2023

Income, Liquidity, and the Consumption Response to the 2020 Economic Stimulus Payments
Scott R. Baker, Robert A Farrokhnia, Steffen Meyer, Michaela Pagel
Review of Finance, Volume 27, Issue 6, November 2023, Pages 2271–2304, https://doi.org/10.1093/rof/rfad010

The 2020 CARES Act directed large cash payments to households.… Read more...

Indirect Costs of Financial Distress
Cláudia Custódio, Miguel A Ferreira, Emilia Garcia-Appendini
Review of Finance, Volume 27, Issue 6, November 2023, Pages 2233–2270, https://doi.org/10.1093/rof/rfad014

In the presence of information asymmetry, contractual frictions, or other conflicts between the firm and its stakeholders, a firm facing financial distress might experience a reduction in sales.… Read more...

A Tale of Two Cities: Mainland Chinese Buyers in the Hong Kong Housing Market
Yi Fan, Maggie Rong Hu, Wayne Xinwei Wan, Zhenping Wang
Review of Finance, Volume 27, Issue 6, November 2023, Pages 2205–2232, https://doi.org/10.1093/rof/rfad006

A burgeoning literature shows that global real estate markets are subject to the “China shock” in recent years.… Read more...

Large Bets and Stock Market Crashes
Albert S Kyle and Anna A Obizhaeva
Review of Finance, Volume 27, Issue 6, November 2023, Pages 2163–2203, https://doi.org/10.1093/rof/rfad008

After stock market crashes, market participants, policymakers, and economists are usually unable to explain what happened.… Read more...

The Term Structure of Short Selling Costs
Gregory Weitzner
Review of Finance, Volume 27, Issue 6, November 2023, Pages 2125–2161, https://doi.org/10.1093/rof/rfad009

Short sellers not only care about how overvalued an asset is, but when the overvaluation will be corrected. Thus, short selling costs will be higher over horizons when negative information is more likely to arrive.… Read more...

Does Socially Responsible Investing Change Firm Behavior?
Davidson Heath, Daniele Macciocchi, Roni Michaely, Matthew C. Ringgenberg
Review of Finance, Volume 27, Issue 6, November 2023, Pages 2057–2083, https://doi.org/10.1093/rof/rfad002

Using micro-level data, we examine the behavior of socially responsible investment (SRI) funds.… Read more...

Leasing as a Mitigation of Financial Accelerator Effects
Kai Li, Jun Yu
Review of Finance, Volume 27, Issue 6, November 2023, Pages 2015–2056, https://doi.org/10.1093/rof/rfad004

In this paper, we study the macroeconomic implications of corporate leasing activities.  

Leased capital is extensively used in capital markets and production, but its effects on macroeconomic dynamics have been largely overlooked in the literature on macro models with financial frictions, which assumes that firms don’t have an option to rent capital.… Read more...

The Variance Risk Premium in Equilibrium Models
Geert Bekaert, Eric Engstrom, Andrey Ermolov
Review of Finance, Volume 27, Issue 6, November 2023, Pages 1977–2014, https://doi.org/10.1093/rof/rfad005

We document a strong relation between tails in the variance risk premium and consumption growth distributions, with the variance premium defined as the difference between the option-implied variance (the square of the VIX index) and the physical conditional variance of the S&P500 index.… Read more...

Delegated Learning and Contract Commonality in Asset Management
Michael Sockin and Mindy Z Xiaolan
Review of Finance, Volume 27, Issue 6, November 2023, Pages 1931–1975, https://doi.org/10.1093/rof/rfad011

A salient feature of the asset management industry is that portfolio manager compensation has a similar structure across active mutual funds.… Read more...