中國資産管理研究中心-2991-長期雇傭合同下的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：我們研究了首席執行官(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合同數據，本文發現，合同期限下的剩餘時間可以預測CEO的更替。當合同接近到期時，更替更有可能發生，并且更替對業績也更敏感。我們還顯示了合同剩餘時間與公司風險之間的正相關關系。短期合同和長期合同的結果是相似的，這些結果既不是由公司或CEO的幸存者偏差造成，也不是由技術周期驅動的。這些結果與長期項目下采取短期不确定性的激勵措施一緻。
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.
翻譯：張琳
原文鍊接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/ceo-turnover-and-volatility-under-longterm-employment-contracts/C5BAE2DFA2DDA670A9B7337286949170

中國資産管理研究中心 -2992- 限價指令市場上的流動性和信息
Journal of Financial and Quantitative Analysis ? Volume 55 - Issue 6 - September 2020
作者：Ioanid Ro?u (HEC Paris)
摘要：限價指令市場中，交易員可以在市場指令（需求流動性）和限制指令（供給流動性）之間進行選擇。在此情況下，知情交易如何影響流動性？在一個動态模型中，消息靈通的交易總體上有助于流動性的提高：如果消息靈通的交易員比例較高，則i）通過買賣價差和市場彈性能夠改善流動性，ii）對訂單的價格影響沒有影響。該模型還揭示了其他可供檢驗的結論，并提出了對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.
翻譯：張琳
原文鍊接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/liquidity-and-information-in-limit-order-markets/58424AD7DC957B29B0806254DB0DFB2C

中國資産管理研究中心-2993-通過夏普比率進行模型比較
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：本文說明當模型錯誤定價的程度由平方後的夏普比率改進措施測度時，如何進行模型比較的漸近有效檢驗。這相當于根據最大夏普比率對模型進行排名，有效地擴展了Gibbons、Ross和Shanken(1989)檢驗，以适應非嵌套模型的比較。模拟投資組合可以替代任何非交易模型因素，并在統計推斷中考慮了投資組合權重的估計誤差。Fama和French(2018) 6因子模型的一個變體，即通常價值價差的每月更新版本，成為主導模型。
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.
翻譯：張琳
原文鍊接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/model-comparison-with-sharpe-ratios/7AAB79D48CC55E0AD1BC6C8AABD6F5D9

中國資産管理研究中心-2994-同行監督、聯合投資與動态的風險資本互動：理論和實證
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：本文發展了一個理論模型，為風險資本家（VC）聯合投資提供了一個新的理論基礎，并實證檢驗了該模型的預測能力。一個企業家從一個VC或兩個不同的VC那裡獲得融資和兩種不同的增值投入，每個VC都在他的專業領域運作。文章描述了企業家在與單個風險投資公司、單獨與多個風險投資公司或與一個風險投資财團簽約之間的均衡選擇。研究表明，辛迪加在價值增加方面減輕了風險投資的道德風險問題。文章還分析了風險投資辛迪加組成的動态規律。以上實證分析結果與本文的模型預測一緻。
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.
翻譯：張琳
原文鍊接：
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

中國資産管理研究中心-2995-關于分析師投資建議價值的衡量
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：利用斯德哥爾摩證券交易所(SSE)的數據，本文研究了分析師推薦的增值（與異常回報不同）。提出建議的分析師的客戶圍繞積極的建議進行有利可圖的交易，這種利益是以犧牲其他分析師的客戶的利益為代價的。證據顯示，大量利潤來自于推薦日期之前的交易。其中，升級型購進大盤股的投資建議附加值最大，而下調至投資小盤股的投資建議沒有明顯的附加值。經紀商通過提供有利可圖的推薦建議能夠獲得異常高的傭金收入，而這部分收入主要來自于其客戶的高回報率。整體上，分析師的超額傭金與其客戶的超額回報率是一緻的。
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.
翻譯：張琳
原文鍊接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/measuring-the-added-value-of-stock-recommendations/09D1A9B700B0857D7E35166067EDE33B

中國資産管理研究中心-2996-向目标市場價值杠杆的調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： 在資本結構文獻中，無論使用賬面杠杆還是市場杠杆，調整速度(SOA)的估算都是相似的。而這種穩健性是值得懷疑的，因為調查證據表明，公司以賬面杠杆為目标，而經驗證據表明，它們不會通過發行證券來抵消由股價變化引起的市場杠杆變化。本文證據表明，由于股票價格波動的消極影響，現有的市場SOA值實際被高估。控制這種偏差後，對于賬面杠杆，SOA的估計應為16%；而對于市場杠杆，SOA的估計應為10%。這意味着權衡理論沒有以前認為的那麼重要。
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.
翻譯：張琳
原文鍊接：
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

中國資産管理研究中心-2997-鄰近性對投資的因果效應：來自于飛機直航開通的證據
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： 我們使用直航的引入作為共同基金和公司之間通行時間的外生沖擊，以估計距離對基金投資決策和業績的因果影響。研究發現，在直航引入後，基金對地點更接近的公司的投資規模顯著增加，而這些更接近的投資表現出更優的業績。本研究結果穩健地考量了各種固定效應和潛在混雜因素，如公司層面的沖擊、基金層面的沖擊和時間趨勢。總體而言，本文結果表明，鄰近性增強了投資者獲取公司價值相關信息的能力。
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.
翻譯：張琳
原文鍊接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/causal-effects-of-proximity-on-investment-evidence-from-flight-introductions/5EE265E18BD2E51F28118BFEAF550E3B

中國資産管理研究中心-2998-承銷商是否會通過提高IPO價格防止投資者退出
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：我們研究了承銷商是否擡高首次公開發行（IPO）的價格，以防止投資者退出。本文實證檢驗利用了IPO價格分布在申報區間低邊界附近的不連續性。在這一邊界定價的事前退出概率較高的發行，其定價可能會較高，以達到發行者的保留價。本文将這些IPO股票的二級市場回報率與其他沒有綁定保留價的IPO股票二級市場回報率進行對比，确定一個負8.4百分點差異，這個差異來自于内在激進型定價策略，該策略會導緻在臨界點附近退出會面臨很大風險。
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.
翻譯：張琳
原文鍊接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/do-underwriters-price-up-ipos-to-prevent-withdrawal/2100A5B72028FDF5851084656AA3CA92

中國資産管理研究中心-2999-全球市場上的信息壁壘：來自國際市場外包關系的證據
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：我們研究全球市場上的信息壁壘與資産管理的組織形式之間的聯系。基金家族會将其在信息方面處于劣勢、無法産生業績的基金外包出去。利用一個自我選擇的結構模型，我們将外包決策内化，估計每月外包的正收益為4-14個基點，從而協調外包基金的不佳表現和基金家族的業績最大化。外包帶來的收益為區分全球金融市場的信息壁壘提供了一種新的代理變量：基金投資的基礎市場越細分，外包帶來的收益就越大。
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.
翻譯：張琳
原文鍊接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/information-barriers-in-global-markets-evidence-from-international-subcontracting-relationships/3434814789F540EA3027DEDB0FEEB080

中國資産管理研究中心-3000-個人承諾與團隊業績：來自于共同基金經理人的證據
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： 心理學文獻表明，個人承諾能夠通過減輕搭便車問題從而對團隊績效産生積極影響。有了詳細的管理團隊信息，共同基金行業提供了一個獨特的機會來研究個人管理承諾是如何與業績相關的。本文中承諾基金經理是指僅為一個基金工作的人。由于缺乏獲取私人信息的動機，沒有承諾成員的團隊業績不如有承諾成員的團隊。在納入各種控制變量後，結論依然成立。另外，本文還探究了為什麼沒有承諾成員的團隊被越來越多地使用，盡管他們的表現很差。
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.
翻譯：張琳
原文鍊接：
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/individual-commitment-and-team-performance-evidence-from-mutual-fund-managers/FE64034F6A4C40178723C45CF4C8B91E

中國資産管理研究中心-3001-團隊中的相互監督和成員溝通
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：本研究旨在探讨企業從團隊成員與經理的溝通中獲取的收益是否會被他們可得的、相互監督的信息的類型差異所影響，而團隊經理可能會利用這些信息來獎勵個别團隊成員。我們預測并發現，當團隊成員隻能觀察到彼此的努力時，團隊績效會高于他們同時觀察到彼此的努力和産出水平時的績效；反之，當團隊成員隻能觀察彼此的産出時，團隊績效會低于他們同時觀察到彼此的努力和産出水平時的績效。這些結果背後的直觀理解是：可觀察到的相互監督的信息的類型，在應按團隊成員的貢獻來公平分配報酬方面産生了不同程度的模糊。這種模糊性降低了團隊成員通過向經理溝通來分配報酬的有用性，從而導緻團隊績效降低。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52659

中國資産管理研究中心-3002-審計委員會的信息技術專長對财務報告可靠性和及時性的影響
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：我們研究了審計委員會的信息科技專長是否會影響财務報告的可靠性和及時性。我們發現在擁有具備信息技術專長的審計委員會的公司中，出現重大重述的可能性降低，出現與信息技術相關的重大缺陷（占所有報告的重大缺陷的55%）的可能性降低，并且發布收益公告更及時。這些發現在控制企業的其他信息技術屬性，以及使用熵平衡的樣本時都是穩健的。我們的發現在所有擁有全面高質量信息技術的公司的子樣本中均有效，這可以作為我們減輕對内生性擔憂的證據。最後，雙重差分、公司固定效應的納入以及安慰劑檢驗在很大程度上支持了我們的論斷，即審計委員會中信息技術專家的出席大大提高了财務報告的質量。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52622

中國資産管理研究中心-3003-公共信息與有效資本投資：對資本成本和企業價值的影響
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：在一個标準的資産定價和企業價值最大化的金融經濟學模型中，我們展示了有關企業特定事件和經濟整體事件的更好的公共信息會影響企業之間和跨時期的資本投資分配。對資本市場産出的影響，如風險、風險溢價、利率、公司價格和資本成本，取決于投資者的偏好，以及是對企業特定信息還是對經濟信息的改善。我們發現利率和風險溢價傾向于往相反的方向變動，在決定公司價值和資本成本時，利率的影響往往主導着對風險溢價的影響。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52640

中國資産管理研究中心-3004-移動設備和投資新聞應用程序：信息發布、推送通知和錯失恐懼症的影響
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：我們研究了通過移動設備應用程序（apps）傳播信息如何影響非專業投資者的判斷。為了應對移動設備使用的普遍性，媒體将内容分解成更小的部分以迎合用戶，并且應用程序使用推送通知來對此突出顯示。這些變化增加了用戶實時獲取投資信息的能力，但也讓一些投資者感覺如果他們沒有持續在線，那麼他們就好像錯過了機會。我們驗證了一個用以捕捉投資者對錯過投資信息的恐懼（I-FoMO）的标準，并證明I-FoMO不同于社會環境中的傳統FoMO。然後通過一個實驗，我們發現在出現推送通知，而不是沒有時，通過移動設備接收細分内容将對投資分配有更大的影響。此外，我們發現這些結果适用于較高的I-FoMO投資者，但不适用于較低的I-FoMO投資者。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52625

