中国资产管理研究中心-2991-长期雇佣合同下的CEO更替和不确定性
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Peter Cziraki (University of Toronto Department of Economics)；Moqi Groen-Xu (London School of Economics Department of Finance)
摘要：我们研究了首席执行官(CEO)的合同期限在CEO更替和公司政策中的作用。使用手工收集的3954份固定期限CEO合同数据，本文发现，合同期限下的剩余时间可以预测CEO的更替。当合同接近到期时，更替更有可能发生，并且更替对业绩也更敏感。我们还显示了合同剩余时间与公司风险之间的正相关关系。短期合同和长期合同的结果是相似的，这些结果既不是由公司或CEO的幸存者偏差造成，也不是由技术周期驱动的。这些结果与长期项目下采取短期不确定性的激励措施一致。
CEO Turnover and Volatility under Long-Term Employment Contracts
Peter Cziraki (University of Toronto Department of Economics), Moqi Groen-Xu (London School of Economics Department of Finance)
ABSTRACT
We study the role of the contractual time horizon of chief executive officers (CEOs) for CEO turnover and corporate policies. Using hand-collected data on 3,954 fixed-term CEO contracts, we show that remaining time under contract predicts CEO turnover. When contracts are close to expiration, turnover is more likely and is more sensitive to performance. We also show a positive within-CEO relation between remaining time under contract and firm risk. Our results are similar across short and long contracts and are driven neither by firm or CEO survival, nor technological cycles. They are consistent with incentives to take long-term projects with interim volatility.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/ceo-turnover-and-volatility-under-longterm-employment-contracts/C5BAE2DFA2DDA670A9B7337286949170

中国资产管理研究中心 -2992- 限价指令市场上的流动性和信息
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Ioanid Ro?u (HEC Paris)
摘要：限价指令市场中，交易员可以在市场指令（需求流动性）和限制指令（供给流动性）之间进行选择。在此情况下，知情交易如何影响流动性？在一个动态模型中，消息灵通的交易总体上有助于流动性的提高：如果消息灵通的交易员比例较高，则i）通过买卖价差和市场弹性能够改善流动性，ii）对订单的价格影响没有影响。该模型还揭示了其他可供检验的结论，并提出了对知情交易的新的衡量方式。
Liquidity and Information in Limit Order Markets
Ioanid Ro?u (HEC Paris)
ABSTRACT
How does informed trading affect liquidity in limit order markets, where traders can choose between market orders (demanding liquidity) and limit orders (providing liquidity)? In a dynamic model, informed trading overall helps liquidity: A higher share of informed traders i) improves liquidity as proxied by the bid–ask spread and market resiliency, and ii) has no effect on the price impact of orders. The model generates other testable implications, and suggests new measures of informed trading.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/liquidity-and-information-in-limit-order-markets/58424AD7DC957B29B0806254DB0DFB2C

中国资产管理研究中心-2993-通过夏普比率进行模型比较
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Francisco Barillas (University of New South Wales School of Banking and Finance)；Raymond Kan (University of Toronto Rotman School of Management)Cesare Robotti (University of Warwick Business School)；Jay Shanken (Emory University Goizueta Business School and National Bureau of Economic Research)
摘要：本文说明当模型错误定价的程度由平方后的夏普比率改进措施测度时，如何进行模型比较的渐近有效检验。这相当于根据最大夏普比率对模型进行排名，有效地扩展了Gibbons、Ross和Shanken(1989)检验，以适应非嵌套模型的比较。模拟投资组合可以替代任何非交易模型因素，并在统计推断中考虑了投资组合权重的估计误差。Fama和French(2018) 6因子模型的一个变体，即通常价值价差的每月更新版本，成为主导模型。
Model Comparison with Sharpe Ratios
Francisco Barillas (University of New South Wales School of Banking and Finance), Raymond Kan (University of Toronto Rotman School of Management), Cesare Robotti (University of Warwick Business School), Jay Shanken (Emory University Goizueta Business School and National Bureau of Economic Research)
ABSTRACT
We show how to conduct asymptotically valid tests of model comparison when the extent of model mispricing is gauged by the squared Sharpe ratio improvement measure. This is equivalent to ranking models on their maximum Sharpe ratios, effectively extending the Gibbons, Ross, and Shanken (1989) test to accommodate the comparison of nonnested models. Mimicking portfolios can be substituted for any nontraded model factors, and estimation error in the portfolio weights is taken into account in the statistical inference. A variant of the Fama and French (2018) 6-factor model, with a monthly updated version of the usual value spread, emerges as the dominant model.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/model-comparison-with-sharpe-ratios/7AAB79D48CC55E0AD1BC6C8AABD6F5D9

中国资产管理研究中心-2994-同行监督、联合投资与动态的风险资本互动：理论和实证
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Onur Bayar(University of Texas at San Antonio College of Business)；Thomas J. Chemmanur(Boston College Carroll School of Management)；Xuan Tian(Tsinghua University PBC School of Finance)
摘要：本文发展了一个理论模型，为风险资本家（VC）联合投资提供了一个新的理论基础，并实证检验了该模型的预测能力。一个企业家从一个VC或两个不同的VC那里获得融资和两种不同的增值投入，每个VC都在他的专业领域运作。文章描述了企业家在与单个风险投资公司、单独与多个风险投资公司或与一个风险投资财团签约之间的均衡选择。研究表明，辛迪加在价值增加方面减轻了风险投资的道德风险问题。文章还分析了风险投资辛迪加组成的动态规律。以上实证分析结果与本文的模型预测一致。
Peer Monitoring, Syndication, and the Dynamics of Venture Capital Interactions: Theory and Evidence
Onur Bayar(University of Texas at San Antonio College of Business), Thomas J. Chemmanur(Boston College Carroll School of Management), Xuan Tian(Tsinghua University PBC School of Finance)
ABSTRACT
We develop a theoretical model providing a new rationale for venture capitalist (VC) syndicate formation and empirically test our model predictions. An entrepreneur obtains financing and two different value-adding inputs from a single VC or from two different VCs, each operating in his area of expertise. We characterize the entrepreneur’s equilibrium choice between contracting with a single VC, individually with multiple VCs, or with a VC syndicate. We show that syndicates mitigate VCs’ moral hazard problem in value addition. We also analyze the dynamics of VC syndicate composition. The results of our empirical analysis are consistent with our model’s predictions.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/peer-monitoring-syndication-and-the-dynamics-of-venture-capital-interactions-theory-and-evidence/968FC086EC8BAD13FA604753F6E83213

中国资产管理研究中心-2995-关于分析师投资建议价值的衡量
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Anders Anderson (Swedish House of Finance, Stockholm School of Economics)；Howard Jones (Sa?d Business School, University of Oxford)；José Vicente Martinez (University of Connecticut School of Business)
摘要：利用斯德哥尔摩证券交易所(SSE)的数据，本文研究了分析师推荐的增值（与异常回报不同）。提出建议的分析师的客户围绕积极的建议进行有利可图的交易，这种利益是以牺牲其他分析师的客户的利益为代价的。证据显示，大量利润来自于推荐日期之前的交易。其中，升级型购进大盘股的投资建议附加值最大，而下调至投资小盘股的投资建议没有明显的附加值。经纪商通过提供有利可图的推荐建议能够获得异常高的佣金收入，而这部分收入主要来自于其客户的高回报率。整体上，分析师的超额佣金与其客户的超额回报率是一致的。
Measuring the Added Value of Stock Recommendations
Anders Anderson (Swedish House of Finance, Stockholm School of Economics), Howard Jones (Sa?d Business School, University of Oxford), José Vicente Martinez (University of Connecticut School of Business)
ABSTRACT
Using data from the Stockholm Stock Exchange (SSE), we study the value added by (as distinct from the abnormal returns to) analysts’ recommendations. Recommending brokers’ clients trade profitably around positive recommendations at the expense of other brokers’ clients. Significant profits come from transactions before recommendation dates. Value added is greatest for upgrades to large caps, and largely insignificant for downgrades and recommendations of small caps, despite high abnormal returns. Brokers making profitable recommendations generate abnormally high commission income, recouping much of their clients’ abnormal profits, and their abnormal commission income varies in line with the abnormal profits for their clients.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/measuring-the-added-value-of-stock-recommendations/09D1A9B700B0857D7E35166067EDE33B

中国资产管理研究中心-2996-向目标市场价值杠杆的调整速度比你想象的要慢
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Qie Ellie Yin (Hong Kong Baptist University School of Business)；Jay R. Ritter (University of Florida Warrington College of Business)
摘要： 在资本结构文献中，无论使用账面杠杆还是市场杠杆，调整速度(SOA)的估算都是相似的。而这种稳健性是值得怀疑的，因为调查证据表明，公司以账面杠杆为目标，而经验证据表明，它们不会通过发行证券来抵消由股价变化引起的市场杠杆变化。本文证据表明，由于股票价格波动的消极影响，现有的市场SOA值实际被高估。控制这种偏差后，对于账面杠杆，SOA的估计应为16%；而对于市场杠杆，SOA的估计应为10%。这意味着权衡理论没有以前认为的那么重要。
The Speed of Adjustment to the Target Market Value Leverage Is Slower Than You Think
Qie Ellie Yin (Hong Kong Baptist University School of Business), Jay R. Ritter (University of Florida Warrington College of Business)
ABSTRACT
In the capital structure literature, speed of adjustment (SOA) estimates are similar whether book or market leverage is used. This robustness is suspect, given the survey evidence that firms target their book leverage and the empirical evidence that they don’t issue securities to offset market leverage changes caused by stock price changes. We show that existing market SOA estimates are substantially upward biased due to the passive influence of stock price fluctuations. Controlling for this bias, the SOA estimate is 16% for book leverage and 10% for market leverage, implying that the trade-off theory is less important than previously thought.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/speed-of-adjustment-to-the-target-market-value-leverage-is-slower-than-you-think/ADC550179C0A05A1B0860945F1701B9A

中国资产管理研究中心-2997-邻近性对投资的因果效应：来自于飞机直航开通的证据
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Jesse Ellis (North Carolina State University Poole College of Management)
Leonardo Madureira (Case Western Reserve University Weatherhead School of Management)Shane Underwood (Baylor University Hankamer School of Business)
摘要： 我们使用直航的引入作为共同基金和公司之间通行时间的外生冲击，以估计距离对基金投资决策和业绩的因果影响。研究发现，在直航引入后，基金对地点更接近的公司的投资规模显著增加，而这些更接近的投资表现出更优的业绩。本研究结果稳健地考量了各种固定效应和潜在混杂因素，如公司层面的冲击、基金层面的冲击和时间趋势。总体而言，本文结果表明，邻近性增强了投资者获取公司价值相关信息的能力。
The Causal Effects of Proximity on Investment: Evidence from Flight Introductions
Jesse Ellis (North Carolina State University Poole College of Management), Leonardo Madureira (Case Western Reserve University Weatherhead School of Management), Shane Underwood (Baylor University Hankamer School of Business)
ABSTRACT
We use the introduction of direct flights as an exogenous shock to the travel time between mutual funds and firms to estimate the causal effects of proximity on fund investment decisions and performance. We find that a fund invests significantly more in firms that become more proximate following the introduction of direct flights and that these more proximate investments exhibit superior performance. Our findings are robust to including a variety of fixed effects and potential confounders such as firm-level shocks, fund-level shocks, and time trends. Collectively, our results indicate that proximity enhances investors’ ability to acquire value-relevant information about firms.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/causal-effects-of-proximity-on-investment-evidence-from-flight-introductions/5EE265E18BD2E51F28118BFEAF550E3B

中国资产管理研究中心-2998-承销商是否会通过提高IPO价格防止投资者退出
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Walid Y. Busaba (Western University Ivey Business School)；Zheng Liu (Highstreet Asset Management)； Felipe Restrepo (Western University Ivey Business School)
摘要：我们研究了承销商是否抬高首次公开发行（IPO）的价格，以防止投资者退出。本文实证检验利用了IPO价格分布在申报区间低边界附近的不连续性。在这一边界定价的事前退出概率较高的发行，其定价可能会较高，以达到发行者的保留价。本文将这些IPO股票的二级市场回报率与其他没有绑定保留价的IPO股票二级市场回报率进行对比，确定一个负8.4百分点差异，这个差异来自于内在激进型定价策略，该策略会导致在临界点附近退出会面临很大风险。
Do Underwriters Price Up IPOs to Prevent Withdrawal?
Walid Y. Busaba (Western University Ivey Business School), Zheng Liu (Highstreet Asset Management), Felipe Restrepo (Western University Ivey Business School)
ABSTRACT
We examine whether underwriters price up weakly demanded initial public offerings (IPOs) to prevent withdrawal. Our empirical strategy exploits a discontinuity in the distribution of IPO prices around the low boundary of the filing range. Offerings with a high ex ante withdrawal probability that are priced at this boundary are likely priced up to meet issuers’ reservation prices. We compare the aftermarket returns of these IPOs to the returns of other weakly demanded offerings where issuers’ reservation prices were likely not binding, and we identify a negative 8.4-percentage-point differential attributable to the aggressive pricing inherent in setting the price at the low boundary when withdrawal risk is high.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/do-underwriters-price-up-ipos-to-prevent-withdrawal/2100A5B72028FDF5851084656AA3CA92

中国资产管理研究中心-2999-全球市场上的信息壁垒：来自国际市场外包关系的证据
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Massimo Massa (INSEAD)；David Schumacher (McGill University Desautels Faculty of Management)
摘要：我们研究全球市场上的信息壁垒与资产管理的组织形式之间的联系。基金家族会将其在信息方面处于劣势、无法产生业绩的基金外包出去。利用一个自我选择的结构模型，我们将外包决策内化，估计每月外包的正收益为4-14个基点，从而协调外包基金的不佳表现和基金家族的业绩最大化。外包带来的收益为区分全球金融市场的信息壁垒提供了一种新的代理变量：基金投资的基础市场越细分，外包带来的收益就越大。
Information Barriers in Global Markets: Evidence from International Subcontracting Relationships
Massimo Massa (INSEAD), David Schumacher (McGill University Desautels Faculty of Management)
ABSTRACT
We study the link between information barriers in global markets and the organizational form of asset management. Fund families outsource funds in which they are at an informational disadvantage to generate performance. Using a structural model of self-selection, we endogenize the outsourcing decision and estimate positive gains from outsourcing of 4–14 basis points per month, thereby reconciling underperformance of outsourced funds with performance maximization by fund families. The gains from outsourcing provide a novel proxy for the information barriers that segment global financial markets: The more segmented the underlying markets where the funds invest, the larger the gains from outsourcing.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/information-barriers-in-global-markets-evidence-from-international-subcontracting-relationships/3434814789F540EA3027DEDB0FEEB080

中国资产管理研究中心-3000-个人承诺与团队业绩：来自于共同基金经理人的证据
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Jiang Luo (Nanyang Business School, Nanyang Technological University)；Zheng Qiao (School of Management, Xiamen University)
摘要： 心理学文献表明，个人承诺能够通过减轻搭便车问题从而对团队绩效产生积极影响。有了详细的管理团队信息，共同基金行业提供了一个独特的机会来研究个人管理承诺是如何与业绩相关的。本文中承诺基金经理是指仅为一个基金工作的人。由于缺乏获取私人信息的动机，没有承诺成员的团队业绩不如有承诺成员的团队。在纳入各种控制变量后，结论依然成立。另外，本文还探究了为什么没有承诺成员的团队被越来越多地使用，尽管他们的表现很差。
Individual Commitment and Team Performance: Evidence from Mutual Fund Managers
Jiang Luo (Nanyang Business School, Nanyang Technological University), Zheng Qiao (School of Management, Xiamen University)
ABSTRACT
The psychology literature suggests that individual commitment has a positive effect on team performance by mitigating the free-rider problem. With its detailed management-team information, the mutual fund industry provides a unique opportunity to study how individual managerial commitment is related to performance. Committed fund managers are defined as those who work only for one fund. With few incentives to acquire private information, teams with no committed members underperform those with committed members. These findings remain robust after we incorporate various controls. We also explore why non-committed teams have been used increasingly often despite their poor performance.
翻译：张琳
原文链接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/individual-commitment-and-team-performance-evidence-from-mutual-fund-managers/FE64034F6A4C40178723C45CF4C8B91E

中国资产管理研究中心-3001-团队中的相互监督和成员沟通
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Markus C. Arnold (University of Bern)R. Lynn Hannan (Tulane University)Ivo D. Tafkov (Georgia State University)
摘要：本研究旨在探讨企业从团队成员与经理的沟通中获取的收益是否会被他们可得的、相互监督的信息的类型差异所影响，而团队经理可能会利用这些信息来奖励个别团队成员。我们预测并发现，当团队成员只能观察到彼此的努力时，团队绩效会高于他们同时观察到彼此的努力和产出水平时的绩效；反之，当团队成员只能观察彼此的产出时，团队绩效会低于他们同时观察到彼此的努力和产出水平时的绩效。这些结果背后的直观理解是：可观察到的相互监督的信息的类型，在应按团队成员的贡献来公平分配报酬方面产生了不同程度的模糊。这种模糊性降低了团队成员通过向经理沟通来分配报酬的有用性，从而导致团队绩效降低。
Mutual Monitoring and Team Member Communication in Teams
Markus C. Arnold (University of Bern);R. Lynn Hannan (Tulane University);
Ivo D. Tafkov (Georgia State University)
ABSTRACT
This study investigates whether the benefit firms can extract from team member communication to the team manager—who may use such information for rewarding individual team members—is affected by differences in the type of mutual monitoring information available to team members. We predict and find that team performance is higher when team members can observe only each other's effort than when they can observe both each other's effort and output levels; conversely, team performance is lower when team members can observe only each other's output than when they can observe both each other's effort and output levels. The intuition behind these results is that the type of observable mutual monitoring information creates different degrees of ambiguity regarding what should be considered a fair reward allocation for team members' contributions. Such ambiguity reduces the usefulness of team member communication to the manager for allocating rewards, resulting in lower team performance.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52659

中国资产管理研究中心-3002-审计委员会的信息技术专长对财务报告可靠性和及时性的影响
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Musaib Ashraf (Michigan State University)；Paul N. Michas (The University of Arizona)；Dan Russomanno (The University of Arizona)
摘要：我们研究了审计委员会的信息科技专长是否会影响财务报告的可靠性和及时性。我们发现在拥有具备信息技术专长的审计委员会的公司中，出现重大重述的可能性降低，出现与信息技术相关的重大缺陷（占所有报告的重大缺陷的55%）的可能性降低，并且发布收益公告更及时。这些发现在控制企业的其他信息技术属性，以及使用熵平衡的样本时都是稳健的。我们的发现在所有拥有全面高质量信息技术的公司的子样本中均有效，这可以作为我们减轻对内生性担忧的证据。最后，双重差分、公司固定效应的纳入以及安慰剂检验在很大程度上支持了我们的论断，即审计委员会中信息技术专家的出席大大提高了财务报告的质量。
The Impact of Audit Committee Information Technology Expertise on the Reliability and Timeliness of Financial Reporting
Musaib Ashraf (Michigan State University);Paul N. Michas (The University of Arizona);Dan Russomanno (The University of Arizona)
ABSTRACT
We examine whether information technology expertise on audit committees impacts the reliability and timeliness of financial reporting. We find a reduction in the likelihood of material restatement, a reduction in the likelihood of information technology-related material weaknesses (which account for 55 percent of all reported material weaknesses), and more timely earnings announcements at firms with audit committee information technology expertise. These findings are robust to controlling for a firm's other information technology attributes, as well as when using entropy balanced samples, and we mitigate endogeneity concerns with evidence that our findings hold in a subsample of firms that all possess overall high-quality information technology. Finally, a difference-in-differences analysis, inclusion of firm fixed effects, and a falsification test largely support our assertion that the quality of financial reporting is significantly improved by the presence of an audit committee information technology expert.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52622

中国资产管理研究中心-3003-公共信息与有效资本投资：对资本成本和企业价值的影响
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Peter O. Christensen (University of Southern Denmark)；Hans Frimor (University of Southern Denmark)
摘要：在一个标准的资产定价和企业价值最大化的金融经济学模型中，我们展示了有关企业特定事件和经济整体事件的更好的公共信息会影响企业之间和跨时期的资本投资分配。对资本市场产出的影响，如风险、风险溢价、利率、公司价格和资本成本，取决于投资者的偏好，以及是对企业特定信息还是对经济信息的改善。我们发现利率和风险溢价倾向于往相反的方向变动，在决定公司价值和资本成本时，利率的影响往往主导着对风险溢价的影响。
Public Information and Efficient Capital Investments: Implications for the Cost of Capital and Firm Values
Peter O. Christensen (University of Southern Denmark)；Hans Frimor (University of Southern Denmark)
ABSTRACT
In a standard financial economics model of asset pricing and value-maximizing firms, we show that better public information about firm-specific and economy-wide events affects the allocation of capital investments among firms and over time. The consequences for capital market outcomes, such as risk, risk premia, interest rates, firm prices, and the cost of capital, depend on investor preferences and whether improvements are to firm-specific or economy-wide information. We show that interest rates and risk premia tend to move in opposite directions and that the effects on interest rates often dominate the effects on risk premia in determining firm values and the cost of capital.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52640

中国资产管理研究中心-3004-移动设备和投资新闻应用程序：信息发布、推送通知和错失恐惧症的影响
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Shana M Clor-Proell (Texas Christian University)；Ryan D Guggenmos (Cornell University)；Kristina Rennekamp (Cornell University)
摘要：我们研究了通过移动设备应用程序（apps）传播信息如何影响非专业投资者的判断。为了应对移动设备使用的普遍性，媒体将内容分解成更小的部分以迎合用户，并且应用程序使用推送通知来对此突出显示。这些变化增加了用户实时获取投资信息的能力，但也让一些投资者感觉如果他们没有持续在线，那么他们就好像错过了机会。我们验证了一个用以捕捉投资者对错过投资信息的恐惧（I-FoMO）的标准，并证明I-FoMO不同于社会环境中的传统FoMO。然后通过一个实验，我们发现在出现推送通知，而不是没有时，通过移动设备接收细分内容将对投资分配有更大的影响。此外，我们发现这些结果适用于较高的I-FoMO投资者，但不适用于较低的I-FoMO投资者。
Mobile Devices and Investment News Apps: The Effects of Information Release, Push Notification, and the Fear of Missing Out
Shana M Clor-Proell (Texas Christian University);Ryan D Guggenmos (Cornell University);Kristina Rennekamp (Cornell University)
ABSTRACT
We examine how information dissemination via mobile device applications (apps) affects nonprofessional investors' judgments. In response to the prevalence of mobile device use, the media ungroups content into smaller pieces to accommodate users, and apps use push notifications to highlight this content. These changes increase users' ability to access investment information in real time, leaving some investors feeling as if they are missing out if they are not continuously connected. We validate a scale to capture investors' fear of missing out on investment information (I-FoMO) and document that I-FoMO is distinct from traditional FoMO that occurs in social settings. Then, using an experiment, we find that receiving ungrouped content via a mobile device has a greater effect on investment allocations in the presence, rather than absence, of push notifications. Further, we find that these results hold for higher, but not for lower, I-FoMO investors.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52625

中国资产管理研究中心-3005-投资者对董事特征的偏好：带有性别偏见的投资组合选择
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Henry L. Friedman (University of California, Los Angeles)
摘要：本研究利用美国持有的非美国基金的数据，检验投资者对董事特征的偏好是否影响投资组合选择。与影响投资组合配置的基于偏见的偏好相一致，来自性别不平等程度更大的国家的基金对女性董事较多的公司投资较少，持股较少。由于基金东道国性别偏见的变化似乎与美国公司女性董事的选择和表现无关，因此，实证策略减轻了因估计而产生的，基于市场表现和性别人口统计之间联系的内生性担忧。这项研究的贡献在于将投资与可度量的性别偏见联系起来，并通过额外的分析提供了性别偏见可能通过哪些潜在渠道影响投资组合选择的证据。
Investor Preference for Director Characteristics: Portfolio Choice with Gender Bias
Henry L. Friedman (University of California, Los Angeles)
ABSTRACT
This study examines whether investor-level preferences for director characteristics influence portfolio choices, using data on the U.S. holdings of non-U.S. funds. Consistent with bias-based preferences influencing portfolio allocations, funds from countries with greater gender inequality invest less and hold smaller stakes in firms with more female directors. Since variation in funds' home country gender biases are plausibly unrelated to the selection and performance of female directors in U.S. firms, the empirical strategy mitigates endogeneity concerns arising from estimates based on associations between market performance and gender demographics. The study contributes by linking investments to measured gender biases and by providing evidence, through additional analysis, of potential channels through which gender bias may affect portfolio choice.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52621

中国资产管理研究中心-3006-社会信任与管理层盈利预测
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Yuyan Guan (City University of Hong Kong)Gerald J. Lobo (University of Houston)；Albert Tsang (The Hong Kong Polytechnic University)；Xiangang Xin (City University of Hong Kong)
摘要：我们研究了社会信任与经理人决定主动发布盈利预测之间的关系。我们的理由是，相比于低信任度的国家，在高信任度国家中的经理人更可能发布盈利预测，因为投资者认为这些自愿披露是关于公司未来盈利能力的更可靠的信息。我们发现了与这些预测相一致的证据，表明社会信任促进了企业的自愿披露。我们还证实了社会信任在管理层盈利预测（MEF）的发布方面可以替代国家层面的正式机构的作用。此外，我们发现在低信任度国家，企业层面的可信任的披露承诺与管理层盈利预测之间的关系更为密切，这表明国家层面的社会信任与企业层面公信力提升机制的有效性相关。最后，我们发现来自社会信任度较高国家的企业会发布更精确和更准确的管理层盈利预测，这其中包含更多关于多个项目的信息。
Societal Trust and Management Earnings Forecasts
Yuyan Guan (City University of Hong Kong);Gerald J. Lobo (University of Houston);
Albert Tsang (The Hong Kong Polytechnic University);Xiangang Xin (City University of Hong Kong)
ABSTRACT
We investigate the relationship between societal trust and managers' decisions to voluntarily issue earnings forecasts. We reason that managers are more likely to issue earnings forecasts in high-trust countries than in low-trust countries because investors view these voluntary disclosures as more credible information about the firm's future profitability. We find evidence consistent with these predictions, suggesting that societal trust fosters corporate voluntary disclosure. We also document that societal trust works as a substitute for country-level formal institutions in terms of its implications for management earnings forecast (MEF) issuance. Additionally, we find a stronger relationship between firm-level commitment to credible disclosure and MEFs in low-trust countries, suggesting that country-level societal trust relates to the effectiveness of firm-level credibility-enhancing mechanisms. Finally, we show that firms from countries with higher societal trust issue more precise and accurate MEFs that contain more information about multiple items.
翻译：李沐春
原文链接：https://doi.org/10.2308/tar-2017-0023

中国资产管理研究中心-3007-企业少纳税时的内部现金流分配
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：David A. Guenther (University of Oregon)；Kenneth Njoroge (The College of William & Mary)；Brian M. Williams (Indiana University Bloomington)
摘要：我们提供了关于通过不纳税（“税收相关现金”）而释放的现金流的分配的证据。未来支付的不确定性表明，相较于其他现金流，企业可能会更谨慎地使用与税收有关的现金。我们利用财务的资金流模型来量化与经营现金流各种潜在用途有关的税收相关现金的相对数量。我们发现企业分配与税收相关现金与其他的税后现金流不同。先前的研究发现避税者持有更多的现金，而我们的研究结果表明这是因为企业使用税收相关现金来投资的部分较少（储蓄更多）。我们还发现，税收相关现金的分配随着相对财务约束、经济不确定性和企业的跨国地位而变化，这与先前的研究结果一致。例如，面临相对较高财务约束的公司将较低（提高）税收相关现金投资于资本支出（有价证券和研发）的比重，这可能是为未来的投资机会保留资金。
Allocation of Internal Cash Flow when Firms Pay Less Tax
David A. Guenther (University of Oregon);Kenneth Njoroge (The College of William & Mary);
Brian M. Williams (Indiana University Bloomington)
ABSTRACT
We provide evidence about allocations of cash flow freed up by not paying taxes (“tax-related cash”). Uncertainty about future repayments suggests firms may use tax-related cash more cautiously than other cash flow. We utilize a flow-of-funds model from finance to quantify the relative amounts of tax-related cash associated with various potential uses of operating cash flow. We find firms allocate tax-related cash differently than other after-tax cash flow. Prior studies find tax avoiders hold more cash, and our results suggest this is because firms invest less (and save more) tax-related cash. We also find that the allocation of tax-related cash varies with relative financial constraints, economic uncertainty, and firms' multinational status in ways consistent with prior findings. For example, firms facing relatively higher levels of financial constraints invest a lower (higher) percentage of tax-related cash in capital expenditures (marketable securities and R&D), possibly to preserve funds for future investment opportunities.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52623

中国资产管理研究中心-3008-收入平滑作为理性均衡行为？另一种视角
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Thomas Hemmer (Rice University)
摘要：在本文中，我重新讨论了在Lambert（1984）使用情境下的真实收入平滑问题。我证明了他论文中确定的特殊效应实际上是一个错误：在他的假设下，不存在他所建议的那种投入驱动的均衡收入平滑，然而在这篇论文中，均衡行为的其他几个驱动因素被忽略了。在本文中，我识别了这些，并且对于特定的模型结构，当所有效应都被考虑时，对通常通过均衡行为来平滑次优收益的支持较少。
Income Smoothing as Rational Equilibrium Behavior? A Second Look
Thomas Hemmer (Rice University)
ABSTRACT
In this paper I revisit the issue of real income smoothing in the setting used by Lambert (1984). I demonstrate that the particular effect identified in his paper is actually an error: under his assumptions, there is no input-driven equilibrium income smoothing of the type he suggests. There are, however, several other drivers of equilibrium behavior ignored in that paper. In this paper, I identify those and, for the particular model structure, show that when all effects are considered together, there is little support for the suggestion that second-best earnings generally are being smoothed through the equilibrium behavior.
翻译：李沐春
原文链接：https://doi.org/10.2308/TAR-2017-0132

