The Journal of Finance

Long‐Run Risk: Is It There?

Published: 4/14/2022,  Volume: 77,  Issue: 3  |  DOI: 10.1111/jofi.13126  |  Cited by: 46

YUKUN LIU, BEN MATTHIES

This paper documents the existence of a persistent component in consumption growth. We take a novel approach using news coverage to capture investor concern about economic growth prospects. We provide evidence that consumption growth is highly predictable over long horizons—our measure explains between 23% and 38% of cumulative future consumption growth at the five‐year horizon and beyond. Furthermore, we show a strong connection between this predictability and asset prices. Innovations to our measure price 51 standard portfolios in the cross section and our one‐factor model outperforms many benchmark macro‐ and return‐based multifactor models.

Institutional Investor Attention

Published: 1/16/2026,  Volume: 81,  Issue: 2  |  DOI: 10.1111/jofi.70009  |  Cited by: 6

ALAN KWAN, YUKUN LIU, BEN MATTHIES

Using data on Internet news reading, we measure fund‐level attention to both aggregate and firm‐specific news and relate it to fund portfolio allocation decisions. In the time series, we find that funds shift attention toward macroeconomic news during periods of high aggregate volatility. Those funds that exhibit stronger attention‐reallocation patterns earn higher future returns. In the cross‐section of fund portfolios, fund attention is positively related to stock holdings. Furthermore, fund attention to a stock increases the value‐add of that position to the fund's performance. This relationship is stronger using fund attention to more value‐relevant news articles.

ON THE CAPITAL STRUCTURE THEOREM: REPLY

Published: 6/1970,  Volume: 25,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1970.tb00533.x  |  Cited by: 0

Haim Ben Shahar

RECENT DEVELOPMENTS IN PENSION PLANNING A CHALLENGE TO THE INSURANCE INDUSTRY

Published: 5/1954,  Volume: 9,  Issue: 2  |  DOI: 10.1111/j.1540-6261.1954.tb01220.x  |  Cited by: 0

Ben B. Sutton

The Canadian Tax Reform and Its Effect on Stock Prices: A Note

Published: 12/1983,  Volume: 38,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1983.tb03850.x  |  Cited by: 14

BEN AMOAKO‐ADU

Labor‐Technology Substitution: Implications for Asset Pricing

Published: 3/27/2019,  Volume: 74,  Issue: 4  |  DOI: 10.1111/jofi.12766  |  Cited by: 108

MIAO BEN ZHANG

This paper studies the asset pricing implications of a firm's opportunities to replace routine‐task labor with automation. I develop a model in which firms optimally undertake such replacement when their productivity is low. Hence, firms with routine‐task labor maintain a replacement option that hedges their value against unfavorable macroeconomic shocks and lowers their expected returns. Using establishment‐level occupational data, I construct a measure of firms' share of routine‐task labor. Compared to their industry peers, firms with a higher share of routine‐task labor (i) invest more in machines and reduce more routine‐task labor during economic downturns, and (ii) have lower expected stock returns.

THE CAPITAL STRUCTURE AND THE COST OF CAPITAL: A SUGGESTED EXPOSITION*

Published: 9/1968,  Volume: 23,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1968.tb00846.x  |  Cited by: 2

Haim Ben‐Shahar

MEASURES OF RISK IN THE STOCK MARKET AND THE VALUATION OF CORPORATE STOCK*

Published: 9/1973,  Volume: 28,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1973.tb01433.x  |  Cited by: 0

Uri Ben‐Zion

MULTIDIMENSIONAL RISK AND THE MODIGLIANI‐MILLER HYPOTHESIS: COMMENT

Published: 9/1971,  Volume: 26,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1971.tb00933.x  |  Cited by: 0

Uri Ben‐Zion

A SPECTRAL ANALYSIS OF INTERRELATIONSHIPS BETWEEN THE MONEY STOCK AND CERTAIN ASSET MARKETS*

Published: 9/1967,  Volume: 22,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1967.tb02983.x  |  Cited by: 0

