Vol. 74 February 2019 No.

Editor
STEFAN NAGEL
University of Chicago

Co-Editors
PHILIP BOND AMIT SERU WEI XIONG
University of Washington Stanford University Princeton University

Associate Editors
NICHOLAS BARBERIS DANIEL PARAVISINI
Yale University London School of Economics
ALON BRAV UDAY RAJAN
Duke University University of Michigan
PIERRE COLLIN-DUFRESNE ADRIANO RAMPINI
Swiss Finance Institute and Ecole Duke University
Polytechnique Federale de Lausanne
JOSHUA RAUH
ITAMAR DRECHSLER Stanford University
University of Pennsylvania
NIKOLAI ROUSSANOV
GREGORY DUFFEE University of Pennsylvania
Johns Hopkins University
PHILIPP SCHNABL
ANDREA EISFELDT New York University
University of California, Los Angeles
KELLY SHUE
THIERRY FOUCAULT Yale University
HEC, Paris
DAVID SRAER
ALEXANDER GUEMBEL University of California, Berkeley
Toulouse School of Economics
JOHANNES STROEBEL
ZHIGUO HE New York University
University of Chicago
AMIR SUFI
DIRK JENTER University of Chicago
London School of Economics
PAUL TETLOCK
JONATHAN KARPOFF Columbia University
University of Washington
DAVID THESMAR
BRYAN T. KELLY Massachusetts Institute of Technology
Yale University
JULES VAN BINSBERGEN
CAMELIA KUHNEN University of Pennsylvania
University of North Carolina
NENG WANG
JUHANI LINNAINMAA Columbia University
University of Southern California
INGRID WERNER
HANNO LUSTIG The Ohio State University
Stanford University
LIYAN YANG
NADYA MALENKO University of Toronto
Boston College
HAOXIANG ZHU
DAVID MATSA Massachusetts Institute of Technology
Northwestern University
GREGOR MATVOS Business Manager
University of Texas at Austin JAMES SCHALLHEIM
MARTIN OEHMKE University of Utah
London School of Economics
Assistant Editor
DIMITRIS PAPANIKOLAOU
Northwestern University WENDY WASHBURN
 HELP DESK
The Latest Information
Our Worldwide Website
For the latest information about the journal, about our annual meeting, or about other
announcements of interest to our membership, consult our website at
http://www.afajof.org
Subscription Questions or Problems
Address Changes
Journal Customer Services: For ordering information, claims and any enquiry con-
cerning your journal subscription please go to www.wileycustomerhelp.com/ask or con-
tact your nearest office.
Americas: Email: cs-journals@wiley.com; Tel: +1 781 388 8598 or +1 800 835 6770
(toll free in the USA & Canada).
Europe, Middle East and Africa: Email: cs-journals@wiley.com; Tel: +44 (0) 1865
778315.
Asia Pacific: Email: cs-journals@wiley.com; Tel: +65 6511 8000.
Japan: For Japanese speaking support, Email: cs-japan@wiley.com; Tel: +65 6511
8010 or Tel (toll-free): 005 316 50 480.
Visit Our Online Customer Get-Help available in six languages at www.
wileycustomerhelp.com.
Permission to Reprint Materials from the Journal of Finance

C 2019 The American Finance Association. All rights reserved. With the exception
of fair dealing for the purposes of research or private study, or criticism or review, no
part of this publication may be reproduced, stored or transmitted in any form or by any
means without the prior permission in writing from the copyright holder. Authorization
to photocopy items for internal and personal use is granted by the copyright holder
for libraries and other users of the Copyright Clearance Center (CCC), 222 Rosewood
Drive, Danvers, MA 01923, USA (www.copyright.com), provided the appropriate fee
is paid directly to the CCC. This consent does not extend to other kinds of copying,
such as copying for general distribution for advertising or promotional purposes, for
creating new collective works, or for resale. For information regarding reproduction
for classroom use, please see the AFA policy statement in the back of this issue.
Advertising in the Journal
For Display Advertising information, please contact Katie Tuzzolino, National Ac-
counts Manager
P: 201-767-4170 ∼
E: ktuzzolino@cunnasso.com
For Recruitment Advertising information, please contact Kristin McCarthy, Senior
Account Manager
P: 978-609-4215 ∼
E: kmccarthy@wiley.com
Association Business
Those having business with the American Finance Association, or members wish-
ing to volunteer their service or ideas that the association might develop, should
contact the Executive Secretary and Treasurer: James Schallheim, The Journal of
Finance, American Finance Association, University of Utah, David Eccles School
of Business, 1655 E Campus Center Drive, Salt Lake City UT. 84112. email:
jim.schallheim@eccles.utah.edu.
Volume 74 CONTENTS for February 2019 No. 1

ARTICLES
Asset Allocation in Bankruptcy
SHAI BERNSTEIN, EMANUELE COLONNELLI, and BENJAMIN IVERSON . . . . . . . . 5
The International Bank Lending Channel of Monetary Policy Rates and
QE: Credit Supply, Reach-for-Yield, and Real Effects
BERNARDO MORAIS, JOSÉ-LUIS PEYDRÉ, JESSICA ROLDÁN-PEÑA,
and CLAUDIA RUIZ-ORTEGA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
Dealer Networks
DAN LI and NORMAN SCHÜRHOFF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
Funding Value Adjustments
LEIF ANDERSEN, DARRELL DUFFIE, and YANG SONG . . . . . . . . . . . . . . . . . . . . . 145
How Crashes Develop: Intradaily Volatility and Crash Evolution
DAVID S. BATES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
Basis-Momentum
MARTIJN BOONS and MELISSA PORRAS PRADO . . . . . . . . . . . . . . . . . . . . . . . . . . . 239
Investment and the Cross-Section of Equity Returns
GIAN LUCA CLEMENTI and BERARDINO PALAZZO . . . . . . . . . . . . . . . . . . . . . . . . . 281
(Almost) Model-Free Recovery
PAUL SCHNEIDER and FABIO TROJANI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 323
Financial Markets Where Traders Neglect the Informational Content
of Prices
ERIK EYSTER, MATTHEW RABIN, and DIMITRI VAYANOS . . . . . . . . . . . . . . . . . . 371
Dividend Dynamics, Learning, and Expected Stock Index Returns
RAVI JAGANNATHAN and BINYING LIU . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 401
Sparse Signals in the Cross-Section of Returns
ALEX CHINCO, ADAM D. CLARK-JOSEPH, and MAO YE . . . . . . . . . . . . . . . . . . . 449
A Test of the Modigliani-Miller Invariance Theorem and Arbitrage in
Experimental Asset Markets
GARY CHARNESS and TIBOR NEUGEBAUER . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493
MISCELLANEA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 531
ANNOUNCEMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 533