Journal of Financial Economics最新文献

英文中文

Constrained by law: The impact of fiduciary duties on portfolios and prices in US equity markets 受法律约束：受托责任对美国股市投资组合和价格的影响

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2026-01-12 DOI: 10.1016/j.jfineco.2025.104227

Stefano Cassella , A. Emanuele Rizzo , Oliver G. Spalt , Leah Zimmerer

We study the equity market implications of a reform in the fiduciary laws that govern trust investments (prudent man laws), implemented in a staggered fashion across U.S. states from 1985 to 2006. As trusts account for a substantial fraction of institutional equity holdings in our sample period, and since the reform does not pertain to other investors, our empirical setting provides a rare opportunity to study the impact of a regulatory change on institutional investor holdings and relative prices in the U.S. equity market. We show that, before the reform, trusts tilt their portfolios towards prudent stocks. After the law change, trusts undo these tilts, which leads to substantial changes in portfolio performance, investor demand, and stock returns, consistent with a model of inelastic equity markets. More broadly, our paper documents a striking case of investment distortions: while the concept of diversification has been playing a key role in asset pricing theory since the 1950s, fiduciary duties severely constrained trusts’ ability to diversify their portfolios for up to half a century later.

我们研究了管理信托投资的信托法（谨慎人法）改革对股票市场的影响，该改革于1985年至2006年在美国各州以交错的方式实施。由于信托在我们的样本期内占机构股权持有量的很大一部分，并且由于改革不涉及其他投资者，我们的实证设置提供了一个难得的机会来研究监管变化对机构投资者持有量和美国股票市场相对价格的影响。我们表明，在改革之前，信托公司的投资组合倾向于谨慎的股票。法律变更后，信托公司撤销了这些倾斜，这导致投资组合绩效、投资者需求和股票回报发生了实质性变化，与非弹性股票市场模型一致。更广泛地说，我们的论文记录了一个引人注目的投资扭曲案例：尽管自20世纪50年代以来，多元化的概念一直在资产定价理论中发挥着关键作用，但在长达半个世纪之后，信托责任严重限制了信托公司使其投资组合多样化的能力。

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引用次数: 0

The incentives of SPAC sponsors SPAC赞助商的激励措施

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2026-01-09 DOI: 10.1016/j.jfineco.2025.104220

Felix Feng , Tom Nohel , Xuan Tian , Wenyu Wang , Yufeng Wu

Special Purpose Acquisition Companies (SPACs) took Wall Street by storm in 2020/2021 and continue to play a significant role in today’s capital markets. Estimating a structural model using a hand-collected comprehensive dataset, we find that SPACs add value by identifying and bringing high-potential firms to public markets, though contractual frictions skew the distribution of spoils away from SPAC shareholders and towards sponsors and target owners. Nonetheless, shareholder excess returns are positive once redemptions are accounted for. Policy analyses reveal that earnout provisions enhance welfare, while modest improvements in disclosure and limits on warrant usage have minimal impact on improving outcomes.

特殊目的收购公司（spac）在2020/2021年席卷了华尔街，并继续在当今的资本市场中发挥重要作用。使用手工收集的综合数据集估算结构模型，我们发现SPAC通过识别并将高潜力公司带入公开市场来增加价值，尽管合同摩擦使利润分配从SPAC股东向赞助商和目标所有者倾斜。尽管如此，一旦考虑到赎回，股东超额回报是正的。政策分析显示，盈利条款提高了福利，而披露的适度改进和权证使用的限制对改善结果的影响微乎其微。

引用次数: 0

Index rebalancing and stock market composition: Do indexes time the market? 指数再平衡与股票市场构成：指数与市场同步吗？

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2026-01-07 DOI: 10.1016/j.jfineco.2025.104229

Marco Sammon , John J. Shim

Value-weighted indexes must rebalance in response to stock market composition changes, e.g., issuance, buybacks, and IPOs. In doing so, existing index funds implicitly engage in market timing. Index funds’ long-short rebalancing portfolios have an annualized return of 4.61% and load negatively on value and profitability factors. We estimate these trades impose a 46–69 bps annual index-level performance drag. We explore alternative value-weighted indexes that rebalance less and delay responding to compositional changes. Despite still closely tracking the market, these indexes improve market timing and lower trading costs, saving 50 bps annually, an order of magnitude greater than index fund fees.

价值加权指数必须重新平衡，以应对股票市场构成的变化，例如发行、回购和ipo。在这样做的过程中，现有的指数基金隐含地参与了市场择时。指数基金的多空再平衡投资组合的年化回报率为4.61%，对价值和盈利能力因素的负荷为负。我们估计，这些交易对指数水平的年度表现拖累了46-69个基点。我们探索了替代的价值加权指数，这些指数的再平衡较少，并且延迟了对成分变化的响应。尽管这些指数仍然密切跟踪市场，但它们改善了市场时机，降低了交易成本，每年节省50个基点，比指数基金的费用高出一个数量级。

引用次数: 0

The secular decline in interest rates and the rise of shadow banks 利率的长期下降和影子银行的崛起

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2026-01-06 DOI: 10.1016/j.jfineco.2025.104228