中國資産管理研究中心-3005-投資者對董事特征的偏好：帶有性别偏見的投資組合選擇
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Henry L. Friedman (University of California, Los Angeles)
摘要：本研究利用美國持有的非美國基金的數據，檢驗投資者對董事特征的偏好是否影響投資組合選擇。與影響投資組合配置的基于偏見的偏好相一緻，來自性别不平等程度更大的國家的基金對女性董事較多的公司投資較少，持股較少。由于基金東道國性别偏見的變化似乎與美國公司女性董事的選擇和表現無關，因此，實證策略減輕了因估計而産生的，基于市場表現和性别人口統計之間聯系的内生性擔憂。這項研究的貢獻在于将投資與可度量的性别偏見聯系起來，并通過額外的分析提供了性别偏見可能通過哪些潛在渠道影響投資組合選擇的證據。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52621

中國資産管理研究中心-3006-社會信任與管理層盈利預測
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：我們研究了社會信任與經理人決定主動發布盈利預測之間的關系。我們的理由是，相比于低信任度的國家，在高信任度國家中的經理人更可能發布盈利預測，因為投資者認為這些自願披露是關于公司未來盈利能力的更可靠的信息。我們發現了與這些預測相一緻的證據，表明社會信任促進了企業的自願披露。我們還證實了社會信任在管理層盈利預測（MEF）的發布方面可以替代國家層面的正式機構的作用。此外，我們發現在低信任度國家，企業層面的可信任的披露承諾與管理層盈利預測之間的關系更為密切，這表明國家層面的社會信任與企業層面公信力提升機制的有效性相關。最後，我們發現來自社會信任度較高國家的企業會發布更精确和更準确的管理層盈利預測，這其中包含更多關于多個項目的信息。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/tar-2017-0023

中國資産管理研究中心-3007-企業少納稅時的内部現金流分配
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：我們提供了關于通過不納稅（“稅收相關現金”）而釋放的現金流的分配的證據。未來支付的不确定性表明，相較于其他現金流，企業可能會更謹慎地使用與稅收有關的現金。我們利用财務的資金流模型來量化與經營現金流各種潛在用途有關的稅收相關現金的相對數量。我們發現企業分配與稅收相關現金與其他的稅後現金流不同。先前的研究發現避稅者持有更多的現金，而我們的研究結果表明這是因為企業使用稅收相關現金來投資的部分較少（儲蓄更多）。我們還發現，稅收相關現金的分配随着相對财務約束、經濟不确定性和企業的跨國地位而變化，這與先前的研究結果一緻。例如，面臨相對較高财務約束的公司将較低（提高）稅收相關現金投資于資本支出（有價證券和研發）的比重，這可能是為未來的投資機會保留資金。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52623

中國資産管理研究中心-3008-收入平滑作為理性均衡行為？另一種視角
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Thomas Hemmer (Rice University)
摘要：在本文中，我重新讨論了在Lambert（1984）使用情境下的真實收入平滑問題。我證明了他論文中确定的特殊效應實際上是一個錯誤：在他的假設下，不存在他所建議的那種投入驅動的均衡收入平滑，然而在這篇論文中，均衡行為的其他幾個驅動因素被忽略了。在本文中，我識别了這些，并且對于特定的模型結構，當所有效應都被考慮時，對通常通過均衡行為來平滑次優收益的支持較少。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/TAR-2017-0132

中國資産管理研究中心-3009-在利潤池環境下主觀感知與薪酬透明度對職業判斷的相互影響：以大型律師事務所為例
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：本文探讨了利潤分配中主觀感知和薪酬透明度之間的相互作用如何與法律合夥人職業判斷的一個重要方面相聯系，即他們傾向于認同其委托人和同伴合夥人的意願（下文稱為“合夥人認同”）。通過對56名在加拿大大型律師事務所工作的公司法合夥人的訪談，我們發現在主觀性較低的制度中合夥人認同較高，但這僅發生在無薪酬透明度的情況下。我們發現，在主觀性較高的制度中，薪酬透明（相對于不透明）與認同增加相關，但在主觀性較低的制度中，與認同降低略有關聯。在一個實驗中，我們随機将MTurk上的參與者分配到不同的條件下，結果複制了這樣的發現：随着主觀性水平的提高，薪酬透明（相對于不透明）對合夥人認同有更積極的影響。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52612

中國資産管理研究中心-3010-未來虧損狀況的确認和披露的對比，以及财務報表的決策有用性
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Alexis H. Kunz (University of Bern)；Martin Staehle (University of Bern)
摘要：我們進行了一個實驗，以探讨當經濟基本面惡化或改善時，确認對比于披露合理且有支持性的未來虧損狀況的預測對投資者價值評估的差異效應。我們的主要發現是：當實體企業在有持續性的風險下增長時，對未來損失狀況的加速确認會導緻價值評估與實體的價值增長相反。補充分析顯示，投資者将（部分）預期損失錯誤地歸因于實體過去的業績，并依賴未經調整的當前總盈餘來評估實體的前景。我們的研究結果深入了解了導緻投資者錯誤評估盈餘趨勢的認知過程，并告知監管者、準則制定者、投資者和編報者：加速确認相關和無偏的前瞻性損失估計可能會損害财務報表的決策有用性。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/tar-2017-0050

中國資産管理研究中心-3011-收入平滑作為理性均衡行為？另一種視角：回應
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Richard A. Lambert (University of Pennsylvania)
摘要：本文回應了Hemmer（2020）對Lambert（1984）關于收入平滑的論文的批評。Lambert發展并分析了一個兩階段的代理模型，其中他表明收入平滑是均衡的一部分，而收入平滑被闡述為一個關于第一階段結果的遞減函數的第二階段行動。Hemmer聲稱Lambert的分析包含錯誤，并且由于Lambert聲稱的原因，模型中沒有出現收入平滑。在這裡，我确認了Lambert的結果，說明了為什麼Hemmer的結果與我的不同，并且更清楚地說明了收入平滑背後的經濟動因。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/TAR-2019-0671

中國資産管理研究中心-3012-股東訴訟與管理層自願披露的信息内容
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Yuanyuan Ma (Unaffiliated)
摘要：我研究了受股東訴訟約束的管理層自願披露的信息内容。我建立了一個訴訟機制的模型，在這種機制中，法律責任是基于股東因高價購買股票而遭受的損失。我發現管理層并沒有在均衡狀态下完全揭示私人信息，而隻是揭示了小範圍内的。因此，信息的精确性在某種程度上喪失了。值得注意的是，增加法律責任的嚴重程度并不總能減少損失的精确性。事實上，當法律責任達到一定程度時，更嚴重的法律責任将導緻披露不準确。我還發現，好消息和壞消息的精确性不同。具體來說，當法律責任高的時候，好消息比壞消息更精确；當法律責任較低時，壞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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52651

中國資産管理研究中心-3013-通過彙總預算時間減少漏報
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Kim I. Mendoza (University of Illinois at Urbana–Champaign)
摘要：漏報，即少報實際工作時間，是各級審計人員普遍存在的行為。漏報會産生負面後果，如預算緊張和未來審計質量的下降。在這篇論文中，我提出一個低成本的預算格式化過程，以減少漏報。通過一個實驗，我證實了與分類預算相比，彙總預算情況下擁有更高漏報動機的個人的漏報情況更少。當個人的漏報動機較低時，彙總預算對漏報的影響較小。我還通過進行中介效應分析提供了這一過程的證據。在第二個實驗中，我研究了減少漏報和減少因彙總而導緻的數據豐富度損失的預算格式化過程。這項研究為依賴審計時間進行預算、衡量員工效率和審計質量的審計公司、合夥人、管理層和監管機構提供了重要的見解。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52624

中國資産管理研究中心-3014-會計基礎與系統性風險：企業在經濟周期中的失敗
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，我們使用會計基本面元素來衡量系統性困境風險。我們主要驗證的預測是，這種風險會随着衰退式失敗的概率P（R | F）而增加，這項檢驗以一個指導我們實證分析的程式化模型為基礎。我們首先應用lasso方法來選擇可以合并到P（R | F）估計中的會計基本面元素，然後在資産定價檢驗中使用獲得的估計值。這種方法成功地從會計數據中提取了系統性風險信息——我們記錄到了與P（R | F）估計相關的顯著正溢價，這種溢價與商業周期的有關訊息和總失敗率有關。額外測試強調了通過衰退式失敗概率的估計來施加的“結構”的重要性。隻依賴于相同基本面變量與收益之間過去相關性的“不可知的”收益預測因子表現出了明顯不同的性質。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52638

中國資産管理研究中心-3015-财務報告質量與股債雙重持有
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務報告質量（FRQ）是否會影響機構投資者同時持有公司債務和股權（雙重持有）的傾向。我預測機構雙重持股的根本原因是為了獲得更好的信息，而這些信息對于财務報告質量較低公司的貸款者來說是可以獲得的。因此，我發現雙重持股者更有可能與财務報告質量較低的公司合作。此外，我預測并發現雙重持有人依據從借款人處收到的信息進行交易,雙重持有人從交易他們借款人的權益中獲得了8%的超額收益，而且他們的交易方向預測了收益公告日借款人的訊息方向。最後，我證明了雙重持有人的交易隻會在低财務報告質量的公司産生超額收益，這表明在低财務報告質量的公司中投資者會成為雙重持有人，因為在這樣的公司中，知情交易提供了更高的回報。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52661

中國資産管理研究中心-3016-群體認同、績效透明度和員工績效
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：經濟學、社會心理學和管理學的研究表明，群體認同在指導員工行為上起着重要作用。一方面，強烈的群體認同感可以激勵人們努力解決工作場所的利益沖突；另一方面，它可以鼓勵人們遵守群體規範。我們研究了群體認同的影響是否取決于管理者的績效報告選擇。利用實地調查和檔案資料，我們發現當績效透明度較低時，利益一緻性效應更為顯著，群體認同與員工績效正相關。然而，當績效透明度較高時，從衆效應更為顯著，較高的群體認同感與更同質但未必更高的員工績效相關。我們的研究結果證實了管理者的績效報告選擇決定了群體認同是否對員工績效有積極影響，這有助于管理豐富管理控制文獻。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52652

中國資産管理研究中心-3017-PCAOB國際審查的實際效果
THE ACCOUNTING REVIEW; VOLUME 95, ISSUE 5 (SEPTEMBER 2020)
作者：Nemit Shroff (Massachusetts Institute of Technology)
摘要：本文檢驗了美國公衆公司會計監督委員會（PCAOB）國際審查項目對公司融資和投資決策的影響。雙重差分回歸估計表明，公司對審計師收到“無缺陷”審查報告的反應是，發行相當于1.4%資産的額外外部資本，以及增加0.5%的投資。對于（1）财務拮據的公司和（2）位于沒有監管機構或監管機構不進行審查的國家的公司，這些影響更大。此外，在（1）腐敗率低，（2）法治強，（3）監管質量高的國家中，對于融資決策的影響更大。描述性的證據表明，審查增加了債務合同中财務條款的使用，這很可能是審查産生實際效果的機制之一。本文證實了PCAOB審查在緩解非美國公司融資摩擦方面的價值。
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.
翻譯：李沐春
原文鍊接：https://doi.org/10.2308/accr-52635

