Journal of Financial and Quantitative Analysis

The new monthly CRSP tape materially revises historical returns due to a change in dividend reinvestment timing. Surprisingly, estimated premia and significance remain largely stable across many sorting specifications, implying limited systematic bias. jfqa.org/wp-content/upl…

The tendency of distressed stocks, bonds, and, as we show, loans & firm assets to underperform their counterparts (“distress anomaly”) is due to distressed firms owning real disinvestment options with a negative systematic risk, an operational risk story.cambridge.org/core/journals/…

Retail investor selling is particularly contrarian for winner stocks in their portfolios. Consistent with more liquidity from contrarian selling, we find weaker short-term return reversals for stocks where investors have larger unrealized capital gains. cambridge.org/core/journals/…

Expected volatility returns from VIX futures predict future realized volatility returns. They also forecast S&P 500 returns via the strong link between volatility and equity returns, though the signal is weaker. Results are robust across specifications. cambridge.org/core/journals/…

Unobserved persistent shocks are an important determinant of corporate investment. Our panel GMM estimator addresses measurement error in q and persistent shocks. We find investment more responsive to q than suggested by estimates without the correction. cambridge.org/core/journals/…

Free speech can protect the planet 🌍. U.S. anti-SLAPP laws reduce toxic emissions and boost green innovation and ESG governance—without harming economic activity. Stakeholder voice drives cleaner corporate behavior. #Sustainability #ESG #Finance cambridge.org/core/journals/…

New channel of market fragility arises from strategic complementarities between market-making, acquisition of information by hedgers, and investment decisions of firms, with implications for policies such as the Volcker rule or designated market-makers. cambridge.org/core/journals/…

Do bondholders monitor too? This paper shows that institutional investors' bond holdings are associated with how actively they vote and monitor their equity investments. cambridge.org/core/journals/…

A large share of corporate payouts flows into bank deposits and is intermediated to borrowers. Dividends and buybacks channel funds from large firms to bank-dependent households and businesses. cambridge.org/core/journals/…

How costly is trading on anomalies? Closing auctions have lower price impact than continuous markets for most stocks. Routing orders across trading mechanisms sharply reduces costs and improves the net viability of popular anomaly strategies. jfqa.org/wp-content/upl…

Managers cater to their investors' loss aversion via earnings guidance. Their guidance is overly optimistic after poor stock returns, which creates temporary mispricing that reverses at the associated earnings announcement. cambridge.org/core/journals/…

Do personal environmental values shape credit decisions? Yes. Green front-line bankers favor green firms, but skeptical loan officers push back by downgrading these recommendations. Hierarchies moderate bias, but superiors' own values matter too. cambridge.org/core/journals/…

Post-M&A increases in CEO pay occur only when the acquirer pays with its stock, are driven by equity-based pay, and are concentrated in risky deals and deals with a high risk of acquirer stock overvaluation. Results support contracting not agency motives. cambridge.org/core/journals/…

When housing markets overheat, education pays the price. We find that speculative housing motives reduce families’ educational spending, revealing an overlooked cost of housing bubbles. jfqa.org/wp-content/upl…

Traditional forms of agriculture (crops vs. cattle) led different local cultures to value movable or immovables assets relatively more. This cultural heritage still explains household decisions today, especially with respect to home ownership. jfqa.org/wp-content/upl…

Going public? Geographic proximity to institutional capital causally boosts the chances of a successful public listing. cambridge.org/core/journals/…

What are the benefits of access to the bond market for firms? We study a regulatory reform that allowed unlisted firms to issue minibonds. Issuers obtain lower bank loan rates, ease credit constraints, and increase financial resources to support investment.cambridge.org/core/journals/…

Sticky-price firms have lower leverage, hold more pre-cautionary cash, and are more exposed to credit risk, affecting the transmission of monetary policy shocks to firms’ balance sheets. cambridge.org/core/journals/…

We find that after Universal Demand laws, insider trades (especially sales) become more profitable and opportunistic, with riskier timing. Our study offers clean evidence that the threat of shareholder litigation deters opportunistic insider trading. cambridge.org/core/journals/…

Estimation risk has a severe impact on portfolio performance and increases with the number of assets in the portfolio. We introduce a method to determine the investor’s optimal portfolio size which trades off estimation risk with investment opportunities. cambridge.org/core/journals/…