中国资产管理研究中心-3009-在利润池环境下主观感知与薪酬透明度对职业判断的相互影响：以大型律师事务所为例
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Khim Kelly (University of Central Florida)；Ronit Dinovitzer (University of Toronto)；Hugh Gunz (University of Toronto)Sally P Gunz (University of Waterloo)
摘要：本文探讨了利润分配中主观感知和薪酬透明度之间的相互作用如何与法律合伙人职业判断的一个重要方面相联系，即他们倾向于认同其委托人和同伴合伙人的意愿（下文称为“合伙人认同”）。通过对56名在加拿大大型律师事务所工作的公司法合伙人的访谈，我们发现在主观性较低的制度中合伙人认同较高，但这仅发生在无薪酬透明度的情况下。我们发现，在主观性较高的制度中，薪酬透明（相对于不透明）与认同增加相关，但在主观性较低的制度中，与认同降低略有关联。在一个实验中，我们随机将MTurk上的参与者分配到不同的条件下，结果复制了这样的发现：随着主观性水平的提高，薪酬透明（相对于不透明）对合伙人认同有更积极的影响。
The Interaction of Perceived Subjectivity and Pay Transparency on Professional Judgment in a Profit Pool Setting: The Case of Large Law Firms
Khim Kelly (University of Central Florida);Ronit Dinovitzer (University of Toronto);
Hugh Gunz (University of Toronto);Sally P Gunz (University of Waterloo)
ABSTRACT
This paper examines how the interaction of perceived subjectivity and pay transparency in profit allocation is associated with an important aspect of law partners' professional judgment, namely their tendency to accede to the wishes of their client and fellow partner (labeled hereafter as partner accedence). Based on interviews with 56 corporate law partners working in large Canadian law firms, we find higher partner accedence in a less subjective system than in a more subjective system, but only under no pay transparency. We find that pay transparency (versus no transparency) is associated with increased accedence in a more subjective system, but it is marginally associated with decreased accedence in a less subjective system. In an experiment where we randomly assign MTurk participants to conditions, we replicate the finding that pay transparency (versus no transparency) has a more positive effect on partner accedence as subjectivity level increases.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52612

中国资产管理研究中心-3010-未来亏损状况的确认和披露的对比，以及财务报表的决策有用性
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Alexis H. Kunz (University of Bern)；Martin Staehle (University of Bern)
摘要：我们进行了一个实验，以探讨当经济基本面恶化或改善时，确认对比于披露合理且有支持性的未来亏损状况的预测对投资者价值评估的差异效应。我们的主要发现是：当实体企业在有持续性的风险下增长时，对未来损失状况的加速确认会导致价值评估与实体的价值增长相反。补充分析显示，投资者将（部分）预期损失错误地归因于实体过去的业绩，并依赖未经调整的当前总盈余来评估实体的前景。我们的研究结果深入了解了导致投资者错误评估盈余趋势的认知过程，并告知监管者、准则制定者、投资者和编报者：加速确认相关和无偏的前瞻性损失估计可能会损害财务报表的决策有用性。
Recognition versus Disclosure of Future Loss Conditions and the Decision-Usefulness of Financial Statements
Alexis H. Kunz (University of Bern);Martin Staehle (University of Bern)
ABSTRACT
We conduct an experiment to investigate the differential effect of recognizing versus disclosing reasonable and supportable forecasts of future loss conditions on investors' valuation assessments when economic fundamentals either deteriorate or improve. Our main finding is that when entities enjoy growth at constant risk, the accelerated recognition of future loss conditions can induce valuation assessments that are opposed to the entity's enhanced valuation. Supplementary analyses reveal that investors misattribute (some) expected losses to the entity's past performance and rely on unadjusted current summary earnings to assess the entity's prospects. Our findings provide insight into the cognitive processes that lead investors to incorrectly assess earnings trends and inform regulators, standard setters, investors, and preparers that the accelerated recognition of relevant and unbiased forward-looking loss estimates can impair the decision-usefulness of financial statements.
翻译：李沐春
原文链接：https://doi.org/10.2308/tar-2017-0050

中国资产管理研究中心-3011-收入平滑作为理性均衡行为？另一种视角：回应
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Richard A. Lambert (University of Pennsylvania)
摘要：本文回应了Hemmer（2020）对Lambert（1984）关于收入平滑的论文的批评。Lambert发展并分析了一个两阶段的代理模型，其中他表明收入平滑是均衡的一部分，而收入平滑被阐述为一个关于第一阶段结果的递减函数的第二阶段行动。Hemmer声称Lambert的分析包含错误，并且由于Lambert声称的原因，模型中没有出现收入平滑。在这里，我确认了Lambert的结果，说明了为什么Hemmer的结果与我的不同，并且更清楚地说明了收入平滑背后的经济动因。
Income Smoothing as Rational Equilibrium Behavior? A Second Look: A Response
Richard A. Lambert (University of Pennsylvania)
ABSTRACT
This paper responds to Hemmer's (2020) critique of Lambert's (1984) paper on income smoothing. Lambert develops and analyzes a two-period agency model in which he shows income smoothing, defined as the second-period action being a decreasing function of the first-period outcome, is part of the equilibrium. Hemmer claims Lambert's analysis contains errors, and that income smoothing does not occur in the model for the reasons Lambert claims. Here, I confirm the Lambert results, show why Hemmer's results appear different than mine, and make clearer the economic forces behind why income smoothing occurs.
翻译：李沐春
原文链接：https://doi.org/10.2308/TAR-2019-0671

中国资产管理研究中心-3012-股东诉讼与管理层自愿披露的信息内容
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Yuanyuan Ma (Unaffiliated)
摘要：我研究了受股东诉讼约束的管理层自愿披露的信息内容。我建立了一个诉讼机制的模型，在这种机制中，法律责任是基于股东因高价购买股票而遭受的损失。我发现管理层并没有在均衡状态下完全揭示私人信息，而只是揭示了小范围内的。因此，信息的精确性在某种程度上丧失了。值得注意的是，增加法律责任的严重程度并不总能减少损失的精确性。事实上，当法律责任达到一定程度时，更严重的法律责任将导致披露不准确。我还发现，好消息和坏消息的精确性不同。具体来说，当法律责任高的时候，好消息比坏消息更精确；当法律责任较低时，坏消息比好消息更精确。
Shareholder Litigation and the Information Content of Management Voluntary Disclosure
Yuanyuan Ma (Unaffiliated)
ABSTRACT
I study the information content of management voluntary disclosures disciplined by shareholder litigation. I model the litigation mechanism in which legal liabilities are based on the damages that shareholders suffer from buying a stock at an inflated price. I find that management does not fully reveal private information in equilibrium. Instead, their disclosures reveal only a range in which their private information lies. Thus, the precision of information is, to some extent, lost. Notably, increasing the severity of legal liability does not always reduce the loss of precision. In fact, when the legal liability reaches a certain level, more severe legal liability will result in less precise disclosures. I also find that good news and bad news have different precision. Specifically, good news is more precise than is bad news when legal liabilities are high, and bad news is more precise than is good news when legal liabilities are low.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52651

中国资产管理研究中心-3013-通过汇总预算时间减少漏报
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Kim I. Mendoza (University of Illinois at Urbana–Champaign)
摘要：漏报，即少报实际工作时间，是各级审计人员普遍存在的行为。漏报会产生负面后果，如预算紧张和未来审计质量的下降。在这篇论文中，我提出一个低成本的预算格式化过程，以减少漏报。通过一个实验，我证实了与分类预算相比，汇总预算情况下拥有更高漏报动机的个人的漏报情况更少。当个人的漏报动机较低时，汇总预算对漏报的影响较小。我还通过进行中介效应分析提供了这一过程的证据。在第二个实验中，我研究了减少漏报和减少因汇总而导致的数据丰富度损失的预算格式化过程。这项研究为依赖审计时间进行预算、衡量员工效率和审计质量的审计公司、合伙人、管理层和监管机构提供了重要的见解。
Reducing Underreporting by Aggregating Budgeted Time
Kim I. Mendoza (University of Illinois at Urbana–Champaign)
ABSTRACT
Underreporting, or reporting fewer hours than actually worked, is a prevalent behavior among auditors at all levels. Underreporting can result in negative consequences, such as tight budgets and reductions in future audit quality. In this paper, I propose a low-cost budget formatting procedure that reduces underreporting. Using an experiment, I document that individuals with higher underreporting incentives underreport less when given an aggregated budget relative to a disaggregated budget. When individuals have lower underreporting incentives, aggregating the budget has a smaller effect on underreporting. I also provide evidence of the process by performing a mediation analysis. In a second experiment, I examine a budget formatting procedure that reduces underreporting while also mitigating the loss of data richness that results from aggregation. This study provides important insights to audit firms, partners, managers, and regulators who rely on audit hours for budgets, measures of staff efficiency, and measures of audit quality.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52624

中国资产管理研究中心-3014-会计基础与系统性风险：企业在经济周期中的失败
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Maria Ogneva (University of Southern California, Los Angeles)；Joseph D. Piotroski (Stanford University)；Anastasia A. Zakolyukina (The University of Chicago)
摘要：在本文中，我们使用会计基本面元素来衡量系统性困境风险。我们主要验证的预测是，这种风险会随着衰退式失败的概率P（R | F）而增加，这项检验以一个指导我们实证分析的程式化模型为基础。我们首先应用lasso方法来选择可以合并到P（R | F）估计中的会计基本面元素，然后在资产定价检验中使用获得的估计值。这种方法成功地从会计数据中提取了系统性风险信息——我们记录到了与P（R | F）估计相关的显著正溢价，这种溢价与商业周期的有关讯息和总失败率有关。额外测试强调了通过衰退式失败概率的估计来施加的“结构”的重要性。只依赖于相同基本面变量与收益之间过去相关性的“不可知的”收益预测因子表现出了明显不同的性质。
Accounting Fundamentals and Systematic Risk: Corporate Failure over the Business Cycle
Maria Ogneva (University of Southern California, Los Angeles);
Joseph D. Piotroski (Stanford University);
Anastasia A. Zakolyukina (The University of Chicago)
ABSTRACT
In this paper, we use accounting fundamentals to measure systematic risk of distress. Our main testable prediction—that this risk increases with the probability of recessionary failure, P(R|F)—is based on a stylized model that guides our empirical analyses. We first apply the lasso method to select accounting fundamentals that can be combined into P(R|F) estimates. We then use the obtained estimates in asset-pricing tests. This approach successfully extracts systematic risk information from accounting data—we document a significant positive premium associated with P(R|F) estimates. The premium covaries with the news about the business cycle and aggregate failure rates. Additional tests underscore the importance of the “structure” imposed through recessionary-failure-probability estimation. The “agnostic” return predictor that relies only on past correlations between the same fundamental variables and returns exhibits markedly different properties.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52638

中国资产管理研究中心-3015-财务报告质量与股债双重持有
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Leila Peyravan (Rice University)
摘要：我研究了一家公司的财务报告质量（FRQ）是否会影响机构投资者同时持有公司债务和股权（双重持有）的倾向。我预测机构双重持股的根本原因是为了获得更好的信息，而这些信息对于财务报告质量较低公司的贷款者来说是可以获得的。因此，我发现双重持股者更有可能与财务报告质量较低的公司合作。此外，我预测并发现双重持有人依据从借款人处收到的信息进行交易,双重持有人从交易他们借款人的权益中获得了8%的超额收益，而且他们的交易方向预测了收益公告日借款人的讯息方向。最后，我证明了双重持有人的交易只会在低财务报告质量的公司产生超额收益，这表明在低财务报告质量的公司中投资者会成为双重持有人，因为在这样的公司中，知情交易提供了更高的回报。
Financial Reporting Quality and Dual-Holding of Debt and Equity
Leila Peyravan (Rice University)
ABSTRACT
I investigate whether the financial reporting quality (FRQ) of a firm influences the propensity of institutional investors to simultaneously hold the firm's debt and equity (dual-holding). I predict that the underlying reason for institutional dual-holding is access to the better information that is available to lenders in firms with low FRQ. Accordingly, I find that dual-holders are more likely to participate in firms with low FRQ. Additionally, I predict and find that dual-holders trade on the additional information received from borrowers. I find that dual-holders achieve excess returns of 8 percent on their trades in the borrower's equity, and that the direction of their trades predicts the direction of borrowers' news on the earnings announcement day. Finally, I demonstrate that dual-holders' trades generate excess returns only in firms with low FRQ, suggesting that investors become dual-holders in firms with low FRQ because informed trades in such firms offer higher returns.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52661

中国资产管理研究中心-3016-群体认同、绩效透明度和员工绩效
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Ruidi Shang (Tilburg University)Margaret A. Abernethy (The University of Melbourne)Chung-Yu Hung (The University of Melbourne)
摘要：经济学、社会心理学和管理学的研究表明，群体认同在指导员工行为上起着重要作用。一方面，强烈的群体认同感可以激励人们努力解决工作场所的利益冲突；另一方面，它可以鼓励人们遵守群体规范。我们研究了群体认同的影响是否取决于管理者的绩效报告选择。利用实地调查和档案资料，我们发现当绩效透明度较低时，利益一致性效应更为显著，群体认同与员工绩效正相关。然而，当绩效透明度较高时，从众效应更为显著，较高的群体认同感与更同质但未必更高的员工绩效相关。我们的研究结果证实了管理者的绩效报告选择决定了群体认同是否对员工绩效有积极影响，这有助于管理丰富管理控制文献。
Group Identity, Performance Transparency, and Employee Performance
Ruidi Shang (Tilburg University)
Margaret A. Abernethy (The University of Melbourne)
Chung-Yu Hung (The University of Melbourne)
ABSTRACT
Economics, social psychology, and management studies suggest that group identity plays an important role in directing employee behaviors. On the one hand, strong group identity could motivate high effort to resolve conflicts of interests in the workplace. On the other hand, it could encourage conformity toward group norms. We examine whether the effect of group identity is conditional on managers' performance reporting choices. Drawing on survey and archival data from a field site, we find that when performance transparency is low, the interest alignment effect is more salient and group identity positively relates to employee performance. However, when performance transparency is high, the conformity effect is more salient and higher group identity is associated with more homogeneous, but not necessarily higher, employee performance. Our findings contribute to the management control literature by documenting that managers' performance reporting choices determine whether group identity has positive effects on employee performance.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52652

中国资产管理研究中心-3017-PCAOB国际审查的实际效果
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Nemit Shroff (Massachusetts Institute of Technology)
摘要：本文检验了美国公众公司会计监督委员会（PCAOB）国际审查项目对公司融资和投资决策的影响。双重差分回归估计表明，公司对审计师收到“无缺陷”审查报告的反应是，发行相当于1.4%资产的额外外部资本，以及增加0.5%的投资。对于（1）财务拮据的公司和（2）位于没有监管机构或监管机构不进行审查的国家的公司，这些影响更大。此外，在（1）腐败率低，（2）法治强，（3）监管质量高的国家中，对于融资决策的影响更大。描述性的证据表明，审查增加了债务合同中财务条款的使用，这很可能是审查产生实际效果的机制之一。本文证实了PCAOB审查在缓解非美国公司融资摩擦方面的价值。
Real Effects of PCAOB International Inspections
Nemit Shroff (Massachusetts Institute of Technology)
ABSTRACT
This paper examines the effect of the Public Company Accounting Oversight Board (PCAOB) international inspection program on companies' financing and investing decisions. Difference-in-differences regression estimates suggest that companies respond to their auditor receiving a “deficiency-free” inspection report by issuing additional external capital amounting to 1.4 percent of assets and increasing investment by 0.5 percent of assets. These effects are larger for (1) financially constrained companies and (2) companies located in countries where there is no regulator or the regulator does not conduct inspections. Further, the effect on financing decisions is stronger in countries with (1) low corruption, (2) strong rule of law, and (3) high regulatory quality. Descriptive evidence suggests that inspections increase the use of financial covenants in debt contracts, which is likely one of the mechanisms through which inspections generate real effects. This paper documents the value of PCAOB inspections in mitigating financing frictions for non-U.S. companies.
翻译：李沐春
原文链接：https://doi.org/10.2308/accr-52635

中国资产管理研究中心-3018-多德-弗兰克(Dodd-Franking)对冲基金
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Douglas Cumming (Schulich School of Business - York University)；Na Dai (School of Business - SUNY at Albany)；Sofia Johan (Schulich School of Business - York University)
摘要：本文分析了多德-弗兰克法案实施前后对冲基金的业绩、风险和资金流动情况。数据显示，相对于非美国对冲基金而言，在多德-弗兰克法案(Dodd-Frank Act)实施后的时期内，受其监管的美国对冲基金的资产负债率较低，在统计和经济上都具有重要意义，而有关其对风险(标准差和异质风险)影响的证据则好坏参半。我们发现有证据显示，在多德-弗兰克法案实施后，美国某些对冲基金策略的资金流出(或流入)增加。我们发现研究结果的差异取决于基金的规模和策略。这些研究结果对于分析对比美国与非美国基金的差异是有力的。
关键词：对冲基金，多德-弗兰克法案，金融与法律
Dodd-Franking the hedge Funds
Douglas Cumming (Schulich School of Business - York University), Na Dai (School of Business - SUNY at Albany), Sofia Johan (Schulich School of Business - York University)
ABSTRACT
This paper analyzes hedge fund performance, risk, and fund flows before and after the implementation of the Dodd–Frank Act. The data indicates that, relative to non-US hedge funds, US hedge funds that are regulated under Dodd–Frank have lower fund alphas in the post-Dodd–Frank implementation period, both statistically and economically significant, while the evidence on its effect on risk (standard deviations and idiosyncratic risk) is mixed. We find evidence that there is more fund outflow (or less fund inflow) for certain US hedge fund strategies after the implementation of Dodd–Frank. We show some differences in these findings dependent on fund size and strategy. The findings are robust to difference-in-differences analyses comparing US to non-US funds.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2017.09.012

中国资产管理研究中心-3019-同时还是独立？货币危机与银行危机之间的关系
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Sylvester C.W. Eijffinger (CentER and the Department of Economics - Tilburg University)；Bilge Karata? (CentER and the Department of Economics - Tilburg University)
摘要：这项研究的目的是为货币危机和银行危机之间的联系提供实证检验。面板数据概率模型和双变量概率模型是对1985年至2010年期间每月观测的21个发达国家和发展中国家的抽样估计。研究结果表明，银行业危机先于货币危机，反之亦然。货币危机还通过外部冲击、自由化的金融市场或高杠杆率的银行部门间接影响未来银行业危机发生的可能性。本文研究还提供了两个危机之间存在相关性的证据。研究结果不仅证实了银行业危机与货币危机之间的理论联系，而且强调了高频数据在分析各种金融危机之间关系方面的重要性。
关键词：银行危机，货币危机，危机关联
Together or apart? The relationship between currency and banking crises
Sylvester C.W. Eijffinger (CentER and the Department of Economics - Tilburg University), Bilge Karata? (CentER and the Department of Economics - Tilburg University)
ABSTRACT
The purpose of this study is to provide empirical evidence on the links between currency and banking crises. Panel data probit and bivariate probit models are estimated to a sample of 21 developed and developing countries having monthly observations between the years 1985 and 2010. The findings indicate that banking crises precede currency crises, and vice versa. Currency crises also indirectly influence future banking crises probability through external shocks, liberalized financial markets, or highly-leveraged banking sectors. The study also finds evidence of contemporaneous correlation between the two crises. The results not only confirm the theoretical links between banking and currency crises, but also underline the importance of higher frequency data in analyzing the relationship between various financial crises.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2019.105631

中国资产管理研究中心-3020-投资者在期权市场上是否存在羊群效应？
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Alejandro Bernales (Center of Finance and Center of Applied Economics - Universidad de Chile)；Thanos Verousis (Newcastle University Business School - Newcastle University)；Nikolaos Voukelatos (Kent Business School - University of Kent)
摘要：通过研究1996年至2012年期间在美国交易的股票期权合约，我们研究了期权市场中投资者以前未被探索的羊群行为。我们证明了期权交易活动中强烈的羊群效应，这种效应取决于一系列与市场压力周期相关的系统因素。更具体地说，我们发现期权投资者倾向于在高市场波动风险期间、在宏观经济公告日期、在2008年金融危机期间、在大量市场期权头寸开放或关闭期间，以及在分析师预测的大幅平均分散期间从众。
关键词：羊群效应，横截面离散度，期权
Do investors follow the herd in option markets?
Alejandro Bernales (Center of Finance and Center of Applied Economics - Universidad de Chile), Thanos Verousis (Newcastle University Business School - Newcastle University), Nikolaos Voukelatos (Kent Business School - University of Kent)
ABSTRACT
We investigate the previously unexplored herding behaviour of investors in option markets, by examining equity option contracts traded in the US between 1996 and 2012. We document strong herding effects in option trading activity that are conditional on a set of systematic factors related to periods of market stress. More specifically, we find that option investors tend to herd during periods of high market volatility risk, on dates of macroeconomic announcements, during the financial crisis of 2008, when a large number of market option positions is either opened or closed, and during periods of a large average dispersion of analysts’ forecasts.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2016.02.002

中国资产管理研究中心-3021-波动价差和股票市场对盈利公告的反应
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Lei Qin (University of Michigan Ross School of Business)；Wang Xuewu Wesley (Michael F. Price College of Business at the University of Oklahoma)；Yan Zhipeng (Martin Tuchman School of Management at the New Jersey Institute of Technology)
摘要：利用收益公告的相关样本，我们发现在接近收益公告日期时，期权买卖价差的隐含波动率单调增加。在公告日之前的日子里，波动率价差的稳定增长，再加上累积异常隐含波动性对随后公告收益的预测能力，表明知情的交易员是期权市场活动在收益公告之前的驱动力。这样的知情交易，通过异常的隐含波动性差代理，在控制了一系列公司和公告特征之后，增加而不是减少了股票市场对盈利公告的反应。当预盈利期权交易量增加时，这种影响最为明显。总体而言，我们的发现为以下观点提供了有力的支持：收益公布前立即进行知情期权交易，有助于缓解股市对收益公布反应不足的问题，并使其更接近于完全反应。
关键词：隐含波动性利差，盈利反应系数，反应不足修正
Volatility spread and stock market response to earnings announcements
Lei Qin (University of Michigan Ross School of Business), Wang Xuewu Wesley (Michael F. Price College of Business at the University of Oklahoma), Yan Zhipeng (Martin Tuchman School of Management at the New Jersey Institute of Technology)
ABSTRACT
Using a broad sample of earnings announcements, we find a monotonic increase in the spread between call and put implied volatilities as it gets closer to the earnings announcement date. The steady build-up of volatility spread in the days leading up to the announcement date, coupled with the predictive power of cumulative abnormal implied volatility spread on subsequent announcement returns, suggests that informed traders are the driving force behind the option market activities prior to earnings announcements. Such informed trading, as proxied by the abnormal implied volatility spread, increases rather than decreases the stock market response to earnings announcements after controlling for an array of firm and announcement characteristics. This effect is most pronounced when the pre-earnings option trading volume is heightened. Overall, our findings lend strong support to the notion that informed options trading immediately before earnings announcements helps alleviate the stock market under-reaction to earnings announcements and make it closer to a complete response.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2017.04.002

中国资产管理研究中心-3022-投资银行家在并购中的作用：关于收购方财务状况的新证据
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Jie (Michael) ；Guo (Durham University Business School - Durham University)；Yichen Li (Durham University Business School - Durham University)；Changyun Wang (China Financial Policy Research Center - Renmin University of China)；Xiaofei Xing (Birmingham Business School, University of Birmingham)
摘要：本文通过对1990-2012年间美国3420笔并购交易进行分析，调查顶级并购投资银行家（财务顾问）在短期和长期内是否为具有不同财务状况的收购者创造价值。本文将基于收购者财务约束的交易分为三类: 受约束的、中立的和无约束的收购。我们发现，顶级银行家的影响取决于收购者的财务状况。具体来说，顶级顾问可以提高受约束的收购方的绩效，而不是中立且不受约束的收购方的绩效。我们的结果表明，在控制了公司，交易和市场特征之后，顶级投资银行家分别将受约束的收购方的短期（5天）和长期（36个月）绩效提高了1.45％和24.27％。对于有投资银行家参与的交易，由顶级顾问建议的受约束的收购方的交易完成率最低，并且支付的投标溢价也最低；保留顶级投资银行家的不受约束的收购方的交易完成率最高，并支付相对较高的出价溢价。我们的研究结果表明，受约束的收购方倾向于保留顶级投资银行家以获取卓越的协同效应，而不受约束的收购方则似乎保留顶级投资银行家以确保交易完成。
关键词：并购，投资银行家，财务约束，公司业绩
The role of investment bankers in M&As: New evidence on Acquirers’ financial conditions
Jie (Michael) Guo (Durham University Business School - Durham University), Yichen Li (Durham University Business School - Durham University), Changyun Wang (China Financial Policy Research Center - Renmin University of China), Xiaofei Xing (Birmingham Business School, University of Birmingham)
ABSTRACT
This paper investigates whether top-tier M&A investment bankers (financial advisors) create value for acquirers with different financial conditions in both the short and long term via analyzing 3420 US deals during 1990–2012. In this paper, deals are divided into three groups based on acquirer financial constraints – acquisitions by constrained, neutral and unconstrained firms. We find that the effects of top-tier bankers are dependent on acquirer financial conditions. Specifically, top-tier advisors improve performance for constrained acquirers rather than neutral, and unconstrained acquirers. Our results show that top-tier investment bankers improve constrained acquirers’ short- (5 days) and long-term (36 months) performance by 1.45% and 24.27% respectively, after controlling for firm, deal and market characteristics. For deals with investment banker involvement, constrained acquirers advised by top-tier advisors have the lowest deal completion rate, and pay the lowest bid premiums; while unconstrained acquirers that retain top-tier investment bankers have the highest deal completion rate, and pay relatively high bid premiums. Our findings imply that constrained acquirers tend to retain top-tier investment bankers to gain superior synergy, while unconstrained acquirers appear to retain top-tier investment bankers to ensure the deal completion.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2018.02.004

中国资产管理研究中心-3023-公司为什么要发行担保债券？
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Fang Chen (College of Business - University of New Haven)；Jing-Zhi Huang (Smeal College of Business - Pennsylvania State University)；Zhenzhen Sun (Charlton College of Business - University of Massachusetts Dartmouth)；Tong Yu (Lindner School of Business, University of Cincinnati)
摘要：公司在发行担保债券时经常使用关联公司作为担保人，因此将外部融资与内部信用增强相结合。在本研究中，我们实证检验了公司担保债券发行的潜在决定因素。我们发现，有形资产较少、信用评级较低、债务拖欠较为明显和/或管理机构问题较大的发行人更有可能发行担保债券。此外，我们发现，虽然公司一般发行担保债券有不同的动机，替代激励担保债券的用途在很大程度上是由债券价格在发行时决定的。
关键词：担保，信用增级，公司债券，信用评级，公司投资
Why do firms issue guaranteed bonds?
Fang Chen (College of Business - University of New Haven), Jing-Zhi Huang (Smeal College of Business - Pennsylvania State University), Zhenzhen Sun (Charlton College of Business - University of Massachusetts Dartmouth), Tong Yu (Lindner School of Business, University of Cincinnati)
ABSTRACT
Corporations often use affiliated firms as guarantors when issuing guaranteed bonds, thus combining external financing with internal credit enhancements. In this study, we empirically examine the potential determinants of corporate guaranteed debt issuance. We find evidence that issuers with fewer tangible assets, lower credit ratings, more pronounced debt overhang and/or greater managerial agency problems are more likely to issue guaranteed bonds. Moreover, we find that while firms generally issue guaranteed bonds with different motives, alternative incentives for guaranteed bond uses are largely captured by bond prices at issuance.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2018.08.002

中国资产管理研究中心-3024-政治关系与企业投资: 来自中国最近反腐败运动的证据
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Xiaofei Pan (School of Accounting, Economics and Finance - University of Wollongong)；Gary Gang Tian (Department of Applied Finance and Actuarial Studies - Macquarie University)
摘要：利用中国的腐败丑闻，本文构建了一个自然的实验，确定了通过贿赂和个人关系(事件型公司)来驱逐腐败政客和与他们有联系的公司。我们发现，与非事件型公司相比，政治家被罢免后事件型公司的投资支出显着下降，特别是对于非国有企业而言。我们还发现，在政客下台后，事件型国有企业的投资效率有所提高，但与非事件型国有企业相比，事件型国有企业的投资效率有所下降。我们发现，在最近的反腐败运动之后，政客的下台对企业投资决策的影响更大，因为他们贿赂了企业，并且对腐败严重地区的企业影响更大。通过对关渐变量的替换测量后，结果依然稳健。
关键词：腐败，寻租，投资决策，政治资本
Political connections and corporate investments: Evidence from the recent anti-corruption campaign in China
Xiaofei Pan (School of Accounting, Economics and Finance - University of Wollongong), Gary Gang Tian (Department of Applied Finance and Actuarial Studies - Macquarie University)
ABSTRACT
Taking advantage of corruption scandals in China, we construct a natural experiment and identify the ousting of corrupt politicians, and firms connected with them through bribery and personal relationships (event firms). We find that the investment expenditure of event firms declines significantly after the ousting of the politicians compared with that of non-event firms, especially for non-SOEs. We also find that, after the ousting of the politicians, investment efficiency improves for event SOEs, but declines for event non-SOEs, compared with their non-event counterparts. We also document that the ousting of the politicians influences firm investment decisions more after the recent anti-corruption campaign, for bribing firms and for firms in more corrupt regions. These results are robust to alternative measurements of key variables and specifications.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2017.03.005

