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.
{"title":"The value of financial intermediation: Evidence from online debt crowdfunding","authors":"Fabio Braggion , Alberto Manconi , Nicola Pavanini , Haikun Zhu","doi":"10.1016/j.jfineco.2025.104113","DOIUrl":"10.1016/j.jfineco.2025.104113","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104113"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144580547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-10-01Epub Date: 2025-07-30DOI: 10.1016/j.jfineco.2025.104143
Iván Alfaro , Hoonsuk Park
Using daily banking and credit card data for thousands of households linked to U.S. publicly listed employers, we find novel evidence that firm-specific uncertainty persistently reduces future spending and spurs precautionary savings. A one-standard-deviation rise in option-implied firm volatility—akin to the S&P 500 VIX—predicts a $106 monthly spending drop (8 hours of wages) and a $193 increase in bank balances, reflecting notable cutbacks in typical non-durable goods and services. The mechanism operates through heightened household risks: firm uncertainty expands both income and consumption risk over the next year, with the largest effects among lower and top earners (notably the top 1%). Employers only partly shield earnings, while households only partly self-insulate consumption risk via smoothing channels. Detrimental uncertainty effects on households are stronger than firm stock price declines.
{"title":"Firm uncertainty and households: Spending, savings, and risks","authors":"Iván Alfaro , Hoonsuk Park","doi":"10.1016/j.jfineco.2025.104143","DOIUrl":"10.1016/j.jfineco.2025.104143","url":null,"abstract":"<div><div>Using daily banking and credit card data for thousands of households linked to U.S. publicly listed employers, we find novel evidence that firm-specific uncertainty persistently reduces future spending and spurs precautionary savings. A one-standard-deviation rise in option-implied firm volatility—akin to the S&P 500 VIX—predicts a $106 monthly spending drop (8 hours of wages) and a $193 increase in bank balances, reflecting notable cutbacks in typical non-durable goods and services. The mechanism operates through heightened household risks: firm uncertainty expands both income and consumption risk over the next year, with the largest effects among lower and top earners (notably the top 1%). Employers only partly shield earnings, while households only partly self-insulate consumption risk via smoothing channels. Detrimental uncertainty effects on households are stronger than firm stock price declines.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104143"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144724706","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-10-01Epub Date: 2025-06-02DOI: 10.1016/j.jfineco.2025.104096
Carter Davis , Mahyar Kargar , Jiacui Li
Classical asset pricing models predict that optimizing investors exhibit extremely high demand elasticities, while empirical estimates are significantly lower—by three orders of magnitude. To reconcile this disparity, we introduce a novel decomposition of investor demand elasticity into two key components: “price pass-through”, which captures how price movements forecast returns, and “unspanned returns”, reflecting a stock’s lack of perfect substitutes. In a factor model framework, we show that unspanned returns become significant when models include “weak factors”. Classical models overestimate demand elasticity by assuming both very low unspanned returns and high price pass-throughs, assumptions that are inconsistent with empirical evidence.
{"title":"Why do portfolio choice models predict inelastic demand?","authors":"Carter Davis , Mahyar Kargar , Jiacui Li","doi":"10.1016/j.jfineco.2025.104096","DOIUrl":"10.1016/j.jfineco.2025.104096","url":null,"abstract":"<div><div>Classical asset pricing models predict that optimizing investors exhibit extremely high demand elasticities, while empirical estimates are significantly lower—by three orders of magnitude. To reconcile this disparity, we introduce a novel decomposition of investor demand elasticity into two key components: “price pass-through”, which captures how price movements forecast returns, and “unspanned returns”, reflecting a stock’s lack of perfect substitutes. In a factor model framework, we show that unspanned returns become significant when models include “weak factors”. Classical models overestimate demand elasticity by assuming both very low unspanned returns and high price pass-throughs, assumptions that are inconsistent with empirical evidence.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104096"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144194971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-10-01Epub Date: 2025-08-01DOI: 10.1016/j.jfineco.2025.104148
Danqi Hu , Charles M. Jones , Xiaoyan Zhang , Xinran Zhang
Using 2015–2019 intraday short sale data from CBOE, we show that shorting flows near the open, middle, and close all negatively predict future returns, but the shorting flows near the open and middle have stronger predictive power than shorting flows near the close. We relate our findings to three informed trading models with different predictions on the timing of the trades. The long term predictive power of shorting flows near the open and midday is consistent with Kyle’s (1985) model of steady trading; the intraday variation in shorting flows’ predictive power is more consistent with Holden and Subrahmanyam’s (1992) aggressive trading model, in the sense that predictive power of shorting flows is stronger when there is greater urgency to trade at open and when the securities lending market is more competitive; and the liquidity timing hypothesis from Collin-Dufresne and Fos (2016) is also supported by the finding that opening shorting flows increase for firms with better liquidity conditions.
