Journal of Finance最新文献

Comparing mortgage rates that borrowers obtain to rates that lenders could offer for the same loan, we find that many homeowners significantly overpay for their mortgage, with overpayment varying across borrower types and with market interest rates. Survey data reveal that borrowers' mortgage knowledge and shopping behavior strongly correlate with the rates they secure. We also document substantial variation in how expensive and profitable lenders are, without any evidence that expensive loans are associated with a better borrower experience. Despite many lenders operating in the U.S. mortgage market, limited borrower sophistication may provide lenders with market power.

Theories of competition typically predict a positive relationship between market concentration and prices. However, in loan markets, adverse selection can reverse this relationship as riskier borrowers become more likely to receive funding. Using supervisory data, we show that interest rates, borrower risk, and lending volume are higher in markets with more banks. We also create a novel measure of markup that is orthogonal to borrower risk, and find that, consistent with adverse selection, markups are higher after repeated borrowing relationships. Finally, we use a shock to large banks' lending costs to provide further support for the adverse selection channel.

This paper studies whether social media sentiment predicts merger withdrawals. We find that a one-standard-deviation increase in social media sentiment after a merger announcement is associated with a 0.64 percentage point lower probability of withdrawal (16.6% of the average). This effect is unexplained by abnormal price reactions, traditional news, and analyst recommendations. Consistent with manager learning, the informativeness of social media strengthens after firms start corporate Twitter accounts. The informativeness is driven by longer acquisition-related tweets by fundamental investors, rather than memes and price trend tweets. These findings suggest that social media signals can be important for corporate decisions.

This paper documents new stylized facts about returns and cashflow growth rates on stocks and housing over decade-long holding periods. While cashflow growth rates on the two assets comove positively, their returns comove negatively until the Global Financial Crisis and positively thereafter. These facts present a puzzle for representative-agent models that imply positive return comovement for assets with similar cashflows. I consider a heterogeneous-agent model with segmented stock and housing markets connected through credit. News about the aggregate economy generates negative return comovement. Recent shifts such as wealthier homebuyers and institutional housing purchases reduce the importance of credit and segmentation.

Real-world contracts are typically private, observed only by their direct signatories, so agents working together are vulnerable to the principal opportunistically reducing other agents' incentives. The principal can mitigate this commitment problem by giving the most skilled agent a budget and delegating authority to write other agents' contracts. This endogenous hierarchy, never optimal with public contracts, raises effort, output, and compensation but allows rent extraction. The principal prefers it when contracts are opaque enough, skill is sufficiently heterogeneous across agents, and joint output is sensitive enough to effort. Our model provides novel predictions for the structure of banking syndicates.

We study supply-and-demand effects in the U.S. Treasury bill market by comparing the returns on T-bills to the policy rate on the Federal Reserve's reverse repurchase (RRP) facility. We develop and test a simple model where the RRP-bill spread is policed both by heterogeneously elastic money funds and by corporate treasurers who derive collateral benefits from holding T-bills. In response to shifts in T-bill supply, money funds act as front-line arbitrageurs. However, when T-bills become extremely scarce, less elastic corporate treasurers become the marginal investors and supply shifts have a larger effect on T-bill rates.