顶刊推送 《The Journal of Financial Economics》2022-143-3

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《The Journal of Financial Economics》

Volume143  issue3

《金融经济学杂志》（JFE）是一份领先的同行评审学术期刊，涵盖金融经济学的理论和实证主题。它为金融经济学和公司理论领域的研究发表提供了一个专门的论坛，主要强调以下主要领域的最高质量的经验、理论和实验贡献：资本市场、金融中介、创业金融学、公司金融学、公司治理、组织经济学、宏观金融学、行为金融学和家庭金融学。
Editor-in-Chief：Toni M WhitedImpact factor:6.988Online ISSN:0304-405X

Catelog

一、目录

1. Bank capital structure and regulation: Overcoming and embracing adverse selection
Sonny Biswas, Kostas KoufopoulosPages 973-992

2.Real-time price discovery via verbal communication: Method and application to Fedspeak

Roberto Gómez-Cram, Marco Grotteria

Pages 993-1025

3. Does paycheck frequency matter? Evidence from micro data

Brian Baugh, Filipe Correia

Pages 1026-1042

4. Patent quality, firm value, and investor underreaction: Evidence from patent examiner busyness

Tao Shu, Xuan Tian, Xintong Zhan

Pages 1043-1069

5. Blood in the water: The value of antitakeover provisions during market shocks

Scott Guernsey, Simone M. Sepe, Matthew Serfling

Pages 1070-1096

6. Revealing corruption: Firm and worker level evidence from Brazil

Emanuele Colonnelli, Spyridon Lagaras, Jacopo Ponticelli, Mounu Prem, Margarita Tsoutsoura

Pages 1097-1119

7. Closing auctions: Nasdaq versus NYSE

Narasimhan Jegadeesh, Yanbin Wu

Pages 1120-1139

8. A factor model for option returns

Matthias Büchner, Bryan Kelly

Pages 1140-1161

9. Price revelation from insider trading: Evidence from hacked earnings news

Pat Akey, Vincent Grégoire, Charles Martineau

Pages 1162-1184

10. High policy uncertainty and low implied market volatility: An academic puzzle?

Jędrzej Białkowski, Huong Dieu Dang, Xiaopeng Wei

Pages 1185-1208

11.The cost of steering in financial markets: Evidence from the mortgage market

Luigi Guiso, Andrea Pozzi, Anton Tsoy, Leonardo Gambacorta, Paolo Emilio Mistrulli

Pages 1209-1226

12.Under-diversification and idiosyncratic risk externalities

Felipe S. Iachan, Dejanir Silva, Chao Zi

Pages 1227-1250

13.In sickness and in debt: The COVID-19 impact on sovereign credit risk

Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam, Davide Tomio

Pages 1251-1274

14. Liquidity, pledgeability, and the nature of lending

Douglas W. Diamond, Yunzhi Hu, Raghuram G. Rajan

Pages 1275-1294

15. Expected return, volume, and mispricing

Yufeng Han, Dashan Huang, Dayong Huang, Guofu Zhou

Pages 1295-1315

16. Outlier blindness: A neurobiological foundation for neglect of financial risk

Elise Payzan-LeNestour, Michael Woodford

Pages 1316-1343

17. Erratum to “Equity tail risk and currency risk premia [Journal of Financial Economics 143/1 (2022) 484 –503]

Zhenzhen Fan, Juan M. Londono, Xiao XiaoPage 1344

二、题目、作者、作者单位、关键词

Abstracts

01

Bank capital structure and regulation: Overcoming and embracing adverse selection

Sonny Biswas, Kostas Koufopoulos

Abstract: We study bank regulation under optimal contracting, absent exogenous distortions. In equilibrium, banks offer a senior claim (deposits) to external investors and retain equity; the return on equity is higher than the return on deposits due to a scarcity of skilled bankers. Inefficient equilibria emerge under asymmetric information. Optimally designed regulation restores efficiency. Our main result is that disclosure requirements by themselves can be endogenously costly because they may push the economy from a separating equilibrium to a less efficient equilibrium that pools good and bad banks, but always improve welfare when combined with capital regulation.

02

Real-time price discovery via verbal communication: Method and application to Fedspeak

Roberto Gómez-Cram, Marco Grotteria

Abstract: We study the price discovery process on FOMC days. For several asset classes, we find that price movements around the post-meeting statement release are strong predictors of price movements around the subsequent press conference. The correlation is 58% for medium-term Eurodollar futures and 44% for the S&P500 index. We then time-stamp the words pronounced in press conference videos and align these words with high-frequency financial data. Minutes in which the chairman discusses changes in the newly issued policy statement underlie the positive correlation. We discuss potential explanations and consider the implications of our findings for asset pricing and monetary economics.

