Author name: Patricia Ponce

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...

The term structure of equity yields—a bottom-up approach
David Schröder
Review of Finance, Volume 28, Issue 2, March 2024, Pages 661–697, https://doi.org/10.1093/rof/rfad036

This article proposes a new perspective on the market equity yield curve. Instead of treating the equity market as one single entity, we go one level deeper and consider the equity market as what it really is — a large market of many different individual equity shares.… Read more...

Firm financing through insider stock pledges
Xiaofei Pan and Meijun Qian
Review of Finance, Volume 28, Issue 2, March 2024, Pages 621–659, https://doi.org/10.1093/rof/rfad030

Insiders pledging company stocks as collateral for personal loans is a worldwide practice. However, existing studies based on firm data from the U.S.… Read more...

Property rights, political connections, and corporate investment
Meng Miao, Dragon Yongjun Tang, Lixin Colin Xu, Xiao Yan
Review of Finance, Volume 28, Issue 2, March 2024, Pages 593–619, https://doi.org/10.1093/rof/rfad029

Strengthening property rights, the critical goal of modern economic systems, is expected to facilitate investment and development.… Read more...

Big broad banks: how does cross-selling affect lending?
Yingjie Qi
Review of Finance, Volume 28, Issue 2, March 2024, Pages 551–592, https://doi.org/10.1093/rof/rfad028

Cross-subsidization across multiple products is shown to increase equilibrium profit and reduce competition in the IO literature. This strategy has been documented in many industries, in which firms advertise a base price for a product and try to sell “add-ons” at high prices at the point of sale.… Read more...

Asset Complexity and the Return Gap
Pengjie Gao, Allen Hu, Peter Kelly, Cameron Peng, Ning Zhu
Review of Finance, Volume 28, Issue 2, March 2024, Pages 511–550, https://doi.org/10.1093/rof/rfad027

There is significant evidence that portfolio returns increase with wealth/sophistication. In recent work, Bach et al.… Read more...

ESG shareholder engagement and downside risk
Andreas G F Hoepner, Ioannis Oikonomou, Zacharias Sautner, Laura T Starks, Xiao Y Zhou
Review of Finance, Volume 28, Issue 2, March 2024, Pages 483–510, https://doi.org/10.1093/rof/rfad034

Institutional investor engagement on environmental, social, and governance (ESG) issues has become increasingly prevalent in financial markets.… Read more...