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Financial Sophistication and Consumer Spending 金融复杂性与消费者支出
IF 8 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-10-17 DOI: 10.1111/jofi.13393
ADAM TEJS JØRRING
Using detailed account-level data, this paper explores how financial sophistication affects consumers' spending responses to changes in income. I document that, controlling for liquidity, financially unsophisticated consumers display significant spending responses to predictable decreases in their disposable income. Furthermore, they have lower savings rates, fewer liquid savings, and higher debt-to-income ratios, leaving them more exposed to income shocks. Robustness tests, supported by anecdotal survey evidence, indicate that these results are driven by some consumers' lack of financial sophistication and their consequent failure to understand their financial contracts, rather than by random idiosyncratic shocks, rational liquidity management, or optimal inattention.
本文利用详细的账户层面数据，探讨了金融复杂程度如何影响消费者对收入变化的支出反应。根据我的记录，在控制流动性的情况下，财务不成熟的消费者会对可支配收入的可预测下降表现出明显的支出反应。此外，他们的储蓄率较低，流动性储蓄较少，债务收入比较高，因此更容易受到收入冲击的影响。在轶事调查证据的支持下，稳健性测试表明，这些结果是由于一些消费者缺乏金融知识，因而未能理解他们的金融合约，而不是由于随机的特异性冲击、理性的流动性管理或最佳的注意力不集中造成的。
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引用次数: 0
Liquidity Transformation and Fragility in the U.S. Banking Sector 美国银行业的流动性转型与脆弱性
IF 8 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-10-14 DOI: 10.1111/jofi.13390
QI CHEN, ITAY GOLDSTEIN, ZEQIONG HUANG, RAHUL VASHISHTHA
Liquidity transformation, a key role of banks, is thought to increase fragility, as uninsured depositors face an incentive to withdraw money before others (a so‐called panic run). Despite much theoretical work, however, there is little empirical evidence establishing this mechanism. In this paper, we provide the first large‐scale evidence of this mechanism. Banks that engage in more liquidity transformation exhibit higher fragility, as captured by stronger sensitivities of uninsured deposit flows to bank performance and greater levels of uninsured deposit outflows when performance is poor. We also explore the effects of deposit insurance and systemic risk.
流动性转换是银行的一个关键作用，被认为会增加银行的脆弱性，因为没有保险的存款人有动力抢先取款（即所谓的恐慌性挤兑）。然而，尽管有大量的理论研究，却鲜有实证证据证明这一机制。在本文中，我们首次提供了这一机制的大规模证据。参与更多流动性转换的银行表现出更高的脆弱性，这体现在未投保存款流量对银行业绩更敏感，以及业绩不佳时未投保存款流出水平更高。我们还探讨了存款保险和系统性风险的影响。
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引用次数: 0
Utility Tokens as a Commitment to Competition 实用代币是对竞争的承诺
IF 8 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-10-11 DOI: 10.1111/jofi.13389
ITAY GOLDSTEIN, DEEKSHA GUPTA, RUSLAN SVERCHKOV
We show that utility tokens can limit the rent‐seeking activities of two‐sided platforms with market power while preserving efficiency gains due to network effects. We model platforms where buyers and sellers can meet to exchange services. Tokens serve as the sole medium of exchange on a platform and can be traded in a secondary market. Tokenizing a platform commits a firm to give up monopolistic rents associated with the control of the platform, leading to long‐run competitive prices. We show how the threat of entrants can incentivize developers to tokenize and discuss cases where regulation is needed to enforce tokenization.
我们的研究表明，效用代币可以限制具有市场力量的双面平台的寻租活动，同时保留网络效应带来的效率收益。我们建立了一个平台模型，在这个平台上，买卖双方可以见面交换服务。代币是平台上唯一的交换媒介，可以在二级市场上交易。平台代币化意味着企业放弃与平台控制权相关的垄断租金，从而导致长期竞争价格。我们展示了进入者的威胁如何激励开发者进行代币化，并讨论了需要监管来强制代币化的情况。
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引用次数: 0
Putting the Price in Asset Pricing 资产定价中的价格问题
IF 8 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-10-09 DOI: 10.1111/jofi.13391
THUMMIM CHO, CHRISTOPHER POLK
We propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time‐series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long‐horizon returns. We apply our techniques to study the cross‐section of price levels relative to the capital asset pricing model (CAPM) and find that a single characteristic, adjusted value, provides a parsimonious model of CAPM‐implied abnormal price.
我们提出了一种估算投资组合异常价格的新方法，即价格与用选定资产定价模型计算的股息现值之间的百分比差距。我们的方法基于一种新的特性，类似于异常收益的时间序列估算器，避免了其他方法的问题，并阐明了风险和错误定价在长期收益中的作用。我们运用我们的技术研究了相对于资本资产定价模型（CAPM）的价格水平横截面，发现调整后价值这一单一特征提供了一个 CAPM 暗示异常价格的简明模型。
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引用次数: 0
AMERICAN FINANCE ASSOCIATION 美国金融协会
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-09-08 DOI: 10.1111/jofi.13154
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引用次数: 0
FinTech Credit and Entrepreneurial Growth 金融科技信贷与企业家成长
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-08-30 DOI: 10.1111/jofi.13384
HARALD HAU, YI HUANG, CHEN LIN, HONGZHE SHAN, ZIXIA SHENG, LAI WEI

Based on automated credit lines to vendors trading on Alibaba's online retail platform and a discontinuity in the credit decision algorithm, we document that a vendor's access to FinTech credit boosts its sales growth, transaction growth, and the level of customer satisfaction gauged by product, service, and consignment ratings. These effects are more pronounced for vendors characterized by greater information asymmetry about their credit risk and less collateral, which reveals the information advantage of FinTech credit over traditional credit technology.