中國資産管理研究中心-3018-多德-弗蘭克(Dodd-Franking)對沖基金
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-弗蘭克法案實施前後對沖基金的業績、風險和資金流動情況。數據顯示，相對于非美國對沖基金而言，在多德-弗蘭克法案(Dodd-Frank Act)實施後的時期内，受其監管的美國對沖基金的資産負債率較低，在統計和經濟上都具有重要意義，而有關其對風險(标準差和異質風險)影響的證據則好壞參半。我們發現有證據顯示，在多德-弗蘭克法案實施後，美國某些對沖基金策略的資金流出(或流入)增加。我們發現研究結果的差異取決于基金的規模和策略。這些研究結果對于分析對比美國與非美國基金的差異是有力的。
關鍵詞：對沖基金，多德-弗蘭克法案，金融與法律
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2017.09.012

中國資産管理研究中心-3019-同時還是獨立？貨币危機與銀行危機之間的關系
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：這項研究的目的是為貨币危機和銀行危機之間的聯系提供實證檢驗。面闆數據概率模型和雙變量概率模型是對1985年至2010年期間每月觀測的21個發達國家和發展中國家的抽樣估計。研究結果表明，銀行業危機先于貨币危機，反之亦然。貨币危機還通過外部沖擊、自由化的金融市場或高杠杆率的銀行部門間接影響未來銀行業危機發生的可能性。本文研究還提供了兩個危機之間存在相關性的證據。研究結果不僅證實了銀行業危機與貨币危機之間的理論聯系，而且強調了高頻數據在分析各種金融危機之間關系方面的重要性。
關鍵詞：銀行危機，貨币危機，危機關聯
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2019.105631

中國資産管理研究中心-3020-投資者在期權市場上是否存在羊群效應？
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：通過研究1996年至2012年期間在美國交易的股票期權合約，我們研究了期權市場中投資者以前未被探索的羊群行為。我們證明了期權交易活動中強烈的羊群效應，這種效應取決于一系列與市場壓力周期相關的系統因素。更具體地說，我們發現期權投資者傾向于在高市場波動風險期間、在宏觀經濟公告日期、在2008年金融危機期間、在大量市場期權頭寸開放或關閉期間，以及在分析師預測的大幅平均分散期間從衆。
關鍵詞：羊群效應，橫截面離散度，期權
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2016.02.002

中國資産管理研究中心-3021-波動價差和股票市場對盈利公告的反應
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：利用收益公告的相關樣本，我們發現在接近收益公告日期時，期權買賣價差的隐含波動率單調增加。在公告日之前的日子裡，波動率價差的穩定增長，再加上累積異常隐含波動性對随後公告收益的預測能力，表明知情的交易員是期權市場活動在收益公告之前的驅動力。這樣的知情交易，通過異常的隐含波動性差代理，在控制了一系列公司和公告特征之後，增加而不是減少了股票市場對盈利公告的反應。當預盈利期權交易量增加時，這種影響最為明顯。總體而言，我們的發現為以下觀點提供了有力的支持：收益公布前立即進行知情期權交易，有助于緩解股市對收益公布反應不足的問題，并使其更接近于完全反應。
關鍵詞：隐含波動性利差，盈利反應系數，反應不足修正
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2017.04.002

中國資産管理研究中心-3022-投資銀行家在并購中的作用：關于收購方财務狀況的新證據
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：本文通過對1990-2012年間美國3420筆并購交易進行分析，調查頂級并購投資銀行家（财務顧問）在短期和長期内是否為具有不同财務狀況的收購者創造價值。本文将基于收購者财務約束的交易分為三類: 受約束的、中立的和無約束的收購。我們發現，頂級銀行家的影響取決于收購者的财務狀況。具體來說，頂級顧問可以提高受約束的收購方的績效，而不是中立且不受約束的收購方的績效。我們的結果表明，在控制了公司，交易和市場特征之後，頂級投資銀行家分别将受約束的收購方的短期（5天）和長期（36個月）績效提高了1.45％和24.27％。對于有投資銀行家參與的交易，由頂級顧問建議的受約束的收購方的交易完成率最低，并且支付的投标溢價也最低；保留頂級投資銀行家的不受約束的收購方的交易完成率最高，并支付相對較高的出價溢價。我們的研究結果表明，受約束的收購方傾向于保留頂級投資銀行家以獲取卓越的協同效應，而不受約束的收購方則似乎保留頂級投資銀行家以确保交易完成。
關鍵詞：并購，投資銀行家，财務約束，公司業績
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2018.02.004

中國資産管理研究中心-3023-公司為什麼要發行擔保債券？
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：公司在發行擔保債券時經常使用關聯公司作為擔保人，因此将外部融資與内部信用增強相結合。在本研究中，我們實證檢驗了公司擔保債券發行的潛在決定因素。我們發現，有形資産較少、信用評級較低、債務拖欠較為明顯和/或管理機構問題較大的發行人更有可能發行擔保債券。此外，我們發現，雖然公司一般發行擔保債券有不同的動機，替代激勵擔保債券的用途在很大程度上是由債券價格在發行時決定的。
關鍵詞：擔保，信用增級，公司債券，信用評級，公司投資
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2018.08.002

中國資産管理研究中心-3024-政治關系與企業投資: 來自中國最近反腐敗運動的證據
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：利用中國的腐敗醜聞，本文構建了一個自然的實驗，确定了通過賄賂和個人關系(事件型公司)來驅逐腐敗政客和與他們有聯系的公司。我們發現，與非事件型公司相比，政治家被罷免後事件型公司的投資支出顯着下降，特别是對于非國有企業而言。我們還發現，在政客下台後，事件型國有企業的投資效率有所提高，但與非事件型國有企業相比，事件型國有企業的投資效率有所下降。我們發現，在最近的反腐敗運動之後，政客的下台對企業投資決策的影響更大，因為他們賄賂了企業，并且對腐敗嚴重地區的企業影響更大。通過對關漸變量的替換測量後，結果依然穩健。
關鍵詞：腐敗，尋租，投資決策，政治資本
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2017.03.005

中國資産管理研究中心-3025-拒絕銀行貸款的家庭
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：本文以貸款機構批準但被申請人拒絕的抵押貸款申請為樣本，研究信貸市場中的逆向選擇機制。我們發現，低風險的申請人更有可能拒絕貸款提供，除非該要約是由知情的貸款人提出的。利用大額抵押貸款和貸款接受率數據來代表信息優勢，我們發現被拒絕可能性較低的貸款人确實比其他貸款人更知情。
關鍵詞：抵押貸款，信息優勢，集中貸款
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2018.04.018

中國資産管理研究中心-3026-活期存款合約與存在偏好的銀行擠兌
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Minwook Kang (Nanyang Technological University)
摘要：本文通過引入雙曲折現，擴展了 Diamond-Dybvig銀行擠兌模型。主要的問題是消費者的短視決策如何影響銀行擠兌的可能性和銀行的最優契約。在雙曲折現下，消費者的存款偏好和取款偏好不同。因此，銀行在設計最優銀行契約時需要考慮兩個不同的偏好，這使得設計一個安全的銀行契約變得更加困難。這種偏好上的差異可能會增加銀行在均衡狀态下擠兌的可能性。盡管銀行可以設計一個防跑合同，但是由于雙曲折現銀行更嚴格的激勵相容約束，通過銀行服務提供的事前福利将會更低。
關鍵詞：銀行擠兌，活期存款，雙曲折現，金融脆弱性，現時偏見
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105901

中國資産管理研究中心-3027-公私合作貸款: 來自企業聯合貸款的證據
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年期間，私營部門和政府擁有的貸款人提供的共同貸款占提供給公司借款人的銀團貸款總額的十分之一以上。共同貸款通常被合理化，作為對國有貸款機構施加市場紀律的一種手段。我們調查是否确實如此，或者政治扭曲是否會影響“混合”财團，包括私人和政府擁有的貸款機構。我們發現，混合财團比私人财團向政府關聯企業分配更多的貸款。此外，來自混合銀團的貸款利差更低，期限更長，抵押品更少，契約更少。在随後的幾年裡，當借款人“有聯系”時，大多數銀團貸款都是有利的，當借款者的盈利能力出現下降時，銀團貸款的收益率會下降, 表明貸款配置效率低下。這一證據與混合型貸款中的政治扭曲是一緻的。結果是由國内政府貸款人推動的: 包括外國政府所有的貸款人在内的銀團貸款在分配和貸款條件上與私營部門貸款更為相似。
關鍵詞：國有銀行，聯合貸款
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105898

中國資産管理研究中心-3028-行業相對估值與跨境上市
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年間在美國交叉上市的40個國家的公司為樣本，我們發現，一家公司的本土行業估值與其相應的美國行業估值(相對行業估值)之間的差異是影響上市決策和上市後估值的重要因素。相對于相應的美國産業，國内市場産業被低估的國際公司更有可能交叉上市。它們在上市後還享有永久估值收益。這些公司發行更多的股票，投資更多，實現更高的增長率。
關鍵詞：交叉上市，行業細分，相對行業估值，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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105899

中國資産管理研究中心-3029-企業客戶集中與股價暴跌風險
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：通過對美國公司的大量樣本，我們發現主要的公司客戶集中度與公司未來的股價暴跌風險正相關。當供應商公司進行了更高水平的特定關系投資，信息環境較差，和/或面臨較低的客戶轉換成本時，這種積極關系更加明顯。我們的證據表明，單一的公司客戶群對公司的崩潰風險有負面影響。
關鍵詞：崩潰風險，企業客戶集中度，關系型投資，客戶轉換成本，信息環境
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105903

中國資産管理研究中心-3030- 對商品期貨市場風險的恐懼
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：我們通過149個查詢詞的互聯網搜索量來檢驗積極關注天氣、疾病、地緣政治或經濟威脅或“危險恐懼”對商品期貨定價的作用。根據危險恐懼信号對各種商品期貨合約進行分類的多空投資組合策略獲得了顯著的溢價。這種商品風險恐懼溢價反映了對現存的基本面、尾部、波動性和流動性風險因素的補償，但并不包含在這些因素之中。大宗商品投資組合的各個部分都強烈反映了對風險的恐懼。在金融市場出現負面情緒或悲觀情緒時，危險恐懼溢價會加劇。
關鍵詞：商品期貨，恐懼，關注，風險，網絡搜索，情緒，多空投資組合
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105902