中国资产管理研究中心-3025-拒绝银行贷款的家庭
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Yiyi Bai (School of Finance - Zhongnan University of Economics and Law)；Liping Lu (School of Finance - Renmin University of China)
摘要：本文以贷款机构批准但被申请人拒绝的抵押贷款申请为样本，研究信贷市场中的逆向选择机制。我们发现，低风险的申请人更有可能拒绝贷款提供，除非该要约是由知情的贷款人提出的。利用大额抵押贷款和贷款接受率数据来代表信息优势，我们发现被拒绝可能性较低的贷款人确实比其他贷款人更知情。
关键词：抵押贷款，信息优势，集中贷款
Households rejecting loan offers from banks
Yiyi Bai (School of Finance - Zhongnan University of Economics and Law), Liping Lu (School of Finance - Renmin University of China)
ABSTRACT
This paper studies the mechanism of adverse selection in the credit market using a sample of mortgage applications that are approved by lenders but rejected by applicants. We find that a low-risk applicant is more likely to reject a loan offer, except when the offer is made by an informed lender. Using jumbo mortgage and loan acceptance rate data to proxy for the information advantage, we find that lenders with a lower likelihood of being rejected are indeed better informed than others.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2018.04.018

中国资产管理研究中心-3026-活期存款合约与存在偏好的银行挤兑
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Minwook Kang (Nanyang Technological University)
摘要：本文通过引入双曲折现，扩展了 Diamond-Dybvig银行挤兑模型。主要的问题是消费者的短视决策如何影响银行挤兑的可能性和银行的最优契约。在双曲折现下，消费者的存款偏好和取款偏好不同。因此，银行在设计最优银行契约时需要考虑两个不同的偏好，这使得设计一个安全的银行契约变得更加困难。这种偏好上的差异可能会增加银行在均衡状态下挤兑的可能性。尽管银行可以设计一个防跑合同，但是由于双曲折现银行更严格的激励相容约束，通过银行服务提供的事前福利将会更低。
关键词：银行挤兑，活期存款，双曲折现，金融脆弱性，现时偏见
Demand deposit contracts and bank runs with present biased preferences
Minwook Kang (Nanyang Technological University)
ABSTRACT
This paper extends the Diamond–Dybvig model of bank runs by incorporating hyperbolic discounting. The main question is how consumers’ myopic decisions affect the possibility of a bank run and the bank’s optimal contract. Under hyperbolic discounting, consumers’ deposit preferences differ from their withdrawal preferences. Therefore, the bank needs to consider two separate preferences when designing the optimal banking contract, making it more difficult to design a run-safe banking contract. This difference in preferences could increase the possibility of a bank run in equilibrium. Although the bank can design a run-proof contract, the ex-ante welfare through banking services will be lower under hyperbolic discounting due to its tighter incentive compatibility constraint.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105901

中国资产管理研究中心-3027-公私合作贷款: 来自企业联合贷款的证据
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Veljko Fotak (School of Management - University at Buffalo)；Haekwon Lee (The University of Sydney Business School)
摘要：1980年至2010年期间，私营部门和政府拥有的贷款人提供的共同贷款占提供给公司借款人的银团贷款总额的十分之一以上。共同贷款通常被合理化，作为对国有贷款机构施加市场纪律的一种手段。我们调查是否确实如此，或者政治扭曲是否会影响“混合”财团，包括私人和政府拥有的贷款机构。我们发现，混合财团比私人财团向政府关联企业分配更多的贷款。此外，来自混合银团的贷款利差更低，期限更长，抵押品更少，契约更少。在随后的几年里，当借款人“有联系”时，大多数银团贷款都是有利的，当借款者的盈利能力出现下降时，银团贷款的收益率会下降, 表明贷款配置效率低下。这一证据与混合型贷款中的政治扭曲是一致的。结果是由国内政府贷款人推动的: 包括外国政府所有的贷款人在内的银团贷款在分配和贷款条件上与私营部门贷款更为相似。
关键词：国有银行，联合贷款
Public-private co-lending: Evidence from syndicated corporate loans
Veljko Fotak (School of Management - University at Buffalo), Haekwon Lee (The University of Sydney Business School)
ABSTRACT
Co-lending by private-sector and government-owned lenders accounts for over one-tenth of all syndicated-loan funding to corporate borrowers from 1980 to 2010. Co-lending is often rationalized as a mean to impose market discipline on government-owned lenders. We investigate whether that is really the case, or whether political distortions affect “mixed” syndicates including both private and government-owned lenders. We find that mixed syndicates allocate more loans to government-connected firms than private syndicates do. Further, loans from mixed syndicates have lower spreads, longer maturities, less collateral, and fewer covenants. Terms are most favorable when borrowers are “connected.” Firms borrowing from mixed syndicates show a decline in profitability and valuation in subsequent years, suggesting loans are inefficiently allocated. The evidence is consistent with political distortions in mixed lending. Results are driven by domestic government lenders: loan by syndicates including foreign government-owned lenders resemble more closely private-sector loans, both in allocation and loan terms.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105898

中国资产管理研究中心-3028-行业相对估值与跨境上市
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Kee-Hong Bae (Schulich School of Business - York University)；Yi Ding (School of Management and Economics and Shenzhen Finance Institute - The Chinese University of Hong Kong)；Xiaoqiao Wang (School of Management and Economics and Shenzhen Finance Institute - The Chinese University of Hong Kong)
摘要：以1982-2018年间在美国交叉上市的40个国家的公司为样本，我们发现，一家公司的本土行业估值与其相应的美国行业估值(相对行业估值)之间的差异是影响上市决策和上市后估值的重要因素。相对于相应的美国产业，国内市场产业被低估的国际公司更有可能交叉上市。它们在上市后还享有永久估值收益。这些公司发行更多的股票，投资更多，实现更高的增长率。
关键词：交叉上市，行业细分，相对行业估值，估值收益
Relative industry valuation and cross-border listing
Kee-Hong Bae (Schulich School of Business - York University), Yi Ding (School of Management and Economics and Shenzhen Finance Institute - The Chinese University of Hong Kong), Xiaoqiao Wang (School of Management and Economics and Shenzhen Finance Institute - The Chinese University of Hong Kong)
ABSTRACT
Using a sample of firms from 40 countries cross-listed in the U.S. during the 1982–2018 period, we find that the discrepancy between a firm's home industry valuation and its corresponding U.S. industry valuation—the relative industry valuation—is an important factor in the listing decision and valuation after listing. International firms whose home market industries are undervalued relative to the corresponding U.S. industries are more likely to cross-list. They also enjoy permanent valuation gains after listing. These firms issue more equity, invest more, and realize higher growth rates.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105899

中国资产管理研究中心-3029-企业客户集中与股价暴跌风险
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Xiaofang Ma (School of Accounting - Zhejiang Gongshang University)；Wenming Wang (School of Management - Zhejiang University)Jiangang Wu (School of Management - Shanghai University)；；Wenlan Zhang (School of Accounting - Dongbei University of Finance and Economics)
摘要：通过对美国公司的大量样本，我们发现主要的公司客户集中度与公司未来的股价暴跌风险正相关。当供应商公司进行了更高水平的特定关系投资，信息环境较差，和/或面临较低的客户转换成本时，这种积极关系更加明显。我们的证据表明，单一的公司客户群对公司的崩溃风险有负面影响。
关键词：崩溃风险，企业客户集中度，关系型投资，客户转换成本，信息环境
Corporate customer concentration and stock price crash risk
Xiaofang Ma (School of Accounting - Zhejiang Gongshang University), Wenming Wang (School of Management - Zhejiang University), Jiangang Wu (School of Management - Shanghai University), Wenlan Zhang (School of Accounting - Dongbei University of Finance and Economics)
ABSTRACT
Using a large sample of U.S. firms, we find that major corporate customer concentration is positively associated with a firm's future stock price crash risk. This positive relation is more pronounced when the supplier firms have made a higher level of relationship-specific investments, have a poorer information environment, and/or face lower customer switching costs. Our evidence suggests that exposure to an undiversified corporate customer base can have a negative bearing on a firm's crash risk.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105903

中国资产管理研究中心-3030- 对商品期货市场风险的恐惧
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Adrian Fernandez-Perez (Auckland University of Technology)；Ana-Maria Fuertes (Cass Business School - University of London)；Marcos Gonzalez-Fernandez (University of León)Joelle Miffre (Finance, Audencia Business School)
摘要：我们通过149个查询词的互联网搜索量来检验积极关注天气、疾病、地缘政治或经济威胁或“危险恐惧”对商品期货定价的作用。根据危险恐惧信号对各种商品期货合约进行分类的多空投资组合策略获得了显著的溢价。这种商品风险恐惧溢价反映了对现存的基本面、尾部、波动性和流动性风险因素的补偿，但并不包含在这些因素之中。大宗商品投资组合的各个部分都强烈反映了对风险的恐惧。在金融市场出现负面情绪或悲观情绪时，危险恐惧溢价会加剧。
关键词：商品期货，恐惧，关注，风险，网络搜索，情绪，多空投资组合
Fear of hazards in commodity futures markets
Adrian Fernandez-Perez (Auckland University of Technology), Ana-Maria Fuertes (Cass Business School - University of London), Marcos Gonzalez-Fernandez (University of León), Joelle Miffre (Finance, Audencia Business School)
ABSTRACT
We examine the commodity futures pricing role of active attention to weather, disease, geopolitical or economic threats or “hazard fear” as proxied by the volume of internet searches by 149 query terms. A long-short portfolio strategy that sorts the cross-section of commodity futures contracts according to a hazard fear signal captures a significant premium. This commodity hazard fear premium reflects compensation for extant fundamental, tail, volatility and liquidity risks factors, but it is not subsumed by them. Exposure to hazard-fear is strongly priced in the cross-section of commodity portfolios. The hazard fear premium exacerbates during periods of adverse sentiment or pessimism in financial markets.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105902

中国资产管理研究中心-3031-就业保护与税收侵略性：来自错误解雇法的证据
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Douglas (DJ) Fairhurst (Carson College of Business - Washington State University)；Yanguang Liu (Eller College of Management - The University of Arizona)；Xiaoran Ni (Department of Finance, School of Economics & Wang Yanan Institute for Studies in Economics - Xiamen University)
摘要：我们研究劳动力市场的摩擦是否影响企业的税收侵略性。利用美国州一级的错误解雇法作为对公司解雇成本的准外部冲击，我们记录了位于加强就业保护的州的公司税收侵略性的下降。文章进一步表明，更大的就业保护增加了危机风险。税收侵略性的下降对于那些更容易受到金融危机影响和受到外部金融市场限制的公司来说更为明显。我们的研究结果表明，企业为了减轻由于更严格的劳动力成本而增加的困境风险，避免了高风险的税收头寸。
关键词：税收侵略性，就业保护，不当解雇法，解雇成本，破产风险
Employment protection and tax aggressiveness: Evidence from wrongful discharge laws
Douglas (DJ) Fairhurst (Carson College of Business - Washington State University), Yanguang Liu (Eller College of Management - The University of Arizona), Xiaoran Ni (Department of Finance, School of Economics & Wang Yanan Institute for Studies in Economics - Xiamen University)
ABSTRACT
We examine whether labor market frictions affect firms’ tax aggressiveness. Exploiting the adoption of U.S. state-level Wrongful Discharge Laws as a quasi-exogenous shock to a firm's firing costs, we document a decline in tax aggressiveness for firms located in states that increase employment protection. We further show that greater employment protection increases distress risk. The decline in tax aggressiveness is more pronounced for firms that are more vulnerable to financial distress and constrained from external financial markets. Our results imply that firms avoid risky tax positions in order to mitigate increased distress risk due to more rigid labor costs.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105907

中国资产管理研究中心-3032-抵押贷款的实现、抵押转换成本与家庭银行转换
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：M. Brunetti (Department of Economics and Finance - University of Roma Tor Vergata)；R. Ciciretti (Department of Economics and Finance - University of Rome Tor Vergata)；Lj. Djordjevic (International Monetary Fund)
摘要：我们研究了抵押贷款转换成本在影响家庭改变主要银行的决策中的作用。为此，我们使用了一个独特的面板数据集，使我们能够推断家庭的银行转换，结合一项法律改革，外生地削减了抵押贷款转换成本。尽管存在任何潜在的“信息锁定”，但实证结果支持这样一个假设，即零售银行市场的显性转换成本是影响家庭银行转换的一个重要因素。通过对结果的分析，我们发现改革的效果在不同家庭之间并不一致。受教育程度较高的家庭、与前一家银行关系较长或更广泛的家庭，以及居住在事先竞争较弱银行市场的家庭，都处于银行转换浪潮的最前线。
关键词：银行转换，按揭转换成本，家庭金融
Till mortgage do us part: Mortgage switching costs and household's bank switching
M. Brunetti (Department of Economics and Finance - University of Roma Tor Vergata), R. Ciciretti (Department of Economics and Finance - University of Rome Tor Vergata), Lj. Djordjevic (International Monetary Fund)
ABSTRACT
We investigate the role of mortgage switching costs in shaping the households’ decision to change their main bank. To this end, we use a unique panel dataset that enables us to infer household's bank switching, in conjunction with a legal reform that exogenously slashed down the mortgage switching costs. The empirical evidence, which survives to a variety of robustness checks, supports the hypothesis that the explicit switching costs in the retail banking market are a weighty factor in shaping households’ bank switching, despite any potential “informational lock-in”. Dissecting the results, we show that the effects of the reform were not uniform across households. The more educated households, those with a longer or broader relationship with their previous bank and those residing in ex-ante less competitive banking markets were at the forefront of the wave of bank switching.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105904

中国资产管理研究中心-3033-银行不透明会影响贷款吗？
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Yi Zheng (School of Business - State University of New York at New Paltz)
摘要：通过对美国银行控股公司的抽样调查，我们发现不透明性对银行贷款增长有负面影响。对于更依赖批发资金的银行而言，这种影响更为明显。对不透明性和批发资金之间关系的进一步分析证实了我们的假设，即不透明性会对通过批发融资渠道的贷款产生负面影响。此外，我们的研究结果表明，对于资本实力较强的银行而言，不透明性对贷款的负面影响并不明显。文章还发现，这种影响在2007-2009年金融危机期间更为强烈，被高GDP增长率所缓解，这表明，宏观经济状况强(弱)往往会减轻(加剧)这种影响。
关键词：银行业务，不透明性，贷款，批发基金
Does bank opacity affect lending?
Yi Zheng (School of Business - State University of New York at New Paltz)
ABSTRACT
Examining a sample of bank holding companies in the United States, we find that opacity has a negative effect on bank loan growth. This effect is more pronounced for banks that are more reliant on wholesale funds. A further analysis of the relationship between opacity and wholesale funds confirms our hypothesis that opacity negatively affects lending via a wholesale funding channel. Moreover, our results suggest that the negative effect of opacity on lending is less pronounced for banks with stronger capitalization. We also show that this effect was stronger during the 2007–2009 financial crisis and is mitigated by a high GDP growth rate, indicating that a strong (weak) macroeconomic condition tends to mitigate (aggravate) such an effect.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105900

中国资产管理研究中心-3034-最优投资组合选择中的崩盘风险对冲
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Shushang Zhu (Department of Finance and Investment - Sun Yat-Sen University)；Wei Zhu (Department of Finance and Investment - Sun Yat-Sen University)；Xi Pei (School of Business and Languages - ShenZhen Polytechnic)；Xueting Cui (School of Mathematics - Shanghai University of Finance and Economics)
摘要：当几乎所有的标的资产在市场崩溃时突然失去一部分名义价值时，在正常市场条件下投资组合的多元分散效应就不再起作用了。我们将崩溃风险整合到投资组合管理中，研究涉及衍生品的投资组合选择的绩效衡量、对冲和优化。提出了一种基于参数逼近法的凸锥规划框架，使问题具有较强的可处理性。通过模拟分析和实证研究验证了该方法的有效性。
关键词：崩溃风险，正常风险，对冲投资组合，希腊，半定规划
Hedging crash risk in optimal portfolio selection
Shushang Zhu (Department of Finance and Investment - Sun Yat-Sen University), Wei Zhu (Department of Finance and Investment - Sun Yat-Sen University), Xi Pei (School of Business and Languages - ShenZhen Polytechnic), Xueting Cui (School of Mathematics - Shanghai University of Finance and Economics)
ABSTRACT
When almost all underlying assets suddenly lose a certain part of their nominal value in a market crash, the diversification effect of portfolios in a normal market condition no longer works. We integrate the crash risk into portfolio management and investigate performance measures, hedging and optimization of portfolio selection involving derivatives. A suitable convex conic programming framework based on parametric approximation method is proposed to make the problem a tractable one. Simulation analysis and empirical study are performed to test the proposed approach.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105905

中国资产管理研究中心-3035-为对社会负责的客户打开贸易信贷的黑匣子
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Yanlei Zhang (Department of Accounting - Copenhagen Business School)；Juan Manuel García Lara (Department of Business Administration - UniversidadCarlos III de Madrid)；Josep A. Tribó (School of Business - Stevens Institute of Technology)
摘要：我们通过考察企业社会责任（CSR）与企业获得贸易信贷的关系，研究供应商是否重视客户企业的社会责任活动。我们假设，社会绩效较好的企业更有可能获得贸易信贷，因为供应商将客户的企业社会责任活动视为诚信和履行财务义务的能力的信号。除了这个直接渠道外，我们还描述了其他渠道：(a) 贸易信贷为供应商提供了一种可能性，即供应商可以获得客户未来的商业机会，而对社会责任感强的公司来说，这一机会预计会更高，(b) 对社会负责的公司来说，由于贸易信贷而在供应链中扩散负面冲击的风险较低，使它们对供应商更具吸引力。与我们的预测一致，我们发现对社会负责的客户从供应商那里获得了更多的贸易信贷。这种关系在上述渠道更相关的情况下更为明显：即客户的财务状况对其供应商更为重要；由于缺乏密切的交易关系，供应商和客户之间的信息不对称程度更大；当对社会负责的活动更有可能增加；当供应商在客户-供应商关系中面临更高的风险。我们还发现，在全球金融危机期间，社会责任客户通过减少对贸易信贷的使用，向供应商提供了落后的流动性供应，这意味着生产网络中有社会责任客户的额外好处。
关键词：客户-供应商关系，企业社会责任，贸易信用
Unpacking the black box of trade credit to socially responsible customers
Yanlei Zhang (Department of Accounting - Copenhagen Business School), Juan Manuel García Lara (Department of Business Administration - Universidad Carlos III de Madrid), Josep A. Tribó (School of Business - Stevens Institute of Technology)
ABSTRACT
We investigate whether suppliers value customer firms’ socially responsible activities by examining the relation between corporate social responsibility (CSR) and firms’ access to trade credit. We posit that firms with better social performance are more likely to receive trade credit because suppliers view customers’ CSR activities as a signal of trustworthiness and of the capacity to meet financial obligations. In addition to this direct channel, we describe other channels: a) trade credit opens the possibility for suppliers to secure a share of their customers’ future business opportunities, which are expected to be higher for socially responsible firms, and b) the risk associated with the diffusion of negative shocks through the supply chain due to trade credit is lower for socially responsible firms, making them more attractive partners for suppliers. Consistent with our predictions, we find that socially responsible customers receive more trade credit from suppliers. This relation is more pronounced in situations where the aforementioned channels are more relevant: namely, when the financial health of a customer is of greater importance to its suppliers; when there are greater information asymmetries between suppliers and customers due to a lack of close transactional relationships; when socially responsible activities are more likely to generate growth; and when suppliers are exposed to higher risk in the customer-supplier relationship. We also document that during the global financial crisis, socially responsible customers offered backward liquidity provision to suppliers by reducing their use of trade credit, which represents an extra benefit of having socially responsible customers in production networks.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105908

中国资产管理研究中心-3036-衍生产品现金流与公司投资
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：H?kan Jankensg?rd (Department of Business Administration - Lund University)；
Reda M. Moursli (Department of Business Administration - Lund University)
摘要：根据一个有影响力的论点，当内部现金流动不稳定和外部融资成本高昂时，企业对冲支持企业投资(Froot, Scharfstein and Stein, 1993)。尽管这个理论有着巨大的影响力，但是这个理论的预测还没有通过实际的衍生现金流直接得到检验。本研究使用2000年至2015年间从石油和天然气行业衍生品头寸手工收集的现金流数据。平均而言，衍生品现金流中多出的一美元转化为资本支出中多出的一美元。在行业衰退期间，对冲公司衍生品现金流与资本支出的中位数比率上升到20%，这表明当外部融资成本突然上升时，衍生品在维持投资方面发挥了关键作用。
关键词：套期保值，衍生工具，衍生工具现金流，公司投资
Derivative cash flows and corporate investment
H?kan Jankensg?rd (Department of Business Administration - Lund University), Reda M. Moursli (Department of Business Administration - Lund University)
ABSTRACT
According to an influential argument, corporate hedging supports corporate investment when internal cash flows are volatile and external financing is costly (Froot, Scharfstein and Stein, 1993). Despite its vast influence, the predictions of this theory have not yet been directly tested using actual derivative cash flows. This study uses hand-collected data on cash flows from derivative positions in the oil and gas industry between 2000 and 2015. Strikingly, on average, an extra dollar in derivative cash flows translates into one more dollar in capital expenditure. During industry recessions, the median ratio of derivative cash flows to capital expenditure rises to 20% for hedging firms, suggesting that derivatives play a crucial role in sustaining investment when the cost of external financing rises abruptly.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105916

中国资产管理研究中心-3037-救助、主权风险与银行投资组合选择
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Marco Casiraghi (Via Nazionale 91)
摘要：我研究主权风险在决定预期救助对银行投资组合决策的影响方面的作用。从实证结果来看，意大利银行业的数据表明，如果主权债务违约的风险足够低，它们减少了对企业的贷款，增加了对政府债券的购买。最关键的是，随着主权风险的增加，投资组合调整变得更弱，并最终逆转信号。为了解释这些结果，我建立了一个模型，在这个模型中，救助概率和银行所有者的相应回报（“救助租金”）之间的关系取决于主权风险。模型的预测与数据的主要特征一致。
关键词：银行救助，政府债券，银行贷款，主权风险，信用评级
Bailouts, sovereign risk and bank portfolio choices
Marco Casiraghi (Via Nazionale 91)
ABSTRACT
I study the role of sovereign risk in determining the effects of expected bailouts on banks’ portfolio decisions. Empirically, data on Italian banks show that they decrease lending to firms and increase purchases of government bonds following an increase in the probability of a bailout, if the risk of sovereign default is sufficiently low. Crucially, the portfolio adjustment becomes weaker and eventually reverses sign as sovereign risk increases. To interpret these results, I develop a model in which the relation between the bailout probability and the corresponding payoff to bank owners (“bailout rents”) depends on sovereign risk. The model’s predictions are consistent with the key features of the data.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105906

中国资产管理研究中心-3038-估计名义利率预期：隔夜指数掉期和期限结构
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Simon P. Lloyd (Bank of England)
摘要：无套利动态期限结构模型（DTSMs）经常被用来估计利率预期和期限溢价，但也面临实证研究的困扰。我建议用隔夜指数掉期（OIS）利率来增强DTSM，以更好地估计每日频率下期限结构的分解。高斯仿射DTSM模型，加上3至24个月的OIS利率，生成美国预期的估计值，与10年期的调查隐含指标密切对应，且与现有模型相比，在子样本中更稳定。此外，我以事件研究的形式提供了叙述性的证据，以进一步说明OIS扩张的好处。
关键词：动态期限结构模型，货币政策预期，隔夜指数掉期，期限溢价/利率结构
Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure
Simon P. Lloyd (Bank of England)
ABSTRACT
No-arbitrage dynamic term structure models (DTSMs) have regularly been used to estimate interest rate expectations and term premia, but are beset by empirical challenges. I propose augmenting DTSMs with overnight indexed swap (OIS) rates to better estimate the decomposition along the term structure at daily frequencies. A Gaussian affine DTSM, augmented with 3 to 24-month OIS rates, generates estimates of US expectations that closely correspond to survey-implied measures out to a 10-year horizon and are more stable across sub-samples, compared to existing models. In addition, I provide narrative evidence, in the form of an event study around US unconventional monetary policy announcements, to further exemplify the benefits from OIS augmentation.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105915

中国资产管理研究中心-3039-利率上限对破产的影响: 来自发薪日贷款禁令的综合控制证据
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Kabir Dasgupta (New Zealand Work Research Institute - Auckland University of Technology)；Brenden J. Mason (North Central College)
摘要：出于保护消费者的考虑，几个州最近对小额贷款实行了利率上限。在对这些立法的历史进行分类之后，我们测试这些法律是否导致了发薪日贷款机构数量的减少，并随后引起了破产申请发生率的变化。为了增强对估计的因果解释，我们通过构建综合控制作为一个反事实研究，估计这些利率上限的总处理效果。重要的是，我们估计了在实施上限后的每个时期的处理效果，得出了关于发薪日贷款准入和破产之间动态异质性的新见解。结果显示，发薪日贷款机构减少了大约100%—这是对该行业的放空。我们没有发现这些禁令对破产的短期或长期影响。我们的估计值的范围允许我们排除先前几项研究中记录的相关震荡。
关键词：利率上限，发薪日贷款，信贷配给，破产，非正式破产，综合控制
The effect of interest rate caps on bankruptcy: Synthetic control evidence from recent payday lending bans
Kabir Dasgupta (New Zealand Work Research Institute - Auckland University of Technology), Brenden J. Mason (North Central College)
ABSTRACT
Citing consumer protection concerns, several states have recently enacted interest rate caps on small loans. After cataloguing the history of such legislation, we test whether these laws caused a decrease in the number of payday-lending establishments and subsequently prompted variation on incidence of bankruptcy filings. To motivate a causal interpretation of our estimates, we create a synthetic control that serves as a counterfactual from which we estimate the aggregate treatment effect of these interest rate ceilings. Importantly, we estimate the treatment effect for each period after the imposition of the cap, yielding novel insights about the dynamic heterogeneity in the relationship between payday-loan access and bankruptcy. Our results show payday-lending establishments drop by approximately 100%–a banishment of the industry. We find no short-run or long-run effects of these bans on bankruptcy. The range of our estimates allows us to rule out magnitudes that were documented in several previous studies.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105917

中国资产管理研究中心-3040-本地需求冲击、过度协同和回报可预测性
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Markus S. Broman (Whitman School of Management - Syracuse University)
摘要：本文研究了15个国家的4560对交易所交易基金(ETF)的国内需求冲击对过度购买行为和回报可预测性的重要性。在同一个国家交易的ETF的回报率相互之间有着过度的交互作用。对于流动性更强、本地市场竞争对手更多的基金而言，这些机制更为强大。相比之下，对基本面(因子)投资者具有吸引力的ETF之间的协动性并无实质性差异。基于ETF与国外同行价格偏差的本地定价衡量标准，有力地预测了ETF的收益逆转。在交易成本之后，押注于当地的错误定价可以获得高达20% 的年度异常收益。在扣除交易成本后，押注于当地的错误定价会产生每年高达20%的显著异常回报。
关键词：优先置产，相关需求，错误定价，套利，协动，收益可预测性
Local demand shocks, excess comovement and return predictability
Markus S. Broman (Whitman School of Management - Syracuse University)
ABSTRACT
I investigate the importance of local demand shocks on excess comovements and return predictability for 4560 twin-pairs of Exchange-Traded Funds (ETFs) from 15 country-pairs. The returns on ETFs traded in the same country comove excessively with one another. These comovements are stronger for funds with greater liquidity and more competitors in the local market. In contrast, comovements are not materially different among ETFs that are attractive to fundamental (factor) investors. A local measure of mispricing, based on price-deviations between ETFs and their foreign peers, strongly predicts ETF return reversals. Betting against local mispricing yields significant abnormal returns of up to 20 percent per year after trading costs.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105910

