国际顶刊《Journal of Financial Economics》 2022年12期刊文速递！

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国际顶刊《Journal of Financial Economics》
2022年12期刊文速递

目录

• Measuring the welfare cost of asymmetric information in consumer credit markets

• Monetary policy expectation errors

• Liquidity in the global currency market

• Capital forbearance in the bank recovery and resolution game

• Shale shocked: Cash windfalls and household debt repayment

• Product market strategy and corporate policies

• The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks

• Partisan residential sorting on climate change risk

• What moves treasury yields?

• Financial transaction taxes and the informational efficiency of financial markets: A structural estimation

• Voting and trading: The shareholder’s dilemma

• Game on: Social networks and markets

• Fire-sale risk in the leveraged loan market

• Sentiment and uncertainty

1

Measuring the welfare cost of asymmetric information in consumer credit markets

Journal of Financial Economics 2022年12月

Anthony A. DeFusco(Northwestern University, NBER)

Huan Tang(London School of Economics)

Constantine Yannelis(University of Chicago, NBER)

Abstract

Information asymmetries are known in theory to lead to inefficiently low credit provision, yet empirical estimates of the resulting welfare losses are scarce. This paper leverages a randomized experiment conducted by a large fintech lender to estimate welfare losses arising from asymmetric information in the market for online consumer credit. Building on methods from the insurance literature, we show how exogenous variation in interest rates can be used to estimate borrower demand and lender cost curves and recover implied welfare losses. While asymmetric information generates large equilibrium price distortions, we find only small overall welfare losses, particularly for high-credit-score borrowers.

2

Monetary policy expectation errors

Journal of Financial Economics 2022年12月

Maik Schmeling(Goethe University Frankfurt, CEPR)

Andreas Schrimpf(Bank for International Settlements, CEPR)

Sigurd Steffensen(Danmarks Nationalbank)

Abstract

How are financial markets pricing the monetary policy outlook? We use surveys to decompose excess returns on money market instruments into expectation errors and term premia. Excess returns are primarily driven by expectation errors, whereas term premia are negligible. Investors face challenges when learning about the Federal Reserve’s response to large, but infrequent, negative shocks in real-time. Rather than reflecting risk compensation, excess returns stem from investors underestimating how much the central bank eases policy in response to such rare shocks. We show, for the US and internationally, that expectation errors imply excess return predictability from past stock returns.

3

Liquidity in the global currency market

Journal of Financial Economics 2022年12月

Angelo Ranaldo(University of St. Gallen and Swiss Finance Institute)

Paolo Santucci de Magistris(LUISS “Guido Carli” University, Aarhus University)

Abstract

We study the liquidity of the global currency market by analyzing the price impact of trading volume. We analyze a decade of CLS intraday data representative of global foreign exchange (FX) trading by developing a refinement of the popular Amihud (2002) illiquidity measure that we call realized Amihud, which is the ratio between realized volatility and trading volume. Inversely related to market depth, price impact increases with transaction costs, money market stress, uncertainty, and risk aversion. Furthermore, we analyze whether and how liquidity begets price efficiency by looking at violations of the “triangular” no-arbitrage condition. We find that dollar-based currencies offer a lower trading impact supporting price efficiency.

4

Capital forbearance in the bank recovery and resolution game

Journal of Financial Economics 2022年12月

Natalya Martynova(Deutsche Bundesbank)

Enrico Perotti(University of Amsterdam)

Javier Suarez(CEMFI)

Abstract

We analyze the strategic interaction between undercapitalized banks and a supervisor in a recovery and resolution framework in which early recapitalizations can prevent later disorderly failures. Capital forbearance emerges because reputational, political, economic and fiscal costs undermine supervisors’ commitment to publicly resolve the banks that miss the request to privately recover. Under a weaker resolution threat, banks’ incentives to recover are lower and supervisors may end up having to resolve more banks. When marginal resolution costs steeply increase with the scale of the intervention, private recovery actions become strategic complements, producing too-many-to-resolve equilibria with high forbearance and high systemic costs.