{"title":"When do short sellers trade? Evidence from intraday data and implications for informed trading models","authors":"Danqi Hu , Charles M. Jones , Xiaoyan Zhang , Xinran Zhang","doi":"10.1016/j.jfineco.2025.104148","DOIUrl":"10.1016/j.jfineco.2025.104148","url":null,"abstract":"<div><div>Using 2015–2019 intraday short sale data from CBOE, we show that shorting flows near the open, middle, and close all negatively predict future returns, but the shorting flows near the open and middle have stronger predictive power than shorting flows near the close. We relate our findings to three informed trading models with different predictions on the timing of the trades. The long term predictive power of shorting flows near the open and midday is consistent with Kyle’s (1985) model of steady trading; the intraday variation in shorting flows’ predictive power is more consistent with Holden and Subrahmanyam’s (1992) aggressive trading model, in the sense that predictive power of shorting flows is stronger when there is greater urgency to trade at open and when the securities lending market is more competitive; and the liquidity timing hypothesis from Collin-Dufresne and Fos (2016) is also supported by the finding that opening shorting flows increase for firms with better liquidity conditions.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104148"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144757452","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-10-01Epub Date: 2025-06-04DOI: 10.1016/j.jfineco.2025.104109
Huaizhi Chen
I show that as a portfolio’s value concentration increases, actively managed portfolios predictably trim large positions, maintaining a level of practical diversification. This rebalancing channel is concentrated at thresholds implied by regulatory guidelines and by a fund’s own risk management histories. Since larger stocks are typically held widely and in large weights, they experience a coordinated contrarian trading demand that originates from this form of risk management. Diversification driven demand captures a novel return-reversal pattern in the large stock portfolios. Compensating this source of demand accentuates momentum returns during the modern sample period (1990 to 2022).
{"title":"Diversification driven demand for large stock","authors":"Huaizhi Chen","doi":"10.1016/j.jfineco.2025.104109","DOIUrl":"10.1016/j.jfineco.2025.104109","url":null,"abstract":"<div><div>I show that as a portfolio’s value concentration increases, actively managed portfolios predictably trim large positions, maintaining a level of practical diversification. This rebalancing channel is concentrated at thresholds implied by regulatory guidelines and by a fund’s own risk management histories. Since larger stocks are typically held widely and in large weights, they experience a coordinated contrarian trading demand that originates from this form of risk management. Diversification driven demand captures a novel return-reversal pattern in the large stock portfolios. Compensating this source of demand accentuates momentum returns during the modern sample period (1990 to 2022).</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104109"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144212744","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-10-01Epub Date: 2025-08-12DOI: 10.1016/j.jfineco.2025.104153
Dmitriy Muravyev , Neil D. Pearson , Joshua M. Pollet
Several influential studies show that transformations of implied volatilities calculated from options prices predict stock returns. This predictability is puzzling because market participants readily observe options prices. We find that this predictability is consistent with implied volatilities reflecting stock borrow fees that are known to predict stock returns. We derive a formula relating the option-implied volatility spread to the borrow fee. Motivated by this relation, we show that the return predictability from implied volatility spread and skew decreases by at least two-thirds if high-fee stocks are excluded. The patterns for other predictors computed from option implied volatilities are similar.
{"title":"Why does options market information predict stock returns?","authors":"Dmitriy Muravyev , Neil D. Pearson , Joshua M. Pollet","doi":"10.1016/j.jfineco.2025.104153","DOIUrl":"10.1016/j.jfineco.2025.104153","url":null,"abstract":"<div><div>Several influential studies show that transformations of implied volatilities calculated from options prices predict stock returns. This predictability is puzzling because market participants readily observe options prices. We find that this predictability is consistent with implied volatilities reflecting stock borrow fees that are known to predict stock returns. We derive a formula relating the option-implied volatility spread to the borrow fee. Motivated by this relation, we show that the return predictability from implied volatility spread and skew decreases by at least two-thirds if high-fee stocks are excluded. The patterns for other predictors computed from option implied volatilities are similar.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104153"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144827302","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-10-01Epub Date: 2025-06-18DOI: 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.
