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Finance without exotic risk 没有外来风险的金融
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Financial Economics
Pub Date : 2025-11-01 Epub Date: 2025-09-11 DOI: 10.1016/j.jfineco.2025.104145
Pedro Bordalo , Nicola Gennaioli , Rafael La Porta , Andrei Shleifer
We address the joint hypothesis problem in cross-sectional asset pricing by using measured analyst expectations of earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and revisions and shuts down any cross-sectional differences in required returns. We obtain three results. First, variation in EBRs accounts for a large chunk of cross-sectional return spreads in value, investment, size, and momentum factors. Second, time variation in these spreads is predictable from that in EBRs, holding constant scaled price variables (as proxies for time varying required returns). Third, firm characteristics often seen as capturing risk premia predict disappointment of expectations and low EBRs. Overall, return spreads typically attributed to exotic risk factors are explained by predictable movements in non-rational expectations of firms’ earnings growth.
我们解决联合假设问题，在横断面资产定价通过测量分析师的盈利增长预期。我们构建了基于预期的回报（EBRs）的公司层面度量，它使用分析师的预测误差和修正，并关闭了要求回报的任何横截面差异。我们得到三个结果。首先，ebr的变化在价值、投资、规模和动量因素上占了横截面收益差的很大一部分。其次，这些价差的时间变化可以从ebr中预测出来，ebr持有恒定的比例价格变量（作为随时间变化的所需回报的代理）。第三，通常被视为捕捉风险溢价的企业特征预示着预期的失望和较低的ebr。总体而言，通常归因于外来风险因素的回报差可以用企业盈利增长非理性预期的可预测变动来解释。
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引用次数: 0
Taking sides on return predictability 在回报可预测性上站队
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Financial Economics
Pub Date : 2025-11-01 Epub Date: 2025-09-22 DOI: 10.1016/j.jfineco.2025.104158
R. David McLean , Jeffrey Pontiff , Christopher Reilly
We assess how nine different categories of market participants trade relative to a comprehensive forecasted-return variable based on 193 predictors. Firms and short sellers tend to be the smart money—both sell stocks with low-forecasted returns, and their trades predict returns in the intended direction. Retail investors trade against forecasted returns. Retail investors’ and institutions’ trades predict returns opposite to the intended direction. This poor trading performance is driven by trades in stocks with either high- or low-forecasted returns. The forecasted-return variable predicts returns more strongly in stocks with more intense retail trading, consistent with retail investors exacerbating mispricing.
我们评估了九种不同类别的市场参与者如何相对于基于193个预测因子的综合预测回报变量进行交易。公司和卖空者往往是精明的投资者——他们都卖出预期回报较低的股票，他们的交易预测回报将朝着预期的方向发展。散户投资者根据预期回报进行交易。散户投资者和机构投资者的交易预测的回报与预期方向相反。这种糟糕的交易表现是由预测回报高或低的股票交易造成的。预测回报变量预测散户交易更密集的股票的回报更强劲，这与散户加剧错误定价的情况是一致的。
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引用次数: 0
Measurement and effects of bank exit policies 银行退出政策的测度与效果
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Financial Economics
Pub Date : 2025-10-01 Epub Date: 2025-08-04 DOI: 10.1016/j.jfineco.2025.104129
Daniel Green , Boris Vallee
We study whether exit policies by financial institutions have financial and real consequences on the firms they target, using bank coal exit policies as a laboratory. In contrast to theories assuming high capital substitutability, we find large effects of these policies. Bank exit policies negatively affect both the financing and operation of coal assets. Substitution to other sources and providers of capital appears to be limited. Coal power plants owned by firms exposed to exit policies are more likely to retire, translating into lower CO2 emissions. Exit policies have reduced CO2e emissions from energy production by an estimated 0.62 gigaton.
我们以银行煤炭退出政策为实验对象，研究了金融机构的退出政策是否会对它们所针对的企业产生财务和实际后果。与假设高资本可替代性的理论相比，我们发现这些政策的影响很大。银行退出政策对煤炭资产的融资和运营均有负面影响。对其他资本来源和提供者的替代似乎有限。受退出政策影响的企业拥有的燃煤电厂更有可能退役，这意味着二氧化碳排放量更低。退出政策已使能源生产产生的二氧化碳排放量减少了约0.62亿吨。
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引用次数: 0
Jensen and Meckling at 50 詹森和梅克林在50
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Financial Economics
Pub Date : 2025-10-01 Epub Date: 2025-06-11 DOI: 10.1016/j.jfineco.2025.104116
Patrick Bolton
This article does three things: (1) it offers a slightly modernized treatment of the two well-known agency costs of external financing of Jensen and Meckling; (2) it provides a deeper exploration than they offer of the limited liability corporation, and of optimal control allocations when financial contracts are incomplete; and, (3) it assesses the lasting influence or their ideas, their multiple interpretations, as well as misinterpretations.
