本文精选了金融学领域国际顶刊《Journal of Finance》近期发表的论文，提供金融学领域最新的学术动态。

Would Order-By-Order Auctions Be Competitive?

原刊和作者：

Journal of Finance Volume 80, Issue 4

THOMAS ERNST （University of Maryland）

CHESTER SPATT （Carnegie Mellon University）

JIAN SUN （Singapore Management University）

Abstract

We model two methods of executing segregated retail orders: brokers' routing, whereby brokers allocate orders using the market maker's overall performance, and order-by-order auctions, where market makers bid on individual orders, a recent U.S. Securities and Exchange Commission proposal. Order-by-order auctions improve allocative efficiency, but face a winner's curse reducing retail investor welfare, particularly when liquidity is limited. Additional market participants competing for retail orders fail to improve total efficiency and investor welfare when entrants possess information superior to incumbent wholesalers. Our results hold when new entrants are less informed or the information structure differs. We also examine the cross-subsidization of brokers' routing.

Link: https://doi.org/10.1111/jofi.13449

Regulating Over-the-Counter Markets

原刊和作者：

Journal of Finance Volume 80, Issue 4

TOMY LEE （Central European University）

CHAOJUN WANG （University of Pennsylvania）

Abstract

Over-the-counter (OTC) trading thrives despite competition from exchanges. We let OTC dealers cream skim from exchanges in an otherwise standard Glosten and Milgrom framework. Restricting the dealer's ability to cream skim induces “cheap substitution”: some traders exit while others with larger gains from trade enter. Cheap substitution implies trading costs, trade volumes, and market shares are poor policy indicators. In a benchmark case, restricting the dealer raises welfare only if trading cost increases, volume falls, and OTC market share is high. By contrast, the restriction improves welfare when adverse selection risk is low. A simple procedure implements the optimal Pigouvian tax.

Link: https://doi.org/10.1111/jofi.13461

Interlocking Directorates and Competition in Banking

原刊和作者：

Journal of Finance Volume 80, Issue 4

GUGLIELMO BARONE （University of Bologna）

FABIANO SCHIVARDI （LUISS University）

ENRICO SETTE （Bank of Italy）

Abstract

We study the effects on corporate loan rates of an unexpected change in the Italian legislation that forbade interlocking directorates between banks. Exploiting multiple firm-bank relationships to fully account for all unobserved heterogeneity, we find that prohibiting interlocks decreased the interest rates of previously interlocked banks by 14 basis points relative to other banks. The effect is stronger for high-quality firms and for loans extended by interlocked banks with a large joint market share. Interest rates on loans from previously interlocked banks become more dispersed. Finally, firms borrowing more from previously interlocked banks expand investment, employment, and sales.

Link: https://doi.org/10.1111/jofi.13464

The Value of Bank Lending

原刊和作者：

Journal of Finance Volume 80, Issue 4

THOMAS FLANAGAN （The Ohio State University）

Abstract

Using a novel data set of realized syndicated loan cash flows and a risk-adjustment methodology adapted from the private equity literature, I provide a measure of risk-adjusted returns for bank loan cash flows. Banks, on average, generate 180 basis points in gross risk-adjusted returns and add $75 million of value annually to their loan portfolios. Banks earn higher returns when they lend to financially constrained borrowers, and the risk-adjusted performance of bank loan portfolios exhibits persistence. However, banks require higher risk-adjusted returns when facing their own financing frictions, and shareholders earn nearly zero net risk-adjusted returns once bank staff are compensated for their lending effort. Overall, these findings suggest that banks provide valuable services to mitigate borrowers' financing frictions, and the present value of loan cash flows pays for the costs of providing these services.

Link: https://doi.org/10.1111/jofi.13465

Dynamic Banking and the Value of Deposits

Journal of Finance Volume 80, Issue 4

PATRICK BOLTON （Imperial College Business School）

YE LI （University of Washington）

NENG WANG （Cheung Kong Graduate School of Business）

JINQIANG YANG （Shanghai University of Finance and Economics）

Abstract

We propose a theory of banking in which banks cannot perfectly control deposit flows. Facing uninsurable loan and deposit shocks, banks dynamically manage lending, wholesale funding, deposits, and equity. Deposits create value by lowering funding costs. However, when the bank is undercapitalized and at risk of breaching leverage requirements, the marginal value of deposits can turn negative as deposit inflows, by raising leverage, increase the likelihood of costly equity issuance. Banks' inability to fully control leverage distinguishes them from nondepository intermediaries. Our model suggests a reevaluation of leverage regulations and offers new perspectives on banking in a low-interest-rate environment.

Link: https://doi.org/10.1111/jofi.13454