中国资产管理研究中心-3041-竞争是否诱发分析师的更加努力？经纪人兼并自然实验的证据
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Zhen Wang (SILC Business School - Shanghai University)；Lei Sun (Boston Consulting Group)；K.C. John Wei (School of Accounting and Finance - Hong Kong Polytechnic University)
摘要：Hong和Kacperczyk (2010) 指出，由于券商合并，分析师的竞争减少，这会鼓励分析师去取悦经理人，导致更大的共识乐观偏差。我们提出了分析师竞争的三个附加效应。分析师努力假说认为，较弱的竞争降低了分析师收集和分析信息的动机。羊群效应假说认为，较弱的竞争减少了分析师对职业的担忧，进而降低了羊群效应。战略偏差假说暗示，较弱的竞争可以减轻分析师在战略上偏离他人的动机。我们发现，在券商合并后，分析师关注的公司较少，并将其覆盖范围从研发费用较高的公司转向研发费用较低的公司。当私人信息不利时，他们就会减少权衡。与此同时，他们的预测变得更加分散。所有的这些发现似乎更符合分析师努力假设，而不是羊群效应或战略偏差假说。
关键词：分析师预测活动，竞争，分析师努力，羊群效应，战略偏差
Does competition induce analyst effort? evidence from a natural experiment of broker mergers
Zhen Wang (SILC Business School - Shanghai University), Lei Sun (Boston Consulting Group), K.C. John Wei (School of Accounting and Finance - Hong Kong Polytechnic University)
ABSTRACT
Hong and Kacperczyk (2010) document that decreases in analyst competition due to broker mergers encourage analysts to please managers, leading to greater consensus optimism bias. We propose three additional effects of analyst competition. The analyst effort hypothesis suggests that weaker competition reduces analysts’ incentives to collect and analyze information. The herding hypothesis argues that weaker competition reduces analysts’ career concerns, which in turn reduces herding incentives. The strategic deviation hypothesis implies that weaker competition alleviates analysts’ incentives to strategically deviate from others. We find that after broker mergers, analysts follow fewer firms and switch their coverage from firms with more to those with less R&D expenses. They weigh their private information less when it is unfavorable. At the same time, their forecasts become more dispersed. All these findings appear to be more consistent with the analyst effort hypothesis than the herding or strategic deviation hypothesis.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105914

中国资产管理研究中心-3042-异象策略的相关结构
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Paul Geertsema (Department of Accounting and Finance - University of Auckland Business School)；Helen Lu (Department of Accounting and Finance - University of Auckland Business School)
摘要：我们将大量的平均显著异常值合并到集群投资组合中。根据 Hou 等人(2020)的五因素模型，超过三分之一的集群投资组合仍然具有重要意义，这是所测试的六个基准模型中表现最好的。最佳优先搜索会得到9个因素，这9个因素包括所有集群投资组合和所有重大的异常现象，证明了对平均实现回报率进行简洁描述的可行性。预期增长因子（EG）和与应计项目相关的集群投资组合是提高定价绩效的显著因素。搜索生成的模型产生的月最大夏普平方比为0.51，大大高于当前的基准模型。
关键词：异常，相关性，聚类分析，机器学习，资产定价
The correlation structure of anomaly strategies
Paul Geertsema (Department of Accounting and Finance - University of Auckland Business School), Helen Lu (Department of Accounting and Finance - University of Auckland Business School)
ABSTRACT
We consolidate a large number of mean-significant anomalies into cluster portfolios. More than a third of cluster portfolios remain significant under the Hou et al. (2020) five-factor model — the best performing among six benchmark models tested. A best-first search yields nine factors that subsume all cluster portfolios as well as all significant anomalies, demonstrating the feasibility of a parsimonious description of average realised returns. The expected growth factor (EG) and a cluster portfolio linked to accruals are prominent factors that improve pricing performance. The search-generated model produces a monthly maximum squared Sharpe ratio of 0.51, considerably higher than current benchmark models.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105934

中国资产管理研究中心-3043-商户非接触式支付受理对信用卡销售的影响
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：David Bounie (Institut Polytechnique de Paris)；Youssouf Camara (Institut Polytechnique de Paris)
摘要：世界上许多国家都在进行数字支付的颠覆性创新。本文研究了商户对非接触式卡技术的接受程度及其对传统信用卡销售的影响。通过对法国275580家商户的独特样本进行评分匹配和差异分析，我们发现2018年接受非接触式支付比不接受非接触式支付的商户平均增加了15.3%的信用卡销售额（和17.1%的信用卡销售额）。我们还发现，接受非接触式支付对传统卡销售额产生了约1.3%的正溢出效应，从而显著提高了小商户和新创业者的年平均销售金额和数量。
关键词：信用卡受理，非接触式信用卡，数字支付，差额支付
Card-sales response to merchant contactless payment acceptance
David Bounie (Institut Polytechnique de Paris), Youssouf Camara (Institut Polytechnique de Paris)
ABSTRACT
Disruptive innovations in digital payments are happening in a large number of countries around the world. In this paper, we investigate how merchants’ acceptance of a contactless card technology affects card sales. Using score matching and difference-in-difference techniques on a unique sample of about 275,580 merchants in France, we find that accepting contactless payments in 2018 increases the card-sales amount by 15.3 percent on average (and by 17.1 percent the card-sales count) compared to merchants who do not accept contactless payments. We also find evidence that accepting contactless payments exerts a positive spillover of about 1.3 percent in the amount of contact card sales, and thus significantly increases the average annual card-sales amount and count for small merchants and new entrepreneurs.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105938

中国资产管理研究中心-3044-新兴市场资本流入的实际影响
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Deniz Igan (IMF Research)Ali M. Kutan (Southern Illinois University)；Ali Mirzaei (American University of Sharjah)
摘要：我们以1998年至2010年的22个新兴市场经济体为样本，考察了资本流入与行业增长之间的关系。我们预计，在拥有更多资本流入的国家，更多依赖外部金融的行业将以不成比例的速度增长。1998-2007年危机前的情况确实如此。在季度变化的面板回归模型中，我们发现这种关系是由债务推动的而不是股票流入。但当我们使用面板协整检验来考虑长期效应时，股本流入是有助于增长的因素。此外，我们观察到产出波动性的减少，这种关联在股票方面更为明显，而不是债务流入。然而，这些关系在危机期间破裂，这表明，如果新兴市场要利用资本流入带来的增长效益，一个不受干扰的全球金融体系对新兴市场非常重要。根据这一观察结果，我们还发现，在银行运作良好、机构质量较好的国家，资金流入与增长的关系更为密切。
关键词：资本流动，融资依赖，产业增长，新兴市场经济
The real effects of capital inflows in emerging markets
Deniz Igan (IMF Research), Ali M. Kutan (Southern Illinois University), Ali Mirzaei (American University of Sharjah)
ABSTRACT
We examine the association between capital inflows and industry growth in a sample of 22 emerging market economies from 1998 to 2010. We expect more external-finance-dependent industries, in countries that host more capital inflows, to grow disproportionately faster. This is indeed the case in the pre-crisis period of 1998–2007. In a panel regression analysis using annual changes, this relationship is driven by debt, rather than equity inflows. But when we consider the long-run effects using panel cointegration tests, equity inflows are those that contribute to growth. Further, we observe a reduction in output volatility, and this association is more pronounced for equity, rather than debt inflows. These relationships, however, break down during the crisis, indicating the importance of an undisrupted global financial system for emerging markets, if they are to harness the growth benefits of capital inflows. In line with this observation, we also document that the inflows-growth nexus is stronger in countries with well-functioning banks and better institutional quality.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105933

中国资产管理研究中心-3045-欧洲债券的安全性如何?基于现代信用风险模型分析
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Rüdiger Frey (Institute for Statistics and Mathematics - Vienna University of Economics and Business)；Kevin Kurt (Institute for Statistics and Mathematics - Vienna University of Economics and Business)；Camilla Damian (Institute for Statistics and Mathematics - Vienna University of Economics and Business)
摘要：一些欧元区改革提案主张建立一个由主权债券组合支持的合成证券市场。最受争议的是由Brunnermeier (2017) 等人提出的欧洲安全债券(ESBies)。ESBies和其他债券支持证券的潜在好处取决于这些产品是否真正安全。本文利用一个以制度转换为载体的仿射信用风险模型，对ESBies及其相关产品的风险进行了全面的定量研究。我们讨论了标准普尔最近提出的ESBies评级方案，分析了模型参数和附加点对ESBies信用价差大小和波动性的影响，并考虑了几种评估ESBies市场风险的方法。此外，我们将ESBies与 Leandro 和 Zettelmeyer (2019) 提出的将优先国债集中在一起而产生的合成证券进行了比较。最后，本文简要讨论了我们的分析所带来的政策含义。
关键词：欧洲安全债券，欧洲货币联盟，信用风险证券化，马尔可夫调制仿射模型
How safe are european safe bonds? An analysis from the perspective of modern credit risk models
Rüdiger Frey (Institute for Statistics and Mathematics - Vienna University of Economics and Business), Kevin Kurt (Institute for Statistics and Mathematics - Vienna University of Economics and Business), Camilla Damian (Institute for Statistics and Mathematics - Vienna University of Economics and Business)
ABSTRACT
Several proposals for the reform of the euro area advocate the creation of a market in synthetic securities backed by portfolios of sovereign bonds. Most debated are the so-called European Safe Bonds or ESBies proposed by Brunnermeier et al. (2017). The potential benefits of ESBies and other bond-backed securities hinge on the assertion that these products are really safe. In this paper we provide a comprehensive quantitative study of the risks associated with ESBies and related products, using an affine credit risk model with regime switching as vehicle for our analysis. We discuss a recent proposal of Standard and Poors for the rating of ESBies, we analyse the impact of model parameters and attachment points on the size and the volatility of the credit spread of ESBies and we consider several approaches to assess the market risk of ESBies. Moreover, we compare ESBies to synthetic securities created by pooling the senior tranche of national bonds as suggested by Leandro and Zettelmeyer (2019). The paper concludes with a brief discussion of the policy implications from our analysis.
翻译：侯思远
原文链接：
https://doi.org/10.1016/j.jbankfin.2020.105939

中国资产管理研究中心-3046-β与公司年龄
Journal of Empirical Finance, Volume 58, September 2020
作者：Ludwig B.Chincarini（University of San Francisco）；Daehwan Kim（Konkuk University）；Fabio Moneta（University of Ottawa）
摘要：我们发现了一个稳健的贝塔随公司年龄的增长而下降的模式。我们发现，通过企业特征和生命周期阶段的系统性风险变化不足以解释这一模式。此外，信息数量和质量的标准代理也只能部分解释这种模式。为了充分解释这一模式，我们利用熟悉度在财务决策中日益重要的作用：熟悉度是贝塔的决定因素，公司年龄是投资者对个股熟悉程度的代理。当我们控制企业年龄时，本文发现了支持CAPM以及将它作为权益资本成本的证据。
Beta and firm age
Ludwig B.Chincarini（University of San Francisco），Daehwan Kim（Konkuk University），
Fabio Moneta（University of Ottawa）
ABSTRACT
We document a robust pattern of beta declining over the age of a firm. We find that changes in systematic risk via firm characteristics and life-cycle stages are insufficient to explain this pattern. Moreover, standard proxies for the quantity and quality of information also explain this pattern only partially. To fully explain this pattern we rely on the increasingly important role of familiarity in financial decision making: familiarity is a determinant of beta and firm age is a proxy for the degree of familiarity that investors feel toward individual stocks. To illustrate the implication of our findings, we document that when we control for firm age there is support for the CAPM and its use as an input for the cost of equity capital calculation.
翻译：陈然
原文链接：https://www.sciencedirect.com/science/article/pii/S0927539820300177

中国资产管理研究中心-3047-股票溢价预测和经济状况
Journal of Empirical Finance, Volume 58, September 2020
作者：IliasTsiakas（University of Guelph）；Jiahan Li（GMO LLC, United States of America）；Fabio Moneta（Haibin Zhang）
摘要：我们在经济基本面的预测信息中发现周期性变化，这可以大大改善和简化样本外股票溢价预测。基于个股信息(尤其是股息收益率)的经济基本面在经济扩张时期提供了更好的预测。基于综合信息(尤其是短期利率)的经济基本面能更好地预测衰退。因此，一个简单的预测组合，一个预测生成周期性预测和一个预测生成反周期预测，可以在扩张和衰退中提供统计上显著的和经济上有价值的股票溢价预测。一个突出的表现良好的两种预测组合是股息收益率和短期利率。为商业周期事前设计的策略可以在股票溢价预测中提供额外的经济收益。
Equity premium prediction and the state of the economy
IliasTsiakas（University of Guelph），Jiahan Li（GMO LLC, United States of America），Fabio Moneta（Haibin Zhang）
ABSTRACT
We detect cyclical variation in the predictive information of economic fundamentals, which can be used to substantially improve and simplify out-of-sample equity premium prediction. Economic fundamentals based on stock-specific information (notably the dividend yield) deliver better predictions in expansions. Economic fundamentals based on aggregate information (notably the short rate) deliver better predictions in recessions. Accordingly, a simple forecast combination of one predictor that generates cyclical forecasts and one predictor that generates countercyclical forecasts can deliver statistically significant and economically valuable equity premium predictions in both expansions and recessions. A prominent two-predictor forecast combination that performs well is the dividend yield and the short rate. Strategies designed for ex-ante timing of the business cycle can provide additional economic gains in equity premium prediction.
翻译：陈然
原文链接：https://www.sciencedirect.com/science/article/pii/S0927539820300189#!

中国资产管理研究中心-3048-企业生产的错误定价
Journal of Empirical Finance, Volume 58, September 2020
作者：Tze Chuan ‘Chewie’Ang（Deakin University）；F.Y. Eric C.Lam（Hong Kong Monetary Authority）；K.C. JohnWei（Hong Kong Polytechnic University）
摘要：本文提出了一种基于错误定价的解释，解释了企业生产率与股票收益之间的负相关关系。投资者似乎低估了低效公司的价格，高估了高效公司的价格。我们发现的证据与受投资者情绪和卖空限制驱动的生产性企业的投机性过高定价相一致。投资者错误地推断过去的生产率增长及其相关的经营业绩和股票回报，尽管它们随后出现反转。由于套利的限制，这种错误定价会持续存在，并在收益公告时得到部分纠正。分解分析表明，外推错误定价和套利限制解释了企业生产率收益率的大部分可预测性。
Mispricing firm-level productivity
Tze Chuan ‘Chewie’Ang（Deakin University），F.Y. Eric C.Lam（Hong Kong Monetary Authority），K.C. JohnWei（Hong Kong Polytechnic University）
ABSTRACT
This paper provides a mispricing-based explanation for the negative relation between firm-level productivity and stock returns. Investors appear to underprice unproductive firms and overprice productive firms. We find evidence consistent with the speculative overpricing of productive firms driven by investor sentiment and short sale constraints. Investors erroneously extrapolate past productivity growth and its associated operating performance and stock returns, despite their subsequent reversals. Such mispricing is perpetuated because of limits to arbitrage and is partially corrected around earnings announcements when investors are surprised by unexpected earnings news. Decomposition analysis indicates that extrapolative mispricing and limits to arbitrage explain most of the return predictability of firm-level productivity.
翻译：陈然
原文链接：https://www.sciencedirect.com/science/article/pii/S092753982030030X

中国资产管理研究中心-3049-加权方案的复杂性是否会提高多空商品组合的表现?
Journal of Empirical Finance, Volume 58, September 2020
作者：Hossein Rad（The University of Queensland）；Rand Kwong Yew Low（The University of Queensland）；Jo?lle Miffre（Audencia Business School）Robert Faff（The University of Queensland）
摘要：商品定价文献提倡在同等权重的基础上设计多空投资组合。本文放宽分散投资的假设，研究复杂权重方案在构建短期动量和期限结构的多空投资组合中的优势。研究发现，基于风险最小化和风险时机的加权方案在简单配置方案和基于效用最大化的加权方案中占主导地位。这一结论不会受到交易成本、非流动性、数据挖掘、子样本周期和模型参数等方面而改变，当我们将对冲压力、投机压力和基础动量视为排序信号时，这一结论稳健地持续存在。
Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?
Hossein Rad（The University of Queensland），Rand Kwong Yew Low（The University of Queensland），Jo?lle Miffre（Audencia Business School），Robert Faff（The University of Queensland）
ABSTRACT
The commodity pricing literature advocates the design of long-short portfolios based on equal weights. Relaxing the assumption of naive diversification, this article studies the benefits of applying sophisticated weighting schemes to the construction of long-short momentum and term structure portfolios. Weighting schemes based on risk minimization and risk timing are found to dominate the naive allocation and the weighting schemes based on utility maximization. This conclusion is not challenged by concerns pertaining to transaction costs, illiquidity, data mining, sub-periods, and model parameters and robustly persists when we consider as sorting signals hedging pressure, speculative pressure and, to a lower extent, basis-momentum.
翻译：陈然
原文链接：https://www.sciencedirect.com/science/article/pii/S0927539820300281

中国资产管理研究中心-3050-股票市场非流动性，议价能力和借贷成本
Journal of Empirical Finance, Volume 58, September 2020
作者：Jiayuan Chen（University College Dublin）；Di Gong（University of International Business and Economics）；Cal Muckley（UCD College of Business and Geary Institute）
摘要：我们发现，非流动性股票的公司有更高的银团贷款息差。这个结果对股票非流动性的测量是不变的，并且对多种贷款和公司的横截面特征、公司和时间固定效应是稳健的。该结果在匹配的DID估计，使用美国证交所最小报价单位的外生降低作为准自然实验，以及两阶段最小二乘估计中依然成立。当主要贷款人拥有较高的市场份额或借款人拥有较低的信用评级时，股票流动性不足会进一步扩大利差。当借款人拥有公开评级的债务时，利差的扩大幅度会减小，同时也会削弱贷款关系中贷款接收方的利益。股价信息含量和公司治理水平的变量不影响股票非流动性和贷款利差的关系。这些发现的一个基本原理是，股票的非流动性削弱了企业借款人在协商贷款利率时的议价能力，因为它提高了通过发行股票来交替融资的成本。
Stock market illiquidity, bargaining power and the cost of borrowing
Jiayuan Chen（University College Dublin）
Di Gong（University of International Business and Economics）
Cal Muckley（UCD College of Business and Geary Institute）
ABSTRACT
We show that firms with illiquid stock have higher syndicated loan spreads. This result is invariant to measurement of stock illiquidity, and is robust to a wide set of cross-sectional loan and firm features, firm and time fixed effects. It also holds using a matched difference-in-differences estimator, at an exogenous reduction in the minimum tick size of major United States exchanges, and using a two-stage least squares estimator. Stock illiquidity is shown to increase spreads more when a lead lender has a high market share or a borrower has a low credit rating. It increases spreads less when a borrower has public rated debt and it diminishes the benefit to the loan recipient of a lending relationship. Measurements of stock price informativeness and firm-level governance do not affect the stock illiquidity and loan spread relation. A rationale for these findings is that stock illiquidity impairs the bargaining power of corporate borrowers, in negotiating a loan rate, as it raises the cost of alternatively raising funds by issuing equity.
翻译：陈然
原文链接：https://www.sciencedirect.com/science/article/pii/S0927539820300323

中国资产管理研究中心-3051-期限结构中风险中性偏度的信息含量
Journal of Empirical Finance, Volume 58, September 2020
作者：Paul Borochin（University of Miami）；Hao Chang（Rutgers University）；Yangru Wu（Rutgers University）
摘要：我们试图调和关于风险中性偏度(RNS)对股票的价格效应的争论。我们证明了来自短期偏态的正向可预测性，与信息交易需求一致；来自长期偏态的负向可预测性，与偏态偏好一致。RNS期限利差捕获了不同于长期和短期合同的信息，从而增强了可预测性。利差最小的五等分组合的年收益率要高于利差最大的五等分组合14.64%。RNS的期限结构能够预测收益意外和价格暴跌。我们从RNS期限结构中提取斜率因子，估计其风险溢价，并探讨其与几个宏观经济变量的关系。
The information content of the term structure of risk-neutral skewness
Paul Borochin（University of Miami），Hao Chang（Rutgers University），Yangru Wu（Rutgers University）
ABSTRACT
We seek to reconcile the debate about the price effect of risk-neutral skewness (RNS) on stocks. We document positive predictability from short-term skewness, consistent with informed-trading demand, and negative predictability from long-term skewness, consistent with skewness preference. A term spread on RNS captures different information from long- and short-term contracts, resulting in stronger predictability. The quintile portfolio with the lowest spread outperforms that with highest spread by 14.64% annually. The term structure of RNS predicts earnings surprises and price crashes. We extract the slope factor from RNS term structure, estimate its risk premium, and explore its relation with several macroeconomic variables.
翻译：陈然
原文链接：https://www.sciencedirect.com/science/article/pii/S0927539820300359

中国资产管理研究中心-3052-强迫退休风险与投资组合选择
Journal of Empirical Finance, Volume 58, September 2020
作者：Guodong Chen（New York University at Shanghai）；Minjoon Lee（Carleton University）；Tong-yob Nam（U.S. Department of Treasury）
摘要：目前关于劳动收入对投资组合选择影响的文献忽视了工人面临被迫提前退休的风险。本文利用健康与退休研究的数据，发现强迫退休风险与股市波动既显著又高度相关。本文利用生命周期投资组合模型，发现强迫退休风险使劳动收入接近于退休股票。因此，与传统观点相反，那些仍在工作但临近退休的人，其金融投资组合中的风险资产比例应该低于退休人员。
Forced retirement risk and portfolio choice
Guodong Chen（New York University at Shanghai），Minjoon Lee（Carleton University），Tong-yob Nam（U.S. Department of Treasury）
ABSTRACT
Current literature on the effect of labor income on portfolio choice overlooks that workers face a risk of being forced to retire before their planned retirement age. Using data from the Health and Retirement Study, this paper finds that the forced retirement risk is both significant and highly correlated with stock market fluctuations. Using a life-cycle portfolio choice model, this paper shows that forced retirement risk makes labor income near retirement stock-like. Therefore, contrary to conventional wisdom, those who are still working but near retirement should have a lower share of risky assets in their financial portfolios than retirees do.
翻译：陈然
原文链接：https://www.sciencedirect.com/science/article/pii/S0927539820300384

中国资产管理研究中心-3053-条件极端风险、黑天鹅对冲和资产价格
Journal of Empirical Finance, Volume 58, September 2020
作者：S. GhonRhee（University of Hawaii at Manoa）；Feng (Harry) Wu（Lingnan University）
摘要：在安全优先偏好的资产定价理论的激励下，我们引入并实施了一个条件极端风险(CER)度量来描述在小概率市场低迷(黑天鹅)条件下的预期股票表现。我们在预期回报横截面中发现了显著的CER溢价。我们还证明了CER能够解释下行beta、协偏度和协峰度溢价。CER提供了关于黑天鹅对冲的独特信息，这些信息不能被基于联动下跌的尾部相关变量解释。我们发现黑天鹅套期保值股票的定价效应更强时，这一区别有助于解释尾部相关溢价的不存在。
Conditional extreme risk, black swan hedging, and asset prices
S. GhonRhee（University of Hawaii at Manoa），Feng (Harry) Wu（Lingnan University）
ABSTRACT
Motivated by the asset pricing theory with safety-first preference, we introduce and operationalize a conditional extreme risk (CER) measure to describe expected stock performance conditional on a small-probability market downturn (black swan). We document a significant CER premium in the cross-section of expected returns. We also demonstrate that CER explains the premia to downside beta, coskewness, and cokurtosis. CER provides distinct information regarding black swan hedging that cannot be captured by co-crash-based tail dependence measures. As we find that the pricing effect is stronger among black swan hedging stocks, this distinction helps explain the absence of premium to tail dependence.
翻译：陈然
原文链接：https://www.sciencedirect.com/science/article/pii/S0927539820300414

中国资产管理研究中心-3054-为任务分配筛选人才:绝对门槛还是百分位门槛?
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：RAMJI BALAKRISHNAN（University of Iowa）；HAIJIN LIN（University of Houston）；KONDURU SIVARAMAKRISHNAN（Rice University）
摘要：人才与任务的匹配是工作设计的重要组成部分。公司通常使用业绩阈值对人才进行分组。我们看到阈值是根据个人自身的表现(绝对值)和同龄人的表现(百分比)来定义的。由于百分位阈值产生的排名统计量能够有效评估相关人才，因此公司更偏好百分位阈值。然而，在目标是将人才与任务类型(使用两种代理和两种任务类型)匹配的任务分配问题中，我们证明了绝对阈值可以在两种情况下优于百分位数阈值。首先，任务分配的灵活性使绝对阈值更优。其次，业绩操纵会对百分比阈值的内在优势产生不利影响，因为它们会促使员工在成本高昂的个人活动上投入更多，以使其业绩处于有利的地位。我们研究了这些结果在有大量员工时是否稳健，并讨论了它的实证意义。
Screening Talent for Task Assignment: Absolute or Percentile Thresholds?
RAMJI BALAKRISHNAN（University of Iowa），HAIJIN LIN（University of Houston），KONDURU SIVARAMAKRISHNAN（Rice University）
ABSTRACT
Matching talents to tasks is an important part of job design. Organizations routinely use performance thresholds to group agents by talent. We see thresholds defined both in terms of an individual's own performance (absolute value) and in terms of peer performance (percentile). Intuition suggests a preference for percentile thresholds because the resulting rank‐order statistic is sufficient to assess relative talent. Yet, in the context of a task assignment problem in which the objective is to match talent with task type (using two agents and two task types), we show that absolute thresholds can dominate percentile thresholds under either of two conditions. First, flexibility in task assignment tilts the balance toward absolute thresholds. Second, performance manipulation can adversely affect the inherent advantage of percentile thresholds because they motivate agents to invest relatively more in personally costly influence activities to cast their performance in a favorable light. We examine how these results hold up when there are countably large number of agents and discuss empirical implications.
翻译：陈然
原文链接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12327

中国资产管理研究中心-3055-小市值公司的微小市值与财务报告质量:来自自然实验的证据
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：ANWER S. AHMED（Texas A&M University）；YIWEN LI（Texas A&M University）；NINA XU（University of Connecticut）
摘要：利用自然实验(美国证券交易委员会的2016年微小交易规模试点计划)，我们考察了微小交易规模增加对财务报告质量的影响。最小交易规模试点计划减少了算法交易(AT)，增加了基本面投资者的信息获取和交易活动。这反过来又增加了对管理者财务报告选择的审查，减少了他们进行错误报告的动机。采用DID研究设计，我们发现可操控性应计利润的量级显著降低，正好达到或超过分析师预测的可能性显著降低，试点项目中处理组企业的财务报告重述也略微显著减少。此外，我们发现，财务报告质量的变化集中在经历AT减少和信息获取活动增加的处理组公司。我们还发现，应计项目的错误定价在处理组公司中显著降低。综上所述，我们的结果表明，微小交易规模的增加与公司的财务报告质量存在因果关系。
Tick Size and Financial Reporting Quality in Small‐Cap Firms: Evidence from a Natural Experiment
ANWER S. AHMED（Texas A&M University），YIWEN LI（Texas A&M University），NINA XU（University of Connecticut）
ABSTRACT
Using a natural experiment (the SEC's 2016 Tick Size Pilot Program), we investigate the effects of an increase in tick size on financial reporting quality. The tick size pilot program reduces algorithmic trading (AT) and increases fundamental investors’ information acquisition and trading activities. This in turn increases the scrutiny of managers’ financial reporting choices and reduces their incentives to engage in misreporting. Using a difference‐in‐differences research design, we find a significant decrease in the magnitude of discretionary accruals, a significant reduction in the likelihood of just meeting or beating analysts’ forecasts, and a marginally significant decrease in restatements for the treated firms in the pilot program. Furthermore, we find that the change in financial reporting quality is concentrated in treated firms experiencing decreases in AT and increases in information acquisition activities. We also find that the mispricing of accruals is significantly lower for treated firms. Taken together, our results suggest that an increase in tick size has a causal effect on firms’ financial reporting quality.
翻译：陈然
原文链接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12331

中国资产管理研究中心-3056-政治关联政府
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：CHRISTINE CUNY（New York University）；JUNGBAE KIM（Singapore Management University）；MIHIR N. MEHTA（University of Michigan）
摘要：本文考察了强大的政治关联对地方政府的影响。我们发现，位于有权势的国会议员选区内并因此与他们有联系的政府减少了对公共资源的管理。利用国会代表权力的外生下降，我们证明了因果关系的存在。为了更好地理解为什么政治关联的地方政府能够减少管理，我们研究了选举特征。我们的研究结果表明，随着强大的国会代表权带来的资源增加，地方政府官员可以减少管理工作，而不会对他们的连任前景产生实质性的负面影响。总而言之，我们提供了政治关系成本的证据:它们削弱了地方政府以社会最佳方式行事的动机。
Politically Connected Governments
CHRISTINE CUNY（New York University），JUNGBAE KIM（Singapore Management University），MIHIR N. MEHTA（University of Michigan）
ABSTRACT
This paper examines the consequences of powerful political connections for local governments. We find that governments located within the constituencies of, and thus connected to, powerful congressional members reduce their stewardship over public resources. Using plausibly exogenous declines in the power of congressional representation, we show that the effect is causal. To better understand why connected local governments can reduce stewardship, we study electoral characteristics. Our findings suggest that the increased resources that come with powerful congressional representation allow local‐government officials to reduce stewardship without material adverse effects on their reelection prospects. In sum, we provide evidence of a cost of political connections: they weaken local governments' incentives to act in a socially optimal manner.
翻译：陈然
原文链接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12325

中国资产管理研究中心-3057-外汇风险、对冲和税收驱动的境外收入转移
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：ZERO DENG（Oregon State University）
摘要：虽然将境外收入转移到低税收地区可以节省税收，但通常伴随着非税成本。在本研究中，我考察了外汇(FX)风险是否限制了美国跨国公司出于税收动机的境外收入转移。我的研究结果表明，汇率波动的风险敞口与较低的境外收入转移有关，而对于使用外币的外国子公司，这种影响更强。我还调查了套期保值是否有利于向外转移收入。与对冲降低与汇率波动相关的成本相一致的是，我发现使用更多货币衍生品的美国公司往往会将更多收入转移到税率较低的外国管辖区。总体而言，这些研究结果表明，外汇风险是对外收入转移的重要成本。
Foreign Exchange Risk, Hedging, and Tax‐Motivated Outbound Income Shifting
ZERO DENG（Oregon State University）
ABSTRACT
Although outbound income shifting to low‐tax jurisdictions provides tax savings, it is often accompanied by nontax costs. In this study, I examine whether foreign exchange (FX) risk constrains tax‐motivated outbound income shifting by U.S. multinational corporations. My findings indicate that exposure to greater currency volatility is associated with less outbound income shifting, and this effect is stronger for firms with foreign affiliates using foreign functional currencies. I also investigate whether hedging facilitates outbound income shifting. Consistent with hedging lowering costs associated with exchange rate volatility, I find that U.S. firms that use more currency derivatives tend to shift more income to low‐tax foreign jurisdictions. Overall, these findings suggest that FX risk is an important cost of outbound income shifting.
翻译：陈然
原文链接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12326