03

Does paycheck frequency matter? Evidence from micro data

Brian Baugh, Filipe Correia

Abstract: Using a unique dataset from an account aggregator, we analyze cross-sectional differences and within-household time-series variation in paycheck frequency. We find that higher paycheck frequency results in less credit card borrowing, less consumption, but more instances of financial distress — even when the change in paycheck frequency is employer-initiated. We find that pay frequency strongly determines within-month time patterns of financial distress. Our theoretical model reconciles these empirical results — higher paycheck frequency increases consumers’ willingness to allocate to illiquid savings vehicles, leading to a reduction in both consumption and within-paycycle borrowing.

04

Patent quality, firm value, and investor underreaction: Evidence from patent examiner busyness

Tao Shu, Xuan Tian, Xintong Zhan

Abstract: This paper attempts to study the causal effect of examiner busyness on patent quality and firm value. Using a broad set of patent quality measures, we find strong evidence that patents allowed by busy examiners exhibit significantly lower quality. Further, examiner busyness of firms’ patents negatively predicts the firms’ future stock returns, which is consistent with investor underreaction to examiner busyness. Examiners’ experience helps attenuate the negative effect of examiner busyness.

05

Blood in the water: The value of antitakeover provisions during market shocks

Scott Guernsey, Simone M. Sepe, Matthew Serfling

Abstract: During market-wide shocks that cause large drops in stock prices, firms with more state-endorsed antitakeover provisions (ATPs) experience smaller declines in value. Two channels appear to drive this finding. First, by giving boards more bargaining power to fight opportunistic bids, firms with more ATPs extract higher takeover premiums during market shocks. Second, having more ATPs attenuates the effect of market shocks on firm value by protecting relationship-specific investments with stakeholders from disruptive takeovers. Our results suggest that ATPs benefit shareholders during market shocks when firm values are abnormally low and represent one advantage of incorporating in states with more ATPs.

06

Revealing corruption: Firm and worker level evidence from Brazil

Emanuele Colonnelli, Spyridon Lagaras, Jacopo Ponticelli, Mounu Prem, Margarita Tsoutsoura

Abstract: We study how the disclosure of corrupt practices affects the growth of firms involved in illegal interactions with the government using randomized audits of public procurement in Brazil. On average, firms exposed by the anti-corruption program grow larger after the audits, despite experiencing a decrease in procurement contracts. We manually collect new data on the details of thousands of corruption cases, through which we uncover a large heterogeneity in our firm-level effects depending on the degree of involvement in corruption. Using investment-, loan-, and worker- level data, we show that the average exposed firms adapt to the loss of government contracts by changing their investment strategy. They increase capital investment and borrow more to finance such investment, while there is no change in their internal organization. We provide qualitative support to our results by conducting new face-to-face surveys with business owners of government-dependent firms.

07

Closing auctions: Nasdaq versus NYSE

Narasimhan Jegadeesh, Yanbin Wu

Abstract:Closing auction volume steadily increased over the last decade, and it reached a peak of about 10% of the total trading volume in 2019. We examine the price impact and resiliency of closing auctions, and we compare closing auction liquidity in Nasdaq and the NYSE. The NYSE offers more depth. In both exchanges, it takes about 3–5 days for the temporary component of the price impact to fully dissipate. Trading strategies that exploit this price impact and its reversals are significantly profitable.

08

A factor model for option returns

Matthias Büchner, Bryan Kelly

Abstract: Due to their short lifespans and migrating moneyness, options are notoriously difficult to study with the factor models commonly used to analyze the risk-return trade-off in other asset classes. Instrumented principal components analysis solves this problem by tracking contracts in terms of their pricing-relevant characteristics via time-varying latent factor loadings. We find that a model with three latent factors prices the cross-section of option returns and explains more than 85% of the variation in a panel of monthly S&P 500 option returns from 1996 to 2017. In particular, we show that the IPCA factors can be rationalized via an economically plausible three-factor model consisting of a level, slope and skew factor. Finally, out-of-sample trading strategies based on insights from the IPCA model have significant alpha over previously studied option strategies.

09

Price revelation from insider trading: Evidence from hacked earnings news

Pat Akey, Vincent Grégoire, Charles Martineau

Abstract: From 2010 to 2015, a group of traders illegally accessed earnings information before their public release by hacking several newswire services. We use this scheme as a natural experiment to investigate how informed investors select among private signals and how efficiently financial markets incorporate private information contained in trades into prices. We construct a measure of qualitative information using machine learning and find that the hackers traded on both qualitative and quantitative signals. The hackers’ trading caused 15% more of the earnings news to be incorporated in prices before their public release. Liquidity providers responded to the hackers’ trades by widening spreads.