5

Shale shocked: Cash windfalls and household debt repayment

Journal of Financial Economics 2022年12月

Anthony Cookson(University of Colorado at Boulder)

Erik Gilje(Teocalli Exploration and NBER)

Rawley Heimer(Arizona State University)

Abstract

Using individual credit bureau data matched with cash windfalls from fracking, we estimate that windfall recipients reduce debt-to-income by 2.4 percentage points relative to no-windfall controls. Debt repayment effects are 3 times stronger for subprime individuals than for prime individuals. Based on the timing of upfront versus continuing cash payments, debt repayment coincides with the timing of payments but not with news about future payments. These findings present a challenge for purely forward-looking models of debt. Indeed, when we incorporate a windfall shock into a forward-looking model, the model predicts an increase in debt that runs counter to our evidence of debt repayment.

6

Product market strategy and corporate policies

Journal of Financial Economics 2022年12月

Jakub Hajda(HEC Montréal)

Boris Nikolov(University of Lausanne, Swiss Finance Institute, European Corporate Governance Institute)

Abstract

We examine how product life cycle affects investment and financing by estimating an industry equilibrium model that embeds product portfolio characteristics. In the model, firms trade off higher profitability of newer products versus product introduction costs. Using product-level data, we find that the product dimension is critical in quantitatively explaining cash flow dynamics, corporate policies, and industry structure. We show that product introductions and capital investment are complements and that product dynamics incentivize preserving more debt capacity. Our estimates reveal that product life cycle is more pronounced for firms with smaller and more concentrated product portfolios as well as those with high product variety.

7

The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks

Journal of Financial Economics 2022年12月

Mathias Kruttli(Board of Governors of the Federal Reserve System)

Phillip Monin(Board of Governors of the Federal Reserve System, U.S. Department of the Treasury)

Sumudu Watugala(Indiana University)

Abstract

Using novel credit data, we show that hedge fund borrowing is significantly overcollateralized, primarily with rehypothecable securities. An idiosyncratic liquidity shock to a major prime broker significantly decreases credit to connected hedge funds. The dominant channel behind this shock transmission is credit supply reduction rather than precautionary demand reduction. Funds posting more rehypothecable collateral are less affected because their collateral alleviates prime broker liquidity constraints. Exposed funds subsequently have lower aggregate credit with worse terms, suggesting imperfect substitutability across hedge fund credit sources. Funds subject to the decrease in balance sheet leverage subsequently increase portfolio illiquidity, embedded leverage, and derivatives exposure.

8

Partisan residential sorting on climate change risk

Journal of Financial Economics 2022年12月

Asaf Bernstein(University of Colorado, NBER)

Stephen Billings(University of Colorado)

Matthew Gustafson(Pennsylvania State University)

Ryan Lewis(University of Colorado)

Abstract

Is climate change partisanship reflected in residential decisions?  Comparing individual properties in the same zip code with similar elevation and proximity to the coast, houses exposed to sea level rise (SLR) are increasingly more likely to be owned by Republicans and less likely to be owned by Democrats. We find a partisan residency gap for even moderately SLR exposed properties of more than 5 percentage points, which has more than doubled over the past six years. Findings are unchanged controlling flexibly for other individual demographics and a variety of granular property characteristics, including the value of the home. Residential sorting manifests among owners regardless of occupancy, but not among renters, and is driven by long-run SLR exposure but not current flood risk. Anticipatory sorting on climate change suggests that households that are most likely to vote against climate friendly policies and least likely to adapt may ultimately bear the burden of climate change.

9

What moves treasury yields?

