The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. 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.
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Search results: 3.
Reusing Natural Experiments
Published: 05/24/2023 | DOI: 10.1111/jofi.13250
DAVIDSON HEATH, MATTHEW C. RINGGENBERG, MEHRDAD SAMADI, INGRID M. WERNER
After a natural experiment is first used, other researchers often reuse the setting, examining different outcome variables. We use simulations based on real data to illustrate the multiple hypothesis testing problem that arises when researchers reuse natural experiments. We then provide guidance for future inference based on popular empirical settings including difference‐in‐differences, instrumental variables, and regression discontinuity designs. When we apply our guidance to two extensively studied natural experiments, business combination laws and the Regulation SHO pilot, we find that many results that were statistically significant using single hypothesis testing do not survive corrections for multiple hypothesis testing.
A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market
Published: 11/26/2012 | DOI: 10.1111/jofi.12007
ADAM C. KOLASINSKI, ADAM V. REED, MATTHEW C. RINGGENBERG
Using unique data from 12 lenders, we examine how equity lending fees respond to demand shocks. We find that, when demand is moderate, fees are largely insensitive to demand shocks. However, at high demand levels, further increases in demand lead to significantly higher fees and the extent to which demand shocks impact fees is also related to search frictions in the loan market. Moreover, consistent with search models, we find significant dispersion in loan fees, with this dispersion increasing in loan scarcity and search frictions. Our findings imply that search frictions significantly impact short selling costs.
Short‐Selling Risk
Published: 12/15/2017 | DOI: 10.1111/jofi.12601
JOSEPH E. ENGELBERG, ADAM V. REED, MATTHEW C. RINGGENBERG
Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that short‐selling risk affects prices among the cross‐section of stocks. Stocks with more short‐selling risk have lower returns, less price efficiency, and less short selling.