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The Journal of Finance
Scopus
ISSN 0022-1082 · Wiley · 15 articles in the index
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Is There a Replication Crisis in Finance?
ABSTRACT Several papers argue that financial economics faces a replication crisis because the majority of studies cannot be replicated or are the result of multiple testing of too many factors. We develop and estimate a Bayesian model of factor replication that leads to different conclusions. The…
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Presidential Address: Sustainable Finance and ESG Issues— Value versus Values
ABSTRACT In this address, I discuss differences across investor and manager motivations for considering sustainable finance— value versus values motivations—and how these differences contribute to misunderstandings about environmental, social, and governance investment approaches. The finance…
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Firm‐Level Climate Change Exposure
ABSTRACT We develop a method that identifies the attention paid by earnings call participants to firms' climate change exposures. The method adapts a machine learning keyword discovery algorithm and captures exposures related to opportunity, physical, and regulatory shocks associated with climate…
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Global Pricing of Carbon‐Transition Risk
ABSTRACT The energy transition away from fossil fuels exposes companies to carbon‐transition risk. Estimating the market‐based premium associated with carbon‐transition risk in a cross section of 14,400 firms in 77 countries, we find higher stock returns associated with higher levels and growth…
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Equilibrium Bitcoin Pricing
ABSTRACT We offer a general equilibrium analysis of cryptocurrency pricing. The fundamental value of the cryptocurrency is its stream of net transactional benefits, which depend on its future prices. This implies that, in addition to fundamentals, equilibrium prices reflect sunspots. This in turn…
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Common Risk Factors in Cryptocurrency
ABSTRACT We find that three factors—cryptocurrency market, size, and momentum—capture the cross‐sectional expected cryptocurrency returns. We consider a comprehensive list of price‐ and market‐related return predictors in the stock market and construct their cryptocurrency counterparts. Ten…
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Foreign Safe Asset Demand and the Dollar Exchange Rate
ABSTRACT We develop a theory that links the U.S. dollar's valuation in FX markets to the convenience yield that foreign investors derive from holding U.S. safe assets. We show that this convenience yield can be inferred from the Treasury basis, the yield gap between U.S. government and…
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Weathering Cash Flow Shocks
ABSTRACT Unexpectedly severe winter weather, which is arguably exogenous to firm and bank fundamentals, represents a significant cash flow shock for bank‐borrowing firms. Firms respond to these shocks by drawing on and increasing the size of their credit lines. Banks charge borrowers for this…
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Banking on Deposits: Maturity Transformation without Interest Rate Risk
ABSTRACT We show that maturity transformation does not expose banks to interest rate risk—it hedges it. The reason is the deposit franchise, which allows banks to pay deposit rates that are low and insensitive to market interest rates. Hedging the deposit franchise requires banks to earn income…
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Predictably Unequal? The Effects of Machine Learning on Credit Markets
ABSTRACT Innovations in statistical technology in functions including credit‐screening have raised concerns about distributional impacts across categories such as race. Theoretically, distributional effects of better statistical technology can come from greater flexibility to uncover structural…
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Fire‐Sale Spillovers and Systemic Risk
ABSTRACT We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire‐sale‐specific…
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Presidential Address: Social Transmission Bias in Economics and Finance
ABSTRACT I discuss a new intellectual paradigm, social economics and finance—the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, underexploited building block of social economics and finance…
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Declining Labor and Capital Shares
ABSTRACT This paper presents direct measures of capital costs, equal to the product of the required rate of return on capital and the value of the capital stock. The capital share, equal to the ratio of capital costs and gross value added, does not offset the decline in the labor share. Instead, a…
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Is Bitcoin Really Untethered?
ABSTRACT This paper investigates whether Tether, a digital currency pegged to the U.S. dollar, influenced Bitcoin and other cryptocurrency prices during the 2017 boom. Using algorithms to analyze blockchain data, we find that purchases with Tether are timed following market downturns and result in…
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The Impact of Supervision on Bank Performance
ABSTRACT We explore the impact of supervision on the riskiness, profitability, and growth of U.S. banks. Using data on supervisors' time use, we demonstrate that the top‐ranked banks by size within a supervisory district receive more attention from supervisors, even after controlling for size…