本文做了三件事：(1)对Jensen和Meckling两种著名的外部融资代理成本进行了略微现代化的处理；(2)它提供了比有限责任公司更深入的探索，以及金融契约不完全时的最优控制分配；并且，(3)评估了他们的思想的持久影响，他们的多种解释，以及误解。
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引用次数: 0
Michael C. Jensen’s empirical work Michael C. Jensen的实证研究
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Financial Economics
Pub Date : 2025-10-01 Epub Date: 2025-06-21 DOI: 10.1016/j.jfineco.2025.104119
Eugene F. Fama , Kenneth R. French
Much of Mike Jensen's research is foundational, including his early publications, which focus on empirical asset pricing. For example, Jensen's alpha, which he developss in Jensen (1968 and 1969) to evaluate mutual fund managers, is the foundation for most measures of investment performance. Similarly, in Fama et al (1969), Jensen and coauthors present the first event study, Thereafter, event studies play a major role in finance, accounting, and legal research. Finally, Black, Jensen, and Scholes (1972) develop a key insight about the importance of interdependence of sampling errors in the precision of asset pricing tests.
迈克•詹森（Mike Jensen）的许多研究都是基础性的，包括他早期专注于实证资产定价的出版物。例如，他在《Jensen》（1968年和1969年）一书中提出的用于评估共同基金经理的Jensen alpha是大多数投资绩效衡量的基础。同样，在Fama等人（1969）中，Jensen及其合作者提出了第一个事件研究，此后，事件研究在金融、会计和法律研究中发挥了重要作用。最后，Black、Jensen和Scholes（1972）提出了一个关键的见解，即在资产定价测试的精度中，抽样误差的相互依赖性的重要性。
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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 : 2025-10-01 Epub 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。
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引用次数: 0
Social preferences and corporate investment 社会偏好与企业投资
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Financial Economics
Pub Date : 2025-10-01 Epub Date: 2025-08-14 DOI: 10.1016/j.jfineco.2025.104139
Thomas Dangl , Michael Halling , Jin Yu , Josef Zechner
This paper presents a framework to study how investors’ social concerns affect technology choices. Consequentialist preferences (disutility from aggregate harm) influence outcomes only if investors coordinate, unless internalized harm is independent of an investor’s mass. Non-consequentialist preferences (disutility from stockholdings) affect outcomes regardless of coordination. Both preferences have stronger impact when risk-sharing consequences of technology supply are small (e.g., highly correlated returns), and their effects cannot be inferred from cost-of-capital differences. When harm is stochastic, polluting firms may appear less risky to social investors. Depending on type and strength of social preferences, this can support or hinder the green transition.
本文提出了一个研究投资者社会关注如何影响技术选择的框架。结果主义偏好（总体伤害的负效用）只有在投资者协调的情况下才会影响结果，除非内化伤害独立于投资者的数量。非结果主义偏好（股票持有的负效用）无论协调与否都会影响结果。当技术供给的风险分担后果较小（例如，高度相关的回报）时，这两种偏好都有更强的影响，而且它们的影响不能从资本成本差异中推断出来。当危害是随机的，污染企业对社会投资者的风险可能会降低。这取决于社会偏好的类型和强度，可以支持或阻碍绿色转型。
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引用次数: 0
The financial consequences of undiagnosed memory disorders 未确诊的记忆障碍的经济后果
IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
Journal of Financial Economics
Pub Date : 2025-10-01 Epub Date: 2025-08-19 DOI: 10.1016/j.jfineco.2025.104149
Carole Roan Gresenz , Jean M. Mitchell , Belicia Rodriguez , Crystal Wang , R. Scott Turner , Wilbert van der Klaauw
We examine the effect of undiagnosed memory disorders on credit outcomes using individually-matched nationally representative credit reporting and Medicare data. We find effects of early stage disease, years before diagnosis, on a wide range of financial outcomes, including credit card account payment delinquency and amount of delinquent balance, credit utilization among credit card account holders, mortgage delinquency and delinquent balance amount, and credit scores. Effects are pervasive, affecting seniors in single and coupled households, racial/ethnic minorities and non-minorities, and older adults living in areas with higher and lower education levels. Early stage effects are greater among singles and Black individuals.
我们使用个人匹配的全国代表性信用报告和医疗保险数据来检验未确诊的记忆障碍对信用结果的影响。我们发现早期疾病的影响，在诊断前几年，对广泛的财务结果，包括信用卡账户支付拖欠和拖欠余额金额，信用卡账户持有人之间的信用利用，抵押贷款拖欠和拖欠余额金额，信用评分。影响是普遍的，影响单身和夫妻家庭的老年人、种族/少数民族和非少数民族以及生活在教育水平较高和较低地区的老年人。早期阶段的影响在单身人士和黑人中更大。
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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 : 2025-10-01 Epub 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。
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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 : 2025-10-01 Epub 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。
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引用次数: 0
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