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Financial Transaction Taxes, Market Composition, and Liquidity

Published Articles

Author(s): JEAN‐EDOUARD COLLIARD, PETER HOFFMANN

ABSTRACT We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its...

The Journal of Finance - Early View Articles

Income Insurance and the Equilibrium Term Structure of Equity

Published Articles

Author(s): ROBERTO MARFÈ

ABSTRACT Output, wages, and dividends feature term structures of variance ratios that are respectively flat, increasing, and...

The Journal of Finance - Early View Articles

A Labor Capital Asset Pricing Model

Published Articles

Author(s): LARS‐ALEXANDER KUEHN, MIKHAIL SIMUTIN, JESSIE JIAXU WANG

ABSTRACT We show that labor search frictions are an important determinant of the cross‐section of equity returns. Empirically,...

The Journal of Finance - Early View Articles

Do Cash Flows of Growth Stocks Really Grow Faster?

Published Articles

Author(s): HUAFENG (JASON) CHEN

ABSTRACT Contrary to conventional wisdom, growth stocks (i.e., low book‐to‐market stocks) do not have substantially higher...

The Journal of Finance - Early View Articles

What Drives the Cross‐Section of Credit Spreads?: A Variance Decomposition Approach

Published Articles

Author(s): YOSHIO NOZAWA

ABSTRACT I decompose the variation of credit spreads for corporate bonds into changing expected returns and changing expectation...

The Journal of Finance - Early View Articles

Consumer Default, Credit Reporting, and Borrowing Constraints

Published Articles

Author(s): MARK J. GARMAISE, GABRIEL NATIVIDAD

ABSTRACT Why do negative credit events lead to long‐term borrowing constraints? Exploiting banking regulations in Peru and...

The Journal of Finance - Early View Articles

The Downside of Asset Screening for Market Liquidity

Published Articles

Author(s): VICTORIA VANASCO

ABSTRACT This paper explores the tension between asset quality and market liquidity. I model an originator who screens assets...

The Journal of Finance - Early View Articles

Benchmarks in Search Markets

Published Articles

Author(s): DARRELL DUFFIE, PIOTR DWORCZAK, HAOXIANG ZHU

ABSTRACT We characterize the role of benchmarks in price transparency of over‐the‐counter markets. A benchmark can raise social...

The Journal of Finance - Early View Articles

Are CDS Auctions Biased and Inefficient?

Published Articles

Author(s): SONGZI DU, HAOXIANG ZHU

ABSTRACT We study the design of credit default swaps (CDS) auctions, which determine the payments by CDS sellers to CDS buyers...

The Journal of Finance - Early View Articles

The Front Men of Wall Street: The Role of CDO Collateral Managers in the CDO Boom and Bust

Published Articles

Author(s): SERGEY CHERNENKO

ABSTRACT I study the incentives of the collateral managers who selected securities for ABS CDOs—securitizations that figured...

The Journal of Finance - Early View Articles

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