Journal of Financial Economics最新文献

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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。

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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

The lessons of Michael C. Jensen Michael C. Jensen的教训

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-06-23 DOI: 10.1016/j.jfineco.2025.104118

René M. Stulz

This paper assesses the contributions of Michael C. Jensen to financial economics and to American business. His work on agency theory is the cornerstone of modern corporate finance. He influenced how American business operates by helping make the internal and external governance of firms more efficient. He changed how knowledge in financial economics is diffused both through the founding of the Journal of Financial Economics and of the Social Science Research Network. I question the claim made by some that he recanted his ideas in the 2000s.

本文评价了迈克尔·詹森对金融经济学和美国商业的贡献。他在代理理论方面的工作是现代公司金融的基石。他通过帮助提高公司的内部和外部治理效率，影响了美国企业的运作方式。他通过创办《金融经济学杂志》和社会科学研究网络，改变了金融经济学知识的传播方式。有些人声称他在2000年代放弃了自己的观点，我对此表示质疑。

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 : 2025-06-21 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。

引用次数: 0

The invention of corporate governance 公司治理的发明

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-06-18 DOI: 10.1016/j.jfineco.2025.104115

Yueran Ma , Andrei Shleifer

The analysis of corporate governance begins with a central feature of modern capitalism – the separation of ownership and control in large corporations – first empirically documented by Berle and Means (1932). Such separation entails several agency problems reflecting conflicts between managers and shareholders, such as self-dealing by managers, low effort, consumption of perquisites, and excessive growth and diversification. Berle and Means saw self-dealing as the central agency problem and stressed the law as the fundamental mechanism of addressing it. Jensen and Meckling (1976) considered the consumption of perquisites and emphasized private mechanisms, such as financial incentives for managers, to counter wasteful perks. Jensen (1986) instead focused on excessive growth and diversification, which led him to count on leverage and takeovers. The combination of public corporate governance mechanisms, mostly the law, and market governance shaped both theory and practice.

对公司治理的分析始于现代资本主义的一个核心特征——大公司所有权和控制权的分离——Berle和Means（1932）首先对这一特征进行了实证记录。这种分离产生了管理者自我交易、低努力、特权消费、过度增长和多元化等反映管理者与股东冲突的代理问题。伯利和米恩斯将自我交易视为中心代理问题，并强调法律是解决这一问题的基本机制。Jensen和Meckling（1976）考虑了特权的消费，并强调了私人机制，如对管理者的财务激励，以对抗浪费的特权。Jensen（1986）转而关注过度增长和多元化，这导致他依赖杠杆和收购。公众公司治理机制（主要是法律治理）与市场治理相结合，形成了理论和实践。

引用次数: 0

Equity duration and predictability 权益持续时间和可预测性

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics

Pub Date : 2025-06-12 DOI: 10.1016/j.jfineco.2025.104114

Benjamin Golez , Peter Koudijs

After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long time series for the aggregate market, and the cross-section of stocks. A simple present value model with time-varying duration can largely explain the post-1945 dominance of expected returns.

1945年之后，预期回报开始主导股价变动，预期股息增长的空间很小。股权存续期的增加有助于解释这种变化。随着未来的支付，预期收益变化更大。此外，由于预期收益比增长率更持久，它们对长期资产更重要。我们通过三个数据集为这一解释提供了实证支持：股息条、总市场的长时间序列和股票的横截面。一个简单的随时间变化的现值模型可以在很大程度上解释1945年后预期回报的主导地位。

引用次数: 0

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