中國資産管理研究中心-3031-就業保護與稅收侵略性：來自錯誤解雇法的證據
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：我們研究勞動力市場的摩擦是否影響企業的稅收侵略性。利用美國州一級的錯誤解雇法作為對公司解雇成本的準外部沖擊，我們記錄了位于加強就業保護的州的公司稅收侵略性的下降。文章進一步表明，更大的就業保護增加了危機風險。稅收侵略性的下降對于那些更容易受到金融危機影響和受到外部金融市場限制的公司來說更為明顯。我們的研究結果表明，企業為了減輕由于更嚴格的勞動力成本而增加的困境風險，避免了高風險的稅收頭寸。
關鍵詞：稅收侵略性，就業保護，不當解雇法，解雇成本，破産風險
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105907

中國資産管理研究中心-3032-抵押貸款的實現、抵押轉換成本與家庭銀行轉換
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：我們研究了抵押貸款轉換成本在影響家庭改變主要銀行的決策中的作用。為此，我們使用了一個獨特的面闆數據集，使我們能夠推斷家庭的銀行轉換，結合一項法律改革，外生地削減了抵押貸款轉換成本。盡管存在任何潛在的“信息鎖定”，但實證結果支持這樣一個假設，即零售銀行市場的顯性轉換成本是影響家庭銀行轉換的一個重要因素。通過對結果的分析，我們發現改革的效果在不同家庭之間并不一緻。受教育程度較高的家庭、與前一家銀行關系較長或更廣泛的家庭，以及居住在事先競争較弱銀行市場的家庭，都處于銀行轉換浪潮的最前線。
關鍵詞：銀行轉換，按揭轉換成本，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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105904

中國資産管理研究中心-3033-銀行不透明會影響貸款嗎？
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：通過對美國銀行控股公司的抽樣調查，我們發現不透明性對銀行貸款增長有負面影響。對于更依賴批發資金的銀行而言，這種影響更為明顯。對不透明性和批發資金之間關系的進一步分析證實了我們的假設，即不透明性會對通過批發融資渠道的貸款産生負面影響。此外，我們的研究結果表明，對于資本實力較強的銀行而言，不透明性對貸款的負面影響并不明顯。文章還發現，這種影響在2007-2009年金融危機期間更為強烈，被高GDP增長率所緩解，這表明，宏觀經濟狀況強(弱)往往會減輕(加劇)這種影響。
關鍵詞：銀行業務，不透明性，貸款，批發基金
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105900

中國資産管理研究中心-3034-最優投資組合選擇中的崩盤風險對沖
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：當幾乎所有的标的資産在市場崩潰時突然失去一部分名義價值時，在正常市場條件下投資組合的多元分散效應就不再起作用了。我們将崩潰風險整合到投資組合管理中，研究涉及衍生品的投資組合選擇的績效衡量、對沖和優化。提出了一種基于參數逼近法的凸錐規劃框架，使問題具有較強的可處理性。通過模拟分析和實證研究驗證了該方法的有效性。
關鍵詞：崩潰風險，正常風險，對沖投資組合，希臘，半定規劃
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105905

中國資産管理研究中心-3035-為對社會負責的客戶打開貿易信貸的黑匣子
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：我們通過考察企業社會責任（CSR）與企業獲得貿易信貸的關系，研究供應商是否重視客戶企業的社會責任活動。我們假設，社會績效較好的企業更有可能獲得貿易信貸，因為供應商将客戶的企業社會責任活動視為誠信和履行财務義務的能力的信号。除了這個直接渠道外，我們還描述了其他渠道：(a) 貿易信貸為供應商提供了一種可能性，即供應商可以獲得客戶未來的商業機會，而對社會責任感強的公司來說，這一機會預計會更高，(b) 對社會負責的公司來說，由于貿易信貸而在供應鍊中擴散負面沖擊的風險較低，使它們對供應商更具吸引力。與我們的預測一緻，我們發現對社會負責的客戶從供應商那裡獲得了更多的貿易信貸。這種關系在上述渠道更相關的情況下更為明顯：即客戶的财務狀況對其供應商更為重要；由于缺乏密切的交易關系，供應商和客戶之間的信息不對稱程度更大；當對社會負責的活動更有可能增加；當供應商在客戶-供應商關系中面臨更高的風險。我們還發現，在全球金融危機期間，社會責任客戶通過減少對貿易信貸的使用，向供應商提供了落後的流動性供應，這意味着生産網絡中有社會責任客戶的額外好處。
關鍵詞：客戶-供應商關系，企業社會責任，貿易信用
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105908

中國資産管理研究中心-3036-衍生産品現金流與公司投資
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：根據一個有影響力的論點，當内部現金流動不穩定和外部融資成本高昂時，企業對沖支持企業投資(Froot, Scharfstein and Stein, 1993)。盡管這個理論有着巨大的影響力，但是這個理論的預測還沒有通過實際的衍生現金流直接得到檢驗。本研究使用2000年至2015年間從石油和天然氣行業衍生品頭寸手工收集的現金流數據。平均而言，衍生品現金流中多出的一美元轉化為資本支出中多出的一美元。在行業衰退期間，對沖公司衍生品現金流與資本支出的中位數比率上升到20%，這表明當外部融資成本突然上升時，衍生品在維持投資方面發揮了關鍵作用。
關鍵詞：套期保值，衍生工具，衍生工具現金流，公司投資
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105916

中國資産管理研究中心-3037-救助、主權風險與銀行投資組合選擇
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Marco Casiraghi (Via Nazionale 91)
摘要：我研究主權風險在決定預期救助對銀行投資組合決策的影響方面的作用。從實證結果來看，意大利銀行業的數據表明，如果主權債務違約的風險足夠低，它們減少了對企業的貸款，增加了對政府債券的購買。最關鍵的是，随着主權風險的增加，投資組合調整變得更弱，并最終逆轉信号。為了解釋這些結果，我建立了一個模型，在這個模型中，救助概率和銀行所有者的相應回報（“救助租金”）之間的關系取決于主權風險。模型的預測與數據的主要特征一緻。
關鍵詞：銀行救助，政府債券，銀行貸款，主權風險，信用評級
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105906

中國資産管理研究中心-3038-估計名義利率預期：隔夜指數掉期和期限結構
Journal of Banking and Finance ? Volume 119 ? October 2020
作者：Simon P. Lloyd (Bank of England)
摘要：無套利動态期限結構模型（DTSMs）經常被用來估計利率預期和期限溢價，但也面臨實證研究的困擾。我建議用隔夜指數掉期（OIS）利率來增強DTSM，以更好地估計每日頻率下期限結構的分解。高斯仿射DTSM模型，加上3至24個月的OIS利率，生成美國預期的估計值，與10年期的調查隐含指标密切對應，且與現有模型相比，在子樣本中更穩定。此外，我以事件研究的形式提供了叙述性的證據，以進一步說明OIS擴張的好處。
關鍵詞：動态期限結構模型，貨币政策預期，隔夜指數掉期，期限溢價/利率結構
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105915

中國資産管理研究中心-3039-利率上限對破産的影響: 來自發薪日貸款禁令的綜合控制證據
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：出于保護消費者的考慮，幾個州最近對小額貸款實行了利率上限。在對這些立法的曆史進行分類之後，我們測試這些法律是否導緻了發薪日貸款機構數量的減少，并随後引起了破産申請發生率的變化。為了增強對估計的因果解釋，我們通過構建綜合控制作為一個反事實研究，估計這些利率上限的總處理效果。重要的是，我們估計了在實施上限後的每個時期的處理效果，得出了關于發薪日貸款準入和破産之間動态異質性的新見解。結果顯示，發薪日貸款機構減少了大約100%—這是對該行業的放空。我們沒有發現這些禁令對破産的短期或長期影響。我們的估計值的範圍允許我們排除先前幾項研究中記錄的相關震蕩。
關鍵詞：利率上限，發薪日貸款，信貸配給，破産，非正式破産，綜合控制
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105917

中國資産管理研究中心-3040-本地需求沖擊、過度協同和回報可預測性
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個國家的4560對交易所交易基金(ETF)的國内需求沖擊對過度購買行為和回報可預測性的重要性。在同一個國家交易的ETF的回報率相互之間有着過度的交互作用。對于流動性更強、本地市場競争對手更多的基金而言，這些機制更為強大。相比之下，對基本面(因子)投資者具有吸引力的ETF之間的協動性并無實質性差異。基于ETF與國外同行價格偏差的本地定價衡量标準，有力地預測了ETF的收益逆轉。在交易成本之後，押注于當地的錯誤定價可以獲得高達20% 的年度異常收益。在扣除交易成本後，押注于當地的錯誤定價會産生每年高達20%的顯著異常回報。
關鍵詞：優先置産，相關需求，錯誤定價，套利，協動，收益可預測性
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105910

中國資産管理研究中心-3041-競争是否誘發分析師的更加努力？經紀人兼并自然實驗的證據
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，分析師的競争減少，這會鼓勵分析師去取悅經理人，導緻更大的共識樂觀偏差。我們提出了分析師競争的三個附加效應。分析師努力假說認為，較弱的競争降低了分析師收集和分析信息的動機。羊群效應假說認為，較弱的競争減少了分析師對職業的擔憂，進而降低了羊群效應。戰略偏差假說暗示，較弱的競争可以減輕分析師在戰略上偏離他人的動機。我們發現，在券商合并後，分析師關注的公司較少，并将其覆蓋範圍從研發費用較高的公司轉向研發費用較低的公司。當私人信息不利時，他們就會減少權衡。與此同時，他們的預測變得更加分散。所有的這些發現似乎更符合分析師努力假設，而不是羊群效應或戰略偏差假說。
關鍵詞：分析師預測活動，競争，分析師努力，羊群效應，戰略偏差
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105914

中國資産管理研究中心-3042-異象策略的相關結構
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：我們将大量的平均顯著異常值合并到集群投資組合中。根據 Hou 等人(2020)的五因素模型，超過三分之一的集群投資組合仍然具有重要意義，這是所測試的六個基準模型中表現最好的。最佳優先搜索會得到9個因素，這9個因素包括所有集群投資組合和所有重大的異常現象，證明了對平均實現回報率進行簡潔描述的可行性。預期增長因子（EG）和與應計項目相關的集群投資組合是提高定價績效的顯著因素。搜索生成的模型産生的月最大夏普平方比為0.51，大大高于當前的基準模型。
關鍵詞：異常，相關性，聚類分析，機器學習，資産定價
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105934

中國資産管理研究中心-3043-商戶非接觸式支付受理對信用卡銷售的影響
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：世界上許多國家都在進行數字支付的颠覆性創新。本文研究了商戶對非接觸式卡技術的接受程度及其對傳統信用卡銷售的影響。通過對法國275580家商戶的獨特樣本進行評分匹配和差異分析，我們發現2018年接受非接觸式支付比不接受非接觸式支付的商戶平均增加了15.3%的信用卡銷售額（和17.1%的信用卡銷售額）。我們還發現，接受非接觸式支付對傳統卡銷售額産生了約1.3%的正溢出效應，從而顯著提高了小商戶和新創業者的年平均銷售金額和數量。
關鍵詞：信用卡受理，非接觸式信用卡，數字支付，差額支付
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105938