基于对阿里巴巴在线零售平台上交易的供应商的自动信贷额度和信贷决策算法的不连续性，我们记录了供应商获得金融科技信贷会促进其销售增长、交易增长，以及通过产品、服务和寄售评级衡量的客户满意度水平。对于信用风险信息不对称程度较高、抵押物较少的供应商来说，这些影响更为明显，这揭示了金融科技信贷相对于传统信贷技术的信息优势。
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引用次数: 0
The Working Capital Credit Multiplier 周转信贷乘数
IF 8 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-08-27 DOI: 10.1111/jofi.13385
HEITOR ALMEIDA, DANIEL CARVALHO, TAEHYUN KIM
We provide novel evidence that funding frictions can limit firms’ short‐term investments in receivables and inventories, reducing their production capacity. We propose a credit multiplier driven by these considerations and empirically isolate its importance by comparing how a similar firm responds to shocks differently when these shocks are initiated in their most profitable quarter (“main quarter”). We implement this test using recurring and unpredictable shocks (e.g., oil shocks) and provide extensive evidence supporting our identification strategy. Our results suggest that funding constraints and credit multiplier effects are significant for smaller firms that heavily rely on financing from suppliers.
我们提供了新的证据，证明资金摩擦会限制企业对应收账款和存货的短期投资，从而降低其生产能力。我们提出了由这些因素驱动的信贷乘数，并通过比较类似企业在其最赚钱的季度（"主要季度"）对冲击的不同反应，实证地分离出其重要性。我们利用经常性和不可预测的冲击（如石油冲击）进行了这一检验，并提供了大量证据支持我们的识别策略。我们的结果表明，对于严重依赖供应商融资的小型企业来说，资金限制和信贷乘数效应非常显著。
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引用次数: 0
Capital Commitment 资本承诺
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-08-27 DOI: 10.1111/jofi.13382
ELISE GOURIER, LUDOVIC PHALIPPOU, MARK M. WESTERFIELD

Twelve trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand. We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors' portfolios and welfare, and we quantify those effects. Investors are underallocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and limited tradability. Perhaps counterintuitively, commitment risk premiums increase with secondary market liquidity, and they do not disappear when investments are spread over many funds.

12 万亿美元被分配给私人市场基金，这些基金要求外部投资者承诺按需转移资金。我们在一个新颖的动态投资组合分配模型中表明，事前承诺对投资者的投资组合和福利有很大影响，我们对这些影响进行了量化。投资者对私募市场基金的配置不足，他们愿意为调整承诺数量支付更高的溢价，而不是为消除其他摩擦，如时间不确定性和有限的可交易性。也许与直觉相反的是，承诺风险溢价会随着二级市场流动性的增加而增加，而且当投资分散到许多基金时，承诺风险溢价也不会消失。
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引用次数: 0
Treasury Bill Shortages and the Pricing of Short‐Term Assets 国库券短缺与短期资产定价
IF 8 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-08-26 DOI: 10.1111/jofi.13376
ADRIEN D'AVERNAS, QUENTIN VANDEWEYER
We propose a model of post‐Great Financial Crisis (GFC) money markets and monetary policy implementation. In our framework, capital regulation may deter banks from intermediating liquidity derived from holding reserves to shadow banks. Consequently, money markets can be segmented, and the scarcity of Treasury bills available to shadow banks is the main driver of short‐term spreads. In this regime, open market operations have an inverse effect on net liquidity provision when swapping ample reserves for scarce T‐bills or repos. Our model quantitatively accounts for post‐2010 time series for repo rates, T‐bill yields, and the Fed's reverse repo facility usage.
我们提出了一个大金融危机（GFC）后货币市场和货币政策实施的模型。在我们的框架中，资本监管可能会阻止银行将持有准备金所产生的流动性中介给影子银行。因此，货币市场可能被分割，影子银行可获得的国库券的稀缺性是短期利差的主要驱动力。在这种情况下，当用充足的储备金换取稀缺的国库券或回购时，公开市场操作会对净流动性供应产生反向影响。我们的模型定量解释了 2010 年后回购利率、国债收益率和美联储逆回购工具使用的时间序列。
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引用次数: 0
Currency Management by International Fixed‐Income Mutual Funds 国际固定收益共同基金的货币管理
IF 8 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Finance
Pub Date : 2024-08-26 DOI: 10.1111/jofi.13381
CLEMENS SIALM, QIFEI ZHU
Investments in international fixed‐income securities are exposed to significant currency risks. We collect novel data on currency derivatives used by U.S. international fixed‐income funds. We document that while 90% of funds use currency forwards, they hedge, on average, only 18% of their currency exposure. Funds' currency forward positions differ substantially based on risk management demands related to portfolio currency exposure, return‐enhancement motives such as currency momentum and carry trade, and strategic considerations related to past performance and fund clientele. Funds that hedge their currency risk exhibit lower return variability, but do not generate inferior abnormal returns.
国际固定收益证券投资面临巨大的货币风险。我们收集了有关美国国际固定收益基金所使用的货币衍生工具的新数据。我们发现，虽然 90% 的基金使用货币远期，但它们平均只对冲了 18% 的货币风险。基于与投资组合货币风险相关的风险管理需求、货币动量和利差交易等提高回报的动机，以及与过往业绩和基金客户相关的战略考虑，基金的货币远期头寸大相径庭。对冲货币风险的基金表现出较低的回报变异性，但不会产生较差的异常回报。
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