Journal of Financial Economics 2022年12月

Emanuel Moench(Deutsche Bundesbank, Goethe University Frankfurt, CEPR)

Soroosh Soofi-Siavash(Bank of Lithuania, Vilnius University)

Abstract

We identify a yield news shock as an innovation that does not move Treasury yields contemporaneously but explains a maximum share of their future variation. Yields do not immediately respond to the news shock as the initial reaction of term premiums and expected short rates offset each other. While the impact on term premiums fades quickly, expected short rates and thus yields decline persistently. As a result, the shock explains a staggering 50% of Treasury yield variation several years out. A positive yield news shock is associated with a coincident sharp increase in stock and bond market volatility, a contemporaneous response of leading economic indicators, and is followed by a persistent decline of real activity and inflation which is accommodated by the Federal Reserve. Identified shocks to realized stock market volatility and business cycle news imply similar impulse responses and together capture the bulk of variation of the yield news shock.

10

Financial transaction taxes and the informational efficiency of financial markets: A structural estimation

Journal of Financial Economics 2022年12月

Marco Cipriani(Federal Reserve Bank of New York)

Antonio Guarino(University College London)

Andreas Uthemann(Bank of Canada, London School of Economics)

Abstract

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of 60 NYSE stocks in 2017. We quantify the effect of introducing an FTT given the parameter estimates. An FTT increases the proportion of informed trading, improves information aggregation, but lowers trading volume and welfare. For some less liquid stocks, however, an FTT blocks private information aggregation.

11

Voting and trading: The shareholder’s dilemma

Journal of Financial Economics 2022年12月

Adam Meirowitz(Yale University)

Shaoting Pi(Iowa State University)

Abstract

We study governance when shareholders vote and can also buy or sell shares. We find that voting for the policy that one believes is better for the firm maximizes portfolio value only when pivotal; otherwise, it is better to vote against one’s information, distort the market, and then trade at the distorted price. Equilibrium voting informativeness balances these forces and is demonstrably low. As the number of shareholders grows, the probability of making the correct decision becomes lower than the informational quality of just one shareholder’s private signal. Despite this, shareholders extract information rents from trading and thus obtain additional value from their private information. These effects are related to the level of direct information leakage in the market. The predicted patterns of trading and market volatility help reconcile several debates.

12

Game on: Social networks and markets

Journal of Financial Economics 2022年12月

Lasse Heje Pedersen(Copenhagen Business School and CEPR)

Abstract

I present closed-form solutions for prices, portfolios, and beliefs in a model where four types of investors trade assets over time: naive investors who learn via a social network, “fanatics” possibly spreading fake news, and rational short- and long-term investors. I show that fanatic and rational views dominate over time, and their relative importance depends on their following by influencers. Securities markets exhibit social network spillovers, large effects of influencers and thought leaders, bubbles, bursts of high volume, price momentum, fundamental momentum, and reversal. The model sheds new light on the GameStop event, historical bubbles, and asset markets more generally.

13

Fire-sale risk in the leveraged loan market

Journal of Financial Economics 2022年12月

Redouane Elkamhi(University of Toronto)

Yoshio Nozawa(University of Toronto)

Abstract

Using detailed loan holding data of Collateralized Loan Obligations (CLOs), we document empirical evidence for the fire sale of leveraged loans due to leverage constraints on CLOs. Constrained CLOs are forced to sell loans downgraded to CCC or below, and thus loans widely held by constrained CLOs experience temporary price depreciation. This instability is exacerbated by diversification requirements. As the CLO market grows, each CLO’s effort to diversify its portfolio leads to similarity in loan holdings among CLOs, and thus their leverage constraints simultaneously bind. CLOs’ overlapping loan holdings spread idiosyncratic shocks to large borrowers to the overall leveraged loan market.

14

Sentiment and uncertainty

Journal of Financial Economics 2022年12月

Justin Birru(The Ohio State University)

Trevor Young(Tulane University)

Abstract

Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Accordingly, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. For the cross-section of returns, the predictive ability of sentiment for assets expected to be most sensitive to sentiment, including existing measures of both risk and mispricing, is substantially larger in times of higher uncertainty. The results hold for both daily and monthly proxies for sentiment and for various proxies for uncertainty.

https://www.sciencedirect.com/journal/journal-of-financial-economics/vol/146/issue/3

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