Journal of Financial Economics最新文献

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IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-25 DOI: 10.1016/j.jfineco.2025.104146

Pengfei Sui , Baolian Wang

We examine how stakes affect investor behaviors. In our unique setting, investors trade stocks in real accounts using their own money and simultaneously in a simulated setting. Our real-world within-investor estimation shows that investors exhibit stronger biases and perform worse in higher-stakes real accounts than in lower-stakes simulated accounts. Investors exhibit strong biases in both types of accounts, and the biases in both are strongly positively correlated. Such behavioral consistency suggests that low-stakes experiments are informative about real-world behaviors. Using additional account-level datasets, we demonstrate external validity by documenting a stronger (reverse) disposition effect on stocks (funds) with greater portfolio weights.

我们研究了股权是如何影响投资者行为的。在我们独特的设置中，投资者使用自己的资金在真实账户中交易股票，同时在模拟环境中进行交易。我们对真实世界投资者内部的估计表明，投资者在高风险的真实账户中表现出更强的偏见，表现比在低风险的模拟账户中更差。投资者在这两种类型的账户中都表现出强烈的偏见，而且两者的偏见都是强正相关的。这种行为一致性表明，低风险的实验对现实世界的行为提供了信息。使用额外的账户级数据集，我们通过记录对具有更大投资组合权重的股票（基金）的更强（反向）处置效应来证明外部有效性。

引用次数: 0

Loan guarantees, bank lending and credit risk reallocation 贷款担保、银行贷款和信用风险再分配

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-23 DOI: 10.1016/j.jfineco.2025.104137

Carlo Altavilla , Andrew Ellul , Marco Pagano , Andrea Polo , Thomas Vlassopoulos

Do banks extending government-guaranteed loans simultaneously reduce their risk exposure to firms? Using unique euro-area credit register data and the COVID-19 guarantee programs as a laboratory, we find that 1 euro of guaranteed lending was associated with a reduction of 28 cents in non-guaranteed credit, relative to other banks lending to the same firm. Substitution was highest for riskier and smaller firms in more affected sectors and for stronger banks. Nevertheless, banks offered cheaper credit and longer maturities to guaranteed loan recipients, especially more fragile ones. This improvement in lending terms is the flipside of credit substitution.

银行发放政府担保贷款的同时，是否会减少它们对企业的风险敞口？利用欧元区独特的信贷登记数据和COVID-19担保项目作为实验，我们发现，相对于向同一家公司提供贷款的其他银行，1欧元的担保贷款与非担保信贷减少28美分相关。在受影响较大的行业中，风险较高、规模较小的公司和实力较强的银行的替代率最高。尽管如此，银行还是向有担保的贷款接受者提供了更便宜的信贷和更长的期限，尤其是那些更脆弱的贷款接受者。贷款条件的改善是信贷替代的另一面。

引用次数: 0

Information-based pricing in specialized lending 专业化借贷的信息化定价

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-23 DOI: 10.1016/j.jfineco.2025.104135

Kristian Blickle , Zhiguo He , Jing Huang , Cecilia Parlatore

We study how competition between asymmetrically informed banks, one specialized and one nonspecialized, affects loan prices. Both banks possess “general” signals regarding the borrower’s quality, which they use to screen loans. The specialized bank also has access to a “specialized” signal on which it bases its loan pricing. This private information-based pricing makes the specialized bank bid more aggressively, mitigating the informational rent effect that gives it monopolistic power. Our findings explain why loans from specialized lenders feature lower interest rates and better ex post performance. Supporting empirical evidence emphasizes the role of specialized information in shaping credit market outcomes.

我们研究了非对称信息银行（一个专业银行和一个非专业银行）之间的竞争如何影响贷款价格。两家银行都有关于借款人质量的“一般”信号，它们用这些信号来筛选贷款。专业银行还可以获得“专业”信号，并以此为基础进行贷款定价。这种基于私人信息的定价使得专业银行更积极地竞标，减轻了赋予其垄断权力的信息租金效应。我们的研究结果解释了为什么专业贷款机构的贷款具有较低的利率和较好的事后表现。支持性的经验证据强调了专业化信息在塑造信贷市场结果中的作用。

引用次数: 0

Machine learning from a “Universe” of signals: The role of feature engineering 来自信号“宇宙”的机器学习：特征工程的作用

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-22 DOI: 10.1016/j.jfineco.2025.104138

Bin Li , Alberto G. Rossi , Xuemin (Sterling) Yan , Lingling Zheng

We construct real-time machine learning strategies based on a “universe” of fundamental signals. The out-of-sample performance of these strategies is economically meaningful and statistically significant, but considerably weaker than those documented by prior studies that use curated sets of signals as predictors. Strategies based on a simple recursive ranking of each signal’s past performance also yield substantially better out-of-sample performance. We find qualitatively similar results when examining past-return-based signals. Our results underscore the key role of feature engineering and, more broadly, inductive biases in enhancing the economic benefits of machine learning investment strategies.

