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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

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

A Model of Monetary Policy and Risk Premia

Published Articles

Author(s): ITAMAR DRECHSLER, ALEXI SAVOV, PHILIPP SCHNABL

ABSTRACT We develop a dynamic asset pricing model in which monetary policy affects the risk premium component of the cost of...

The Journal of Finance - Early View Articles

Nonfundamental Speculation Revisited

Published Articles

Author(s): LIYAN YANG, HAOXIANG ZHU

ABSTRACT We show that a linear pure strategy equilibrium may not exist in the model of Madrigal (1996), contrary to the claim of...

The Journal of Finance - Early View Articles

The Macroeconomics of Shadow Banking

Published Articles

Author(s): ALAN MOREIRA, ALEXI SAVOV

ABSTRACT We build a macrofinance model of shadow banking—the transformation of risky assets into securities that are money‐like...

The Journal of Finance - Early View Articles

Consumer Ruthlessness and Mortgage Default during the 2007 to 2009 Housing Bust

Published Articles

Author(s): NEIL BHUTTA, JANE DOKKO, HUI SHAN

ABSTRACT From 2007 to 2009 U.S. house prices plunged and mortgage defaults surged. While ostensibly consistent with widespread...

The Journal of Finance - Early View Articles

Matching Capital and Labor

Published Articles

Author(s): JONATHAN B. BERK, JULES H. BINSBERGEN, BINYING LIU

ABSTRACT We establish an important role for the firm by studying capital reallocation decisions of mutual fund firms. The firm's...

The Journal of Finance - Early View Articles

Why Do Investors Hold Socially Responsible Mutual Funds?

Published Articles

Author(s): ARNO RIEDL, PAUL SMEETS

ABSTRACT To understand why investors hold socially responsible mutual funds, we link administrative data to survey responses and...

The Journal of Finance - Early View Articles

Why Does Return Predictability Concentrate in Bad Times?

Published Articles

Author(s): JULIEN CUJEAN, MICHAEL HASLER

ABSTRACT We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is...

The Journal of Finance - Early View Articles

Commodity Trade and the Carry Trade: A Tale of Two Countries

Published Articles

Author(s): ROBERT READY, NIKOLAI ROUSSANOV, COLIN WARD

ABSTRACT Persistent interest rate differentials account for much of the currency carry trade profitability. “Commodity...

The Journal of Finance - Early View Articles

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