Andrés Sarto , Olivier Wang

Over the past two decades, shadow banks have significantly expanded their share of residential mortgage lending, even surpassing pre-financial crisis levels. This surge is often attributed to post-crisis regulatory changes and improvements in shadow banks’ technology. In this paper, we document a new driving force: the persistent decline in interest rates. When interest rates are high, cheap deposit funding provides banks with a significant competitive advantage against shadow banks relying on wholesale funding. As interest rates plummet and approach the zero lower bound, banks lose this advantage, experience a squeeze in their net interest margin, leading to diminished profitability, weaker growth, and cost-cutting measures such as branch closures. By contrast, shadow banks are able to gain market share. We test this mechanism using a shift-share empirical design based on differences in historical bank balance sheet composition. We find that banks more vulnerable to falling interest rates contracted lending as a response to lower profitability while also scaling back non-interest expenses on their branches. This created a fertile environment for non-banks to expand in areas with banks exposed to declining interest rates.

过去20年，影子银行大幅扩大了其在住房抵押贷款中的份额，甚至超过了金融危机前的水平。这种激增通常被归因于危机后的监管变化和影子银行技术的改进。在本文中，我们记录了一个新的驱动力：利率的持续下降。当利率处于高位时，与依赖批发融资的影子银行相比，廉价的存款融资为银行提供了显著的竞争优势。随着利率暴跌并接近零下限，银行失去了这一优势，净息差受到挤压，导致盈利能力下降，增长放缓，以及关闭分行等削减成本的措施。相比之下，影子银行能够获得市场份额。我们使用基于历史银行资产负债表构成差异的变动份额实证设计来测试这一机制。我们发现，更容易受到利率下降影响的银行收缩了贷款，作为盈利能力下降的回应，同时也缩减了分支机构的非利息支出。这为非银行机构在银行面临利率下降风险的地区扩张创造了肥沃的环境。

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引用次数: 0

Deep surrogates for finance: With an application to option pricing 金融的深层替代物：期权定价的应用

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2026-01-03 DOI: 10.1016/j.jfineco.2025.104222

Hui Chen , Antoine Didisheim , Simon Scheidegger

We introduce “deep surrogates” – high-precision approximations of structural models based on deep neural networks, which speed up model evaluation and estimation by orders of magnitude and allow for various compute-intensive applications that were previously infeasible. As an application, we build a deep surrogate for a high-dimensional workhorse option pricing model. The surrogate enables us to re-estimate the model at high frequency to construct an option-implied tail risk measure, which is highly predictive of future market crashes. It also helps us systematically examine the model’s out-of-sample performance, which reveals the tradeoffs between structural and reduced-form approaches for option pricing. Moreover, we construct a measure for the degree of parameter instability and connect it to option market illiquidity in the data. Finally, we use the surrogate to construct conditional distributions of option returns, which is useful for risk management and provides a new way to test the model.

我们引入了“深度代理”——基于深度神经网络的结构模型的高精度近似，它以数量级加快了模型评估和估计，并允许各种以前不可行的计算密集型应用。作为一个应用，我们为一个高维主力期权定价模型构建了一个深度代理。代理使我们能够在高频率上重新估计模型，以构建期权隐含的尾部风险度量，这是对未来市场崩溃的高度预测。它还帮助我们系统地检查模型的样本外性能，这揭示了结构性和简化形式的期权定价方法之间的权衡。此外，我们构造了参数不稳定程度的度量，并将其与数据中的期权市场非流动性联系起来。最后，我们使用代理来构造期权收益的条件分布，这对风险管理有用，并为模型的检验提供了一种新的方法。

引用次数: 0

Intermediation frictions in equity markets 股票市场的中介摩擦

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-12-26 DOI: 10.1016/j.jfineco.2025.104223

Bryan Seegmiller

Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk-bearing capacity of dealer banks. After observable stock characteristics are accounted for, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. Intermediary risk-bearing capacity also explains a substantial and increasing fraction of the variation in conditional risk premia for portfolios sorted on intermediation. These effects are concentrated in stocks held by hedge funds or mutual fund investors who are more likely to be exposed to dealer banks. The empirical evidence supports the predictions of asset pricing models in which financial intermediaries are marginal investors but face frictions that induce changes in their risk-bearing capacity.

具有相似特征但金融机构持股水平不同的股票，其回报和风险溢价随着对交易商银行风险承受能力的冲击而变化非常不同。在考虑了可观察到的股票特征后，更多中介股票的超额回报对中介承担风险意愿的同期冲击具有更高的贝塔系数，并且更容易被代表中介健康状况的状态变量预测。中介机构的风险承受能力也解释了对中介进行分类的投资组合的条件风险溢价变化的实质性和不断增加的部分。这些影响主要集中在对冲基金或共同基金投资者持有的股票上，这些投资者更有可能受到交易商银行的影响。经验证据支持资产定价模型的预测，其中金融中介机构是边际投资者，但面临摩擦，导致其风险承受能力发生变化。

引用次数: 0

Government bond risk and return in the US and China 美国和中国政府债券的风险和回报

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-12-19 DOI: 10.1016/j.jfineco.2025.104224

Jennifer N. Carpenter , Fangzhou Lu , Robert F. Whitelaw

We propose a new approach to modeling bond risk and risk premia, inspired by the equity risk-return literature, which does not impose the tight restrictions found in models that generate closed-form bond prices. We estimate the joint dynamics of the volatility and Sharpe ratio of principal-component bond-factor portfolios for the US and China. Predictors include yield curve variables and, for the US, VIX. We document complex time-varying relations between the price and quantity of interest rate risk inconsistent with the frameworks in existing studies. Interesting differences between the US and China further highlight the need for our more flexible approach.