10

High policy uncertainty and low implied market volatility: An academic puzzle?

Jędrzej Białkowski, Huong Dieu Dang, Xiaopeng Wei

Abstract: Motivated by the extremely low level of the CBOE VIX accompanied by the high level of U.S. economic policy uncertainty in the period of late 2016 to the end of 2017, we examine the factors affecting the relationship between market volatility and economic policy uncertainty in the United States and the United Kingdom. Our analysis shows that low-quality political signals, higher opinion divergence among investors, and exceptional equity market performance consistently weaken the positive relationship between implied market volatility and policy uncertainty. Our findings help to explain the divergence between the market volatility index and economic policy uncertainty post the 2016 U.S. presidential election and the UK Brexit referendum.

11

The cost of steering in financial markets: Evidence from the mortgage market

Luigi Guiso, Andrea Pozzi, Anton Tsoy, Leonardo Gambacorta, Paolo Emilio Mistrulli

Abstract: We build a model of the mortgage market in which banks attain their optimal mortgage portfolio by setting rates and steering customers. Sophisticated households know which mortgage type is best for them; naive households are susceptible to banks’ steering. Using data on the universe of Italian mortgages, we estimate the model and quantify the welfare implications of steering. The average cost of the distortion is equivalent to 16% of the annual mortgage payment. A financial literacy campaign is beneficial for naive households, but hurts sophisticated ones. Since steering also conveys information about mortgages, restricting steering might result in significant welfare losses.

12

Under-diversification and idiosyncratic risk externalities
Felipe S. Iachan, Dejanir Silva, Chao Zi

Abstract: We study the effects of idiosyncratic uncertainty on asset prices, investment, and welfare. We consider an economy with two main components: under-diversification and endogenous, countercyclical idiosyncratic risk. The equilibrium is subject to underinvestment and excessive aggregate risk-taking. Inefficiencies stem from an idiosyncratic risk externality, as firms do not internalize the effect of their investment decisions on the risk borne by others. Risk externalities depend on an idiosyncratic risk premium and a variance risk premium. We assess their magnitude empirically. The optimal allocation can be implemented through financial regulation using a tax benefit on debt and risk-weighted capital requirements.

13

In sickness and in debt: The COVID-19 impact on sovereign credit risk

Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam, Davide Tomio

Abstract:The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country’s fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find a positive and significant sensitivity of sovereign default risk to the intensity of the virus’s spread for fiscally constrained governments. Supporting the fiscal channel, we confirm the results for Eurozone countries and U.S. states, for which monetary policy can be held constant. Our analysis suggests that financial markets penalize sovereigns with low fiscal space, impairing their resilience to external shocks.

14

Liquidity, pledgeability, and the nature of lending

Douglas W. Diamond, Yunzhi Hu, Raghuram G. Rajan

Abstract: We develop a theory of how corporate lending and financial intermediation change based on the fundamentals of the firm and its environment. We focus on the interaction between the prospective net worth or liquidity of an industry and the firm’s internal governance or pledgeability. Variations in prospective liquidity can induce changes in the nature, covenants, and quantity of loans that are made, the identity of the lender, and the extent to which the lender is leveraged. We offer predictions on how these might vary over the financial cycle.

15

Expected return, volume, and mispricing

Yufeng Han, Dashan Huang, Dayong Huang, Guofu Zhou

Abstract: We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading volume measures, alternative portfolio formation methods, and controlling for variables that are known to have amplification effects on mispricing. By attributing trading volume to investor disagreement, we show that our results are consistent with the recent theoretical model of Atmaz and Basak (2018) in that investor disagreement predicts stock returns conditional on expectation bias.

16

Outlier blindness: A neurobiological foundation for neglect of financial risk

Elise Payzan-LeNestour, Michael Woodford

Abstract: How do people record information about the outcomes they observe in their environment? Building on a well-established neuroscientific framework, we propose a model in which people are hampered in their perception of outcomes that they expect to seldom encounter. We provide experimental evidence for such “outlier blindness” and discuss how it provides a microfoundation for neglected tail risk by investors in financial markets.

17

Erratum to “Equity tail risk and currency risk premia [Journal of Financial Economics 143/1 (2022) 484 –503]

Zhenzhen Fan, Juan M. Londono, Xiao Xiao

No Abstract

本期人员

收集

邢宇鑫 

河南牧业经济学院 本科

审核

王蕊

长春工业大学 本科

编辑

王萃芳 东北财经大学 博士

海文 中国矿业大学（北京）硕士

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