer expensive and actively managed funds, and underdiversify. Advisors' net returns of −3%

  • Limited Risk Sharing and International Equity Returns
    J. Financ. (IF 6.813) Pub Date : 2020-11-24
    SHAOJUN ZHANG

    Limited stock market participation can potentially explain the disconnect between international asset prices and macro quantities. An incomplete markets model in which risk sharing for stockholders is high generates highly correlated equity returns and relatively smooth exchange rates. Risk sharing for nonstockholders is limited because of their nonparticipation in stock markets and borrowing constraints

  • The Perception of Dependence, Investment Decisions, and Stock Prices
    J. Financ. (IF 6.813) Pub Date : 2020-11-24
    MICHAEL UNGEHEUER, MARTIN WEBER

    How do investors perceive dependence between stock returns; and how does their perception of dependence affect investments and stock prices? We show experimentally that investors understand differences in dependence, but not in terms of correlation. Participants invest as if applying a simple counting heuristic for the frequency of comovement. They diversify more when the frequency of comovement is

  • Anonymous Trading in Equities
    J. Financ. (IF 6.813) Pub Date : 2020-11-12
    TOM GRIMSTVEDT MELING

    In this paper, I explore a reform at the Oslo Stock Exchange to assess the causal effect of posttrade trader anonymity on stock liquidity and trading volume. Using a regression discontinuity approach, I find that anonymity leads to a reduction in bid‐ask spreads of 40% and an increase in trading volume of more than 50%. The increase in trading volume is accounted for largely by increased trading activity

  • Public Thrift, Private Perks: Signaling Board Independence with Executive Pay
    J. Financ. (IF 6.813) Pub Date : 2020-11-12
    PABLO RUIZ‐VERDÚ, RAVI SINGH

    We analyze how boards' reputational concerns influence executive compensation and the use of hidden pay. Independent boards reduce disclosed pay to signal their independence, but are more likely than manager‐friendly boards to use hidden pay or to distort incentive contracts. Stronger reputational pressures lead to lower disclosed pay, weaker managerial incentives, and higher hidden pay, whereas greater

  • The Impact of Repossession Risk on Mortgage Default
    J. Financ. (IF 6.813) Pub Date : 2020-11-12
    TERRY O'MALLEY

    I study the effect of removing repossession risk on a mortgagor's decision to default. Reducing default costs may result in strategic default, particularly during crises when homeowners can be substantially underwater. I analyze difference‐in‐differences variation in repossession risk generated by an unexpected legal ruling in Ireland that prohibited collateral enforcement on delinquent residential

  • Liquidity Supply in the Corporate Bond Market
    J. Financ. (IF 6.813) Pub Date : 2020-11-10
    JONATHAN GOLDBERG, YOSHIO NOZAWA

    This paper examines dealer inventory capacity, or liquidity supply, as a driver of liquidity and expected returns in the corporate bond market. We identify shocks to aggregate liquidity supply using data on corporate bond yields and dealer positions. Liquidity supply shocks lead to persistent changes in market liquidity, are correlated with proxies for dealer financial constraints, and have significant

  • Equilibrium Asset Pricing with Leverage and Default
    J. Financ. (IF 6.813) Pub Date : 2020-11-09
    JOÃO F. GOMES, LUKAS SCHMID

    We develop a general equilibrium model linking the pricing of stocks and corporate bonds to endogenous movements in corporate leverage and aggregate volatility. The model features heterogeneous firms making optimal investment and financing decisions and connects fluctuations in macroeconomic quantities and asset prices to movements in the cross section of firms. Empirically plausible movements in leverage

  • Information Inertia
    J. Financ. (IF 6.813) Pub Date : 2020-10-04
    PHILIPP K. ILLEDITSCH, JAYANT V. GANGULI, SCOTT CONDIE

    We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency is more severe when there is more risk and ambiguity but disappears when investors are risk‐neutral or

  • A Unified Model of Firm Dynamics with Limited Commitment and Assortative Matching
    J. Financ. (IF 6.813) Pub Date : 2020-10-04
    HENGJIE AI, DANA KIKU, RUI LI, JINCHENG TONG

    We develop a unified theory of dynamic contracting and assortative matching to explain firm dynamics. In our model, neither firms nor managers can commit to arrangements that yield lower payoffs than their outside options, which are microfounded by the equilibrium conditions in a matching market. The model endogenously generates power laws in firm size and CEO compensation, and explains differences

  • Information Consumption and Asset Pricing
    J. Financ. (IF 6.813) Pub Date : 2020-09-25
    AZI BEN‐REPHAEL, BRUCE I. CARLIN, ZHI DA, RYAN D. ISRAELSEN

    We study whether firm and macroeconomic announcements that convey systematic information generate a return premium for firms that experience information spillovers. We use information consumption to proxy for investor learning during these announcements and construct ex ante measures of expected information consumption (EIC) to calibrate whether learning is priced. On days when there are information

  • A Dynamic Model of Optimal Creditor Dispersion
    J. Financ. (IF 6.813) Pub Date : 2020-09-24
    HONGDA ZHONG

    Borrowing from multiple creditors exposes firms to rollover risk due to coordination problems among creditors, but it also improves firms' repayment incentives, thereby increasing pledgeability. Based on this trade‐off, I develop a dynamic debt rollover model to analyze the evolution of creditor di