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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

The Share of Systematic Variation in Bilateral Exchange Rates

Published Articles

Author(s): ADRIEN VERDELHAN

ABSTRACT Sorting countries by their dollar currency betas produces a novel cross section of average currency excess returns. A...

The Journal of Finance - Early View Articles

How Do Quasi‐Random Option Grants Affect CEO Risk‐Taking?

Published Articles

Author(s): KELLY SHUE, RICHARD R. TOWNSEND

ABSTRACT We examine how an increase in stock option grants affects CEO risk‐taking. The overall net effect of option grants is...

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

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

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

Measuring Liquidity Mismatch in the Banking Sector

Published Articles

Author(s): JENNIE BAI, ARVIND KRISHNAMURTHY, CHARLES‐HENRI WEYMULLER

ABSTRACT This paper constructs a liquidity mismatch index (LMI) to gauge the mismatch between the market liquidity of assets and...

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

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

Agency, Firm Growth, and Managerial Turnover

Published Articles

Author(s): RONALD W. ANDERSON, M. CECILIA BUSTAMANTE, STÉPHANE GUIBAUD, MIHAIL ZERVOS

ABSTRACT We study managerial incentive provision under moral hazard when growth opportunities arrive stochastically and pursuing...

The Journal of Finance - Early View Articles

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