Ben Wilsman Bolch

BID‐ASKED SPREADS ON THE AMEX AND THE BIG BOARD

Published: 3/1977,  Volume: 32,  Issue: 1  |  DOI: 10.1111/j.1540-6261.1977.tb03249.x  |  Cited by: 88

Ben Branch, Walter Freed

REINVESTMENT AND THE RATE OF RETURN ON COMMON STOCKS*

Published: 12/1966,  Volume: 21,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1966.tb00279.x  |  Cited by: 0

Haim Ben‐Shahar, Marshall Sarnat

THE TERM‐STRUCTURE OF INTEREST RATES AND EXPECTATIONS OF PRICE INCREASE AND DEVALUATION

Published: 6/1973,  Volume: 28,  Issue: 3  |  DOI: 10.1111/j.1540-6261.1973.tb01379.x  |  Cited by: 0

H. Ben‐Shahar, A. Cukierman

Economic Stimulus at the Expense of Routine‐Task Jobs

Published: 10/4/2021,  Volume: 76,  Issue: 6  |  DOI: 10.1111/jofi.13080  |  Cited by: 55

SELALE TUZEL, MIAO BEN ZHANG

Do investment tax incentives improve job prospects for workers? We explore states' adoption of a major federal tax incentive that accelerates the depreciation of equipment investments for eligible firms but not for ineligible ones. Analyzing massive establishment‐level data sets on occupational employment and computer investment, we find that when states expand investment incentives, eligible firms immediately increase their equipment and skilled employees; whereas they reduce routine‐task employees after a delay of up to two years. These opposing effects constitute an overall insignificant effect on the firms' total employment and shed light on the nuances of job creation through investment incentives.

Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence

Published: 12/1993,  Volume: 48,  Issue: 5  |  DOI: 10.1111/j.1540-6261.1993.tb05133.x  |  Cited by: 93

BENI LAUTERBACH, URI BEN‐ZION

This study examines the behavior of a small stock market with circuit breakers and with a one‐hour preauction order imbalance disclosure, during the October 1987 crash. The crash and its aftershocks lasted for a week and selling pressure was concentrated in higher beta, larger capitalization, and lower leverage firm stocks. Circuit breakers when implemented reduced the next‐day opening order imbalance and the initial price loss; however, they had no effect on the long‐run response. Some price overreaction and reversal phenomena also are documented.

Local Risk, Local Factors, and Asset Prices

Published: 1/12/2017,  Volume: 72,  Issue: 1  |  DOI: 10.1111/jofi.12465  |  Cited by: 118

SELALE TUZEL, MIAO BEN ZHANG

Firm location affects firm risk through local factor prices. We find more procyclical factor prices such as wages and real estate prices in areas with more cyclical economies, namely, high “local beta” areas. While procyclical wages provide a natural hedge against aggregate shocks and reduce firm risk, procyclical prices of real estate, which are part of firm assets, increase firm risk. We confirm that firms located in higher local beta areas have lower industry‐adjusted returns and conditional betas, and show that the effect is stronger among firms with low real estate holdings. A production‐based equilibrium model explains these empirical findings.

SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK

Published: 9/1975,  Volume: 30,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1975.tb01018.x  |  Cited by: 91

Uri Ben‐Zion, Sol S. Shalit

What Explains the Stock Market's Reaction to Federal Reserve Policy?

Published: 5/3/2005,  Volume: 60,  Issue: 3  |  DOI: 10.1111/j.1540-6261.2005.00760.x  |  Cited by: 1901

BEN S. BERNANKE, KENNETH N. KUTTNER

This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives of both measuring the average reaction of the stock market and understanding the economic sources of that reaction. We find that, on average, a hypothetical unanticipated 25‐basis‐point cut in the Federal funds rate target is associated with about a 1% increase in broad stock indexes. Adapting a methodology due to Campbell and Ammer, we find that the effects of unanticipated monetary policy actions on expected excess returns account for the largest part of the response of stock prices.