中國資産管理研究中心-3044-新興市場資本流入的實際影響
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：我們以1998年至2010年的22個新興市場經濟體為樣本，考察了資本流入與行業增長之間的關系。我們預計，在擁有更多資本流入的國家，更多依賴外部金融的行業将以不成比例的速度增長。1998-2007年危機前的情況确實如此。在季度變化的面闆回歸模型中，我們發現這種關系是由債務推動的而不是股票流入。但當我們使用面闆協整檢驗來考慮長期效應時，股本流入是有助于增長的因素。此外，我們觀察到産出波動性的減少，這種關聯在股票方面更為明顯，而不是債務流入。然而，這些關系在危機期間破裂，這表明，如果新興市場要利用資本流入帶來的增長效益，一個不受幹擾的全球金融體系對新興市場非常重要。根據這一觀察結果，我們還發現，在銀行運作良好、機構質量較好的國家，資金流入與增長的關系更為密切。
關鍵詞：資本流動，融資依賴，産業增長，新興市場經濟
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105933

中國資産管理研究中心-3045-歐洲債券的安全性如何?基于現代信用風險模型分析
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：一些歐元區改革提案主張建立一個由主權債券組合支持的合成證券市場。最受争議的是由Brunnermeier (2017) 等人提出的歐洲安全債券(ESBies)。ESBies和其他債券支持證券的潛在好處取決于這些産品是否真正安全。本文利用一個以制度轉換為載體的仿射信用風險模型，對ESBies及其相關産品的風險進行了全面的定量研究。我們讨論了标準普爾最近提出的ESBies評級方案，分析了模型參數和附加點對ESBies信用價差大小和波動性的影響，并考慮了幾種評估ESBies市場風險的方法。此外，我們将ESBies與 Leandro 和 Zettelmeyer (2019) 提出的将優先國債集中在一起而産生的合成證券進行了比較。最後，本文簡要讨論了我們的分析所帶來的政策含義。
關鍵詞：歐洲安全債券，歐洲貨币聯盟，信用風險證券化，馬爾可夫調制仿射模型
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.
翻譯：侯思遠
原文鍊接：
https://doi.org/10.1016/j.jbankfin.2020.105939

中國資産管理研究中心-3046-β與公司年齡
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：我們發現了一個穩健的貝塔随公司年齡的增長而下降的模式。我們發現，通過企業特征和生命周期階段的系統性風險變化不足以解釋這一模式。此外，信息數量和質量的标準代理也隻能部分解釋這種模式。為了充分解釋這一模式，我們利用熟悉度在财務決策中日益重要的作用：熟悉度是貝塔的決定因素，公司年齡是投資者對個股熟悉程度的代理。當我們控制企業年齡時，本文發現了支持CAPM以及将它作為權益資本成本的證據。
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.
翻譯：陳然
原文鍊接：https://www.sciencedirect.com/science/article/pii/S0927539820300177

中國資産管理研究中心-3047-股票溢價預測和經濟狀況
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：我們在經濟基本面的預測信息中發現周期性變化，這可以大大改善和簡化樣本外股票溢價預測。基于個股信息(尤其是股息收益率)的經濟基本面在經濟擴張時期提供了更好的預測。基于綜合信息(尤其是短期利率)的經濟基本面能更好地預測衰退。因此，一個簡單的預測組合，一個預測生成周期性預測和一個預測生成反周期預測，可以在擴張和衰退中提供統計上顯著的和經濟上有價值的股票溢價預測。一個突出的表現良好的兩種預測組合是股息收益率和短期利率。為商業周期事前設計的策略可以在股票溢價預測中提供額外的經濟收益。
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.
翻譯：陳然
原文鍊接：https://www.sciencedirect.com/science/article/pii/S0927539820300189#!

中國資産管理研究中心-3048-企業生産的錯誤定價
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：本文提出了一種基于錯誤定價的解釋，解釋了企業生産率與股票收益之間的負相關關系。投資者似乎低估了低效公司的價格，高估了高效公司的價格。我們發現的證據與受投資者情緒和賣空限制驅動的生産性企業的投機性過高定價相一緻。投資者錯誤地推斷過去的生産率增長及其相關的經營業績和股票回報，盡管它們随後出現反轉。由于套利的限制，這種錯誤定價會持續存在，并在收益公告時得到部分糾正。分解分析表明，外推錯誤定價和套利限制解釋了企業生産率收益率的大部分可預測性。
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.
翻譯：陳然
原文鍊接：https://www.sciencedirect.com/science/article/pii/S092753982030030X

中國資産管理研究中心-3049-加權方案的複雜性是否會提高多空商品組合的表現?
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：商品定價文獻提倡在同等權重的基礎上設計多空投資組合。本文放寬分散投資的假設，研究複雜權重方案在構建短期動量和期限結構的多空投資組合中的優勢。研究發現，基于風險最小化和風險時機的加權方案在簡單配置方案和基于效用最大化的加權方案中占主導地位。這一結論不會受到交易成本、非流動性、數據挖掘、子樣本周期和模型參數等方面而改變，當我們将對沖壓力、投機壓力和基礎動量視為排序信号時，這一結論穩健地持續存在。
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.
翻譯：陳然
原文鍊接：https://www.sciencedirect.com/science/article/pii/S0927539820300281

中國資産管理研究中心-3050-股票市場非流動性，議價能力和借貸成本
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：我們發現，非流動性股票的公司有更高的銀團貸款息差。這個結果對股票非流動性的測量是不變的，并且對多種貸款和公司的橫截面特征、公司和時間固定效應是穩健的。該結果在匹配的DID估計，使用美國證交所最小報價單位的外生降低作為準自然實驗，以及兩階段最小二乘估計中依然成立。當主要貸款人擁有較高的市場份額或借款人擁有較低的信用評級時，股票流動性不足會進一步擴大利差。當借款人擁有公開評級的債務時，利差的擴大幅度會減小，同時也會削弱貸款關系中貸款接收方的利益。股價信息含量和公司治理水平的變量不影響股票非流動性和貸款利差的關系。這些發現的一個基本原理是，股票的非流動性削弱了企業借款人在協商貸款利率時的議價能力，因為它提高了通過發行股票來交替融資的成本。
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.
翻譯：陳然
原文鍊接：https://www.sciencedirect.com/science/article/pii/S0927539820300323

中國資産管理研究中心-3051-期限結構中風險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：我們試圖調和關于風險中性偏度(RNS)對股票的價格效應的争論。我們證明了來自短期偏态的正向可預測性，與信息交易需求一緻；來自長期偏态的負向可預測性，與偏态偏好一緻。RNS期限利差捕獲了不同于長期和短期合同的信息，從而增強了可預測性。利差最小的五等分組合的年收益率要高于利差最大的五等分組合14.64%。RNS的期限結構能夠預測收益意外和價格暴跌。我們從RNS期限結構中提取斜率因子，估計其風險溢價，并探讨其與幾個宏觀經濟變量的關系。
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.
翻譯：陳然
原文鍊接：https://www.sciencedirect.com/science/article/pii/S0927539820300359

中國資産管理研究中心-3052-強迫退休風險與投資組合選擇
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：目前關于勞動收入對投資組合選擇影響的文獻忽視了工人面臨被迫提前退休的風險。本文利用健康與退休研究的數據，發現強迫退休風險與股市波動既顯著又高度相關。本文利用生命周期投資組合模型，發現強迫退休風險使勞動收入接近于退休股票。因此，與傳統觀點相反，那些仍在工作但臨近退休的人，其金融投資組合中的風險資産比例應該低于退休人員。
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.
翻譯：陳然
原文鍊接：https://www.sciencedirect.com/science/article/pii/S0927539820300384

中國資産管理研究中心-3053-條件極端風險、黑天鵝對沖和資産價格
Journal of Empirical Finance, Volume 58, September 2020
作者：S. GhonRhee（University of Hawaii at Manoa）；Feng (Harry) Wu（Lingnan University）
摘要：在安全優先偏好的資産定價理論的激勵下，我們引入并實施了一個條件極端風險(CER)度量來描述在小概率市場低迷(黑天鵝)條件下的預期股票表現。我們在預期回報橫截面中發現了顯著的CER溢價。我們還證明了CER能夠解釋下行beta、協偏度和協峰度溢價。CER提供了關于黑天鵝對沖的獨特信息，這些信息不能被基于聯動下跌的尾部相關變量解釋。我們發現黑天鵝套期保值股票的定價效應更強時，這一區别有助于解釋尾部相關溢價的不存在。
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.
翻譯：陳然
原文鍊接：https://www.sciencedirect.com/science/article/pii/S0927539820300414

中國資産管理研究中心-3054-為任務分配篩選人才:絕對門檻還是百分位門檻?
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：人才與任務的匹配是工作設計的重要組成部分。公司通常使用業績阈值對人才進行分組。我們看到阈值是根據個人自身的表現(絕對值)和同齡人的表現(百分比)來定義的。由于百分位阈值産生的排名統計量能夠有效評估相關人才，因此公司更偏好百分位阈值。然而，在目标是将人才與任務類型(使用兩種代理和兩種任務類型)匹配的任務分配問題中，我們證明了絕對阈值可以在兩種情況下優于百分位數阈值。首先，任務分配的靈活性使絕對阈值更優。其次，業績操縱會對百分比阈值的内在優勢産生不利影響，因為它們會促使員工在成本高昂的個人活動上投入更多，以使其業績處于有利的地位。我們研究了這些結果在有大量員工時是否穩健，并讨論了它的實證意義。
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.
翻譯：陳然
原文鍊接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12327

中國資産管理研究中心-3055-小市值公司的微小市值與财務報告質量:來自自然實驗的證據
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：利用自然實驗(美國證券交易委員會的2016年微小交易規模試點計劃)，我們考察了微小交易規模增加對财務報告質量的影響。最小交易規模試點計劃減少了算法交易(AT)，增加了基本面投資者的信息獲取和交易活動。這反過來又增加了對管理者财務報告選擇的審查，減少了他們進行錯誤報告的動機。采用DID研究設計，我們發現可操控性應計利潤的量級顯著降低，正好達到或超過分析師預測的可能性顯著降低，試點項目中處理組企業的财務報告重述也略微顯著減少。此外，我們發現，财務報告質量的變化集中在經曆AT減少和信息獲取活動增加的處理組公司。我們還發現，應計項目的錯誤定價在處理組公司中顯著降低。綜上所述，我們的結果表明，微小交易規模的增加與公司的财務報告質量存在因果關系。
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.
翻譯：陳然
原文鍊接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12331

中國資産管理研究中心-3056-政治關聯政府
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：本文考察了強大的政治關聯對地方政府的影響。我們發現，位于有權勢的國會議員選區内并因此與他們有聯系的政府減少了對公共資源的管理。利用國會代表權力的外生下降，我們證明了因果關系的存在。為了更好地理解為什麼政治關聯的地方政府能夠減少管理，我們研究了選舉特征。我們的研究結果表明，随着強大的國會代表權帶來的資源增加，地方政府官員可以減少管理工作，而不會對他們的連任前景産生實質性的負面影響。總而言之，我們提供了政治關系成本的證據:它們削弱了地方政府以社會最佳方式行事的動機。
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.
翻譯：陳然
原文鍊接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12325

