Digests

Bruce D Grundy, Sjoerd van Bekkum, Patrick Verwijmeren
Review of Finance, Volume 28, Issue 4, July 2024, Pages 1187–1213, https://doi.org/10.1093/rof/rfae006

How does corporate debt issuance depend on sovereign debt issuance? In the US and Europe, corporate and sovereign debt issuance might be seen as substitutes, with sovereign debt issuance crowding out corporate debt issuance.… Read more...

Alexandre Garel, Arthur Romec, Zacharias Sautner, Alexander F Wagner
Review of Finance, Volume 28, Issue 4, July 2024, Pages 1151–1186, https://doi.org/10.1093/rof/rfae010

Biodiversity, the variety of living organisms in all habitats, is deteriorating at an unprecedented and alarming rate. Given the potentially dramatic financial consequences of the loss of biodiversity, firms, investors, and financial market regulators are increasingly paying attention to the topic.… Read more...

Fresh air eases work—the effect of air quality on individual investor activity
Steffen Meyer and Michaela Pagel
Review of Finance, Volume 28, Issue 3, May 2024, Pages 1105–1149, https://doi.org/10.1093/rof/rfae005

Globally, air pollution is linked to millions of premature deaths, and recent evidence suggests that it affects productivity, cognitive function, and performance in physically demanding jobs.… Read more...

The saliency of the CEO pay ratio
Audra Boone, Austin Starkweather, Joshua T White
Review of Finance, Volume 28, Issue 3, May 2024, Pages 1059–1104, https://doi.org/10.1093/rof/rfad039

The CEO pay ratio disclosure became effective in the U.S. in 2018. Although CEO pay disclosure was required, revealing the median employee’s salary and the corresponding ratio was not.… Read more...

External financing, technological changes, and employees
E Han Kim, Yuan Li, Yao Lu, Xinzheng Shi
Review of Finance, Volume 28, Issue 3, May 2024, Pages 985–1025, https://doi.org/10.1093/rof/rfad040

The choice to go public is arguably the most important and impactful decision firms make in their corporate lives.… Read more...

Credit risk, debt overhang, and the life cycle of callable bonds
Bo Becker, Murillo Campello, Viktor Thell, Dong Yan
Review of Finance, Volume 28, Issue 3, May 2024, Pages 945–985, https://doi.org/10.1093/rof/rfae001

In this paper, we propose that callable bonds may reduce the debt overhang otherwise created by corporate leverage.… Read more...

When passive funds affect prices: evidence from volatility and commodity ETFs
Karamfil Todorov
Review of Finance, Volume 28, Issue 3, May 2024, Pages 831–863, https://doi.org/10.1093/rof/rfad038

Focus

This paper studies ETF price impact in the most ETF-dominated asset classes: volatility (VIX) and commodities.… Read more...

Yield curve momentum
Markus Sihvonen
Review of Finance, Volume 28, Issue 3, May 2024, Pages 805–830, https://doi.org/10.1093/rof/rfae003

I find that past month Treasury bond returns predict bond returns also in the following month. This time series momentum pattern is easiest to detect at shorter maturities but exists also for longer maturities.… Read more...

Leveraged speculators and asset prices
Wenxi Jiang
Review of Finance, Volume 28, Issue 3, May 2024, Pages 769–804, https://doi.org/10.1093/rof/rfad037

From the episode of the Long-Term Capital Management (LTCM) in 1998 to the stock market crashes in 1929 and 1987, the quant crisis in 2007, the financial crisis in 2007-2008, and the bond market turmoil in 2020, there is ample anecdotal evidence suggesting that excessive leverage used by speculators can greatly amplify market crashes. … Read more...