Bank Deposit Rate Clustering: Theory and Empirical Evidence

Published: 12/1999,  Volume: 54,  Issue: 6  |  DOI: 10.1111/0022-1082.00185  |  Cited by: 95

Charles Kahn, George Pennacchi, Ben Sopranzetti

Like security prices, retail deposit interest rates cluster around integers and “even” fractions. However, explanations for security price clustering are incompatible with deposit rate clustering. A theory based on the limited recall of retail depositors is proposed. It predicts that banks tend to set rates at integers and that rates are “sticky” at these levels. The propensity for integer rates increases with the level of wholesale interest rates and deposit market concentration. When banks set noninteger rates, rates are more likely to be just above, rather than just below, integers. The paper finds substantial empirical support for the theory's implications.

Can Taxes Shape an Industry? Evidence from the Implementation of the “Amazon Tax”

Published: 5/24/2018,  Volume: 73,  Issue: 4  |  DOI: 10.1111/jofi.12687  |  Cited by: 67

BRIAN BAUGH, ITZHAK BEN‐DAVID, HOONSUK PARK

For years, online retailers have maintained a price advantage over brick‐and‐mortar retailers by not collecting sales tax at the time of sale. Recently, several states have required that online retailer Amazon collect sales tax during checkout. Using transaction‐level data, we document that households living in these states reduced their Amazon purchases by 9.4% following the implementation of the sales tax laws, implying elasticities of –1.2 to –1.4. The effect is stronger for large purchases, where purchases declined by 29.1%, corresponding to an elasticity of –3.9. Studying competitors in the electronics field, we find some evidence of substitution toward competing retailers.

Do ETFs Increase Volatility?

Published: 11/18/2018,  Volume: 73,  Issue: 6  |  DOI: 10.1111/jofi.12727  |  Cited by: 596

ITZHAK BEN‐DAVID, FRANCESCO FRANZONI, RABIH MOUSSAWI

Due to their low trading costs, exchange‐traded funds (ETFs) are a potential catalyst for short‐horizon liquidity traders. The liquidity shocks can propagate to the underlying securities through the arbitrage channel, and ETFs may increase the nonfundamental volatility of the securities in their baskets. We exploit exogenous changes in index membership and find that stocks with higher ETF ownership display significantly higher volatility. ETF ownership increases the negative autocorrelation in stock prices. The increase in volatility appears to introduce undiversifiable risk in prices because stocks with high ETF ownership earn a significant risk premium of up to 56 basis points monthly.

Testing Rationality in the Point Spread Betting Market

Published: 9/1988,  Volume: 43,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1988.tb02617.x  |  Cited by: 135

JOHN GANDAR, RICHARD ZUBER, THOMAS O'BRIEN, BEN RUSSO

This paper presents empirical tests of market rationality using data from the point spread betting market on National Football League games. Data from this market avoid many common pitfalls of tests of rationality in conventional financial markets. The authors test for rationality with two types of tests, statistical and economic. Results of the tests reveal that the statistical tests cannot reject market rationality while the economic tests do reject market rationality.

Political Polarization Affects Households' Financial Decisions: Evidence from Home Sales

Published: 2/11/2024,  Volume: 79,  Issue: 2  |  DOI: 10.1111/jofi.13315  |  Cited by: 56

W. BEN MCCARTNEY, JOHN ORELLANA‐LI, CALVIN ZHANG

Political identity and partisanship are salient features of today's society. Using deeds records and voter rolls, we show that current residents are more likely to sell their homes when opposite‐party neighbors move in nearby than when unaffiliated or same‐party neighbors do. This is especially true when the new neighbors are politically active, consistent with an animosity between parties mechanism. We conclude that affective polarization is not limited to purely political settings and affects one of the household's most important financial decisions, their home transactions.