受股票风险回报文献的启发，我们提出了一种新的债券风险和风险溢价建模方法，该方法没有施加在生成封闭形式债券价格的模型中发现的严格限制。我们估计了美国和中国主成分债券因子组合的波动率和夏普比率的联合动态。预测指标包括收益率曲线变量，以及美国的VIX。我们记录了与现有研究框架不一致的利率风险的价格和数量之间复杂的时变关系。美国和中国之间有趣的差异进一步凸显了我们采取更灵活方法的必要性。

引用次数: 0

Regional Banks, Aggregate Effects 地区银行，总体效应

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-12-18 DOI: 10.1016/j.jfineco.2025.104226

Quinn Maingi

I develop and estimate a quantitative spatial model featuring banks’ spatial lending networks to study the real effects of bank funding shocks. I apply the model to the 2023 regional bank panic. I show that, during the panic, deposits were reallocated towards regional banks with better marginal lending opportunities, which offered higher deposit rates. This reallocation substantially mitigated the otherwise negative aggregate output effects of the remaining, panic-related deposit flows. This positive reallocation effect is primarily driven by inflows into banks with good lending opportunities, suggesting that fundamental forces, rather than panic-driven idiosyncratic runs, are behind the positive reallocation effect.

为了研究银行资金冲击的实际影响，我开发并估计了一个以银行空间贷款网络为特征的定量空间模型。我将该模型应用于2023年的地区性银行恐慌。我指出，在恐慌期间，存款被重新分配给边际贷款机会更好的地区性银行，这些银行提供更高的存款利率。这种重新配置大大减轻了剩余的、与恐慌相关的存款流动对总产出的负面影响。这种积极的再配置效应主要是由资金流入具有良好放贷机会的银行所推动的，这表明，推动这种积极再配置效应的是基本面力量，而不是恐慌驱动的特殊挤兑。

引用次数: 0

Prospect theory in the field: Revealed preferences from mutual fund flows 领域中的前景理论：共同基金流动的揭示偏好

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-12-18 DOI: 10.1016/j.jfineco.2025.104221

Bing Han , Pengfei Sui , Wenhao Yang

Using mutual fund flows, we evaluate prospect theory with choice outcomes in the market. We provide strong support for prospect theory: under a standard set of parameters, funds whose past returns generate higher prospect theory value attract significantly larger future flows; we also find corroborative evidence using account-level data. Taking a revealed preference approach, we estimate the prospect theory parameters through a discrete choice model and find that our field-based estimates align well with previous experiment-based estimates. Moreover, we show that prospect theory offers a new framework for understanding flows, as it has explanatory power beyond existing drivers.

利用共同基金的流动，我们用市场上的选择结果来评估前景理论。我们为前景理论提供了强有力的支持：在一组标准参数下，过去收益产生更高前景理论价值的基金吸引了更大的未来流量；我们还使用账户级数据找到了确凿的证据。采用揭示偏好方法，我们通过离散选择模型估计前景理论参数，并发现我们基于现场的估计与先前基于实验的估计很好地一致。此外，我们表明前景理论为理解流动提供了一个新的框架，因为它具有超越现有驱动因素的解释力。

引用次数: 0

Windfall income shocks with finite planning horizons 意外收入冲击与有限的规划视野

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-12-10 DOI: 10.1016/j.jfineco.2025.104174

Michael Boutros

I study how the cognitive demands of financial planning shape household decisionmaking with respect to consumption out of windfall income shocks. I build a quantitative model of bounded rationality in which reoptimization is costly. Households respond to windfall income shocks by choosing a finite planning horizon over which to reoptimize, and the optimal planning horizon is increasing in wealth and the magnitude of the income shock. Calibrated to U.S. data, the model’s distribution of consumption responses is consistent with three key facts: even highly liquid households have large consumption responses out of income shocks, the fraction of households with positive consumption responses increases with shock size, and conditional on responding, larger shocks generate smaller consumption responses.

我研究了财务规划的认知需求如何影响家庭在意外收入冲击下的消费决策。我建立了一个有限理性的定量模型，在这个模型中，再优化是代价高昂的。家庭通过选择一个有限的规划范围来应对意外收入冲击，并在此基础上进行再优化，而最优规划范围是财富和收入冲击程度的增加。根据美国的数据，该模型的消费反应分布与三个关键事实是一致的：即使是高流动性的家庭在收入冲击下也有很大的消费反应，积极消费反应的家庭比例随着冲击规模的增加而增加，并且在响应的条件下，较大的冲击会产生较小的消费反应。

引用次数: 0

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