中國資産管理研究中心-3057-外彙風險、對沖和稅收驅動的境外收入轉移
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：ZERO DENG（Oregon State University）
摘要：雖然将境外收入轉移到低稅收地區可以節省稅收，但通常伴随着非稅成本。在本研究中，我考察了外彙(FX)風險是否限制了美國跨國公司出于稅收動機的境外收入轉移。我的研究結果表明，彙率波動的風險敞口與較低的境外收入轉移有關，而對于使用外币的外國子公司，這種影響更強。我還調查了套期保值是否有利于向外轉移收入。與對沖降低與彙率波動相關的成本相一緻的是，我發現使用更多貨币衍生品的美國公司往往會将更多收入轉移到稅率較低的外國管轄區。總體而言，這些研究結果表明，外彙風險是對外收入轉移的重要成本。
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.
翻譯：陳然
原文鍊接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12326

中國資産管理研究中心-3058-非對稱成本行為與股利政策
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，也就是說，銷售減少時成本下降的幅度小于同等銷售增加時成本上升的幅度。我們研究了這種不對稱的成本行為對公司股利政策的影響。考慮到投資者對削減股息的厭惡情緒，我們預測，具有較高資源調整成本和粘性成本的公司會比同行支付更低的股息，因為它們無法在未來維持更高水平的股息支付。我們找到了與這一預測相符的證據。此外，使用斷點回歸設計，利用工會選舉産生的勞動力調整成本的變化，我們提供的證據表明，成本粘性和股息支付之間的負關系是由資源調整成本驅動的。我們的論文闡明了股利政策的決定因素，并證明了成本行為在公司決策中的作用。
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.
翻譯：陳然
原文鍊接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12328

中國資産管理研究中心-3059-披露醫生評分:績效影響和改變評分共識的困難
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：HENRY EYRING（The London School of Economics and Political Science）
摘要：我研究了一個醫療系統公開披露病人對其醫生評價的政策效果。我發現，通過公開的主觀評分和不公開的客觀質量衡量，這項政策帶來了績效的改善。這種效應與多任務處理理論是一緻的，因為醫生對披露的回應是增加更多投入——與病人的相處時間——通過評級及潛在質量來提高績效。我還發現，正如信息級聯理論所預測的那樣，評級在某種程度上與最初披露的價值接近。具體來說，評級機構會觀察最初評級的模式，并通過提供相似的評級來跟進。最後，我發現醫生預期到這種評級停滞現象，因此他們盡力提高早期表現，以獲得一個高評級模式。這些結果表明，主觀評級的披露對績效有廣泛的好處，但更傾向于早期表現。
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.
翻譯：陳然
原文鍊接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12330

中國資産管理研究中心-3060-披露醫生評分:績效影響和改變評分共識的困難
Journal of Accounting Research ? VOL.58, NO. 4 ? September 2020
作者：HENRY EYRING（The London School of Economics and Political Science）
摘要：我研究了一個醫療系統公開披露病人對其醫生評價的政策效果。我發現，通過公開的主觀評分和不公開的客觀質量衡量，這項政策帶來了績效的改善。這種效應與多任務處理理論是一緻的，因為醫生對披露的回應是增加更多投入——與病人的相處時間——通過評級及潛在質量來提高績效。我還發現，正如信息級聯理論所預測的那樣，評級在某種程度上與最初披露的價值接近。具體來說，評級機構會觀察最初評級的模式，并通過提供相似的評級來跟進。最後，我發現醫生預期到這種評級停滞現象，因此他們盡力提高早期表現，以獲得一個高評級模式。這些結果表明，主觀評級的披露對績效有廣泛的好處，但更傾向于早期表現。
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.
翻譯：陳然
原文鍊接：https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.12330

中國資産管理研究中心-3061-競争的團隊
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：在許多匹配的經濟應用中，組建的團隊随後通過戰略互動或知識溢出在市場結構中競争。這種将匹配後的競争在匹配階段引入了外部性：一個團隊的收益不僅僅取決于他們成員的貢獻，同時也取決于其他匹配團隊。這篇文章簡曆了一個大的市場模型來探讨匹配的外部性。首先組建一個團隊，然後他們競争。我們分析了排序的模式，保證了競争的均衡和效率所有權。我們的主要結果表明我們模型的觀點與沒有外部性的标準模型的觀點之間差異巨大。在不同的排序模式下可能存在多個競争均衡；最優和競争均衡可能包含随機性；競争均衡可能不夠有效，匹配結果與最優均衡之間可能存在較大的偏離。我們也闡明了包含外部性的模型的經濟層面的相關性。我們分析了兩個經濟應用來表明我們的模型如何解釋公司内部、公司之間的不平等趨勢，以及公司有市場力量的行業中加價幅度的演變。
關鍵詞：有外部性的匹配，排序，戰略性互相作用，知識溢出，工資不平等，市場力量。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1134/5420165?redirectedFrom=fulltext

中國資産管理研究中心-3062-國際金融一體化與危機傳染
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：國際金融一體化幫助分散化風險，但是也可能在國家之間擴散危機。我們給出了一個量化分析，一個帶有抵押約束信貸的兩國均衡模型中的一個最優解的方法。信貸約束有時會達到限值，這取決于經濟狀況和繼承債務水平。我們研究了不同的國際金融一體化水平：從金融上自給自足到債券和股票市場的一體化。金融一體化顯著提高了全球杠杆水平，提高了任何一個國家的危機概率，提高了危機在國家之間傳染的程度。除了危機，金融一體化對宏觀經濟總量的影響相對較小。但是與金融市場自給自足的情況相比，危機影響的嚴重程度在一體化的國際金融市場下要小得多。因此，在危機概率與危機的嚴重程度之間存在着一種權衡。我利用一個超過40年的關于發展中國家和發達國家的大型跨國金融危機數據庫，發現數據中的證據支持了模型。
關鍵詞：國際金融一體化，偶然的約束，金融傳染，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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1174/5584207?redirectedFrom=fulltext

中國資産管理研究中心-3063-勞動市場摩擦、企業增長與國際貿易
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Pablo D. Fajgelbaum (UCLA and NBER)
摘要：我研究了在一個企業增長緩慢以及做固定出口投資的小型開放經濟中，勞動力市場摩擦的總體影響。該模型突出了出口中的動态投資與工作流動搜索摩擦之間的交互作用。我匹配了企業增長、企業間勞動力轉移和出口的動态數據後，校準了阿根廷經濟。結果表明：從降低交換工作摩擦帶來的真實的收入，大約是相應的降低失業摩擦獲益的7倍。企業間工人流動障礙對貿易成本降低帶來的實際收入而言很重要。
關鍵詞：勞動市場摩擦，企業增長，國際貿易，工作變更。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1213/5686221?redirectedFrom=fulltext

中國資産管理研究中心-3064-談判的排序效應：來自政府組成的證據
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：應用于立法機構的多邊談判和聯盟形成理論預測：政黨的席位份額決定了他們的談判能力。我們的發現與這一預測結果并不一緻，但卻與另一規則相一緻：得票最多的政黨應該組成政府。我們首先展示了幾個國家的案例研究以及來自28個歐洲國家議會的基于斷電回歸的證據。然後，我們關注了2898個西班牙的兩黨席位相近的市政選舉。我們發現有微弱的選票優勢的政黨更可能任命市長。因為席位相近的政黨平均而言應該具有相等的談判能力，這确定了獲得最多票的政黨的影響。這種影響的效果與獲得一個額外席位相當。當右翼政黨獲得更多選票以及第二、三名結盟成為左翼政黨時，這種效果也會出現。一個同時彙總信息和約束任職者的選舉模型可以合理化結果，我們根據數據做出進一步的預測，比如第二名的政黨任命市長時會受到選民的懲罰。
關鍵詞：準則，談判，政府組成，排序效應。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1261/5303842?redirectedFrom=fulltext

中國資産管理研究中心-3065-傳染性危機模型中的分割和流動性注入政策的啄序
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：我們研究了在兩個國家的背景下，杠杆投資者産生抛售的外部性，從而導緻金融危機和危機蔓延。政府可以通過注入公共流動性以及分割國家的流動性市場來影響金融危機的發生和蔓延的程度。我們表明，分割可以使一個國家避免被傳染，并抵禦其流動性需求受到輕微沖擊而造成的輕微金融危機，其代價是将該國暴露在由大沖擊引起的更嚴重的金融危機之下。我們得出“啄食順序”的結果：分割是次優的措施，有組織的政府隻有在稅收能力限制了其注入流動性時，才應該實行分割的措施。即使分割是增加福利的，也應僅将其應用于公共流動性，而不限制國家之間私人流動性的自由流動。無組織的政府往往過度使用分割措施。
關鍵詞：傳染，抛售，金融危機，金融穩定性，分割，流動性注入。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article/87/3/1296/5448858

中國資産管理研究中心-3066-止贖政策如何加劇房價下跌？
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：本文利用一個結果模型，一方面展示了止贖（抵押品贖回權的取消）在加劇最近的房價泡沫破裂中發揮的重要作用，另一方面分析了止贖的緩解政策。我們考慮一種動态搜索模型，在該模型中，喪失抵押品贖回權的行為凍結了市場，并通過侵蝕貸方股權，破壞潛在買家的信用，使買家更具選擇性這三種方式來降低了價格和銷量。這些影響會加劇初始沖擊，導緻價格違約螺旋式上升，且使得該模型比沒有止贖的模型可以更好地拟合模型的國家矩和截面矩。當根據最近的蕭條進行校準時，該模型表明，止贖産生的放大作用是顯著的：信用受損和挑剔的買家占正常價格下降總額的25.4％，貸方損失占22.6％。就政策而言，我們發現，本金下調的成本效益低于貸方股權注入或引入單個賣方将抵押品贖回權置于市場之外直至需求反彈的成本效益。我們還表明：減緩止贖速度的政策可能适得其反。
關鍵詞：房價和動态變化，抵押品贖回權的取消，搜索，大蕭條。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1331/5700747?redirectedFrom=fulltext

中國資産管理研究中心-3067-考慮總體沖擊的估計
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：總體沖擊會影響大多數家庭和企業的決策。我們使用了三種程式化模型，表明了僅基于橫截面數據的推理通常無法正确解釋面臨總體不确定性的理性主體的決策。我們提出了一個計量經濟學框架，該框架通過明确地确定主體決策問題相對于總體沖擊的參數，來克服這些問題。我們的框架和示例說明，模型的橫截面和時間序列方面通常是相互依賴的。因此，在存在總沖擊的情況下估算模型參數需要結合使用橫截面數據和時間序列數據。我們提供了易于使用的公式，用于檢驗統計數據和置信區間，這些公式說明了橫截面和時間序列變化之間的相互作用。最後，我們進行了蒙特卡洛模拟，突出了所提出方法的特性以及未恰當考慮總沖擊的風險。
關鍵詞：總體沖擊，理性主體，前瞻性行為，一般均衡，教育選擇，穩定的收斂。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1365/5385517?redirectedFrom=fulltext

