The Journal of Finance

Risk Management and Firm Value: Evidence from Weather Derivatives

Published: 9/10/2013,  Volume: 68,  Issue: 5  |  DOI: 10.1111/jofi.12061  |  Cited by: 265

FRANCISCO PÉREZ‐GONZÁLEZ, HAYONG YUN

This paper shows that active risk management policies lead to an increase in firm value. To identify the effect of hedging and to overcome endogeneity concerns, we exploit the introduction of weather derivatives as an exogenous shock to firms’ ability to hedge weather risks. This innovation disproportionately benefits weather‐sensitive firms, irrespective of their future investment opportunities. Using this natural experiment and data from energy firms, we find that derivatives lead to higher valuations, investments, and leverage. Overall, our results demonstrate that risk management has real consequences on firm outcomes.

Do CEOs Matter? Evidence from Hospitalization Events

Published: 3/18/2020,  Volume: 75,  Issue: 4  |  DOI: 10.1111/jofi.12897  |  Cited by: 222

MORTEN BENNEDSEN, FRANCISCO PÉREZ‐GONZÁLEZ, DANIEL WOLFENZON

Using variation in firms’ exposure to their CEOs resulting from hospitalization, we estimate the effect of chief executive officers (CEOs) on firm policies, holding firm‐CEO matches constant. We document three main findings. First, CEOs have a significant effect on profitability and investment. Second, CEO effects are larger for younger CEOs, in growing and family‐controlled firms, and in human‐capital‐intensive industries. Third, CEOs are unique: the hospitalization of other senior executives does not have similar effects on the performance. Overall, our findings demonstrate that CEOs are a key driver of firm performance, which suggests that CEO contingency plans are valuable.

THE PROBLEM OF EXCHANGE EQUILIBRIUM AND WORLD TRADE EXPANSION*

Published: 12/1953,  Volume: 8,  Issue: 4  |  DOI: 10.1111/j.1540-6261.1953.tb01195.x  |  Cited by: 0

Francisco R. Sáenz

Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence

Published: 3/2/2005,  Volume: 60,  Issue: 2  |  DOI: 10.1111/j.1540-6261.2005.00749.x  |  Cited by: 552

FRANCISCO GOMES, ALEXANDER MICHAELIDES

We show that a life‐cycle model with realistically calibrated uninsurable labor income risk and moderate risk aversion can simultaneously match stock market participation rates and asset allocation decisions conditional on participation. The key ingredients of the model are Epstein–Zin preferences, a fixed stock market entry cost, and moderate heterogeneity in risk aversion. Households with low risk aversion smooth earnings shocks with a small buffer stock of assets, and consequently most of them (optimally) never invest in equities. Therefore, the marginal stockholders are (endogenously) more risk averse, and as a result they do not invest their portfolios fully in stocks.

Comparing Asset Pricing Models

Published: 3/31/2018,  Volume: 73,  Issue: 2  |  DOI: 10.1111/jofi.12607  |  Cited by: 425

FRANCISCO BARILLAS, JAY SHANKEN

A Bayesian asset pricing test is derived that is easily computed in closed form from the standard F ‐statistic. Given a set of candidate traded factors, we develop a related test procedure that permits the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue, and Zhang (2015a, 2015b) and Fama and French (2015, 2016) are dominated by a variety of models that include a momentum factor, along with value and profitability factors that are updated monthly.

Marketwide Private Information in Stocks: Forecasting Currency Returns

Published: 9/10/2008,  Volume: 63,  Issue: 5  |  DOI: 10.1111/j.1540-6261.2008.01398.x  |  Cited by: 50

RUI ALBUQUERQUE, EVA DE FRANCISCO, LUIS B. MARQUES

We present a model of equity trading with informed and uninformed investors where informed investors trade on firm‐specific and marketwide private information. The model is used to identify the component of order flow due to marketwide private information. Estimated trades driven by marketwide private information display little or no correlation with the first principal component in order flow. Indeed, we find that co‐movement in order flow captures variation mostly in liquidity trades. Marketwide private information obtained from equity market data forecasts industry stock returns, and also currency returns.

Superstar Returns? Spatial Heterogeneity in Returns to Housing

Published: 8/19/2025,  Volume: 80,  Issue: 5  |  DOI: 10.1111/jofi.13479  |  Cited by: 5

FRANCISCO AMARAL, MARTIN DOHMEN, SEBASTIAN KOHL, MORITZ SCHULARICK

This paper makes the first comprehensive attempt to study within‐country heterogeneity of housing returns. We introduce a new city‐level data set covering 15 OECD countries over 150 years and show that national housing markets are characterized by systematic spatial variation in housing returns. Total returns in large agglomerations are close to 100 basis points lower per year than in other parts of the same country. Excess returns outside the large cities can be rationalized as compensation for higher risk, especially higher covariance with income growth and lower liquidity. Real estate in diversified large agglomerations is comparatively safe.

Asset Pricing and Risk‐Sharing Implications of Alternative Pension Plan Systems

Published: 10/7/2025,  Volume: 81,  Issue: 1  |  DOI: 10.1111/jofi.13507  |  Cited by: 0

NUNO COIMBRA, FRANCISCO GOMES, ALEXANDER MICHAELIDES, JIALU SHEN

We show that incorporating defined benefit pension funds in an incomplete markets asset pricing model improves its ability to match the historical equity premium and riskless rate and has important risk‐sharing implications. We document the importance of the pension fund's size and asset demands, and a new risk channel arising from fluctuations in the fund's returns. We use our calibrated model to study the implications of a shift to an economy with defined contribution plans. The new steady state is characterized by a higher riskless rate and a lower equity premium. Consumption volatility increases for retirees but decreases for workers.

The Cross‐Section of Household Preferences

Published: 7/23/2026,  Volume: ,  Issue:   |  DOI: 10.1111/jofi.70067  |  Cited by: 0

LAURENT E. CALVET, JOHN Y. CAMPBELL, FRANCISCO GOMES, PAOLO SODINI

This paper estimates the cross‐sectional distribution of Epstein‐Zin preferences using the wealth and risky portfolio shares of a large panel of Swedish households. We find modestly heterogeneous risk aversion (standard deviation 0.97, median 7.50) and a meaningfully heterogeneous and right‐skewed time preference rate (TPR; standard deviation 7.31%, median 4.08%) and elasticity of intertemporal substitution (EIS; standard deviation 3.17, median 0.70). Risk aversion and the EIS are only very weakly negatively correlated. We estimate lower risk aversion for households with riskier labor income, and a higher TPR and lower EIS for households that enter our sample with low wealth.