中国资产管理研究中心-3058-非对称成本行为与股利政策
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：JIE HE（University of Georgia）；XUAN TIAN（Tsinghua University）；HUAN YANG（University of Massachusetts Amherst）；LUO ZUO（Cornell University）
摘要：平均而言，成本具有粘性，也就是说，销售减少时成本下降的幅度小于同等销售增加时成本上升的幅度。我们研究了这种不对称的成本行为对公司股利政策的影响。考虑到投资者对削减股息的厌恶情绪，我们预测，具有较高资源调整成本和粘性成本的公司会比同行支付更低的股息，因为它们无法在未来维持更高水平的股息支付。我们找到了与这一预测相符的证据。此外，使用断点回归设计，利用工会选举产生的劳动力调整成本的变化，我们提供的证据表明，成本粘性和股息支付之间的负关系是由资源调整成本驱动的。我们的论文阐明了股利政策的决定因素，并证明了成本行为在公司决策中的作用。
Asymmetric Cost Behavior and Dividend Policy
JIE HE（University of Georgia），XUAN TIAN（Tsinghua University），HUAN YANG（University of Massachusetts Amherst），LUO ZUO（Cornell University）
ABSTRACT
Costs are sticky on average, that is, they fall less for sales decreases than they rise for equivalent sales increases. We examine the effect of this asymmetric cost behavior on a firm's dividend policy. Given investors’ aversion to dividend cuts, we predict that firms with higher resource adjustment costs and stickier costs pay lower dividends than their peers because they are less able to sustain any higher level of dividend payouts in the future. We find evidence consistent with this prediction. Further, using a regression discontinuity design that exploits variation in labor adjustment costs generated by close‐call union elections, we provide evidence suggesting that the negative relation between cost stickiness and dividend payouts is driven by resource adjustment costs. Our paper sheds new light on the determinants of dividend policy and demonstrates the role of cost behavior in corporate decisions.
翻译：陈然
原文链接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12328

中国资产管理研究中心-3059-披露医生评分:绩效影响和改变评分共识的困难
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：HENRY EYRING（The London School of Economics and Political Science）
摘要：我研究了一个医疗系统公开披露病人对其医生评价的政策效果。我发现，通过公开的主观评分和不公开的客观质量衡量，这项政策带来了绩效的改善。这种效应与多任务处理理论是一致的，因为医生对披露的回应是增加更多投入——与病人的相处时间——通过评级及潜在质量来提高绩效。我还发现，正如信息级联理论所预测的那样，评级在某种程度上与最初披露的价值接近。具体来说，评级机构会观察最初评级的模式，并通过提供相似的评级来跟进。最后，我发现医生预期到这种评级停滞现象，因此他们尽力提高早期表现，以获得一个高评级模式。这些结果表明，主观评级的披露对绩效有广泛的好处，但更倾向于早期表现。
Disclosing Physician Ratings: Performance Effects and the Difficulty of Altering Ratings Consensus
HENRY EYRING（The London School of Economics and Political Science）
ABSTRACT
I examine effects of a health care system's policy to publicly disclose patient ratings of its physicians. I find evidence that this policy leads to performance improvement by the disclosed, subjective ratings and also by undisclosed, objective measures of quality. These effects are consistent with multitasking theory, in that physicians respond to the disclosure by providing more of a shared input—time with patients—that benefits performance by ratings and underlying quality. I also find, as predicted by information cascade theory, that the ratings become jammed to some degree near initially disclosed values. Specifically, raters observe the pattern of initial ratings and follow suit by providing similar ratings. Finally, I find evidence that physicians anticipate rating jamming and so concentrate their effort on earlier performance in order to set a pattern of high ratings that later ratings follow. These results demonstrate that the disclosure of subjective ratings can benefit performance broadly but can also shift effort toward earlier performance.
翻译：陈然
原文链接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12330

中国资产管理研究中心-3060-披露医生评分:绩效影响和改变评分共识的困难
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：HENRY EYRING（The London School of Economics and Political Science）
摘要：我研究了一个医疗系统公开披露病人对其医生评价的政策效果。我发现，通过公开的主观评分和不公开的客观质量衡量，这项政策带来了绩效的改善。这种效应与多任务处理理论是一致的，因为医生对披露的回应是增加更多投入——与病人的相处时间——通过评级及潜在质量来提高绩效。我还发现，正如信息级联理论所预测的那样，评级在某种程度上与最初披露的价值接近。具体来说，评级机构会观察最初评级的模式，并通过提供相似的评级来跟进。最后，我发现医生预期到这种评级停滞现象，因此他们尽力提高早期表现，以获得一个高评级模式。这些结果表明，主观评级的披露对绩效有广泛的好处，但更倾向于早期表现。
Disclosing Physician Ratings: Performance Effects and the Difficulty of Altering Ratings Consensus
HENRY EYRING（The London School of Economics and Political Science）
ABSTRACT
I examine effects of a health care system's policy to publicly disclose patient ratings of its physicians. I find evidence that this policy leads to performance improvement by the disclosed, subjective ratings and also by undisclosed, objective measures of quality. These effects are consistent with multitasking theory, in that physicians respond to the disclosure by providing more of a shared input—time with patients—that benefits performance by ratings and underlying quality. I also find, as predicted by information cascade theory, that the ratings become jammed to some degree near initially disclosed values. Specifically, raters observe the pattern of initial ratings and follow suit by providing similar ratings. Finally, I find evidence that physicians anticipate rating jamming and so concentrate their effort on earlier performance in order to set a pattern of high ratings that later ratings follow. These results demonstrate that the disclosure of subjective ratings can benefit performance broadly but can also shift effort toward earlier performance.
翻译：陈然
原文链接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12330

中国资产管理研究中心-3061-竞争的团队
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Hector Chade (Arizona State University)；Jan Eeckhout (UPF (Barcelona GSE-ICREA) and University College London)
摘要：在许多匹配的经济应用中，组建的团队随后通过战略互动或知识溢出在市场结构中竞争。这种将匹配后的竞争在匹配阶段引入了外部性：一个团队的收益不仅仅取决于他们成员的贡献，同时也取决于其他匹配团队。这篇文章简历了一个大的市场模型来探讨匹配的外部性。首先组建一个团队，然后他们竞争。我们分析了排序的模式，保证了竞争的均衡和效率所有权。我们的主要结果表明我们模型的观点与没有外部性的标准模型的观点之间差异巨大。在不同的排序模式下可能存在多个竞争均衡；最优和竞争均衡可能包含随机性；竞争均衡可能不够有效，匹配结果与最优均衡之间可能存在较大的偏离。我们也阐明了包含外部性的模型的经济层面的相关性。我们分析了两个经济应用来表明我们的模型如何解释公司内部、公司之间的不平等趋势，以及公司有市场力量的行业中加价幅度的演变。
关键词：有外部性的匹配，排序，战略性互相作用，知识溢出，工资不平等，市场力量。
Competing Teams
Hector Chade (Arizona State University), Jan Eeckhout (UPF (Barcelona GSE-ICREA) and University College London)
ABSTRACT
In many economic applications of matching, the teams that form compete later in market structures with strategic interactions or with knowledge spillovers. Such post-match competition introduces externalities at the matching stage: a team’s payoff depends not only on their members’ attributes but also on those of other matched teams. This article develops a large market model of matching with externalities, in which ?rst teams form, and then they compete. We analyse the sorting patterns that ensue under competitive equilibrium as well as their ef?ciency properties. Our main results show that insights substantially differ from those of the standard model without externalities: there can be multiple competitive equilibria with different sorting patterns; both optimal and competitive equilibrium matching can involve randomization; and competitive equilibrium can be inef?cient with a matching that can drastically deviate from the optimal one. We also shed light on the economic relevance of our matching model with externalities. We analyse two economic applications that illustrate how our model can rationalize the trend in within- and between-?rm inequality, and also the evolution of markups of sectors where ?rms have market power.
Keywords: Matching with externalities, Sorting, Strategic interaction, Knowledge spillovers, Wage inequality, Market power.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1134/5420165?redirectedFrom=fulltext

中国资产管理研究中心-3062-国际金融一体化与危机传染
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Michael B Devereux (University of British Columbia, NBER and CEPR)；
Changhua Yu (Peking University)
摘要：国际金融一体化帮助分散化风险，但是也可能在国家之间扩散危机。我们给出了一个量化分析，一个带有抵押约束信贷的两国均衡模型中的一个最优解的方法。信贷约束有时会达到限值，这取决于经济状况和继承债务水平。我们研究了不同的国际金融一体化水平：从金融上自给自足到债券和股票市场的一体化。金融一体化显著提高了全球杠杆水平，提高了任何一个国家的危机概率，提高了危机在国家之间传染的程度。除了危机，金融一体化对宏观经济总量的影响相对较小。但是与金融市场自给自足的情况相比，危机影响的严重程度在一体化的国际金融市场下要小得多。因此，在危机概率与危机的严重程度之间存在着一种权衡。我利用一个超过40年的关于发展中国家和发达国家的大型跨国金融危机数据库，发现数据中的证据支持了模型。
关键词：国际金融一体化，偶然的约束，金融传染，杠杆。
International Financial Integration and Crisis Contagion
Michael B Devereux (University of British Columbia, NBER and CEPR), Changhua Yu (Peking University)
ABSTRACT
International financial integration helps to diversify risk but also may spread crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with collateral-constrained borrowing using a global solution method. Borrowing constraints bind occasionally, depending upon the state of the economy and levels of inherited debt. We examine different degrees of international financial integration, moving from financial autarky, to bond and equity market integration. Financial integration leads to a significant increase in global leverage, substantially escalates the probability of crises for any one country, and dramatically increases the degree of “contagion” across countries. Outside of crises, the impact of financial integration on macroeconomic aggregates is relatively small. But the impact of a crisis with integrated international financial markets is much less severe than that under financial market autarky. Thus, a trade-off emerges between the probability of crises and the severity of crises. Using a large cross-country database of financial crises in developing and developed economies over a forty-year period, we find evidence in support of the model.
Keywords: International ?nancial integration, Occasionally binding constraints, Financial contagion,
Leverage.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1174/5584207?redirectedFrom=fulltext

中国资产管理研究中心-3063-劳动市场摩擦、企业增长与国际贸易
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Pablo D. Fajgelbaum (UCLA and NBER)
摘要：我研究了在一个企业增长缓慢以及做固定出口投资的小型开放经济中，劳动力市场摩擦的总体影响。该模型突出了出口中的动态投资与工作流动搜索摩擦之间的交互作用。我匹配了企业增长、企业间劳动力转移和出口的动态数据后，校准了阿根廷经济。结果表明：从降低交换工作摩擦带来的真实的收入，大约是相应的降低失业摩擦获益的7倍。企业间工人流动障碍对贸易成本降低带来的实际收入而言很重要。
关键词：劳动市场摩擦，企业增长，国际贸易，工作变更。
Labour Market Frictions, Firm Growth, and International Trade
Pablo D. Fajgelbaum (UCLA and NBER)
ABSTRACT
I study the aggregate effects of labour market frictions in a small open economy where firms grow slowly and make fixed export investments. The model features interactions between dynamic investments in exporting and search frictions with job-to-job mobility. A calibration to Argentina’s economy matching data on firm growth, worker transitions between firms, and export dynamics suggests that the real income gains from lowering frictions in job-to-job transitions are about seven times larger than comparable reductions in frictions from unemployment. Barriers to worker mobility across firms matter for the real income gains of trade-cost reductions.
Keywords: Labour market frictions, Firm growth, International trade, Job-to-job transitions.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1213/5686221?redirectedFrom=fulltext

中国资产管理研究中心-3064-谈判的排序效应：来自政府组成的证据
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Thomas Fujiwara (Princeton, CIFAR, and NBER)；Carlos Sanz (Bank of Spain)
摘要：应用于立法机构的多边谈判和联盟形成理论预测：政党的席位份额决定了他们的谈判能力。我们的发现与这一预测结果并不一致，但却与另一规则相一致：得票最多的政党应该组成政府。我们首先展示了几个国家的案例研究以及来自28个欧洲国家议会的基于断电回归的证据。然后，我们关注了2898个西班牙的两党席位相近的市政选举。我们发现有微弱的选票优势的政党更可能任命市长。因为席位相近的政党平均而言应该具有相等的谈判能力，这确定了获得最多票的政党的影响。这种影响的效果与获得一个额外席位相当。当右翼政党获得更多选票以及第二、三名结盟成为左翼政党时，这种效果也会出现。一个同时汇总信息和约束任职者的选举模型可以合理化结果，我们根据数据做出进一步的预测，比如第二名的政党任命市长时会受到选民的惩罚。
关键词：准则，谈判，政府组成，排序效应。
Rank Effects in Bargaining: Evidence from Government Formation
Thomas Fujiwara (Princeton, CIFAR, and NBER), Carlos Sanz (Bank of Spain)
ABSTRACT
Theories of multilateral bargaining and coalition formation applied to legislatures predict that parties’ seat shares determine their bargaining power. We present findings that are difficult to reconcile with this prediction, but consistent with a norm prescribing that “the most voted party should form the government”. We first present case studies from several countries and regression discontinuity design-based evidence from twenty-eight national European parliaments. We then focus on 2,898 Spanish municipal elections in which two parties tie in the number of seats. We find that the party with slightly more general election votes is substantially more likely to appoint the mayor. Since tied parties should (on average) have equal bargaining power, this identifies the effect of being labeled the most voted. This effect is comparable to that of obtaining an additional seat, and is also present when a right-wing party is the most voted and the second and third most voted parties are allied left-wing parties who can form a combined majority. A model where elections both aggregate information and discipline incumbents can rationalize our results and yields additional predictions we take to the data, such as voters punishing second most voted parties that appoint mayors.
Keywords: Norms, Bargaining, Government formation, Rank effects.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1261/5303842?redirectedFrom=fulltext

中国资产管理研究中心-3065-传染性危机模型中的分割和流动性注入政策的啄序
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Alexander Guembel (Toulouse School of Economics, University of ToulouseCapitole (TSM-R))；Oren Sussman (Sa?d Business School, University of Oxford)
摘要：我们研究了在两个国家的背景下，杠杆投资者产生抛售的外部性，从而导致金融危机和危机蔓延。政府可以通过注入公共流动性以及分割国家的流动性市场来影响金融危机的发生和蔓延的程度。我们表明，分割可以使一个国家避免被传染，并抵御其流动性需求受到轻微冲击而造成的轻微金融危机，其代价是将该国暴露在由大冲击引起的更严重的金融危机之下。我们得出“啄食顺序”的结果：分割是次优的措施，有组织的政府只有在税收能力限制了其注入流动性时，才应该实行分割的措施。即使分割是增加福利的，也应仅将其应用于公共流动性，而不限制国家之间私人流动性的自由流动。无组织的政府往往过度使用分割措施。
关键词：传染，抛售，金融危机，金融稳定性，分割，流动性注入。
The Pecking Order of Segmentation and Liquidity-Injection Policies in a Model of Contagious Crises
Alexander Guembel (Toulouse School of Economics, University of Toulouse Capitole (TSM-R)), Oren Sussman (Sa?d Business School, University of Oxford)
ABSTRACT
We study a two-country setting in which leveraged investors generate fire-sale externalities, leading to financial crises and contagion. Governments can affect the incidence of financial crisis and the degree of contagion by injecting public liquidity and, additionally, by segmenting the countries’ liquidity markets. We show that segmentation allows a country to avoid contagion and fend off mild financial crises caused by a small shock to its liquidity demand, at the cost of exposing it to more severe financial crises caused by a large shock. We derive a “pecking order” result, whereby segmentation is a second-best measure that coordinated governments should use only when tax capacity constrains them from injecting liquidity. Even when segmentation is welfare-enhancing, it should be applied to public liquidity alone, never restricting the free flow of private liquidity across countries. Uncoordinated governments tend to use segmentation excessively.
Keywords: Contagion, Fire sales, Financial crisis, Financial stability, Segmentation, Liquidity injection.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article/87/3/1296/5448858

中国资产管理研究中心-3066-止赎政策如何加剧房价下跌？
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Adam M Guren (Boston University and NBER)；Timothy J McQuade (Stanford University)
摘要：本文利用一个结果模型，一方面展示了止赎（抵押品赎回权的取消）在加剧最近的房价泡沫破裂中发挥的重要作用，另一方面分析了止赎的缓解政策。我们考虑一种动态搜索模型，在该模型中，丧失抵押品赎回权的行为冻结了市场，并通过侵蚀贷方股权，破坏潜在买家的信用，使买家更具选择性这三种方式来降低了价格和销量。这些影响会加剧初始冲击，导致价格违约螺旋式上升，且使得该模型比没有止赎的模型可以更好地拟合模型的国家矩和截面矩。当根据最近的萧条进行校准时，该模型表明，止赎产生的放大作用是显著的：信用受损和挑剔的买家占正常价格下降总额的25.4％，贷方损失占22.6％。就政策而言，我们发现，本金下调的成本效益低于贷方股权注入或引入单个卖方将抵押品赎回权置于市场之外直至需求反弹的成本效益。我们还表明：减缓止赎速度的政策可能适得其反。
关键词：房价和动态变化，抵押品赎回权的取消，搜索，大萧条。
How Do Foreclosures Exacerbate Housing Downturns?
Adam M Guren (Boston University and NBER), Timothy J McQuade (Stanford University)
ABSTRACT
This article uses a structural model to show that foreclosures played a crucial role in exacerbating the recent housing bust and to analyse foreclosure mitigation policy. We consider a dynamic search model in which foreclosures freeze the market for non-foreclosures and reduce price and sales volume by eroding lender equity, destroying the credit of potential buyers, and making buyers more selective. These effects cause price-default spirals that amplify an initial shock and help the model fit both national and cross-sectional moments better than a model without foreclosure. When calibrated to the recent bust, the model reveals that the amplification generated by foreclosures is significant: ruined credit and choosey buyers account for 25.4% of the total decline in non-distressed prices and lender losses account for an additional 22.6%. For policy, we find that principal reduction is less cost-effective than lender equity injections or introducing a single seller that holds foreclosures off the market until demand rebounds. We also show that policies that slow down the pace of foreclosures can be counterproductive.
Keywords: Housing prices and dynamics, Foreclosures, Search, Great recession.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1331/5700747?redirectedFrom=fulltext

中国资产管理研究中心-3067-考虑总体冲击的估计
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Jinyong Hahn (UCLA)；Guido Kuersteiner (University of Maryland)；Maurizio Mazzocco (UCLA)
摘要：总体冲击会影响大多数家庭和企业的决策。我们使用了三种程式化模型，表明了仅基于横截面数据的推理通常无法正确解释面临总体不确定性的理性主体的决策。我们提出了一个计量经济学框架，该框架通过明确地确定主体决策问题相对于总体冲击的参数，来克服这些问题。我们的框架和示例说明，模型的横截面和时间序列方面通常是相互依赖的。因此，在存在总冲击的情况下估算模型参数需要结合使用横截面数据和时间序列数据。我们提供了易于使用的公式，用于检验统计数据和置信区间，这些公式说明了横截面和时间序列变化之间的相互作用。最后，我们进行了蒙特卡洛模拟，突出了所提出方法的特性以及未恰当考虑总冲击的风险。
关键词：总体冲击，理性主体，前瞻性行为，一般均衡，教育选择，稳定的收敛。
Estimation with Aggregate Shocks
Jinyong Hahn (UCLA), Guido Kuersteiner (University of Maryland), Maurizio Mazzocco (UCLA)
ABSTRACT
Aggregate shocks affect most households’ and firms’ decisions. Using three stylized models, we show that inference based on cross-sectional data alone generally fails to correctly account for decision making of rational agents facing aggregate uncertainty. We propose an econometric framework that overcomes these problems by explicitly parameterizing the agents’ decision problem relative to aggregate shocks. Our framework and examples illustrate that the cross-sectional and time-series aspects of the model are often interdependent. Therefore, estimation of model parameters in the presence of aggregate shocks requires the combined use of cross-sectional and time-series data. We provide easy-to-use formulas for test statistics and confidence intervals that account for the interaction between the cross-sectional and time-series variation. Lastly, we perform Monte Carlo simulations that highlight the properties of the proposed method and the risks of not properly accounting for the presence of aggregate shocks.
Keywords: Aggregate shocks, Rational agents, Forward looking behavior, General equilibrium, Education choices, Stable convergence.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1365/5385517?redirectedFrom=fulltext

中国资产管理研究中心-3068-国家行业贸易冲击、当地劳动力市场与聚集溢出效应
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Ines Helm (Stockholm University)
摘要：通过使用一系列广泛的全国性行业贸易冲击，我采用了一种新方法来估计集聚效应，即利用各地劳动力市场中其他当地（国家）行业贸易冲击间接敞口中的行业内差异。这种差异源于本地行业构成的差异，我可以基于此来测试各行业间是否存在异质性的聚集效应。我发现其他可贸易行业的贸易冲击产生了相当大的就业溢出效应，在同一广泛领域内的影响甚至更大。对于雇用类似工人的行业而言，溢出效应更大，这主要是由于对高科技行业的冲击而引起的。
关键词：聚集，当地劳动力市场，贸易冲击。
National Industry Trade Shocks, Local Labor Markets, and Agglomeration Spillovers
Ines Helm (Stockholm University)
ABSTRACT
Using a broad set of national industry trade shocks, I employ a novel approach to estimate agglomeration effects by exploiting within industry variation in indirect exposure to the other local industries’ (national) trade shocks across local labour markets. This variation stems from differences in local industry composition and allows to test for the existence of heterogeneous agglomeration effects across industries. I find considerable employment spillovers from other tradable industries’ trade shocks and even stronger effects within the same broad sector. Spillovers are larger for industries employing similar workers and are triggered predominantly by shocks to high-technology industries.
Keywords: Agglomeration, Local labour markets, Trade shocks.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article/87/3/1399/5610540

中国资产管理研究中心-3069-场外市场中的摩擦中介
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Julien Hugonnier (EPFL, Swiss Finance Institute, and CEPR)；Benjamin Lester (Federal Reserve Bank of Philadelphia)；Pierre-Olivier Weill (UCLA, NBER, and CEPR)
摘要：我们扩展了Duffie等人（2005）的场外（OTC）资产市场的搜索理论模型，允许去中心化的交易员市场在交易商的估值（或同等的库存成本）中具有任意异质性。我们提出了一种解决方案技术，可以使模型完全可解，并允许我们导出在场外交易市场中介过程的实证研究中的关键统计数据的显式的理论公式。对市政债券市场的校准使我们能够量化该市场不可观测的重要特征，包括搜寻和谈判摩擦的严重性以及交易商之间异质性的性质。我们使用校准后的模型来研究这些市场特征对总福利以及客户和经销商之间的贸易收益分配的影响。
关键词：场外市场，搜索摩擦，谈判，异质的主体，中介链。
Frictional Intermediation in Over-the-Counter Markets
Julien Hugonnier (EPFL, Swiss Finance Institute, and CEPR), Benjamin Lester (Federal Reserve Bank of Philadelphia), Pierre-Olivier Weill (UCLA, NBER, and CEPR)
ABSTRACT
We extend Duffie et al.’s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers’ valuations (or, equivalently, inventory costs). We develop a solution technique that makes the model fully tractable and allows us to derive, in closed form, theoretical formulas for key statistics analysed in empirical studies of the intermediation process in OTC markets. A calibration to the market for municipal bonds allows us to quantify important unobservable characteristics of this market, including the severity of search and bargaining frictions and the nature of heterogeneity across dealers. We use our calibrated model to study the effect of these market characteristics on total welfare and the distribution of gains from trade across customers and dealers.
Keywords: Over-the-counter markets, Search frictions, Bargaining, Heterogeneous agents, Intermediation chains.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1432/5535535?redirectedFrom=fulltext

中国资产管理研究中心-3070-宏观审慎监管与危机后的肃清
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Olivier Jeanne (Johns Hopkins University, NBER and CEPR)；Anton Korinek (University of Virginia, Department of Economics and Darden School of Business, NBER and CEPR)
摘要：当决策者可以使用流动性提供工具来管控危机时，应当如何设计宏观审慎政策？我们在一个可解的系统性银行风险模型中表明，有三个因素在起作用：首先，事后提供流动性缓解了金融危机，并且这减少了对宏观审慎政策的需求。在极端情况下，如果提供流动性没有针对性且无成本，或者它通过可靠的最后贷款方式完全平衡了危机，那么宏观审慎监管就没有任何作用。然而，第二点是宏观审慎政策需要考虑有针对性的流动性提供的事前激励作用。第三，如果影子银行降低了宏观审慎工具的有效性，那么最好承诺提供较低的流动性以作为宏观审慎政策的次优替代品。
关键词：金融危机，系统性风险，金融的放大性，宏观审慎监管，提供流动性。
Macroprudential Regulation versus mopping up after the crash
Olivier Jeanne (Johns Hopkins University, NBER and CEPR), Anton Korinek (University of Virginia, Department of Economics and Darden School of Business, NBER and CEPR)
ABSTRACT
How should macroprudential policy be designed when policymakers also have access to liquidity provision tools to manage crises? We show in a tractable model of systemic banking risk that there are three factors at play: first, ex post liquidity provision mitigates financial crises, and this reduces the need for macroprudential policy. In the extreme, if liquidity provision is untargeted and costless or if it completely forestalls crises by credible out-of-equilibrium lending-of-last-resort, there is no role left for macroprudential regulation. Second, however, macroprudential policy needs to consider the ex ante incentive effects of targeted liquidity provision. Third, if shadow banking reduces the effectiveness of macroprudential instruments, it is optimal to commit to less generous liquidity provision as a second-best substitute for macroprudential policy.
Keywords: Financial crises, Systemic risk, Financial ampli?cation, Macroprudential regulation, Liquidity provision.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1470/5722216?redirectedFrom=fulltext

中国资产管理研究中心-3071-量化宽松如何发挥作用：再融资渠道的证据
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Marco Di Maggio (Harvard Business School and NBER)；Amir Kermani (University of California, Berkeley Haas School of Business and NBER)；Christopher J Palmer (Massachusetts Institute of Technology Sloan School of Management and NBER)
摘要：我们使用大量与借款人相关的抵押市场数据以及基于抵押市场分割的识别策略，发现了美联储大规模购买资产向实体经济的传导。我们发现，央行第一次量化宽松政策的抵押支持债券（QE1 MBS）购买的行为大大增加了再融资活动，减少了为再融资家庭支付的利息，导致了股权提取量激增以及总消费的增加。相对于不符合量化宽松政策的巨型抵押贷款，符合量化宽松条件的合格抵押贷款利率下降了40个基点，再融资额在QE1期间进一步增长了56％。我们估计，家庭再融资在QE1期间的持久消费增加了12％。我们的结果表明，非常规的货币政策向实体经济的传导关键取决于所购买资产的构成和市场分割的程度。
关键词：量化宽松，货币政策传导，真实影响，抵押贷款，家庭资产。
How Quantitative Easing Works: Evidence on the Refinancing Channel
Marco Di Maggio (Harvard Business School and NBER), Amir Kermani (University of California, Berkeley Haas School of Business and NBER), Christopher J Palmer (Massachusetts Institute of Technology Sloan School of Management and NBER)
ABSTRACT
We document the transmission of large-scale asset purchases by the Federal Reserve to the real economy using rich borrower-linked mortgage-market data and an identification strategy based on mortgage market segmentation. We find that central bank QE1 MBS purchases substantially increased refinancing activity, reduced interest payments for refinancing households, led to a boom in equity extraction, and increased aggregate consumption. Relative to QE-ineligible jumbo mortgages, QE-eligible conforming mortgage interest rates fell by an additional 40 bp and refinancing volumes increased by an additional 56% during QE1. We estimate that households refinancing during QE1 increased their durable consumption by 12%. Our results highlight that the transmission of unconventional monetary policy to the real economy depends crucially on the composition of assets purchased and the degree of segmentation in the market.
Keywords: Quantitative Easing, Monetary policy transmission, Real effects, Mortgage re?nancing, Home equity.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1498/5673397?redirectedFrom=fulltext