中國資産管理研究中心-3068-國家行業貿易沖擊、當地勞動力市場與聚集溢出效應
THE REVIEW OF ECONOMIC STUDIES ? VOL. 87, Issue 3 ? MAY 2020
作者：Ines Helm (Stockholm University)
摘要：通過使用一系列廣泛的全國性行業貿易沖擊，我采用了一種新方法來估計集聚效應，即利用各地勞動力市場中其他當地（國家）行業貿易沖擊間接敞口中的行業内差異。這種差異源于本地行業構成的差異，我可以基于此來測試各行業間是否存在異質性的聚集效應。我發現其他可貿易行業的貿易沖擊産生了相當大的就業溢出效應，在同一廣泛領域内的影響甚至更大。對于雇用類似工人的行業而言，溢出效應更大，這主要是由于對高科技行業的沖擊而引起的。
關鍵詞：聚集，當地勞動力市場，貿易沖擊。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article/87/3/1399/5610540

中國資産管理研究中心-3069-場外市場中的摩擦中介
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：我們擴展了Duffie等人（2005）的場外（OTC）資産市場的搜索理論模型，允許去中心化的交易員市場在交易商的估值（或同等的庫存成本）中具有任意異質性。我們提出了一種解決方案技術，可以使模型完全可解，并允許我們導出在場外交易市場中介過程的實證研究中的關鍵統計數據的顯式的理論公式。對市政債券市場的校準使我們能夠量化該市場不可觀測的重要特征，包括搜尋和談判摩擦的嚴重性以及交易商之間異質性的性質。我們使用校準後的模型來研究這些市場特征對總福利以及客戶和經銷商之間的貿易收益分配的影響。
關鍵詞：場外市場，搜索摩擦，談判，異質的主體，中介鍊。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1432/5535535?redirectedFrom=fulltext

中國資産管理研究中心-3070-宏觀審慎監管與危機後的肅清
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：當決策者可以使用流動性提供工具來管控危機時，應當如何設計宏觀審慎政策？我們在一個可解的系統性銀行風險模型中表明，有三個因素在起作用：首先，事後提供流動性緩解了金融危機，并且這減少了對宏觀審慎政策的需求。在極端情況下，如果提供流動性沒有針對性且無成本，或者它通過可靠的最後貸款方式完全平衡了危機，那麼宏觀審慎監管就沒有任何作用。然而，第二點是宏觀審慎政策需要考慮有針對性的流動性提供的事前激勵作用。第三，如果影子銀行降低了宏觀審慎工具的有效性，那麼最好承諾提供較低的流動性以作為宏觀審慎政策的次優替代品。
關鍵詞：金融危機，系統性風險，金融的放大性，宏觀審慎監管，提供流動性。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1470/5722216?redirectedFrom=fulltext

中國資産管理研究中心-3071-量化寬松如何發揮作用：再融資渠道的證據
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：我們使用大量與借款人相關的抵押市場數據以及基于抵押市場分割的識别策略，發現了美聯儲大規模購買資産向實體經濟的傳導。我們發現，央行第一次量化寬松政策的抵押支持債券（QE1 MBS）購買的行為大大增加了再融資活動，減少了為再融資家庭支付的利息，導緻了股權提取量激增以及總消費的增加。相對于不符合量化寬松政策的巨型抵押貸款，符合量化寬松條件的合格抵押貸款利率下降了40個基點，再融資額在QE1期間進一步增長了56％。我們估計，家庭再融資在QE1期間的持久消費增加了12％。我們的結果表明，非常規的貨币政策向實體經濟的傳導關鍵取決于所購買資産的構成和市場分割的程度。
關鍵詞：量化寬松，貨币政策傳導，真實影響，抵押貸款，家庭資産。
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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1498/5673397?redirectedFrom=fulltext

中國資産管理研究中心-3072-廣告可以作為一種信号嗎？來自移動搜索實地實驗的證據
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：我們開發了一個實地實驗，評估廣告是否可以作為增強消費者對廣告商品評價的信号。我們在移動搜索平台上實施了該實驗，該平台可為原始體驗良好的餐廳提供列表和評論。通過與該平台的合作，我們将13個亞洲城市的約200,000名用戶随機分配給約600多家本地餐廳的廣告展示。在展示組中，我們随機改變向消費者披露的餐館列表是否為付費廣告。這樣就可以隔離出用戶知道贊助列表對結果的影響——純信号傳遞效果。我們發現，在固定了廣告的所有其他屬性的前提下，信息的披露使餐館的緻電次數增加了77％。當消費者在遠離其典型搜索城市的地方使用該平台、餐館質量的不确定性較大以及過去獲得較少評分的餐館時，披露帶來效果會更大。從供給的角度，新的、更高評價的和更受歡迎的餐館在平台上做更多廣告；且在實驗期間刊登廣告的餐館在兩年後的評級更高。綜上所述，我們将這些結果解釋為與信号均衡相一緻，廣告充當隐性信号，增強了做廣告餐廳對消費者的吸引力。消費者和廣告商似乎都從信号中獲益。與沒有展示信息的餐廳相比，消費者将選擇轉向在展示組中評級更高的餐廳，而廣告商則會從展示信息帶來的結果改進中獲益。
關鍵詞：信息性廣告，信号，實地實驗，餐廳，移動，付費搜索，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.
翻譯：張葉青
原文鍊接：
https://academic.oup.com/restud/article-abstract/87/3/1529/5583745?redirectedFrom=fulltext

中國資産管理研究中心-3073-拖經濟的尾巴：人們的預期與持續停滞
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：大蕭條是一次嚴重的經濟衰退，對信貸，就業和産出都造成了長期影響。盡管有關其原因的說法比比皆是，但國内生産總值低于預期趨勢的持續性仍然令人困惑。我們提出了一種簡單的持久性機制，可以量化并與現有模型結合。我們的關鍵前提是，代理人不知道沖擊的真實分布，而是使用數據進行非參數估計。然後，短暫的事件，尤其是極端事件，對人們的預期信念和宏觀結果上都産生了持續的影響。将這種機制嵌入新古典模型中，我們發現它在尾部事件發生後内生地造成了經濟活動的持續下降。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/abs/10.1086/707735

中國資産管理研究中心-3074-辯論：對政治傳播的投票和政選支出的反應
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：候選人辯論曆史悠久，仍然是當代競選策略中不可或缺的一部分。但是，幾乎沒有證據表明它們會影響選民或政客的行為。發展中國家缺乏政治信息為我們提供了一個有吸引力的試驗場。利用塞拉利昂的實驗性變化，我們發現公衆辯論的篩選機制是建立在改變了人們投票方式的政治知識上，從而促使候選人對競選開支作出反應，并對當選官員的開支産生問責壓力。結果表明，政治交流是如何引發一系列開始于選民的事件，并最終如何影響政策。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/706862

中國資産管理研究中心-3075-通過激勵改善大學教學
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：在實地實驗中，我們研究了績效激勵對社區大學教師的影響。教師激勵措施可以提高學生的考試成績、課程成績和學分積累，同時減少課程辍學率。在兼職教師中的影響效果最大。在計劃課程期間，教師激勵措施會産生積極的溢出效應，從而提高學習之外的學生課程的完成率和成績。該計劃結束後的一年，教師激勵措施增加了四年制大學的轉學分率，而對兩年制大學學位沒有影響。我們發現沒有證據表明教師激勵與學生激勵之間具有互補性。 最後，雖然與起初的虧損框架相比，教師最初更喜歡以收益框架為基礎的合同，但經過合作後，教師對以虧損框架為基礎的合同的偏好會大大增加。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/707025

中國資産管理研究中心-3076-關于總産出生産函數的識别
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：我們研究了常用代理變量方法環境下的總産出生産函數的非參數識别問題。我們表明，将這些方法應用于總産出需要需求面額外的一些變量，比如價格。通過轉換公司的一階條件，我們為總産出開發了一種新的非參數識别策略，即使在沒有其他額外變化，也可以使用該策略。蒙特卡洛（Monte Carlo）的證據和哥倫比亞和智利工廠級數據的估計表明，我們的策略表現良好，并且對于偏離基準線設置的情況非常有力。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/707736

中國資産管理研究中心-3077-移民與工資動态：來自墨西哥比索危機的證據
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：美國勞動力市場如何吸收低技能的移民？在短期内，高移民地區的低技能勞動力會增加，本地低技能工資會下降，租金的相對價格會上升。内部重新安置在空間上消除了這種沖擊。從長遠來看，唯一的持久後果是（a）在高移民時期進入勞動力市場的低技能本地人的勞動力市場狀況更差，以及（b）當移民工人比例過高時，高移民地區的住房價格下降，因為他們進入建築行業，使得建築成本下降。我使用定量動态空間均衡多區域模型來獲取與政策相關的反事實。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/707764

中國資産管理研究中心-3078-對國家和非國家行為體的信任：來自巴基斯坦争端解決的證據
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：本文研究了有關改善公共服務的信息是否可以幫助建立對國家機構的信任，并使人們遠離非國家行為者。我們發現，關于減少巴基斯坦農村地區國家法院延誤的信息會導緻公民報告更高的使用它們的可能性，并使國家在高風險的實驗室的博弈中獲得更多的撥款。我們還發現了對非國家行為者的負面間接影響，并表明這些變化是對關于國家行為者信念改善的回應，這使個人與非國家行為者的互動減少，并且我們認為也會促使他們降低對這些國家行為者的信念。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/707765

中國資産管理研究中心-3079-債券和股權風險的宏觀經濟驅動因素
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：我們基于消費習慣的新模型，通過對數線性、同構的宏觀經濟動态模型，可以計算債券和股票的時變風險溢價。消費者對于實際無風險債券的一階條件會生成一個精确的對數線性消費歐拉方程，這在新凱恩斯模型中是普遍假設。我們估計2001年通貨膨脹與産出缺口之間的相關性将會從負變為正。較高的通貨膨脹降低了實際債券的收益，而較高的産出則提高了股票的收益，這解釋了為什麼債券與股票收益的相關性從正變為負。在模型中，風險溢價放大了債券-股票收益聯動的這種變化，對于定量解釋至關重要。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/707766

中國資産管理研究中心-3080-沖突的策略與技術
Journal of Political Economy ? VOL. 128, Number 8 ? August 2020
作者：Sandeep Baliga (Northwestern University)；Tomas Sj?str?m (Rutgers University)
摘要：我們通過一個簡單的讨價還價博弈模型，研究了偏好，技術和禀賦是如何影響戰略互動的。我們研究了相對軍事能力的變化是否會增加沖突的可能性，并發現了沖突成本與沖突可能性之間的非單調關系。如果沖突的成本很小，且有較大的先動優勢，則博弈具有戰略互補性，反之則具有戰略替代性。這一特征可以預測戰略投資的使用，如在國防系統中。該模型的擴展表明：今天擴大領土可能會增加明天發生沖突的風險。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/707767