The (Missing) Relation between Acquisition Announcement Returns and Value Creation

Published: 4/7/2026,  Volume: 81,  Issue: 3  |  DOI: 10.1111/jofi.70038  |  Cited by: 9

ITZHAK BEN‐DAVID, UTPAL BHATTACHARYA, RUIDI HUANG, STACEY JACOBSEN

Cumulative abnormal returns (CARs) computed around acquisition announcements are widely considered to be market‐based assessments of expected value creation. We show, however, that announcement returns do not correlate with commonly used and new measures of ex post outcomes. A simple characteristics‐based model using standard information known at the announcement date can predict these outcomes reasonably well, yet CAR even fails to capture the predictions from this model. Evidence suggests that information about the stand‐alone acquirer dominates CAR, making it virtually impossible to extract deal‐related information. We conclude that CAR is an unreliable measure of expected value creation.

The Politics of Foreclosures

Published: 11/19/2018,  Volume: 73,  Issue: 6  |  DOI: 10.1111/jofi.12725  |  Cited by: 39

SUMIT AGARWAL, GENE AMROMIN, ITZHAK BEN‐DAVID, SERDAR DINC

The U.S. House of Representatives Financial Services Committee considered many important banking reforms in 2009 to 2010. We show that, during this period, foreclosure starts on delinquent mortgages were delayed in the districts of committee members although there was no difference in delinquency rates between committee and noncommittee districts. In these areas, banks delayed the foreclosure starts by 0.5 months (relative to the 12‐month average). The estimated cost of delay to lenders is an order of magnitude greater than the campaign contributions by the political action committees of the largest mortgage servicing banks to the committee members in that period.

Do Hedge Funds Manipulate Stock Prices?

Published: 11/12/2013,  Volume: 68,  Issue: 6  |  DOI: 10.1111/jofi.12062  |  Cited by: 137

ITZHAK BEN‐DAVID, FRANCESCO FRANZONI, AUGUSTIN LANDIER, RABIH MOUSSAWI

We provide evidence suggesting that some hedge funds manipulate stock prices on critical reporting dates. Stocks in the top quartile of hedge fund holdings exhibit abnormal returns of 0.30% on the last day of the quarter and a reversal of 0.25% on the following day. A significant part of the return is earned during the last minutes of trading. Analysis of intraday volume and order imbalance provides further evidence consistent with manipulation. These patterns are stronger for funds that have higher incentives to improve their ranking relative to their peers.

Uncovering the Hidden Effort Problem

Published: 2/17/2025,  Volume: 80,  Issue: 2  |  DOI: 10.1111/jofi.13429  |  Cited by: 11

AZI BEN‐REPHAEL, BRUCE I. CARLIN, ZHI DA, RYAN D. ISRAELSEN

We analyze minute‐by‐minute Bloomberg online status and study how the effort provision of executives in public corporations affects firm value. While executives spend most of their time doing other activities, patterns of Bloomberg usage allow us to characterize their work habits as measures of effort provision. We document a positive effect of effort on unexpected earnings and cumulative abnormal returns following earnings announcements, and a reduction in credit default swap spreads. This is robust to using exogenous weather patterns as an instrument. Long‐short, calendar‐time effort portfolios earn significant average daily returns. Finally, we revisit important agency issues from the literature.

Information Consumption and Asset Pricing

Published: 10/9/2020,  Volume: 76,  Issue: 1  |  DOI: 10.1111/jofi.12975  |  Cited by: 98

AZI BEN‐REPHAEL, BRUCE I. CARLIN, ZHI DA, RYAN D. ISRAELSEN

We study whether firm and macroeconomic announcements that convey systematic information generate a return premium for firms that experience information spillovers. We use information consumption to proxy for investor learning during these announcements and construct ex ante measures of expected information consumption (EIC) to calibrate whether learning is priced. On days when there are information spillovers, affected stocks earn a significant return premium (5% annualized) and the capital asset pricing model performs better. The positive effect of the Federal Reserve Open Market Committee announcements on the risk premia of individual stocks appears to be modulated by EIC. Our findings are most consistent with a risk‐based explanation.