{"title":"The invention of corporate governance","authors":"Yueran Ma , Andrei Shleifer","doi":"10.1016/j.jfineco.2025.104115","DOIUrl":"10.1016/j.jfineco.2025.104115","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104115"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144341211","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-10-01Epub Date: 2025-08-04DOI: 10.1016/j.jfineco.2025.104147
Daniel Ferreira , Radoslawa Nikolowa
We present a model in which firms compete for workers who value nonpecuniary job attributes, such as purpose, sustainability, political stances, or working conditions. Firms adopt production technologies that enable them to offer jobs with varying levels of these desirable attributes. Firms’ profits are higher when they cater to workers with extreme preferences. In a competitive assignment equilibrium, firms become polarized and not only reflect but also amplify the polarized preferences of the general population. More polarized sectors exhibit higher profits, lower average wages, and a reduced labor share of value added. Sustainable investing amplifies firm polarization.
{"title":"Polarization, purpose and profit","authors":"Daniel Ferreira , Radoslawa Nikolowa","doi":"10.1016/j.jfineco.2025.104147","DOIUrl":"10.1016/j.jfineco.2025.104147","url":null,"abstract":"<div><div>We present a model in which firms compete for workers who value nonpecuniary job attributes, such as purpose, sustainability, political stances, or working conditions. Firms adopt production technologies that enable them to offer jobs with varying levels of these desirable attributes. Firms’ profits are higher when they cater to workers with extreme preferences. In a competitive assignment equilibrium, firms become polarized and not only reflect but also <em>amplify</em> the polarized preferences of the general population. More polarized sectors exhibit higher profits, lower average wages, and a reduced labor share of value added. Sustainable investing amplifies firm polarization.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104147"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144766619","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-10-01Epub Date: 2025-07-23DOI: 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.
{"title":"Information-based pricing in specialized lending","authors":"Kristian Blickle , Zhiguo He , Jing Huang , Cecilia Parlatore","doi":"10.1016/j.jfineco.2025.104135","DOIUrl":"10.1016/j.jfineco.2025.104135","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104135"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144687353","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-10-01Epub Date: 2025-07-29DOI: 10.1016/j.jfineco.2025.104132
Agostino Capponi , Ruizhe Jia , Kanye Ye Wang
The blockchain settlement layer facilitates systematic frontrunning, resulting in inefficient block-space allocation. Private transaction pools can reduce these inefficiencies and enhance welfare. However, full adoption is limited by misaligned incentives between users and validators. Validators are reluctant to forgo rents they earn from frontrunning – referred to as maximal extractable value – leading to a partial adoption equilibrium in which frontrunning persists. Our empirical analysis of Ethereum’s Flashbots private pool supports these findings: validators earn higher revenues, users facing greater frontrunning risk are more likely to use the private pool, and attackers’ cost-to-revenue ratios in private pools converge to one.
{"title":"Maximal extractable value and allocative inefficiencies in public blockchains","authors":"Agostino Capponi , Ruizhe Jia , Kanye Ye Wang","doi":"10.1016/j.jfineco.2025.104132","DOIUrl":"10.1016/j.jfineco.2025.104132","url":null,"abstract":"<div><div>The blockchain settlement layer facilitates systematic frontrunning, resulting in inefficient block-space allocation. Private transaction pools can reduce these inefficiencies and enhance welfare. However, full adoption is limited by misaligned incentives between users and validators. Validators are reluctant to forgo rents they earn from frontrunning – referred to as maximal extractable value – leading to a partial adoption equilibrium in which frontrunning persists. Our empirical analysis of Ethereum’s Flashbots private pool supports these findings: validators earn higher revenues, users facing greater frontrunning risk are more likely to use the private pool, and attackers’ cost-to-revenue ratios in private pools converge to one.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"172 ","pages":"Article 104132"},"PeriodicalIF":10.4,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144721158","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
扫码关注我们
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号