我们基于基本信号的“宇宙”构建实时机器学习策略。这些策略的样本外性能具有经济意义和统计学意义，但与先前使用精选信号集作为预测指标的研究相比，这些策略的表现要弱得多。基于每个信号过去性能的简单递归排序的策略也会产生更好的样本外性能。在检查基于过去回报的信号时，我们发现了定性相似的结果。我们的研究结果强调了特征工程的关键作用，更广泛地说，归纳偏差在提高机器学习投资策略的经济效益方面的作用。

引用次数: 0

Climbing and falling off the ladder: Asset pricing implications of labor market event risk 攀登和跌落阶梯：劳动力市场事件风险的资产定价含义

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-22 DOI: 10.1016/j.jfineco.2025.104131

Lawrence D.W. Schmidt

Administrative earnings data reveal that households are exposed to large, countercyclical idiosyncratic tail risks in labor earnings. I illustrate how these risks affect asset prices within an asset pricing framework with recursive preferences, heterogeneous agents and incomplete markets. Quantitatively, a model in which agents face a time-varying probability of experiencing a rare, idiosyncratic disaster, with parameters disciplined by data, matches the level and dynamics of the equity premium. Stock returns are highly informative about labor market event risk, and, consistent with model predictions, initial claims for unemployment, a proxy for labor market uncertainty, is a highly robust predictor of returns.

行政收入数据显示，家庭在劳动收入方面面临着巨大的、逆周期的特殊尾部风险。我将在具有递归偏好、异质代理和不完全市场的资产定价框架中说明这些风险如何影响资产价格。从数量上讲，一个模型中，代理人面临经历罕见、特殊灾难的随时间变化的概率，其参数受数据约束，与股票溢价的水平和动态相匹配。股票收益是劳动力市场事件风险的高度信息，并且，与模型预测一致，首次申请失业救济人数是劳动力市场不确定性的代理，是一个高度稳健的回报预测器。

引用次数: 0

Macroeconomic drivers and the pricing of uncertainty, inflation, and bonds 宏观经济驱动因素以及不确定性、通货膨胀和债券的定价

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-21 DOI: 10.1016/j.jfineco.2025.104130

Brandyn Bok , Thomas M. Mertens , John C. Williams

The correlation between uncertainty shocks, as measured by changes in the VIX, and changes in break-even inflation rates declined and turned negative after the Great Recession. This estimated time-varying correlation is shown to be consistent with the predictions of a standard New Keynesian model with a lower bound on interest rates and a trend decline in the natural rate of interest. In one equilibrium of the model, higher uncertainty raises the probability of large shocks that leave the central bank constrained by the lower bound and unable to offset negative shocks. Resulting inflation shortfalls lower average inflation rates.

以波动率指数（VIX）的变化衡量的不确定性冲击与盈亏平衡通胀率的变化之间的相关性在大衰退（Great Recession）之后下降并变为负值。这种估计的时变相关性被证明与标准的新凯恩斯主义模型的预测一致，该模型具有利率的下限和自然利率的趋势下降。在该模型的一个均衡中，较高的不确定性提高了发生大规模冲击的可能性，使央行受到下限的约束，无法抵消负面冲击。由此导致的通货膨胀不足降低了平均通货膨胀率。

引用次数: 0

Mergers and acquisitions, technological change, and inequality 并购、技术变革和不平等

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-18 DOI: 10.1016/j.jfineco.2025.104136

Wenting Ma , Paige Ouimet , Elena Simintzi

Mergers and acquisitions (M&As) are an important mechanism through which technology is adopted by firms. Firms with greater technological skill acquire less tech-savvy firms and, subsequently, increase technology investment at the target. This has important implications for labor reallocation following M&As. We show that target establishments become less routine intensive post-M&A, especially when a target had greater routine occupational employment, compared to its acquirer, ex-ante. We also provide evidence consistent with targets investing in information technology which tends to displace more office routine occupations. Such labor reallocation impacts wages, resulting in higher pay inequality within target establishments.

