Journal of Financial Economics最新文献

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Overvaluing simple bets: Evidence from the options market 高估简单押注：来自期权市场的证据

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-28 DOI: 10.1016/j.jfineco.2025.104140

Aaron Goodman , Indira Puri

We document a new anomaly that we prove standard preference models are unable to capture, regardless of functional form or parametric specification used. Analyzing trading behavior in the binary option market for retail investors, we find that market participants purchase binary options although strictly dominant bull spreads are available at lower prices: 15% of S&P index, 19% of gold, and 25% of silver trades violate no-dominance conditions consistently across three different asset classes. Buyers of dominated binaries lose on average 34% of the contract price by forgoing the dominating product. We prove that neither prospect theory nor ambiguity aversion nor other popular theoretical justifications for retail anomalies such as rational inattention and salience, can capture these results. We also test for, and reject, standard financial explanations including trading costs, liquidity, exchange fixed effects, and noise trading. We show that our results are consistent with retail investors valuing simple, easy-to-understand binary bets. Our work provides a theoretically-grounded empirical impetus for research in behavioral finance which goes beyond historically pervasive utility frameworks.

我们记录了一个新的异常，我们证明标准偏好模型无法捕获，无论使用的功能形式或参数规范如何。分析散户二元期权市场的交易行为，我们发现市场参与者购买二元期权，尽管严格主导的多头价差可以在较低的价格获得：标准普尔指数的15%，黄金的19%和白银的25%的交易在三种不同的资产类别中始终违反无主导条件。由于放弃主导产品，主导二元期权的买家平均损失了合约价格的34%。我们证明，无论是前景理论、模糊厌恶理论，还是其他流行的零售异常理论（如理性注意力不集中和显著性），都不能捕捉到这些结果。我们还检验并拒绝了标准的财务解释，包括交易成本、流动性、汇率固定效应和噪音交易。我们表明，我们的结果与散户投资者重视简单，易于理解的二元赌注是一致的。我们的工作为行为金融学的研究提供了理论基础的经验动力，超越了历史上普遍存在的效用框架。

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引用次数: 0

Household debt overhang and human capital investment 家庭债务积压和人力资本投资

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-28 DOI: 10.1016/j.jfineco.2025.104141

Gustavo Manso , Alejandro Rivera , Hui (Grace) Wang , Han Xia

Unlike labor income, human capital is inseparable from individuals and does not completely accrue to creditors. Therefore, human capital investment is more resilient to “debt overhang” than labor supply. We develop a dynamic model displaying this difference. We find that while both labor supply and human capital investment are hump-shaped in household indebtedness, human capital investment declines less aggressively as indebtedness builds up. Importantly, because human capital is only valuable when households expect to supply labor, the greater reduction in labor supply due to debt overhang back-propagates into ex-ante human capital investment. We provide empirical support for the model.

与劳动收入不同，人力资本与个人不可分割，并不完全归债权人所有。因此，人力资本投资比劳动力供给更能抵御“债务积压”。我们开发了一个动态模型来显示这种差异。我们发现，虽然劳动力供给和人力资本投资在家庭负债中呈驼峰形，但随着债务的增加，人力资本投资的下降幅度较小。重要的是，由于人力资本只有在家庭期望提供劳动力时才有价值，因此由于债务积压导致的劳动力供给的更大减少会反向传播为事前人力资本投资。我们为模型提供了实证支持。

引用次数: 0

The retail habitat 零售栖息地

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-07-26 DOI: 10.1016/j.jfineco.2025.104144

Toomas Laarits , Marco Sammon

Retail investors trade hard-to-value stocks. We document a large and persistent spread in the stock-level intensity of retail trading, even allowing for known biases in the attribution of retail trades. Stocks with a high share of retail-initiated trades exhibit higher shares of intangible capital, longer duration cash flows, and a higher likelihood of being mispriced. Consistent with retail-favored stocks being harder to value, we document that these stocks are less sensitive to earnings news and more sensitive to retail order imbalances. Such segmentation of trading intensity arises in a model where informed investors face a trade-off between the benefits of hiding their trades within noisy retail investor order flow and the costs of producing information about the fundamentals of hard-to-value stocks.

散户投资者交易难以估值的股票。我们记录了零售交易的库存水平强度的巨大而持久的差异，甚至允许在零售交易的归因中存在已知的偏差。散户发起交易占比高的股票，其无形资本占比更高，现金流持续时间更长，被错误定价的可能性也更高。与散户青睐的股票更难估值一致，我们证明这些股票对盈利消息不太敏感，对零售订单失衡更敏感。这种交易强度的分割出现在这样一种模型中，在这种模型中，知情的投资者面临着一种权衡：在嘈杂的散户投资者订单流中隐藏交易的好处，以及产生有关难以估值的股票基本面信息的成本。

引用次数: 0

Stakes and investor behaviors 股权与投资者行为

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

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