中国资产管理研究中心-3072-广告可以作为一种信号吗？来自移动搜索实地实验的证据
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Navdeep S Sahni (Stanford GSB)；Harikesh S Nair (Stanford GSB)
摘要：我们开发了一个实地实验，评估广告是否可以作为增强消费者对广告商品评价的信号。我们在移动搜索平台上实施了该实验，该平台可为原始体验良好的餐厅提供列表和评论。通过与该平台的合作，我们将13个亚洲城市的约200,000名用户随机分配给约600多家本地餐厅的广告展示。在展示组中，我们随机改变向消费者披露的餐馆列表是否为付费广告。这样就可以隔离出用户知道赞助列表对结果的影响——纯信号传递效果。我们发现，在固定了广告的所有其他属性的前提下，信息的披露使餐馆的致电次数增加了77％。当消费者在远离其典型搜索城市的地方使用该平台、餐馆质量的不确定性较大以及过去获得较少评分的餐馆时，披露带来效果会更大。从供给的角度，新的、更高评价的和更受欢迎的餐馆在平台上做更多广告；且在实验期间刊登广告的餐馆在两年后的评级更高。综上所述，我们将这些结果解释为与信号均衡相一致，广告充当隐性信号，增强了做广告餐厅对消费者的吸引力。消费者和广告商似乎都从信号中获益。与没有展示信息的餐厅相比，消费者将选择转向在展示组中评级更高的餐厅，而广告商则会从展示信息带来的结果改进中获益。
关键词：信息性广告，信号，实地实验，餐厅，移动，付费搜索，平台。
Does Advertising Serve as a Signal? Evidence from a Field Experiment in Mobile Search
Navdeep S Sahni (Stanford GSB), Harikesh S Nair (Stanford GSB)
ABSTRACT
We develop a field experiment that assesses whether advertising can serve as a signal that enhances consumers’ evaluations of advertised goods. We implement the experiment on a mobile search platform that provides listings and reviews for an archetypal experience good, restaurants. In collaboration with the platform, we randomize about 200,000 users in 13 Asian cities into exposure of ads for about 600+ local restaurants. Within the exposure group, we randomly vary the disclosure to the consumer of whether a restaurant’s listing is a paid-ad. This enables isolating the effect on outcomes of a user knowing that a listing is sponsored—a pure signalling effect. We find that this disclosure increases calls to the restaurant by 77%, holding fixed all other attributes of the ad. The disclosure effect is higher when the consumer uses the platform away from his typical city of search, when the uncertainty about restaurant quality is larger, and for restaurants that have received fewer ratings in the past. On the supply side, newer, higher rated and more popular restaurants are found to advertise more on the platform; and ratings of those that advertised during the experiment are found to be higher two years later. Taken together, we interpret these results as consistent with a signalling equilibrium in which ads serve as implicit signals that enhance the appeal of the advertised restaurants to consumers. Both consumers and advertisers seem to benefit from the signalling. Consumers shift choices towards restaurants that are better rated (at baseline) in the disclosure group compared to the no disclosure group, and advertisers gain from the improved outcomes induced by disclosure.
Keywords: Informative advertising, Signalling, Field-experiments, Restaurants, Mobile, Paid-search, Platforms.
翻译：张叶青
原文链接：
https://academic.oup.com/restud/article-abstract/87/3/1529/5583745?redirectedFrom=fulltext

中国资产管理研究中心-3073-拖经济的尾巴：人们的预期与持续停滞
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：Julian Kozlowski (Federal Reserve Bank of St. Louis)；Laura Veldkamp (Columbia University, Center for Economic Policy Research, and National Bureau of Economic Research)；Venky Venkateswaran (New York University, National Bureau of Economic Research)
摘要：大萧条是一次严重的经济衰退，对信贷，就业和产出都造成了长期影响。尽管有关其原因的说法比比皆是，但国内生产总值低于预期趋势的持续性仍然令人困惑。我们提出了一种简单的持久性机制，可以量化并与现有模型结合。我们的关键前提是，代理人不知道冲击的真实分布，而是使用数据进行非参数估计。然后，短暂的事件，尤其是极端事件，对人们的预期信念和宏观结果上都产生了持续的影响。将这种机制嵌入新古典模型中，我们发现它在尾部事件发生后内生地造成了经济活动的持续下降。
The Tail That Wags the Economy: Beliefs and Persistent Stagnation
Julian Kozlowski (Federal Reserve Bank of St. Louis), Laura Veldkamp (Columbia University, Center for Economic Policy Research, and National Bureau of Economic Research), Venky Venkateswaran (New York University, National Bureau of Economic Research)
ABSTRACT
The Great Recession was a deep downturn with long-lasting effects on credit, employment, and output. While narratives about its causes abound, the persistence of gross domestic product below precrisis trends remains puzzling. We propose a simple persistence mechanism that can be quantified and combined with existing models. Our key premise is that agents do not know the true distribution of shocks but use data to estimate it nonparametrically. Then, transitory events, especially extreme ones, generate persistent changes in beliefs and macro outcomes. Embedding this mechanism in a neoclassical model, we find that it endogenously generates persistent drops in economic activity after tail events.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/abs/10.1086/707735

中国资产管理研究中心-3074-辩论：对政治传播的投票和政选支出的反应
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：Kelly Bidwell (US General Services Administration)Katherine Casey (Stanford University Graduate School of Business and National Bureau of Economic Research)；Rachel Glennerster (Department for International Development)
摘要：候选人辩论历史悠久，仍然是当代竞选策略中不可或缺的一部分。但是，几乎没有证据表明它们会影响选民或政客的行为。发展中国家缺乏政治信息为我们提供了一个有吸引力的试验场。利用塞拉利昂的实验性变化，我们发现公众辩论的筛选机制是建立在改变了人们投票方式的政治知识上，从而促使候选人对竞选开支作出反应，并对当选官员的开支产生问责压力。结果表明，政治交流是如何引发一系列开始于选民的事件，并最终如何影响政策。
Debates: Voting and Expenditure Responses to Political Communication
Kelly Bidwell (US General Services Administration), Katherine Casey (Stanford University Graduate School of Business and National Bureau of Economic Research), Rachel Glennerster (Department for International Development)
ABSTRACT
Candidate debates have a rich history and remain integral to contemporary campaign strategy. There is, however, little evidence that they affect the behavior of voters or politicians. The scarcity of political information in the developing world offers an attractive testing ground. Using experimental variation in Sierra Leone, we find that public debate screenings build political knowledge that changes the way people vote, which induces a campaign expenditure response by candidates and fosters accountability pressure over the spending of elected officials. Results show how political communication can trigger a chain of events that begins with voters and ultimately influences policy.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/706862

中国资产管理研究中心-3075-通过激励改善大学教学
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：Andy Brownback (University of Arkansas)；Sally Sadoff (University of California, San Diego)
摘要：在实地实验中，我们研究了绩效激励对社区大学教师的影响。教师激励措施可以提高学生的考试成绩、课程成绩和学分积累，同时减少课程辍学率。在兼职教师中的影响效果最大。在计划课程期间，教师激励措施会产生积极的溢出效应，从而提高学习之外的学生课程的完成率和成绩。该计划结束后的一年，教师激励措施增加了四年制大学的转学分率，而对两年制大学学位没有影响。我们发现没有证据表明教师激励与学生激励之间具有互补性。 最后，虽然与起初的亏损框架相比，教师最初更喜欢以收益框架为基础的合同，但经过合作后，教师对以亏损框架为基础的合同的偏好会大大增加。
Improving College Instruction through Incentives
Andy Brownback (University of Arkansas), Sally Sadoff (University of California, San Diego)
ABSTRACT
In a field experiment, we examine the impact of performance-based incentives for community college instructors. Instructor incentives improve student exam scores, course grades, and credit accumulation while reducing course dropout. Effects are largest among part-time adjunct instructors. During the program, instructor incentives have large positive spillovers, increasing completion rates and grades in students’ courses outside our study. One year after the program, instructor incentives increase transfer rates to 4-year colleges with no impact on 2-year college degrees. We find no evidence of complementarities between instructor incentives and student incentives. Finally, while instructors initially prefer gain-framed contracts over our loss-framed ones, preferences for loss-framed contracts significantly increase after experience with them.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/707025

中国资产管理研究中心-3076-关于总产出生产函数的识别
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：Amit Gandhi (University of Pennsylvania)；Salvador Navarro (University of Western Ontario)；David A. Rivers (University of Western Ontario)
摘要：我们研究了常用代理变量方法环境下的总产出生产函数的非参数识别问题。我们表明，将这些方法应用于总产出需要需求面额外的一些变量，比如价格。通过转换公司的一阶条件，我们为总产出开发了一种新的非参数识别策略，即使在没有其他额外变化，也可以使用该策略。蒙特卡洛（Monte Carlo）的证据和哥伦比亚和智利工厂级数据的估计表明，我们的策略表现良好，并且对于偏离基准线设置的情况非常有力。
On the Identification of Gross Output Production Functions
Amit Gandhi (University of Pennsylvania), Salvador Navarro (University of Western Ontario), David A. Rivers (University of Western Ontario)
ABSTRACT
We study the nonparametric identification of gross output production functions under the environment of the commonly employed proxy variable methods. We show that applying these methods to gross output requires additional sources of variation in the demand for flexible inputs (e.g., prices). Using a transformation of the firm’s first-order condition, we develop a new nonparametric identification strategy for gross output that can be employed even when additional sources of variation are not available. Monte Carlo evidence and estimates from Colombian and Chilean plant-level data show that our strategy performs well and is robust to deviations from the baseline setting.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/707736

中国资产管理研究中心-3077-移民与工资动态：来自墨西哥比索危机的证据
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：Joan Monras (Universitat Pompeu Fabra, Centre de Recerca en Economia Internacional, Barcelona Graduate School of Economics, and Centre for Economic Policy Research)
摘要：美国劳动力市场如何吸收低技能的移民？在短期内，高移民地区的低技能劳动力会增加，本地低技能工资会下降，租金的相对价格会上升。内部重新安置在空间上消除了这种冲击。从长远来看，唯一的持久后果是（a）在高移民时期进入劳动力市场的低技能本地人的劳动力市场状况更差，以及（b）当移民工人比例过高时，高移民地区的住房价格下降，因为他们进入建筑行业，使得建筑成本下降。我使用定量动态空间均衡多区域模型来获取与政策相关的反事实。
Immigration and Wage Dynamics: Evidence from the Mexican Peso Crisis
Joan Monras (Universitat Pompeu Fabra, Centre de Recerca en Economia Internacional, Barcelona Graduate School of Economics, and Centre for Economic Policy Research)
ABSTRACT
How does the US labor market absorb low-skilled immigration? In the short run, high-immigration locations see their low-skilled labor force increase, native low-skilled wages decrease, and the relative price of rentals increase. Internal relocation dissipates this shock spatially. In the long run, the only lasting consequences are (a) worse labor market conditions for low-skilled natives who entered the labor force in high-immigration years, and (b) lower housing prices in high-immigrant locations, when immigrant workers disproportionately enter the construction sector and lower construction costs. I use a quantitative dynamic spatial equilibrium many-region model to obtain the policy-relevant counterfactuals.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/707764

中国资产管理研究中心-3078-对国家和非国家行为体的信任：来自巴基斯坦争端解决的证据
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：Daron Acemoglu (Massachusetts Institute of Technology)；Ali Cheema (Lahore University of Management Sciences and Institute of Development and Economic Alternatives)；Asim I. Khwaja (Harvard Kennedy School)James A. Robinson (Harris School of Public Policy)
摘要：本文研究了有关改善公共服务的信息是否可以帮助建立对国家机构的信任，并使人们远离非国家行为者。我们发现，关于减少巴基斯坦农村地区国家法院延误的信息会导致公民报告更高的使用它们的可能性，并使国家在高风险的实验室的博弈中获得更多的拨款。我们还发现了对非国家行为者的负面间接影响，并表明这些变化是对关于国家行为者信念改善的回应，这使个人与非国家行为者的互动减少，并且我们认为也会促使他们降低对这些国家行为者的信念。
Trust in State and Nonstate Actors: Evidence from Dispute Resolution in Pakistan
Daron Acemoglu (Massachusetts Institute of Technology), Ali Cheema (Lahore University of Management Sciences and Institute of Development and Economic Alternatives), Asim I. Khwaja (Harvard Kennedy School), James A. Robinson (Harris School of Public Policy)
ABSTRACT
This paper investigates whether information about improved public services can help build trust in state institutions and move people away from nonstate actors. We find that (truthful) information about reduced delays in state courts in rural Pakistan leads to citizens reporting higher likelihood of using them and to greater allocations to the state in high-stakes lab games. We also find negative indirect effects on nonstate actors and show that these changes are a response to improved beliefs about state actors, which make individuals interact less with nonstate actors and, we argue, induce them to downgrade their beliefs about these actors.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/707765

中国资产管理研究中心-3079-债券和股权风险的宏观经济驱动因素
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：John Y. Campbell (Harvard University and National Bureau of Economic Research)；Carolin Pflueger (University of Chicago and National Bureau of Economic Research)；Luis M. Viceira (Harvard Business School and National Bureau of Economic Research)
摘要：我们基于消费习惯的新模型，通过对数线性、同构的宏观经济动态模型，可以计算债券和股票的时变风险溢价。消费者对于实际无风险债券的一阶条件会生成一个精确的对数线性消费欧拉方程，这在新凯恩斯模型中是普遍假设。我们估计2001年通货膨胀与产出缺口之间的相关性将会从负变为正。较高的通货膨胀降低了实际债券的收益，而较高的产出则提高了股票的收益，这解释了为什么债券与股票收益的相关性从正变为负。在模型中，风险溢价放大了债券-股票收益联动的这种变化，对于定量解释至关重要。
Macroeconomic Drivers of Bond and Equity Risks
John Y. Campbell (Harvard University and National Bureau of Economic Research), Carolin Pflueger (University of Chicago and National Bureau of Economic Research), Luis M. Viceira (Harvard Business School and National Bureau of Economic Research)
ABSTRACT
Our new model of consumption-based habit generates time-varying risk premia on bonds and stocks from log-linear, homoskedastic macroeconomic dynamics. Consumers’ first-order condition for the real risk-free bond generates an exactly log-linear consumption Euler equation, commonly assumed in New Keynesian models. We estimate that the correlation between inflation and the output gap switched from negative to positive in 2001. Higher inflation lowers real bond returns, and higher output raises stock returns, which explains why the bond-stock return correlation changed from positive to negative. In the model, risk premia amplify this change in bond-stock return comovement and are crucial for a quantitative explanation.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/707766

中国资产管理研究中心-3080-冲突的策略与技术
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：Sandeep Baliga (Northwestern University)；Tomas Sj?str?m (Rutgers University)
摘要：我们通过一个简单的讨价还价博弈模型，研究了偏好，技术和禀赋是如何影响战略互动的。我们研究了相对军事能力的变化是否会增加冲突的可能性，并发现了冲突成本与冲突可能性之间的非单调关系。如果冲突的成本很小，且有较大的先动优势，则博弈具有战略互补性，反之则具有战略替代性。这一特征可以预测战略投资的使用，如在国防系统中。该模型的扩展表明：今天扩大领土可能会增加明天发生冲突的风险。
The Strategy and Technology of Conflict
Sandeep Baliga (Northwestern University), Tomas Sj?str?m (Rutgers University)
ABSTRACT
Using a simple bargaining game, we investigate how strategic interactions are shaped by preferences, technology, and endowments. We study whether changes in relative military capabilities make conflicts more likely and find a nonmonotonic relationship between the cost of conflict and the probability of conflict. The game has strategic complements if the cost of conflict is small and there is a large first-mover advantage and has strategic substitutes otherwise. This characterization generates predictions regarding the use of strategic investments—for example, in defense systems. An extension of the model shows how expanding one’s territory today may increase the risk of conflict tomorrow.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/707767

中国资产管理研究中心-3081-STEM主要选择的Roy模型的拐点和可测性
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：Isma?l Mourifié (University of Toronto)；Marc Henry (Pennsylvania State University)；Romuald Méango (Max Planck Institute for Social Law and Social Policy)
摘要：我们分析了Roy模型的实验内容，将其分解为行业特定的不可观测异质性和基于潜在结果的自我选择。我们描述了潜在结果和Roy模型的可测试含义的联合分布的拐点。我们运用这些边界来推导出偏离Roy自我选择的度量，从而确定干预的主要目标。特别强调二元结果的情况。我们分析了加拿大和德国大学专业选择的Roy模型，并重新审视了女性在科学，技术，工程和数学领域的不足。
Sharp Bounds and Testability of a Roy Model of STEM Major Choices
Isma?l Mourifié (University of Toronto), Marc Henry (Pennsylvania State University), Romuald Méango (Max Planck Institute for Social Law and Social Policy)
ABSTRACT
We analyze the empirical content of the Roy model, stripped down to sector-specific unobserved heterogeneity and self-selection on the basis of potential outcomes. We characterize sharp bounds on the joint distribution of potential outcomes and testable implications of the Roy model. We apply these bounds to derive a measure of departure from Roy self-selection, so as to identify prime targets for intervention. Special emphasis is put on the case of binary outcomes. We analyze a Roy model of college major choice in Canada and Germany and take a new look at the underrepresentation of women in science, technology, engineering, and mathematics.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708724

中国资产管理研究中心-3082-房地产繁荣与萧条：模型与证据相结合
Journal of Political Economy ? VOL. 128, Number 9 ? September 2020
作者：Greg Kaplan (University of Chicago, Institute for Fiscal Studies, and NationalBureau of Economic Research)；Kurt Mitman (Institute for International Economic Studies, Stockholm University, Centre for Economic Policy Research, and Institute for Labor Economics)；Giovanni L. Violante (Princeton University, Center for Economic Behavior and Inequality, Centre for Economic Policy Research, Institute for Fiscal Studies, Institute for Labor Economics, and National Bureau of Economic Research)
摘要：我们建立了具有多重总冲击的美国经济模型，这些总冲击会导致均衡房价波动。通过反事实实验，我我们研究了大萧条前后的房地产繁荣与萧条，主要有三个结果。首先，房价和租金变动的主要驱动力是观念的转变，而不是信贷条件的改变。其次，房价的暴涨暴跌解释了财富效应导致的非持久性支出相应波动中的一半原因。第三，大规模的债务减免计划在缓和房价和支出崩溃方面的收效甚微，但会大大减少丧失抵押品赎回权的情况，并在复苏期间引起了消费量的小幅但持续的增长。
The Housing Boom and Bust: Model Meets Evidence
Greg Kaplan (University of Chicago, Institute for Fiscal Studies, and National Bureau of Economic Research), Kurt Mitman (Institute for International Economic Studies, Stockholm University, Centre for Economic Policy Research, and Institute for Labor Economics), Giovanni L. Violante (Princeton University, Center for Economic Behavior and Inequality, Centre for Economic Policy Research, Institute for Fiscal Studies, Institute for Labor Economics, and National Bureau of Economic Research)
ABSTRACT
We build a model of the US economy with multiple aggregate shocks that generate fluctuations in equilibrium house prices. Through counterfactual experiments, we study the housing boom-bust around the Great Recession, with three main results. First, the main driver of movements in house prices and rents was a shift in beliefs, not a change in credit conditions. Second, the boom-bust in house prices explains half of the corresponding swings in nondurable expenditures through a wealth effect. Third, a large-scale debt forgiveness program would have done little to temper the collapse of house prices and expenditures but would have dramatically reduced foreclosures and induced a small, but persistent, increase in consumption during the recovery.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708816

中国资产管理研究中心-3083-社区冲突和团体间借贷的经验
Journal of Political Economy ? VOL. 128, Number 9 ? September 2020
作者：Raymond Fisman (Boston University)；Arkodipta Sarkar (Hong Kong University of Science and Technology)；Janis Skrastins (Washington University in St. Louis)
Vikrant Vig (London Business School)
摘要：我们利用了一家大型印度银行的经理和借款人的数据，提供了有关种族摩擦和市场效率的微观经济学证据。我们推测，如果基于宗教的社区暴力曝光，会加剧群体之间的敌意，同时也将导致在经理人做贷款决策时对借款人的宗教更加敏感。我们发现，遭受暴乱的印度教分支机构经理向穆斯林借款人提供的贷款相对较少，而且这些贷款的违约可能性较低，这与暴乱加剧了歧视相一致。这种偏见在银行官员任职期间一直存在，这表明种族冲突的经济代价是长期的，可能跨越几代人。
Experience of Communal Conflicts and Intergroup Lending
Raymond Fisman (Boston University), Arkodipta Sarkar (Hong Kong University of Science and Technology), Janis Skrastins (Washington University in St. Louis), Vikrant Vig (London Business School)
ABSTRACT
We provide microeconomic evidence on ethnic frictions and market efficiency, using dyadic data on managers and borrowers from a large Indian bank. We conjecture that, if exposure to religion-based communal violence intensifies intergroup animosity, riot exposure will lead to lending decisions that are more sensitive to a borrower’s religion. We find that riot-exposed Hindu branch managers lend relatively less to Muslim borrowers and that these loans are less likely to default, consistent with riot exposure exacerbating taste-based discrimination. This bias is persistent across a bank officer’s tenure, suggesting that the economic costs of ethnic conflict are long-lasting, potentially spanning across generations.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708816

中国资产管理研究中心-3084-儿童早期低水平的铅元素暴露是如何影响儿童的生活轨迹
Journal of Political Economy ? VOL. 128, Number 9 ? September 2020
作者：Hans Gr?nqvist (Institute for Labor Market Policy Evaluation, Uppsala Centre for Labour Studies, and Uppsala University)；J. Peter Nilsson (Stockholm University and Uppsala Centre for Labour Studies)；Per-Olof Robling (Stockholm University)
摘要：我们研究了儿童从出生到成年的铅暴露的影响，并提供了产生这些影响的机制的证据。 在瑞典，有80万名儿童不同程度地接触到含铅汽油，我们发现，即使低接触也会影响长期结果，男孩受到的影响更大，而且也会对非认知能力的造成影响，这部分主要会影响犯罪和人力技能。超出与普通人群的铅元素接触阈值会造成更大的影响，接触减少的程度即近期的血铅水平升高的幅度下降，可使收入增加4％。
Understanding How Low Levels of Early Lead Exposure Affect Children’s Life Trajectories
Hans Gr?nqvist (Institute for Labor Market Policy Evaluation, Uppsala Centre for Labour Studies, and Uppsala University), J. Peter Nilsson (Stockholm University and Uppsala Centre for Labour Studies), Per-Olof Robling (Stockholm University)
ABSTRACT
We study the impact of lead exposure from birth to adulthood and provide evidence on the mechanisms producing these effects. Following 800,000 children differentially exposed to the phaseout of leaded gasoline in Sweden, we find that even a low exposure affects long-run outcomes, that boys are more affected, and that changes in noncognitive skills explain a sizeable share of the impact on crime and human capital. The effects are greater above exposure thresholds still relevant for the general population, and reductions in exposure equivalent to the magnitude of the recent redefinition of elevated blood lead levels can increase earnings by 4%.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708725

中国资产管理研究中心-3085-供应链中的信贷市场干扰与流动性溢出效应
Journal of Political Economy ? VOL. 128, Number 9 ? September 2020
作者：Anna M. Costello (University of Michigan)
摘要：对银行业的冲击如何通过公司进行传播？我使用了新的企业间销售数据集显示，遭受银行融资的外生性影响的供应商将这种流动性冲击传递给了下游客户。溢出效应通过两个渠道发生：减少的贸易信贷和减少的商品和服务总供应。在受到溢出影响之后，下游客户表现出信贷风险激增和就业减少。总体而言，本文强调了财务溢出效应在解释公司部门业绩方面的重要性。
Credit Market Disruptions and Liquidity Spillover Effects in the Supply Chain
Anna M. Costello (University of Michigan)
ABSTRACT
How do shocks to the banking sector travel through the corporate economy? Using a novel data set of interfirm sales, I show that suppliers exposed to a large and exogenous decline in bank financing pass this liquidity shock to their downstream customers. The spillover effect occurs through two channels: a reduction in trade credit offered and a reduction in the total supply of goods and services. After exposure to the spillover, downstream customers show a spike in credit risk and a reduction in employment. Overall, the paper highlights the importance of financial spillovers in explaining corporate sector outcomes.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708736

中国资产管理研究中心-3086-1949-2016年美国的收入和财富不平等
Journal of Political Economy ? VOL. 128, Number 9 ? September 2020
作者：Moritz Kuhn (University of Bonn, Center for Economic Policy Research, and Institute of Labor Economics)；Moritz Schularick (University of Bonn and Center for Economic Policy Research)；Ulrike I. Steins (University of Bonn)
摘要：本文介绍了一个新的长期数据集，该数据集来自消费者金融调查的历年档案数据。 通过研究家庭收入和财富的联合分配，我们揭示了战后美国资产组合构成和资产价格对于财富动态的核心重要性。资产价格改变了财富分配，因为沿着财富分布的家庭投资组合存在系统性差异。中产阶级投资组合以住房为主，而富裕家庭则主要拥有商业股权。股本和房价的不同变化影响了战后美国的财富动态，并使长期内的收入和财富分配脱钩。
Income and Wealth Inequality in America, 1949–2016
Moritz Kuhn (University of Bonn, Center for Economic Policy Research, and Institute of Labor Economics), Moritz Schularick (University of Bonn and Center for Economic Policy Research), Ulrike I. Steins (University of Bonn)
ABSTRACT
This paper introduces a new long-run data set based on archival data from historical waves of the Survey of Consumer Finances. Studying the joint distribution of household income and wealth, we expose the central importance of portfolio composition and asset prices for wealth dynamics in postwar America. Asset prices shift the wealth distribution because of systematic differences in household portfolios along the wealth distribution. Middle-class portfolios are dominated by housing, while rich households predominantly own business equity. Differential changes in equity and house prices shaped wealth dynamics in postwar America and decoupled the income and wealth distribution over extended periods.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708815

中国资产管理研究中心-3087-自负盈亏的运行：来自美国寿险业的证据
Journal of Political Economy ? VOL. 128, Number 9 ? September 2020
作者：Nathan Foley-Fisher (Federal Reserve Board of Governors)；Borghan Narajabad (Federal Reserve Board of Governors)；Stéphane Verani (Federal Reserve Board of Governors)
摘要：投资者之间不断恶化的基本面和战略互补性的相互作用，使自负盈亏过程的识别具有挑战性。我们提出了一个动态模型，以显示如何利用企业负债结构的外生变化获得战略互补强度的变化。将这种识别策略应用于美国人寿保险公司提供的可出售证券，我们发现，在2007和2008年危机期间，机构投资者在人寿保险公司经营的180亿美元中，至少有40％被自负盈亏的期望所放大。我们的发现表明，机构投资者在影子银行中的其他同期运行可能具有自负盈亏的成分。
Self-Fulfilling Runs: Evidence from the US Life Insurance Industry
Nathan Foley-Fisher (Federal Reserve Board of Governors), Borghan Narajabad (Federal Reserve Board of Governors), Stéphane Verani (Federal Reserve Board of Governors)
ABSTRACT
The interaction of worsening fundamentals and strategic complementarities among investors renders identification of self-fulfilling runs challenging. We propose a dynamic model to show how exogenous variation in firms’ liability structures can be exploited to obtain variation in the strength of strategic complementarities. Applying this identification strategy to puttable securities offered by US life insurers, we find that at least 40% of the $18 billion run on life insurers by institutional investors during the 2007–8 crisis was amplified by self-fulfilling expectations. Our findings suggest that other contemporaneous runs in shadow banking by institutional investors may have had a self-fulfilling component.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708817

中国资产管理研究中心-3088-纵向整合，供应商行为和出口商之间的质量提升
Journal of Political Economy ? VOL. 128, Number 9 ? September 2020
作者：Christopher Hansman (Imperial College London)；Jonas Hjort (Columbia University, Center for Economic Policy and Research, and National Bureau of Economic Research)；Gianmarco León-Ciliotta (Universitat Pompeu Fabra, Barcelona Graduate School of Economics, Institute of Political Economy and Governance, andCenter for Economic Policy and Research)；Matthieu Teachout (International Growth Centre)
摘要：本文研究了企业产出质量与组织结构的关系。利用秘鲁鱼粉制造业的生产和交易链的数据，我们建立了三个结果。首先，当外部原因导致质量溢价上升时，企业会整合供应商。第二，当纵向整合时，供应商改变他们的行为以更好地保持投入质量。第三，当天气和供应商可用性冲击使企业转向使用集成供应商时，企业的高质量产出比例更高。总的来说，我们的研究结果表明，正如经典企业理论所预测的那样，质量升级是整合面临“数量-质量权衡”的供应商的重要动机。
Vertical Integration, Supplier Behavior, and Quality Upgrading among Exporters
Christopher Hansman (Imperial College London), Jonas Hjort (Columbia University, Center for Economic Policy and Research, and National Bureau of Economic Research), Gianmarco León-Ciliotta (Universitat Pompeu Fabra, Barcelona Graduate School of Economics, Institute of Political Economy and Governance, and Center for Economic Policy and Research), Matthieu Teachout (International Growth Centre)
ABSTRACT
We study the relationship between firms’ output quality and organizational structure. Using data on the production and transaction chain that makes up Peruvian fish meal manufacturing, we establish three results. First, firms integrate suppliers when the quality premium rises for exogenous reasons. Second, suppliers change their behavior to better maintain input quality when vertically integrated. Third, firms produce a higher share of high-quality output when weather and supplier availability shocks shift them into using integrated suppliers. Overall, our results indicate that quality upgrading is an important motive for integrating suppliers facing a quantity-quality trade-off, as classical theories of the firm predict.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708818

