本文精选了金融经济学领域国际顶刊《Journal of Financial Economics》近期发表的论文，提供金融经济学研究领域最新的学术动态。

Financial market concentration and misallocation

原刊和作者：

Journal of Financial Economics Volume 159

Daniel Neuhann （University of Texas at Austin）

Michael Sockin （University of Texas at Austin）

Abstract

How does financial market concentration affect capital allocation? We propose a complete-markets model in which real investment and financial price impact are jointly determined in general equilibrium. We identify a two-way feedback mechanism whereby price impact induces misallocation and misallocation raises price impact. The mechanism is stronger if productivity is low or productivity dispersion is high. Given rising dispersion, the model can rationalize trends in corporate discount rates, cash holdings, investment, asset prices, and capital reallocation over the last two decades, even when market concentration is relatively stable. Overall, our findings suggest that financial market concentration may hamper allocative efficiency.

Link: https://doi.org/10.1016/j.jfineco.2024.103875

The short-termism trap: Catering to informed investors with limited horizons

原刊和作者：

Journal of Financial Economics Volume 159

James Dow （London Business School）

Jungsuk Han （Seoul National University）

Francesco Sangiorgi （Frankfurt School of Finance and Management）

Abstract

Does the stock market exert short-term pressure on listed firms, do they respond, and is this response value reducing? We show that limited investor horizons indeed have those consequences, as follows. First, informative stock prices increase firm value; in our model, they reduce the agency cost of incentivizing managers. Second, short project maturity improves stock price informativeness by catering to informed investors with short horizons. Third, since informed trading capital is a scarce resource, attracting informed investors cannot increase an individual firm’s price informativeness in equilibrium: it simply destroys shareholder value. This “short-termism trap” can potentially destroy up to 100% of the benefits of stock market listing.

Link: https://doi.org/10.1016/j.jfineco.2024.103884

The effects of policy interventions to limit illegal money lending

原刊和作者：

Journal of Financial Economics Volume 159

Kaiwen Leong （Griffith University）

Huailu Li （Fudan University）

Nicola Pavanini （Tilburg University）

Abstract

We estimate a structural model of borrowing and lending in the illegal money lending market using a unique panel survey of 1,090 borrowers taking out 11,032 loans from loan sharks. We use the model to evaluate the effects of interventions aimed at limiting this market. We find that an enforcement crackdown that occurred during our sample period increased lenders’ unit cost of harassment and interest rates, while lowering volume of loans, lender profits and borrower welfare. Policies removing borrowers in the middle of the repayment ability distribution, reducing gambling or reducing time discounting are also effective at lowering lender profitability.

Link: https://doi.org/10.1016/j.jfineco.2024.103894

Importance of transaction costs for asset allocation in foreign exchange markets

原刊和作者：

Journal of Financial Economics Volume 159

Ilias Filippou （Florida State University）

Thomas A. Maurer （The University of Hong Kong）

Luca Pezzo （University of New Orleans）

Abstract

Transaction costs have a first-order effect on the performance of currency portfolios. Proportional costs based on quoted bid–ask spread are relatively small, but when a fund is large, costs due to the trading volume price impact are sizable and quickly erode returns, leaving many popular strategies unprofitable. A mean–variance-transaction-cost optimized approach (MVTC) that accounts for costs in the optimization efficiently tackles the problem with only relatively minor negative implications on before-cost profitability. MVTC is robust even when the price impact of trading is severe. Finally, we introduce an accurate extrapolation approach to expand the sample of the realized Amihud measure of Ranaldo and Santucci de Magistris (2022) from 12 to 26 currencies and from 2012 back in time to 1986.

Link: https://doi.org/10.1016/j.jfineco.2024.103886

The reserve supply channel of unconventional monetary policy

Journal of Financial Economics Volume 159

William Diamond （Wharton School of the University of Pennsylvania）

Zhengyang Jiang （Northwestern University）

Yiming Ma （Columbia Business School）

Abstract

We find that central bank reserves injected by QE crowd out bank lending. We estimate a structural model with cross-sectional instrumental variables for deposit and loan demand. Our results are determined by the elasticity of loan demand and the impact of reserve holdings on the cost of supplying loans. The reserves injected by QE raise loan rates by 7.4 basis points, and each dollar of reserves reduces bank lending by 7.7 cents. Our results imply that a large injection of central bank reserves has the unintended consequence of crowding out bank loans because of bank balance sheet costs.

Link: https://doi.org/10.1016/j.jfineco.2024.103887