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Publication Name: Journal of Finance

Brief description: The Journal of Finance publishes leading research across all the major fields of financial research.

Publication URL: link

RSS Feed: link

Owner Name: American Finance Association

URL: link

Joined: February 14th, 2012

Activity

Journal of Finance wrote a new blog post titled The Macroeconomics of Shadow Banking

ABSTRACT We build a macro‐finance model of shadow banking—the transformation of risky assets into securities that are money‐like in quiet times but become illiquid when uncertainty spikes. Shadow banking economizes on scarce collateral, expanding liquidity provision, boosting asset prices and growth, but also building up fragility. A rise in uncertainty raises shadow banking spreads, forcing financial institutions to switch to collateral‐intensive funding. Shadow banking collapses, liquidity provision shrinks, liquidity premia and discount rates rise, asset prices and investment fall. The...
(123 days ago)

Journal of Finance wrote a new blog post titled Matching Capital and Labor

ABSTRACT We establish an important role for the firm by studying capital reallocation decisions of mutual fund firms. The firm's decision to reallocate capital amongst its mutual fund managers adds at least $474,000 a month, which amounts to over 30% of the total value added of the industry. We provide evidence that this additional value added results from the firm's private information about the skill of its managers. The firm captures this value because investors reward the firm following a capital reallocation decision by allocating additional capital to the firm's funds.
(123 days ago)

Journal of Finance wrote a new blog post titled A Model of Monetary Policy and Risk Premia

ABSTRACT We develop a dynamic asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk‐tolerant agents (banks) borrow from risk‐averse agents (i.e., take deposits) to fund levered investments. Leverage exposes banks to funding risk, which they insure by holding liquidity buffers. By changing the nominal rate the central bank influences the liquidity premium, and hence the cost of taking leverage. Lower nominal rates make liquidity cheaper and raise leverage, resulting in lower risk premia and higher asset prices, volatility, investment, and...
(123 days ago)

About:

The Journal of Finance publishes leading research across all the major fields of financial research. It is one of the most widely cited academic journal on finance and one of the most widely cited journals in all of economics as well. Each issue of the journal reaches over 8,000 academics, finance professionals, libraries, government and financial institutions around the world. Published six times a year, the journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.