中国资产管理研究中心-3089-震惊！美国紧急护理的网络外计费
Journal of Political Economy ? VOL. 128, Number 9 ? September 2020
作者：Zack Cooper (Yale University and National Bureau of Economic Research)；Fiona Scott Morton (Yale University and National Bureau of Economic Research)；Nathan Shekita (Yale University)
摘要：在美国，医院和医生独立地与保险公司谈判合同。因此，私人保险的个人可以在网络内的医院的急诊科接受治疗，但是会从在该机构工作的网络外急诊医生那里收到一大笔意外费用。因为病人不能选择他们的急诊医生，急诊医生可以保持在网络之外，并在不损失病人数量的情况下收取高价。本文证明了这种强大的外部选择提高了医生与保险公司的议价能力。最后，本文分析了纽约通过医生和保险公司之间关于网络外支付的具有约束力的仲裁来解决网络外费用的问题。这种干预措施将网络外计费降低了12.8个百分点（88%）。
Surprise! Out-of-Network Billing for Emergency Care in the United States
Zack Cooper (Yale University and National Bureau of Economic Research), Fiona Scott Morton (Yale University and National Bureau of Economic Research), Nathan Shekita (Yale University)
ABSTRACT
In the United States, hospitals and physicians independently negotiate contracts with insurers. Therefore, a privately insured individual can be treated at an in-network hospital’s emergency department but receive a large unexpected bill from an out-of-network emergency physician working at that facility. Because patients do not choose their emergency physician, emergency physicians can remain out of network and charge high prices without losing patient volume. We illustrate that this strong outside option improves physicians’ bargaining power with insurers. We conclude by analyzing New York’s efforts to address out-of-network billing through binding arbitration between physicians and insurers over out-of-network payments. This intervention reduced out-of-network billing by 12.8 percentage points (88%).
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708819

中国资产管理研究中心-3090-道德价值观与投票
Journal of Political Economy ? VOL. 128, Number 10 ? October 2020
作者：Benjamin Enke (Harvard University and National Bureau of Economic Research)
摘要：本文研究了美国总统选举中道德价值观的供给与需求。结合大规模调查数据和文本分析，我支持这样一个假设，即选民和政治家在强调普遍主义与公共道德价值观方面表现出异质性，而政治家的投票比例部分反映了他们的道德诉求与选民价值观的匹配程度。在过去的十年里，美国人的价值观变得越来越相似，尤其是在农村地区，这导致了道德的两极分化，并与空间投票模式的变化有关。
Moral Values and Voting
Benjamin Enke (Harvard University and National Bureau of Economic Research)
ABSTRACT
This paper studies the supply of and demand for moral values in recent US presidential elections. Using a combination of large-scale survey data and text analyses, I find support for the hypothesis that both voters and politicians exhibit heterogeneity in their emphasis on universalist relative to communal moral values and that politicians’ vote shares partly reflect the extent to which their moral appeal matches the values of the electorate. Over the last decade, Americans’ values have become increasingly communal—especially in rural areas—which generated increased moral polarization and is associated with changes in voting patterns across space.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708857

中国资产管理研究中心-3091-大萧条时期的代际再分配
Journal of Political Economy ? VOL. 128, Number 10 ? October 2020
作者：Andrew Glover (Federal Reserve Bank of Kansas City)；Jonathan Heathcote (Federal Reserve Bank of Minneapolis and Centre for Economic Policy Research)；Dirk Krueger (University of Pennsylvania, National Bureau of Economic Research, and Centre for Economic Policy Research)；José-Víctor Ríos-Rull (University of Pennsylvania, University College London, Centro de Análisis y Estudios Ríos Perez, Centre for Economic Policy Research, and National Bureau of Economic Research)
摘要：大萧条期间劳动力收入急剧下降，资产价格下降幅度更大。这些下降造成的福利损失是如何分布在不同年龄段的？为了解决这个问题，我们构建了一个重叠代际的一般均衡模型，在模型中家庭面临着巨大的总体冲击。模型的校准版本复制了资产价格的动态变化。年轻的家庭在大萧条中会遭受更大的收入损失，但可以暂时以低迷的价格购买资产从而获益。 结果，该模型预测，年轻人的福利损失比年龄较大的人群要小。
Intergenerational Redistribution in the Great Recession
Andrew Glover (Federal Reserve Bank of Kansas City), Jonathan Heathcote (Federal Reserve Bank of Minneapolis and Centre for Economic Policy Research), Dirk Krueger (University of Pennsylvania, National Bureau of Economic Research, and Centre for Economic Policy Research), José-Víctor Ríos-Rull (University of Pennsylvania, University College London, Centro de Análisis y Estudios Ríos Perez, Centre for Economic Policy Research, and National Bureau of Economic Research)
ABSTRACT
The Great Recession saw sharp drops in labor earnings and even larger declines in asset prices. How were the welfare losses from these declines distributed across different age groups? To address this question we construct an overlapping-generations general equilibrium model in which households face large aggregate shocks. A calibrated version of the model replicates observed dynamics for asset prices. Younger households experience larger earnings losses in a model Great Recession, but benefit from being able to buy assets at temporarily depressed prices. As a result, the model predicts that the young experience smaller welfare losses than older cohorts.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/708820

中国资产管理研究中心-3092-具有相互依赖成本的拍卖模型中的识别
Journal of Political Economy ? VOL. 128, Number 10 ? October 2020
作者：John William Hatfield (University of Texas at Austin)；Scott Duke Kominers (Harvard University and National Bureau of Economic Research)；Richard Lowery (University of Texas at Austin)；Jordan M. Barry (University of San Diego)
摘要：许多市场都是联合的，包括首次公开发行（ipo）、俱乐部交易杠杆收购（club deal）杠杆收购（club deal）和债券发行（debt），在这些市场中，每个中标者都会邀请竞争对手加入一个银团来完成生产。我们发现，在银团市场中，当市场集中度下降时，合谋可能变得更容易，而市场进入可能会促进合谋。尤其是企业可以通过拒绝与任何降低合谋价格的公司联合，从而提高该公司的生产成本，从而维持合谋。因此，我们的结果可以使自相矛盾的实证观察结果合理化，尽管市场集中度较低，但许多现实世界中的辛迪加市场仍表现出合谋定价。
Collusion in Markets with Syndication
John William Hatfield (University of Texas at Austin), Scott Duke Kominers (Harvard University and National Bureau of Economic Research), Richard Lowery (University of Texas at Austin), Jordan M. Barry (University of San Diego)
ABSTRACT
Many markets are syndicated, including those for initial public offerings, club deal leveraged buyouts, and debt issuances; in such markets, each winning bidder invites competitors to join a syndicate to complete production. We show that in syndicated markets, collusion may become easier as market concentration falls and market entry may facilitate collusion. In particular, firms can sustain collusion by refusing to syndicate with any firm that undercuts the collusive price, thereby raising that firm’s production costs. Our results can thus rationalize the paradoxical empirical observations that many real-world syndicated markets exhibit seemingly collusive pricing despite low levels of market concentration.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/709953

中国资产管理研究中心-3093-具有相互依赖成本的拍卖模型中的识别
Journal of Political Economy ? VOL. 128, Number 10 ? October 2020
作者：John William Hatfield (University of Texas at Austin)
Scott Duke Kominers (Harvard University and National Bureau of Economic Research)；Richard Lowery (University of Texas at Austin)；Jordan M. Barry (University of San Diego)
摘要：许多市场都是联合的，包括首次公开发行（ipo）、俱乐部交易杠杆收购（club deal）杠杆收购（club deal）和债券发行（debt），在这些市场中，每个中标者都会邀请竞争对手加入一个银团来完成生产。我们发现，在银团市场中，当市场集中度下降时，合谋可能变得更容易，而市场进入可能会促进合谋。尤其是企业可以通过拒绝与任何降低合谋价格的公司联合，从而提高该公司的生产成本，从而维持合谋。因此，我们的结果可以使自相矛盾的实证观察结果合理化，尽管市场集中度较低，但许多现实世界中的辛迪加市场仍表现出合谋定价。
Collusion in Markets with Syndication
John William Hatfield (University of Texas at Austin), Scott Duke Kominers (Harvard University and National Bureau of Economic Research), Richard Lowery (University of Texas at Austin), Jordan M. Barry (University of San Diego)
ABSTRACT
Many markets are syndicated, including those for initial public offerings, club deal leveraged buyouts, and debt issuances; in such markets, each winning bidder invites competitors to join a syndicate to complete production. We show that in syndicated markets, collusion may become easier as market concentration falls and market entry may facilitate collusion. In particular, firms can sustain collusion by refusing to syndicate with any firm that undercuts the collusive price, thereby raising that firm’s production costs. Our results can thus rationalize the paradoxical empirical observations that many real-world syndicated markets exhibit seemingly collusive pricing despite low levels of market concentration.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/709953

中国资产管理研究中心-3094-美国海上石油租赁拍卖的共同价值，未观察到的异质性和内生进入
Journal of Political Economy ? VOL. 128, Number 10 ? October 2020
作者：Giovanni Compiani(University of Chicago)Philip Haile(Yale University)；Marcelo Sant’Anna (EPGE Brazilian School of Economics and Finance)
摘要：尽管经常将钻探权拍卖作为共同价值的一个例子，但由于拍卖水平不可观测的异质性问题，正式证据受到限制。我们为具有关联价值、未观察到的异质性和内生竞标者进入的第一价格密封竞标开发了一种经验方法。我们证明了该模型的重要特征是非参数识别的，并对来自美国近海石油和天然气租赁拍卖的数据应用了半参数估计方法。我们发现，共同的价值观，附属的私人信息，以及不可观察到的异质性都存在。无法解释未观察到的异质性会掩盖共同价值的证据。在确定竞标价格和卖家收益的积极性时，我们研究了估算值对从属关系，获胜者的诅咒，拍卖规则以及竞标者数量之间相互作用的影响。
Identification in Auction Models with Interdependent Costs
Giovanni Compiani (University of Chicago), Philip Haile  (Yale University), Marcelo Sant’Anna (EPGE Brazilian School of Economics and Finance)
ABSTRACT
Although an auction of drilling rights is often cited as an example of common values, formal evidence has been limited by the problem of auction-level unobserved heterogeneity. We develop an empirical approach for first-price sealed-bid auctions with affiliated values, unobserved heterogeneity, and endogenous bidder entry. We show that important features of the model are nonparametrically identified and apply a semiparametric estimation approach to data from US offshore oil and gas lease auctions. We find that common values, affiliated private information, and unobserved heterogeneity are all present. Failing to account for unobserved heterogeneity obscures the evidence of common values. We examine implications of our estimates for the interaction between affiliation, the winner’s curse, the auction rules, and the number of bidders in determining the aggressiveness of bidding and seller revenue.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/710026

中国资产管理研究中心-3095-动机性错误记忆
Journal of Political Economy ? VOL. 128, Number 10 ? October 2020
作者：Soo Hong Chew (Southwestern University of Finance and Economics, China, and National University of Singapore)；Wei Huang (Chinese University of Hong Kong)；Xiaojian Zhao (Monash University and Chinese University of Hong Kong, Shenzhen)
摘要：人们经常忘记，有时甚至会出现错误记忆。本文报道了一项关于记忆错误及其与偏好特质的关系的大规模实验，这些偏好特征包括时间偏好，对风险和歧义的态度以及诸如预期感觉之类的心理特征。我们观察到系统性的错误记忆倾向于积极事件和积极遗忘过去的消极事件。积极的错误记忆和积极的虚构都与当前的偏见有很大关系，但是对于积极的健忘症却并非如此。在一个多重自我模型中，我们证明了积极的错误记忆，而不是选择性失忆症，有助于增强一个人对未来处于平衡状态的自我的信心，从而解释了我们的实验结果。
Motivated False Memory
Soo Hong Chew (Southwestern University of Finance and Economics, China, and National University of Singapore), Wei Huang (Chinese University of Hong Kong), Xiaojian Zhao (Monash University and Chinese University of Hong Kong, Shenzhen)
ABSTRACT
People often forget and sometimes fantasize. This paper reports a large-scale experiment on memory errors and their relation to preferential traits including time preference, attitudes toward risk and ambiguity, and psychological characteristics such as anticipatory feelings. We observe systematic incidences of false memory in favor of positive events and positive amnesia in forgetting past negative events. Both positive delusion and positive confabulation significantly relate to present bias, but this is not the case for positive amnesia. In an intraperson, multiple-self model, we demonstrate that positive false memory, rather than selective amnesia, serves to enhance confidence in one’s future self in equilibrium, thereby accounting for our experimental findings.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/709971

中国资产管理研究中心-3096-非洲冲突的经济根源
Journal of Political Economy ? VOL. 128, Number 10 ? October 2020
作者：Eoin McGuirk (Tufts University)；Marshall Burke (Stanford University and National Bureau of Economic Research)
摘要：我们研究了全球食品价格冲击对整个非洲当地暴乱的影响。在粮食产区，价格上涨减少了对领土控制权的冲突（“要素冲突”），并增加了对盈余分配的冲突（“产出冲突”）。我们认为，之所以出现这种差异，是因为较高的价格增加了生产者的机会成本，同时又随着实际工资的下降而诱使消费者获得适当的盈余。在没有农作物种植的地区，较高的价格加剧了两种形式的冲突。我们使用调查数据来验证我们在地方层面上对产出冲突的发现。我们的发现有助于调和关于冲突经济根源的日益增长但模棱两可的文献。
The Economic Origins of Conflict in Africa
Eoin McGuirk (Tufts University), Marshall Burke (Stanford University and National Bureau of Economic Research)
ABSTRACT
We study the impact of global food price shocks on local violence across Africa. In food-producing areas, higher prices reduce conflict over the control of territory (“factor conflict”) and increase conflict over the appropriation of surplus (“output conflict”). We argue that this difference arises because higher prices increase the opportunity cost of soldiering for producers while simultaneously inducing consumers to appropriate surplus as real wages fall. In areas without crop agriculture, higher prices increase both forms of conflict. We validate our local-level findings on output conflict using survey data. Our findings help reconcile a growing but ambiguous literature on the economic roots of conflict.
翻译：邵丹
原文链接：
https://www.journals.uchicago.edu/doi/10.1086/709993

中国资产管理研究中心-3097-大股东类型和董事会治理
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Joanna Ho(University of California at Irvine, USA)；Cheng Jen Huang(National Chengchi University, Taiwan)；Christo Karuna(Monash University, Australia)
摘要：本研究检验了大股东持股和公司董事会治理结构的关系。基于台湾地区公司的数据，我们发现不同类型的大股东持股对董事会治理结构的影响方式不同。特别的，我们发现更高的家族持股比例与更大外部经理人在董事会的占比以及更高的CEO-董事长合一的可能性相关。机构持股和董事会治理结构的关系取决于该机构是外国的还是本国的，以及是积极的还是消极的。我们的发现共同表明家族（机构）持股与指导性（监视性）董事会有更强的关系。我们的研究通过提供关于大股东类型和董事会治理结构多维关系证据丰富了相关领域的研究。
关键词：代理问题，公司治理，经理层激励，家族控制，家族持股，机构持股
Large shareholder ownership types and board governance
Joanna Ho(University of California at Irvine, USA), Cheng Jen Huang(National Chengchi University, Taiwan), Christo Karuna(Monash University, Australia)
Abstract
This study examines the relation between large shareholder ownership and board governance in firms. Using a dataset comprising Taiwanese firms, we find that different types of large shareholder ownership influence board governance in different ways. Specifically, we find that greater family ownership is associated with greater outside director proportion on the board and a higher likelihood of CEO-chair combination. The nature of the relation between institutional ownership and board governance depends on whether the institutional owners are foreign or domestic, and active or passive. Our findings collectively suggest that family (institutional) ownership is more associated with an advisory (monitoring) board. Our study contributes to the literature by providing evidence on the multidimensional nature of the relation between large shareholder ownership types and board governance.
Keywords: Agency problems; Corporate governance; Managerial incentives; Family control; Family ownership; Institutional ownership
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101715

中国资产管理研究中心-3098-话语和权力：机构持股者使用了他们的投票权吗？
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Efrat Dressler(The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Israel)
摘要：我调查了投票权起的作用—对投票结果的影响能力—从机构持股者的投票行为中。通过使用手工收集的以色列公司数据，该市场有公司所有权集中的特点，我采用从政治学研究中借鉴来的权力指数来衡量机构持股者持有的投票权和他们表现出的投票模式。我发现机构持股者的投票权力与他们投票反对管理层决定的倾向负相关：持股者越强势，他们投票支持管理层发起的提议的倾向就越大。基于此处获得的证据，这种行为可以归因于投票前谈判以及“反正我投票不算数”的投票策略。下一步，我使用持股者的投票细节数据来识别一个投票规则影响少数股东权益保护的渠道。我发现那些强有力的机构持股者几乎从未使用他们的投票权来反对管理层，甚至是在公司治理糟糕的信号显而易见的时侯。我得出了投票规则通过提议筛选影响少数股东权益保护而非直接通过投票的结论。
关键词：公司治理，投票行为，投票权，股东投票，股东权益保护，机构持股者，表达性投票
Voice and power: Do institutional shareholders make use of their voting power?
Efrat Dressler(The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Israel)
Abstract
I investigate the role of voting power – the ability to influence a vote's outcome – in the voting behavior of institutional shareholders. Using hand-collected data from Israel, an environment with concentrated ownership, I employ a power index borrowed from the political science literature to examine the voting power wielded by institutional shareholders and the voting patterns they display. I find that institutional shareholders' voting power is negatively related to their tendency to vote against management: the stronger the shareholder, the higher the probability they will vote in favor of a management-sponsored proposal. Based on evidence obtained here, this behavior is attributable to pre-vote negotiations as well as to the voting strategy of “counting on my vote not counting.” Next, I use detailed data on shareholders' votes to identify the channel through which a voting rule affects minority shareholder protection. I find that powerful institutional shareholders almost never use their voting power to vote against management, not even when signals of poor governance are discernible. I conclude that the effect of a voting rule on minority shareholder protection operates through proposal selection, rather than through direct voting.
Keywords:Corporate governance; Voting behavior; Voting power; Shareholder voting; Shareholder protection; Institutional shareholders; Expressive voting
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101716

中国资产管理研究中心-3099-董事会监管，经理联系和信用质量
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Jason Sandvik(A.B. Freeman School of Business, Tulane University, United States of America)
摘要：董事会监管有效性差的公司将会获得更低的信用评级以及更高的信用溢差。我使用经理离世作为对董事会监管的外生冲击来识别这些效应。这些效应在公司高杠杆运作时尤为显著。董事会监管有效性进一步下降对信用质量的冲击在大部分董事会成员由管理层指派和公司更有可能增加公司风险时最明显。
关键词：董事会监管，公司治理，债务成本，评级机构，公司违约
Board monitoring, director connections, and credit quality
Jason Sandvik(A.B. Freeman School of Business, Tulane University, United States of America)
Abstract
Firms with poor board monitoring effectiveness receive lower credit ratings and larger credit spreads. I identify these effects by using director deaths as exogenous shocks to monitoring effectiveness. These effects are especially pronounced when firms are highly levered. Incremental decreases in monitoring effectiveness impact credit quality the most when a majority of the board members become co-opted by management and when firms are more likely to increase corporate risk.
Keywords: Board monitoring; Corporate governance; Cost of debt; Rating agency; Corporate default
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101726

中国资产管理研究中心-3100-套利VS知情卖空：来自可转债发行者的证据
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：John Hackney(University of South Carolina, USA)；Tyler R. Henry(Miami University, OH, USA)；Jennifer L. Koski(University of Washington, USA)
摘要：先前的文章要么研究了在证券市场上知情者卖空的效应，要么研究了套利者卖空的效应。我们检验了同一公司同一时期中可转债发行时和盈利公告时知情卖空和不知情卖空的相对重要性。可转债的套利卖空与暂时性的价格压力相关，与向下的需求曲线一致。盈利公告时的卖空与预测到未来回报的知情交易者行为相吻合。影响卖空成本的公司层面特征对知情卖空和套利卖空产生的影响类似。刻画对冲需求的交易层面特征也强烈地决定了可转债的套利卖空。
关键词：卖空，知情交易，套利，盈利公告，可转债
Arbitrage vs. informed short selling: Evidence from convertible bond issuers
John Hackney(University of South Carolina, USA); Tyler R. Henry(Miami University, OH, USA); Jennifer L. Koski(University of Washington, USA)
Abstract
Prior literature examines the effect of either informed or arbitrage short selling on equity markets. We test the relative importance of informed and uninformed short selling around convertible bond issues and earnings announcements for the same firms over the same time period. Convertible arbitrage short selling is associated with temporary price pressure, consistent with downward sloping demand curves. Earnings announcement short selling is consistent with informed traders who anticipate future returns. Firm-specific characteristics related to the cost of short selling similarly affect both informed and arbitrage short selling. Deal-specific characteristics capturing hedging demand also strongly determine convertible arbitrage short selling.
Keywords: Short selling; Informed trading; Arbitrage; Earnings announcements; Convertible bonds
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101687

中国资产管理研究中心-3101-预示风险投资公司筹资成功的早期指标
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Henry Lahr(Department of Accounting and Finance, The Open University Business School,?UK; Centre for Business Research, Judge Business School, University of Cambridge, Trumpington Street, UK)；Timothy E. Trombley(College of Business, Illinois State University,?United States)
摘要：我们展示了风险投资公司的筹资如何受它的投资决策影响。我们调查了三个基于风险投资公司的投资类型计算得出的领先指标：风格偏离投资，后续投资以及在不是本公司领投的目标公司的投资。我们发现这些投资特征与更低的筹资额相联系。风险投资公司的特征和市场对特征的反应都普遍随时稳定。我们还发现有关投资特征的信息预期特征对于世界形势差时的筹资有更强的重要性，以及预期特征与最终退出的结果和财务绩效相关的证据。
关键词：私募股权，风格偏离，后续投资，领投人，绩效指标，风险资本，筹资
Early indicators of fundraising success by venture capital firms
Henry Lahr(Department of Accounting and Finance, The Open University Business School,?UK; Centre for Business Research, Judge Business School, University of Cambridge, Trumpington Street, UK); Timothy E. Trombley(College of Business, Illinois State University,?United States)
Abstract
We show how a venture capital firm's fundraising is affected by its investment choices. We investigate three leading indicators that are calculated from the types of investments the venture capital firms make: style drift investments, follow-on investments, and investments in which the venture capital firm is not the lead investor in the portfolio company. We find that these investment characteristics are associated with lower fundraising. Characteristics and the reaction of fundraising to characteristics are both moderately stable through time. We also find some evidence that information about investment characteristics is more important for fundraising during bad states of the world and that ex-ante characteristics are related to eventual exit outcomes and financial performance.
Keywords: Private equity; Style drift; Follow-on investments; Lead investor; Performance indicator; Venture capital; Fundraising
翻译：黄伟洲
原文链接：https://doi.org/10.1016/j.jcorpfin.2020.101672

中国资产管理研究中心-3102-主权风险与银行危机的关联
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Franco Fiordelisi(University of Essex, United Kingdom)；Claudia Girardone(University of Essex, United Kingdom)；Federica Minnucci(University of Rome Tor Vergata, Italy)；Ornella Ricci(Roma Tre University, Italy)
摘要：欧元区发生的主权债务危机凸显出银行和主权政府财务状况的紧密联系，且与更高的融资成本和更低的私人部门信用水平相关联。在本文中，我们分析了2010-2018年间的五个子区间上主权信用违约互换（CDS）利差和银行信用违约互换（CDS）利差之间的协同运动，并评估了单一清算机制（SRM）的声明和实施产生的影响。我们的证据表明新的纾困机制，这一机制确保问题银行的私人债权人在公共资金注入银行纾困前先承受损失，显著地降低了主权政府和银行部门风险的关联性。
关键词：内部纾困，银行危机，单一清算机制，主权政府-银行关联，欧洲银行
On the nexus between sovereign risk and banking crises
Franco Fiordelisi(University of Essex, United Kingdom), Claudia Girardone(University of Essex, United Kingdom), Federica Minnucci(University of Rome Tor Vergata, Italy), Ornella Ricci(Roma Tre University, Italy)
Abstract
The sovereign debt crisis in the euro area highlighted the close connections between the financial health of banks and sovereigns and was associated with higher funding costs and lower private sector credit. In this study, we analyze the dynamics of the co-movement between sovereign and bank credit default swaps (CDS) spreads in five sub-periods over 2010–2018 and evaluate the effects of the announcement and introduction of the Single Resolution Mechanism (SRM). Our evidence demonstrates that the new bail-in regime, which ensures that troubled banks' private debtholders absorb their losses first, before public money could be used to bail them out, significantly reduced the interconnections between sovereign and banking sector risks.
Keywords: Bail-in; Banking crises; Single Resolution Mechanism; Sovereign-bank nexus; European banking
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101717
中国资产管理研究中心-3103-绩效工资作为礼物交换：来自中国公司创新的证据
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Dongmin Kong(School of Finance, Zhongnan University of Economics and Law, PR China)；Yanan Wang(School of Finance, Zhongnan University of Economics and Law, PR China)；Jian Zhang(School of Business and Management, Shanghai International Studies University, PR China)
摘要：本文探究了普通员工在公司创新中的影响。我们揭示了向普通员工支付更高的相对工资将带来表现为专利数量和质量的创新成就。这一效应在高技能员工占比更高的公司、研发强度更高的行业、劳动力市场竞争性更强的省份和非国有企业更为显著。进一步的分析显示绩效工资由于保持和吸引宝贵的人力资本且激发员工工作热情可以作为激励创新的潜在渠道。最后，我们揭示了技术进步机制是一个经由普通员工影响生产力增长进而影响经济的机制。
关键词：绩效工资，公司创新，人力资本
Efficiency wages as gift exchange: Evidence from corporate innovation in China
Dongmin Kong(School of Finance, Zhongnan University of Economics and Law, PR China); Yanan Wang(School of Finance, Zhongnan University of Economics and Law, PR China); Jian Zhang(School of Business and Management, Shanghai International Studies University, PR China)
Abstract
This paper investigates the impact of rank-and-file employees on corporate innovation. We show that paying higher relative wages to rank-and-file employees promotes better innovation outcomes in terms of patent quantity and quality. This effect is more significant among firms with large proportions of skilled employees, industries with high levels of R&D intensity, provinces with competitive local labor markets, and non-SOEs. Further analyses reveal that efficiency wages can serve as an underlying economic channel that fosters innovation by retaining and attracting valuable human capital and stimulating their working enthusiasm. Finally, we show that technological innovation is a mechanism through which rank-and-file employees affect productivity growth and thereby affect the economy.
Keywords: Efficiency wage; Corporate innovation; Human capital
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101725

中国资产管理研究中心-3104-共同基金的清盘，金融危机和达尔文
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Anna(Ania) Zalewska(CGR&IS, School of Management, University of Bath, UK)；Yue Zhang(International School of Business & Finance, Sun Yat-sen University, China)
摘要：过去的研究已经证实基金表现和基金清盘间的负相关关系。本文分析了在2000-2014年间清盘的6600只美国共同基金，这一数目接近目前仍存续的美国共同基金数量的两倍，为2008年金融危机期间是否存在清盘-绩效表现的负相关关系提供了证据。我们确认了这一总体关系存在，但发现，与其他时期不一致，在金融危机期间不存在统计上显著的清盘-绩效表现的相关关系。我们还揭示出基金支出与负担对基金清盘的影响在危机期间增强。这与我们的观点一致，即当一些积极投资者离开市场时，消极投资者对于基金家族变得十分重要，尽管这些投资者最终会蒙受损失。我们还发现，发生在金融危机后的并购的结果是并购发起方和被并购方的并购发生后表现都在统计上劣于他们在并购发生前的表现。
关键词：委托代理冲突，共同基金，绩效，基金清盘，并购，金融危机
Mutual funds' exits, financial crisis and Darwin
Anna(Ania) Zalewska(CGR&IS, School of Management, University of Bath, UK); Yue Zhang(International School of Business & Finance, Sun Yat-sen University, China)
Abstract
It is recognized in the literature that there is a negative relationship between fund performance and fund exit. This paper analyses the performance of 6600?U.S. mutual funds that exited the market in the 2000–2014 period and nearly twice as many U.S. mutual funds that remained operational, to provide evidence on whether the negative exit – performance relationship existed during the 2008 financial crisis. We confirm the general relationship but show that, in contrast to all the other periods, there was no statistically significant exit – performance relationship during the financial crisis. We also show that the impact of expenses and loads on fund exit increased during the crisis. This is consistent with our argument that when some active investors leave the market, the passive ones become important to fund–families, albeit the investors may lose out as a result. We also show that the mergers that occurred in the years following the financial crisis resulted in statistically significantly worse post–merger performance of both the acquirers and of the targets in comparison with their pre–merger performance.
Keywords: Agency conflict; Mutual funds; Performance; Liquidations; Mergers; Financial crisis
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101738

中国资产管理研究中心-3105-在非正规金融市场中存在基于雇员的性别差异吗？——来自国际的证据
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Jiafu An(Faculty of Business and Law, University of Portsmouth, United Kingdom)
摘要：我们研究了世界范围内女性产业工人对于公司取得商业信用的影响。采用来自两个来源的衡量性别歧视的变量以及双重差分模型，我们发现有更多女性产业工人的公司在具有更强的男性偏好的国家更难获得商业信用。这一关系更多的体现于出现非预期的信用紧张状况产业的公司以及男性主导产业的公司。由于女性主导的企业更多依赖非正式金融体系，本研究与在存在高度性别歧视的地区制定引导女性主导企业参与正规金融体系的政策相关。
关键词：性别歧视，商业信用，耕作，女性雇员
Is there an employee-based gender gap in informal financial markets? International evidence
Jiafu An(Faculty of Business and Law, University of Portsmouth, United Kingdom)
Abstract
We study the impact of female production workers on firms' access to trade credits across the world. Using two sources of plausibly exogenous variations in gender bias and a difference-in-differences framework, we document that firms with more female production workers have less access to trade credits in countries with stronger gender beliefs that favor males. This relationship is largely driven by firms in industries with unexpected credit shortages and industries dominated by males. Since female firms rely more on informal finance, this study is relevant for policies that direct female firms towards formal credit markets in highly gender-biased places.
Keywords: Gender bias; Trade credit; Plough; Female employee
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101737

