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

Too Levered for Pigou: Carbon pricing, financial constraints, and leverage regulation

原刊和作者：

Journal of Financial Economics Volume 172

Robin Döttling （Erasmus University Rotterdam）

Magdalena Rola-Janicka （Imperial College London）

Abstract

We analyze optimal carbon pricing under financial constraints and endogenous climate-related transition and physical costs. The socially optimal emissions tax may be above or below a Pigouvian benchmark, depending on the strength of physical climate impacts on pledgeable resources. We derive necessary conditions for emissions taxes alone to implement a constrained-efficient allocation, and show a cap-and-trade system may dominate emissions taxes because it can be designed to have a less adverse effect on financial constraints. We also assess how capital structure, carbon price hedging markets, and socially responsible investors interact with emissions pricing, and evaluate other commonly used policy tools.

Link: https://doi.org/10.1016/j.jfineco.2025.104105

Why do portfolio choice models predict inelastic demand?

原刊和作者：

Journal of Financial Economics Volume 172

Carter Davis （The Ohio State University）

Mahyar Kargar （University of Illinois Urbana-Champaign）

Jiacui Li （University of Utah）

Abstract

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.

Link: https://doi.org/10.1016/j.jfineco.2025.104096

Diversification driven demand for large stock

原刊和作者：

Journal of Financial Economics Volume 172

Huaizhi Chen （University of Notre Dame）

Abstract

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).

Link: https://doi.org/10.1016/j.jfineco.2025.104109

Show me the receipts: B2B payment timeliness and expected returns

原刊和作者：

Journal of Financial Economics Volume 172

Paul Lieberman （SPY Capital Management）

Atanas Mihov （University of Kansas）

Andy Naranjo （University of Florida）

Mihail Velikov （Pennsylvania State University）

Abstract

Trade credit is an important source of firm financing, yet its rich informational content pertaining to payment timeliness is under-explored in asset pricing. Using an extensive data set from a leading private information exchange on business payment performance, we study the effects of trade credit payment timeliness on stock returns. We document two distinct channels through which trade credit payment behavior impacts future stock returns — slow diffusion of information and risk stemming from a customer firm’s vertical bargaining power position in the supply chain. Consistent with our first channel, a sudden delay in a firm’s payment to its suppliers predicts significantly lower future returns for its stock. Consistent with our second channel, firms that pay their bills moderately late on a consistent basis relative to terms earn significantly higher stock returns.

Link: https://doi.org/10.1016/j.jfineco.2025.104108

Dynamic Banking and the Value of Deposits

Journal of Financial Economics Volume 172

Benjamin Golez （University of Notre Dame）

Peter Koudijs （New York University）

Abstract

After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long time series for the aggregate market, and the cross-section of stocks. A simple present value model with time-varying duration can largely explain the post-1945 dominance of expected returns.

Link: https://doi.org/10.1016/j.jfineco.2025.104114