并购是企业采用技术的一种重要机制。具有较高技术技能的企业收购技术熟练程度较低的企业，从而增加对目标企业的技术投资。这对M&；As之后的劳动力再分配具有重要意义。我们发现，在并购后，目标企业变得不那么常规密集，尤其是当目标企业在并购前比收购方拥有更多的常规职业就业时。我们也提供了与信息技术投资目标一致的证据，信息技术往往会取代更多的办公室常规职业。这种劳动力再分配影响工资，导致目标企业内部更高的薪酬不平等。

引用次数: 0

Defunding controversial industries: Can targeted credit rationing choke firms? 削减有争议行业的资金：有针对性的信贷配给能扼杀公司吗？

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-16 DOI: 10.1016/j.jfineco.2025.104133

Kunal Sachdeva , André F. Silva , Pablo Slutzky , Billy Y. Xu

This paper examines the effects of targeted credit rationing by banks on firms likely to generate negative externalities. We exploit an initiative of the U.S. Department of Justice, labeled Operation Choke Point, which compelled banks to limit relationships with firms in controversial industries. Using supervisory loan-level data, we show that, as intended, targeted banks reduced lending and terminated relationships with affected firms. However, most of these firms fully substituted credit through nontargeted banks under similar terms. Overall, we find no significant shifts in the performance and investment of affected firms, suggesting that targeted credit rationing is widely ineffective in promoting change.

本文考察了银行定向信贷配给对可能产生负外部性的企业的影响。我们利用了美国司法部的一项名为“瓶颈行动”的倡议，该倡议迫使银行限制与有争议行业的公司的关系。利用监管贷款水平的数据，我们表明，目标银行减少了贷款，并终止了与受影响企业的关系。然而，这些公司中的大多数在类似条件下完全通过非目标银行替代信贷。总体而言，我们发现受影响企业的业绩和投资没有显著变化，这表明有针对性的信贷配给在促进变革方面普遍无效。

引用次数: 0

The value of financial intermediation: Evidence from online debt crowdfunding 金融中介的价值：来自网络债务众筹的证据

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-09 DOI: 10.1016/j.jfineco.2025.104113

Fabio Braggion , Alberto Manconi , Nicola Pavanini , Haikun Zhu

Most online marketplaces are peer-to-peer. Credit ones, however, are not and they have resurrected many features of traditional financial intermediaries. To understand why, we use online credit as a laboratory to investigate the value of financial intermediation. We develop a structural model of online debt crowdfunding and estimate it on a novel database. We find that abandoning the peer-to-peer paradigm raises lender surplus, platform profits, and credit provision, but exposes investors to liquidity risk. A counterfactual where the platform resembles a bank by bearing liquidity risk can generate larger lender surplus and credit provision when liquidity is low and lenders are risk averse.

大多数在线市场都是点对点的。然而，信贷机构并非如此，它们复活了传统金融中介机构的许多特征。为了理解其中的原因，我们将在线信贷作为研究金融中介价值的实验室。我们建立了一个网络债务众筹的结构模型，并在一个新的数据库上对其进行了估计。我们发现，放弃点对点模式会提高出借人盈余、平台利润和信贷供应，但会使投资者面临流动性风险。当流动性较低且贷款人厌恶风险时，平台与承担流动性风险的银行类似的反事实可以产生更大的贷款人盈余和信贷供应。

引用次数: 0

The trade imbalance network and currency returns 贸易不平衡的网络和货币回报

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-06-24 DOI: 10.1016/j.jfineco.2025.104112

Ai Jun Hou , Lucio Sarno , Xiaoxia Ye

We introduce in the theory of Gabaix and Maggiori (2015) a network structure to capture the complexity of the balance sheets of financial intermediaries, using the Leontief inverse-based centrality. We use this framework in a multi-country world with imperfect financial markets to study how currency risk premia are connected to financiers’ risk bearing capacity. Guided by the theory, we construct a Centrality Based Characteristic (CBC), based on the centrality of the trade imbalance network and variance–covariance matrix of currency returns. Sorting currencies on CBC generates a high Sharpe ratio, and the resulting excess returns reflect a novel source of predictability.

我们在Gabaix和Maggiori（2015）的理论中引入了一个网络结构，使用Leontief逆基中心性来捕捉金融中介机构资产负债表的复杂性。我们在一个金融市场不完善的多国世界中运用这一框架来研究货币风险溢价与金融家风险承受能力之间的关系。在此理论的指导下，我们基于贸易不平衡网络的中心性和货币收益的方差-协方差矩阵，构建了一个基于中心性的特征（CBC）。根据CBC对货币进行分类可以产生很高的夏普比率，由此产生的超额回报反映了一种新的可预测性来源。

引用次数: 0

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