中国资产管理研究中心-3106-风险投资的策略性撤投
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Pierre Mella-Barral(TBS Business School, France)
摘要：初期阶段的风险投资在项目需要更多资金前传递了有关该项目质量的信息。为了取得最理想的初期阶段财务安排，创业者需要寻找拥有最优秀识别能力的风险投资人。然而向有最优秀识别能力的投资人筹资也会对后续融资产生副作用。投资人可以通过威胁不进行后续投资从创业者处取得更有利的条件：这位投资人判断得越准确，他不参与下一轮投资向其他投资者传递的信号就越负面。因此，最有吸引力的初期阶段风险投资人是那些只具备普通识别能力的人。策略性撤投的威胁强化了信用配给现象。
关键词：风险投资，识别能力，鉴定，阶段性投资
Strategic decertification in venture capital
Pierre Mella-Barral(TBS Business School, France)
Abstract
An early-round investment delivers information about the quality of a project before more funds are needed. To obtain the best early-round financing offer, the entrepreneur should then approach a venture capitalist with highest screening ability. Going for the most accurate venture capitalist can however backfire in a follow-on round of financing. He could extract advantageous terms by threatening not to reinvest: the more accurate the incumbent, the more the signal sent by his non-participation to alternative financiers would be negative. Then, the most attractive early-round venture capitalist has only intermediate screening ability. The threat of strategic decertification enhances credit rationing.
Keywords: Venture capital; Screening ability; Certification; Staged investment
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101724

中国资产管理研究中心-3107-公司媒体联系与并购结果
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Md Miran Hossain(Cameron School of Business,?University of North Carolina Wilmington,??United States of America)；David Javakhadze(College of Business, FloridaAtlantic University, United States of America)
摘要：我们检验了并购方与媒体的社会联系和并购结果之间的关系。我们发现，与媒体管理假说一致，媒体联系与更高的出价公告回报率、更低的接管收益，更糟糕的并购后经营绩效，更高的并购中止可能性以及更强的并购动机有关。媒体联系和并购公告回报率的联系在采用股票收购时更明显。通过对各个潜在的渠道进行检验，我们揭示出媒体网络与并购方的媒体覆盖和标前公告期的媒体标题情绪正相关。我们的发现在使用了替代变量和进行内生性检验后仍具有鲁棒性。
关键词：兼并收购，媒体联系，媒体覆盖与情绪
Corporate media connections and merger outcomes
Md Miran Hossain(Cameron School of Business,?University of North Carolina Wilmington,??United States of America); David Javakhadze(College of Business, Florida Atlantic University, United States of America)
Abstract
We examine the relation between acquirer social ties with the media and merger outcomes. We find that, consistent with the media management hypothesis, media connectedness is associated with the higher bid announcement return, lower takeover premium, poorer post-merger operating performance, greater likelihood of deal closure, and greater acquisitiveness. The association between media connections and merger announcement returns is more pronounced for stock deals. Examining the underlying channel, we show that the media networks are positively related to acquirers' media coverage and sentiment of the news articles during the pre-bid announcement period. Our findings are robust to alternative variable measurement as well as tests for endogeneity.
Keywords: Mergers and acquisitions; Media connections; Media coverage and sentiment
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101736

中国资产管理研究中心-3108-从属于银行持股公司与银行稳定性：来自美国银行部门的证据
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Radoslav Raykov(Bank of Canada, Canada)；Consuelo Silva-Buston(School of Management, Pontificia Universidad Católica de Chile)
摘要：作为一家拥有多家银行的持股公司旗下一员能否有利于银行的稳定？我们通过检验独立银行以及属于多银行持股公司的银行市场风险指标对一次外生性负面冲击（2005年美国飓风季）的反应。我们发现的证据与银行持股公司在缓冲负面冲击时扮演重要角色的理论一致，拥有持有更多流动性头寸子公司的持股公司在系统层面和个体层面都更具稳定性。我们还进行了事件研究，结果表明市场认为多银行持股公司对冲击的应对模式是一种价值提升。
关键词：银行持股公司，系统性风险，金融稳定
Holding company affiliation and bank stability: Evidence from the US banking sector
Radoslav Raykov(Bank of Canada, Canada); Consuelo Silva-Buston(School of Management, Pontificia Universidad Católica de Chile)
Abstract
Is affiliation with a multibank holding company beneficial for bank stability? We revisit this question by examining the response of market-based risk measures of independent and multibank-holding-company banks to an exogenous negative shock (the 2005 US hurricane season). We find evidence consistent with bank holding companies playing an important role in mitigating negative shocks, with affiliates of more liquid holdings remaining more stable in terms of both systemic and individual stability. We also conduct an event study showing that markets perceive multibank-holding-company banks' dynamics after the shock as value-enhancing.
Keywords: Holding company banks; Systemic risk; Financial stability
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101739

中国资产管理研究中心-3109-P2P向中小企业贷款中的信用配给：借贷双方的关系有影响吗？
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Rients Galema(School of Economics, Utrecht University, Netherlands)
摘要：这篇文章研究了熟悉借款者的P2P个体投资者在向中小企业贷款中存在的信用配给的缓解上发挥的作用。我使用由荷兰最大的P2P借贷平台之一提供的独有数据，在该平台上与借款者相熟的人可以在其他P2P投资者之前进行投资。我发现P2P投资者会向他们所熟识的人的借款投资更多的资金。更多的来自于借款人熟人的初始投资与之后有更高的可能性从P2P借款人处取得第二笔贷款，更大额的其他P2P投资者投资以及更低的事后违约率相关。这些结果与拥有优势信息或者监督技能的非正式出借人和理性跟随非正式出借人的投资决策相一致。
关键词：P2P借贷，信用配给，中小企业，非正式金融
Credit rationing in P2P lending to SMEs: Do lender-borrower relationships matter?
Rients Galema(School of Economics, Utrecht University, Netherlands)
Abstract
This paper studies the role of individual P2P investors that are acquainted with the borrower in mitigating credit rationing in P2P lending to SMEs. I use proprietary data provided by one of the biggest Dutch P2P lending platforms, on which personal acquaintances of the borrower are able to invest before other P2P investors do. I find that P2P investors invest more in loans of borrowers to whom they are personally acquainted. More initial investment by investors acquainted with the borrower is subsequently associated with a higher likelihood of obtaining a second loan from the P2P lender, larger investments by other P2P investors and lower ex post defaults. These results are consistent with informal lenders having superior information or monitoring skills and rational herding following informal investors' investment decisions.
Keywords: P2P lending; Credit rationing; SMEs; Informal finance
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101742

中国资产管理研究中心-3110-外部的不确定性对企业可持续性绩效有影响吗？
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Jing jia(School of Business and Economics, University of Tasmania, Australia)；Zhongtian Li(QUT Business School, The Queensland University of Technology, Australia)
摘要：受启发于企业可持续性概念的流行以及国际间逐渐增加的不确定性，我们调查了三种来源的不确定性的影响，即：经济政策、气候变化以及政治不稳定性对企业可持续性绩效的影响。使用来自72个国家共6804家企业前后15年的数据，我们的研究揭示来自气候变化、经济政策和政治不稳定性的不确定性对企业可持续性绩效产生负面影响。这一发现支持了实物期权理论，理论认为外部环境中的不确定性将抑制企业开展长期投资（例如投资于企业的可持续性上）。除此之外，结果表明可推延企业可持续性投资的选择权缓和了国家层面的不确定性和企业可持续性绩效之间的关系。面对不确定性时，拥有更高可持续性绩效的企业拥有更高的企业价值，拥有更高收益表现的企业在面对国家层面的不确定性时可持续性更强。
关键词：气候变化，企业可持续性，经济政策不确定性，政治不稳定性，不确定性
Does external uncertainty matter in corporate sustainability performance?
Jing jia(School of Business and Economics, University of Tasmania, Australia); Zhongtian Li(QUT Business School, The Queensland University of Technology, Australia)
Abstract
Motivated by the prevalence of corporate sustainability and the rise of uncertainty at the national level, we investigate the impact of three sources of uncertainty; namely, economic policy, climate change, and political instability, on firms' sustainability performance. Using a sample of 6804 firms from 72 countries spanning 15?years, our study revealed that uncertainty due to climate change, economic policy, and political instability negatively affects firms' sustainability performance. This finding is in line with the real options theory that uncertainty in an external environment discourages firms' long-term investment (e.g. investment in corporate sustainability). In addition, the results show that the option for delay in sustainability investment moderated the relation between uncertainty at the national level and firms' sustainability performance. Firms with better sustainability performance had higher firm value when facing uncertainty. Interestingly, firms with higher profitability performed better in sustainability when facing uncertainty at the national level.
Keywords: Climate change; Corporate sustainability; Economic policy uncertainty; Political instability; Uncertainty
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101743

中国资产管理研究中心-3111-雇员友好型企业投资效率更高吗？——来自劳动力投资效率的证据
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Zhangfan Cao(Nanjing Audit University, China)；William Rees(University of Edinburgh,?UK; University of Amsterdam, Netherland)
摘要：我们研究了雇员待遇对劳动力投资效率的影响。我们用证据证明了对雇员友好的待遇条件与更低的实际劳动力投资和经济基本面确定的劳动力投资的偏差显著相关，亦即更高的劳动力投资效率。雇员待遇对人力投资效率的影响在拥有更多技术工人和知识资本的人力资本密集型企业上，以及面对激烈产品市场竞争的公司上更为强烈。使用2008年至2009年金融危机作为外生冲击并采用双重差分法，我们还揭示出雇员友好型企业在金融危机后有更高的劳动力投资效率，但在危机期间承受了更低的劳动力投资效率。经过安慰剂检验、选择性偏差测试、倾向性评分匹配、替代解释检验，以及用将残差作为被解释变量、额外控制变量和其他解决内生性问题的方法进行调整后，我们的结论仍具备鲁棒性。
关键词：雇员待遇，企业社会责任，劳动力投资效率，人力资本，金融危机
Do employee-friendly firms invest more efficiently? Evidence from labor investment efficiency
Zhangfan Cao(Nanjing Audit University, China);William Rees(University of Edinburgh,?UK; University of Amsterdam, Netherland)
Abstract
We investigate the impact of employee treatment on labor investment efficiency. We provide evidence that employee-friendly treatment is significantly associated with lower deviations of labor investment from the level justified by economic fundamentals, i.e., higher labor investment efficiency. The effect of employee treatment on labor investment efficiency is stronger for firms that are human-capital-intensive, with more skilled labor and knowledge capital, and those that face higher product market competition. Using the 2008–2009 financial crisis as an external shock and applying the difference-in-difference method, we also show that employee-friendly firms have higher labor investment efficiency in the post-financial crisis period, but experience more inefficient labor investments during the crisis. Our results are robust to placebo tests, selection bias, propensity score matching, alternative explanations, alternative proxies for both employee treatment and labor investment efficiency as well as the adjustment for using residuals as dependent variables, additional control variables, and various approaches in addressing endogeneity issues.
Keywords: Employee treatment; Corporate social responsibility; Labor investment efficiency; Human capital; Financial crisis
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101744Get
中国资产管理研究中心-3112-股权众筹中的质量展示与夸大
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Sofia Johan(College of Business, Florida Atlantic University,?United States of America; Business School, The University of Aberdeen, United Kingdom; Tilburg Law and Economics Center, The Netherlands)；Yelin Zhang(School of Business Administration, Gonzaga University, ?United States of America)
摘要：本文研究了定性商业信息在股权众筹中创业者和投资者之间缓解信息不对称所起的作用。定性商业信息包括创业者对商业模型、竞争策略、产品市场、产品/服务在被市场接纳中的动力和阻力以及经营计划的介绍。实证数据表明，从总体上，对定性商业信息的更细致展示将带来更好的筹资结果。但是，创业者过度使用情绪化语言以及无依据地夸赞自己项目的质量不会从清醒的投资者中取得回报，但普通投资者对情绪化的语言抵抗力不足。我们还发现JOBS法案第三节的实施导致了筹资成功比率的下降但强化了项目介绍对筹资成功比率的作用。
关键词：股权众筹，信息不对称，定性信息
Quality revealing versus overstating in equity crowdfunding
Sofia Johan(College of Business, Florida Atlantic University,?United States of America; Business School, The University of Aberdeen, United Kingdom; Tilburg Law and Economics Center, The Netherlands); Yelin Zhang(School of Business Administration, Gonzaga University, ?United States of America)
Abstract
This paper studies the impact of qualitative business information on mitigating information asymmetry between equity crowdfunding entrepreneurs and investors. Qualitative business information covers the entrepreneurs' introduction on business model, competitive strategy, product market, drivers and barriers for product/service adoption and business milestones. Empirical data reveal that, overall, more detailed disclosure of qualitative business information leads to better fundraising outcome. However, while entrepreneurs' excessive use of promotional language, or self-praise on business quality without factual support, is not rewarded by sophisticated investors, ordinary investors are less resistant to promotional language. We also find that Title III of the JOBS Act results in a reduction of the percentage of completed fundraisings but exacerbates the effect of project description on the percentage of completed fundraisings.
Keywords: Equity crowdfunding; Information asymmetry; Qualitative information
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101741

中国资产管理研究中心-3113-投资的外部筹资方式
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Bruce D. Grundy(University of Melbourne, Australia)；Patrick Verwijmeren(Erasmus School of Economics, Erasmus University, Rotterdam, the Netherlands)
摘要：本文探究了投资特征对筹资选择的影响。我们调查了美国公司通过股权再融资、银行贷款、直接非银行借款以及可转换证券融资的案例，这些案例发行时的用途声明都是资本支出，且我们能通过手工方式采集并归类他们的投资特征。控制公司现有资产、资本结构和价值的特征后，我们发现，投资特征与在股权和债权两种筹资方式的选择间存在强实证关联性。因子分析指出，筹资方式选择背后的规律性决定因素是一项投资的回报能否描述为成功或失败。
关键词：投资风格，筹资，债股选择，可转换证券
The external financing of investment
Bruce D. Grundy(University of Melbourne, Australia); Patrick Verwijmeren(Erasmus School of Economics, Erasmus University, Rotterdam, the Netherlands)
Abstract
This paper investigates the impact of investment characteristics on the financing choice. We investigate instances of seasoned equity, bank debt, straight non-bank debt, and convertible issues by U.S. firms where the stated use of proceeds is capital expenditure and where we are able to hand-collect and classify the characteristics of the investment. Controlling for a firm's existing assets, capital structure and valuation, we document a strong empirical link between an investment's characteristics and the choice between debt and equity financing. Factor analysis indicates that the principal determinant of the financing choice is whether an investment's payoffs can be described as a hit or miss.
Keywords: Investment characteristics; Financing; Debt-equity choice; Convertible securities
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101745

中国资产管理研究中心-3114-董事委员会的决定因素与效应
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Wei-Ming Lee(City University of Hong Kong, Hong Kong, China)
摘要：2003年发生的企业治理结构改革要求董事会下设诸多委员会。本文研究这些委员会的结构与对应的影响。我发现那些有很长任期的独立董事倾向于承担多项职责并进入更多的委员会。公司让独立董事承担多项职责的行为与该公司有相对更低的CEO报酬和高ROA相关联。一般地，在有长任期CEO的公司中独立董事承担多项职责带来的好处更为明显。本研究为该领域做出的贡献在于发现董事会绩效不仅取决于董事们的身份，还取决于指派给他们的职责。
The determinants and effects of board committees
Wei-Ming Lee(City University of Hong Kong, Hong Kong, China)
Abstract
The governance reforms of 2003 require corporate boards to establish various committees. This paper studies how these committees are structured and the corresponding impacts. I find that independent directors with long tenures and multiple board seats tend to multitask and sit on more committees. The firms that multitask their independent directors are associated with comparatively low CEO compensation and high ROA. In particular, the benefits of multitasking independent directors are more pronounced in firms with long-tenured CEOs. I contribute to the literature by showing that board performance depends not only on the directors' identities, but also on their task assignments.
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101747

中国资产管理研究中心-3115-气候风险：干旱的代价
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Thanh D. Huynh(Department of Banking and Finance, Monash University, Australia)；Thu Ha Nguyen(Department of Banking and Finance, Monash University, Australia)；Cameron Truong(Department of Accounting, Monash University, Australia)
摘要：我们证实了股权资本成本与干旱风险之间的显著正相关关系。我们的估计结果表明受严重干旱情况影响的公司的股权资本成本会高出92个基点。我们的证据表明当公司受干旱影响时，本地机构持股比例更高的公司表现出更高的股权资本成本。这一结果支持广为人知的机构投资者的本地偏见，并表明多元化不能完全消除由干旱带来的财富损失。与我们的理论预测一致，我们发现干旱的持续时间和干旱的严重程度进一步增加了公司的风险溢价。然而，对于有多元化现金流/投资、地理上分散运营、高现金储备的公司，干旱对预期回报率的影响显著减轻。总之，我们的发现揭示了投资者向受干旱影响的公司要求更高的收益率，同时为公司如何减少因干旱导致的股权资本成本增加提出了建议。
关键词：气候变化，帕默尔干旱指数（Palmer Drought Severity Index），干旱，股权资本成本
Climate risk: The price of drought
Thanh D. Huynh(Department of Banking and Finance, Monash University, Australia); Thu Ha Nguyen(Department of Banking and Finance, Monash University, Australia); Cameron Truong(Department of Accounting, Monash University, Australia)
Abstract
We document a significant positive relation between drought risk and the cost of equity capital. Our estimation shows that the cost of equity capital is 92 basis points higher for firms affected by severe drought conditions. We provide evidence that when firms are affected by droughts, firms with higher local institutional holdings exhibit a higher cost of equity capital. This result supports the well-known local bias of institutional investors, and suggests that diversification cannot fully eliminate the loss in wealth caused by droughts. Consistent with theoretical predictions, we find that drought duration and drought intensity further increase a firm's risk premium. However, for firms with diversified cash flows/investments, geographically dispersed business operations, and high cash holdings, the impact of drought on the expected return is significantly lessened. Overall, our findings show that investors require a higher rate of returns on firms affected by droughts and offer implications on how firms can mitigate the impact of droughts on their cost of capital.
Keywords: Climate change; PDSI; Drought; Cost of equity
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101750

中国资产管理研究中心-3116-不确定性规避与共同基金
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：AneelKeswani(Cass Business School, City University London,?United Kingdom)；Mamdouh Medhat(Cass Business School, City University London,?United Kingdom)；Antonio F. Miguel(ISCTE–IUL, Instituto Universitário de Lisboa, Portugal)；Sofia B. Ramos(ESSEC Business School,?France)
摘要：我们研究了文化如何影响全世界的共同基金。不确定性规避（UA），与模糊厌恶相关联，在我们的25国样本中，与资金流对业绩的敏感性，基金基准偏离度，基金阿尔法值以及积极管理部分比例呈现负相关。甚至在我们控制了一个详尽的包含个体基金层面以及国家层面特征集合后，这一结论依旧成立。我们还发现，基金与其基准的偏离不仅仅受基金注册地所在国UA的影响，还受基金家族的发起国UA的影响。我们的结果凸显出在研究各国共同基金时，考虑文化特质特别是UA的重要性。
关键词：共同基金，文化，不确定性规避，基金资金流，模糊，奈特氏不确定性
Uncertainty avoidance and mutual funds
AneelKeswani(Cass Business School, City University London,?United Kingdom); Mamdouh Medhat(Cass Business School, City University London,?United Kingdom); Antonio F. Miguel(ISCTE–IUL, Instituto Universitário de Lisboa, Portugal)
Abstract
We study how culture influences mutual funds around the world. Uncertainty Avoidance (UA), which is related to ambiguity aversion, is negatively associated with flow-performance sensitivity, deviation from the fund benchmark, fund alpha, and the fraction of active management across the 25 countries in our sample. This is true even when controlling for an exhaustive set of fund- and country-level characteristics. We also find that a fund's deviation from its benchmark is not only affected by the UA of its domicile country but also by the UA of its fund family's country of origin. Our results highlight the importance of considering cultural characteristics, and UA in particular, when studying mutual funds across countries.
Keywords: Mutual funds; Culture; Uncertainty avoidance; Fund flows; Ambiguity; Knightian uncertainty
翻译：黄伟洲
原文链接：
https://doi.org/10.1016/j.jcorpfin.2020.101748

中国资产管理研究中心-3117-信用与社会动荡：来自20世纪30年代中国的证据
Journal of Financial Economics ? Vol 138 ? No 2 ? November 2020 ? Pages 295-315
作者：Fabio Braggion（Tilburg University- the Netherlands）；Alberto Manconi（Bocconi University-Italy）；Haikun Zhu（Erasmus University Rotterdam-the Netherlands）
摘要：信贷紧缩会引发社会动荡吗？为了回答这个问题，我们来考察上世纪30年代中国的一个自然实验。1933年的美国白银购买计划对银行放贷造成了冲击。我们手工收集了一组数据，包括银行和公司之间的贷款合同、劳工动乱事件和地下共产党渗透情况。白银购买冲击导致了严重的信贷紧缩，从风险较大的银行借款的企业会经历更严重的劳工动荡和共产党的渗透。这些发现有助于理解信贷冲击的社会政治后果。
关键词：信贷冲击，社会动荡
Credit and social unrest: Evidence from 1930s China
Fabio Braggion (Tilburg University- the Netherlands), Alberto Manconi (Bocconi University-Italy), Haikun Zhu (Erasmus University Rotterdam-the Netherlands)
ABSTRACT
Do credit contractions trigger social unrest? To answer this question, we turn to a natural experiment from 1930s China, where the 1933 U.S. Silver Purchase program acts as a shock to bank lending. We assemble a hand-collected data set of loan contracts between banks and firms, labor unrest episodes, and underground Communist Party penetration. The Silver Purchase shock results in a severe credit contraction, and firms borrowing from banks with a larger exposure to it experience increased labor unrest and Communist Party penetration among their workers. These findings contribute to understanding the socio-political consequences of credit shocks.
Keywords: Credit shocks, Social unrest
翻译：杨璐
原文链接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301495

中国资产管理研究中心-3118-经验丰富的投资者和市场效率：来自自然实验的证据
Journal of Financial Economics ? Vol 138 ? No 2 ? November 2020 ? Pages 316-341
作者：Yong Chen（Texas A&M University-USA）；Bryan Kelly（Yale University-USA）；Wei Wu（Texas A&M University-USA）
摘要：我们研究了在面对信息环境的冲击时，经验丰富的投资者将如何改变自己的信息获取和交易行为，以及这些变化将如何对市场效率产生影响。我们发现，在经纪公司关闭和合并导致分析师覆盖外生地减少后，对冲基金将扩大信息获取规模、更加积极地交易、并从受影响的股票获得更高的异常回报。对冲基金的参与也减轻了分析师覆盖减少对市场效率的损害。总体而言，因果框架下我们的研究结果表明，在促进市场效率方面经验丰富的投资者和公共信息提供者之间存在替代效应。
关键词：对冲基金，信息环境，市场效率，信息获取，分析师覆盖
Sophisticated investors and market efficiency: Evidence from a natural experiment
Yong Chen (Texas A&M University-USA), Bryan Kelly (Yale University-USA), Wei Wu (Texas A&M University-USA)
ABSTRACT
We study how sophisticated investors, when faced with shocks to information environment, change their information acquisition and trading behavior, and how these changes in turn affect market efficiency. We find that, after exogenous reductions of analyst coverage due to closures and mergers of brokerage firms, hedge funds scale up information acquisition, trade more aggressively, and earn higher abnormal returns on the affected stocks. The hedge fund participation also mitigates the impairment of market efficiency caused by coverage reductions. Overall, in a causal framework, our findings suggest a substitution effect between sophisticated investors and public information providers in facilitating market efficiency.
Keywords: Hedge funds, Information environment, Market efficiency, Information acquisition, Analyst coverage
翻译：杨璐
原文链接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301719

中国资产管理研究中心-3119-金融稳定的缺乏是否会损害货币政策的传导？
Journal of Financial Economics ? Vol 138 ? No 2 ? November 2020 ? Pages 342-365
作者：Viral V. Acharya （New York University-USA）；Bj?rn Imbierowicz （Research Centre, Deutsche Bundesbank-Germany）；Sascha Steffen （Frankfurt School of Finance and Management-Germany）；Daniel Teichmann （Goethe University Frankfurt- Germany）
摘要：我们调查了2006年1月到2010年6月期间欧洲央行流动性向银行存贷款利差的传导情况。我们发现它与银行风险导致的受损的传输渠道相一致。尽管央行的流动性降低了高风险银行与低风险银行的存款利差，但对高风险银行来说，流动性并不能转化为更低的一年期以上贷款利差。这对高风险银行借款人的资产负债表产生了不利影响，这将导致花费、资本支出以及就业的减少。总体而言我们的研究结果表明，在放松货币政策时，银行的资本约束对银行贷款渠道的有效性和中央银行的最后贷款人功能构成了挑战。
关键词：央行流动性，货币政策传导，企业存款，金融危机，最后贷款人，贷款，实际效果
Does the lack of financial stability impair the transmission of monetary policy?
Viral V. Acharya (New York University-USA), Bj?rn Imbierowicz (Research Centre, Deutsche Bundesbank-Germany), Sascha Steffen (Frankfurt School of Finance and Management-Germany), Daniel Teichmann (Goethe University Frankfurt- Germany)
ABSTRACT
We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads for high-risk banks for maturities beyond one year, even as it lowers deposit spreads for both high- and low-risk banks. This adversely affects the balance sheets of high-risk bank borrowers, leading to lower payouts, lower capital expenditures, and lower employment. Overall, our results suggest that banks’ capital constraints at the time of an easing of monetary policy pose a challenge to the effectiveness of the bank-lending channel and the central bank's lender of last resort function.
Keywords: Central bank liquidity, Monetary policy transmission, Corporate deposits, Financial crisis, Lender of last resort, Loans, Real effects
翻译：杨璐
原文链接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301781

中国资产管理研究中心-3120-矛盾的投资建议比没有建议好吗？
Journal of Financial Economics ? Vol 138 ? No 2 ? November 2020 ? Pages 366-387
作者：John Chalmers （University of Oregon-USA）；Jonathan Reuter （Boston College-USA）
摘要：投资建议的效益取决于建议的质量和投资者的反事实投资组合。我们利用俄勒冈大学系统可选退休计划的变化来强调计划设计对建议寻求者的反事实投资组合的影响。当有经纪人而没有目标日期基金（TDFs）时，经纪人会帮助对风险建议预期需求较高的参与者承担市场风险，但同时他们也会推荐佣金较高的选择。当剔除经纪人并加入目标日期基金时，新的高预期需求参与者主要投资目标日期基金。目标日期基金可以提供类似的市场风险，但夏普比率要高于我们样本内的经纪人建议的投资组合。
关键词： 投资建议，经纪人，反事实的，违约，退休计划，目标日期基金
Is conflicted investment advice better than no advice?
John Chalmers (University of Oregon-USA), Jonathan Reuter (Boston College-USA)
ABSTRACT
The benefit of investment advice depends on the quality of advice and the investor's counterfactual portfolio. We use changes in the Oregon University System Optional Retirement Plan to highlight the impact of plan design on the counterfactual portfolios of advice seekers. When brokers are available and target date funds (TDFs) are not, brokers help participants with high predicted demand for advice bear market risk, but they recommend higher-commission options. When brokers are removed and TDFs are added, new high-predicted-demand participants primarily invest in TDFs, which offer similar market risk but higher Sharpe ratios than the broker-advised portfolios within our sample.
Keywords: Investment advice, Broker, Counterfactual, Default, Retirement plan, Target date fund
翻译：杨璐
原文链接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301537

中国资产管理研究中心-3121-期限结构和通胀的不确定性
Journal of Financial Economics ? Vol 138 ? No 2 ? November 2020 ? Pages 388-414
作者：Tomas Breach（UC Berkeley-USA）；Stefania D’Amico（Federal Reserve Bank of Chicago-USA）；Athanasios Orphanides（MIT Sloan School of Management-USA）
摘要：为了评估通货膨胀风险对国债名义收益率的重要性，我们利用基于调查的通货膨胀不确定性估计了一个具有时变通货膨胀风险的二次期限结构模型。由此产生的收益率分解捕捉了通胀和实际风险溢价的大为不同的宏观经济动态(上世纪80年代大且为正，但2008年后小且为负)，并在长期样本中产生了对预期通胀和实际短期利率的合理高频估计。模型隐性因素与宏观基本面之间的明确联系表明，短期的而非长期的波动不受收益率影响，这与对短暂通胀冲击不做出反应的利率政策一致。
关键词：二次高斯期限结构模型，通货膨胀风险溢价，调查预测，隐性因素
The term structure and inflation uncertainty
Tomas Breach (UC Berkeley-USA), Stefania D’Amico (Federal Reserve Bank of Chicago-USA), Athanasios Orphanides (MIT Sloan School of Management-USA)
ABSTRACT
To assess the importance of inflation risk for nominal Treasury yields, a novel quadratic term structure model with time-varying inflation risk is estimated using survey-based inflation uncertainty. The resulting yield decomposition captures very diverse macroeconomic dynamics of inflation and real risk premiums (large and positive during the 1980s but small and negative post-2008) and generates sensible high-frequency estimates of expected inflation and real short rates over a long sample. The explicit link between the model-implied factors and macro fundamentals reveals that short- but not long-run fluctuations are unspanned by yields, consistent with an interest rate policy unresponsive to transient inflation shocks.
Keywords: Quadratic-Gaussian term structure models, Inflation risk premium, Survey forecasts, Hidden factors
翻译：杨璐
原文链接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301306