中國資産管理研究中心-3081-STEM主要選擇的Roy模型的拐點和可測性
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：我們分析了Roy模型的實驗内容，将其分解為行業特定的不可觀測異質性和基于潛在結果的自我選擇。我們描述了潛在結果和Roy模型的可測試含義的聯合分布的拐點。我們運用這些邊界來推導出偏離Roy自我選擇的度量，從而确定幹預的主要目标。特别強調二元結果的情況。我們分析了加拿大和德國大學專業選擇的Roy模型，并重新審視了女性在科學，技術，工程和數學領域的不足。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708724

中國資産管理研究中心-3082-房地産繁榮與蕭條：模型與證據相結合
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：我們建立了具有多重總沖擊的美國經濟模型，這些總沖擊會導緻均衡房價波動。通過反事實實驗，我我們研究了大蕭條前後的房地産繁榮與蕭條，主要有三個結果。首先，房價和租金變動的主要驅動力是觀念的轉變，而不是信貸條件的改變。其次，房價的暴漲暴跌解釋了财富效應導緻的非持久性支出相應波動中的一半原因。第三，大規模的債務減免計劃在緩和房價和支出崩潰方面的收效甚微，但會大大減少喪失抵押品贖回權的情況，并在複蘇期間引起了消費量的小幅但持續的增長。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708816

中國資産管理研究中心-3083-社區沖突和團體間借貸的經驗
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：我們利用了一家大型印度銀行的經理和借款人的數據，提供了有關種族摩擦和市場效率的微觀經濟學證據。我們推測，如果基于宗教的社區暴力曝光，會加劇群體之間的敵意，同時也将導緻在經理人做貸款決策時對借款人的宗教更加敏感。我們發現，遭受暴亂的印度教分支機構經理向穆斯林借款人提供的貸款相對較少，而且這些貸款的違約可能性較低，這與暴亂加劇了歧視相一緻。這種偏見在銀行官員任職期間一直存在，這表明種族沖突的經濟代價是長期的，可能跨越幾代人。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708816

中國資産管理研究中心-3084-兒童早期低水平的鉛元素暴露是如何影響兒童的生活軌迹
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：我們研究了兒童從出生到成年的鉛暴露的影響，并提供了産生這些影響的機制的證據。 在瑞典，有80萬名兒童不同程度地接觸到含鉛汽油，我們發現，即使低接觸也會影響長期結果，男孩受到的影響更大，而且也會對非認知能力的造成影響，這部分主要會影響犯罪和人力技能。超出與普通人群的鉛元素接觸阈值會造成更大的影響，接觸減少的程度即近期的血鉛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%.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708725

中國資産管理研究中心-3085-供應鍊中的信貸市場幹擾與流動性溢出效應
Journal of Political Economy ? VOL. 128, Number 9 ? September 2020
作者：Anna M. Costello (University of Michigan)
摘要：對銀行業的沖擊如何通過公司進行傳播？我使用了新的企業間銷售數據集顯示，遭受銀行融資的外生性影響的供應商将這種流動性沖擊傳遞給了下遊客戶。溢出效應通過兩個渠道發生：減少的貿易信貸和減少的商品和服務總供應。在受到溢出影響之後，下遊客戶表現出信貸風險激增和就業減少。總體而言，本文強調了财務溢出效應在解釋公司部門業績方面的重要性。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708736

中國資産管理研究中心-3086-1949-2016年美國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：本文介紹了一個新的長期數據集，該數據集來自消費者金融調查的曆年檔案數據。 通過研究家庭收入和财富的聯合分配，我們揭示了戰後美國資産組合構成和資産價格對于财富動态的核心重要性。資産價格改變了财富分配，因為沿着财富分布的家庭投資組合存在系統性差異。中産階級投資組合以住房為主，而富裕家庭則主要擁有商業股權。股本和房價的不同變化影響了戰後美國的财富動态，并使長期内的收入和财富分配脫鈎。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708815

中國資産管理研究中心-3087-自負盈虧的運行：來自美國壽險業的證據
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：投資者之間不斷惡化的基本面和戰略互補性的相互作用，使自負盈虧過程的識别具有挑戰性。我們提出了一個動态模型，以顯示如何利用企業負債結構的外生變化獲得戰略互補強度的變化。将這種識别策略應用于美國人壽保險公司提供的可出售證券，我們發現，在2007和2008年危機期間，機構投資者在人壽保險公司經營的180億美元中，至少有40％被自負盈虧的期望所放大。我們的發現表明，機構投資者在影子銀行中的其他同期運行可能具有自負盈虧的成分。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708817

中國資産管理研究中心-3088-縱向整合，供應商行為和出口商之間的質量提升
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：本文研究了企業産出質量與組織結構的關系。利用秘魯魚粉制造業的生産和交易鍊的數據，我們建立了三個結果。首先，當外部原因導緻質量溢價上升時，企業會整合供應商。第二，當縱向整合時，供應商改變他們的行為以更好地保持投入質量。第三，當天氣和供應商可用性沖擊使企業轉向使用集成供應商時，企業的高質量産出比例更高。總的來說，我們的研究結果表明，正如經典企業理論所預測的那樣，質量升級是整合面臨“數量-質量權衡”的供應商的重要動機。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708818

中國資産管理研究中心-3089-震驚！美國緊急護理的網絡外計費
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：在美國，醫院和醫生獨立地與保險公司談判合同。因此，私人保險的個人可以在網絡内的醫院的急診科接受治療，但是會從在該機構工作的網絡外急診醫生那裡收到一大筆意外費用。因為病人不能選擇他們的急診醫生，急診醫生可以保持在網絡之外，并在不損失病人數量的情況下收取高價。本文證明了這種強大的外部選擇提高了醫生與保險公司的議價能力。最後，本文分析了紐約通過醫生和保險公司之間關于網絡外支付的具有約束力的仲裁來解決網絡外費用的問題。這種幹預措施将網絡外計費降低了12.8個百分點（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%).
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708819

中國資産管理研究中心-3090-道德價值觀與投票
Journal of Political Economy ? VOL. 128, Number 10 ? October 2020
作者：Benjamin Enke (Harvard University and National Bureau of Economic Research)
摘要：本文研究了美國總統選舉中道德價值觀的供給與需求。結合大規模調查數據和文本分析，我支持這樣一個假設，即選民和政治家在強調普遍主義與公共道德價值觀方面表現出異質性，而政治家的投票比例部分反映了他們的道德訴求與選民價值觀的匹配程度。在過去的十年裡，美國人的價值觀變得越來越相似，尤其是在農村地區，這導緻了道德的兩極分化，并與空間投票模式的變化有關。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708857

中國資産管理研究中心-3091-大蕭條時期的代際再分配
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：大蕭條期間勞動力收入急劇下降，資産價格下降幅度更大。這些下降造成的福利損失是如何分布在不同年齡段的？為了解決這個問題，我們構建了一個重疊代際的一般均衡模型，在模型中家庭面臨着巨大的總體沖擊。模型的校準版本複制了資産價格的動态變化。年輕的家庭在大蕭條中會遭受更大的收入損失，但可以暫時以低迷的價格購買資産從而獲益。 結果，該模型預測，年輕人的福利損失比年齡較大的人群要小。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/708820

中國資産管理研究中心-3092-具有相互依賴成本的拍賣模型中的識别
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：許多市場都是聯合的，包括首次公開發行（ipo）、俱樂部交易杠杆收購（club deal）杠杆收購（club deal）和債券發行（debt），在這些市場中，每個中标者都會邀請競争對手加入一個銀團來完成生産。我們發現，在銀團市場中，當市場集中度下降時，合謀可能變得更容易，而市場進入可能會促進合謀。尤其是企業可以通過拒絕與任何降低合謀價格的公司聯合，從而提高該公司的生産成本，從而維持合謀。因此，我們的結果可以使自相矛盾的實證觀察結果合理化，盡管市場集中度較低，但許多現實世界中的辛迪加市場仍表現出合謀定價。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/709953

中國資産管理研究中心-3093-具有相互依賴成本的拍賣模型中的識别
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：許多市場都是聯合的，包括首次公開發行（ipo）、俱樂部交易杠杆收購（club deal）杠杆收購（club deal）和債券發行（debt），在這些市場中，每個中标者都會邀請競争對手加入一個銀團來完成生産。我們發現，在銀團市場中，當市場集中度下降時，合謀可能變得更容易，而市場進入可能會促進合謀。尤其是企業可以通過拒絕與任何降低合謀價格的公司聯合，從而提高該公司的生産成本，從而維持合謀。因此，我們的結果可以使自相矛盾的實證觀察結果合理化，盡管市場集中度較低，但許多現實世界中的辛迪加市場仍表現出合謀定價。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/709953

中國資産管理研究中心-3094-美國海上石油租賃拍賣的共同價值，未觀察到的異質性和内生進入
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：盡管經常将鑽探權拍賣作為共同價值的一個例子，但由于拍賣水平不可觀測的異質性問題，正式證據受到限制。我們為具有關聯價值、未觀察到的異質性和内生競标者進入的第一價格密封競标開發了一種經驗方法。我們證明了該模型的重要特征是非參數識别的，并對來自美國近海石油和天然氣租賃拍賣的數據應用了半參數估計方法。我們發現，共同的價值觀，附屬的私人信息，以及不可觀察到的異質性都存在。無法解釋未觀察到的異質性會掩蓋共同價值的證據。在确定競标價格和賣家收益的積極性時，我們研究了估算值對從屬關系，獲勝者的詛咒，拍賣規則以及競标者數量之間相互作用的影響。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/710026

中國資産管理研究中心-3095-動機性錯誤記憶
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：人們經常忘記，有時甚至會出現錯誤記憶。本文報道了一項關于記憶錯誤及其與偏好特質的關系的大規模實驗，這些偏好特征包括時間偏好，對風險和歧義的态度以及諸如預期感覺之類的心理特征。我們觀察到系統性的錯誤記憶傾向于積極事件和積極遺忘過去的消極事件。積極的錯誤記憶和積極的虛構都與當前的偏見有很大關系，但是對于積極的健忘症卻并非如此。在一個多重自我模型中，我們證明了積極的錯誤記憶，而不是選擇性失憶症，有助于增強一個人對未來處于平衡狀态的自我的信心，從而解釋了我們的實驗結果。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/709971

中國資産管理研究中心-3096-非洲沖突的經濟根源
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：我們研究了全球食品價格沖擊對整個非洲當地暴亂的影響。在糧食産區，價格上漲減少了對領土控制權的沖突（“要素沖突”），并增加了對盈餘分配的沖突（“産出沖突”）。我們認為，之所以出現這種差異，是因為較高的價格增加了生産者的機會成本，同時又随着實際工資的下降而誘使消費者獲得适當的盈餘。在沒有農作物種植的地區，較高的價格加劇了兩種形式的沖突。我們使用調查數據來驗證我們在地方層面上對産出沖突的發現。我們的發現有助于調和關于沖突經濟根源的日益增長但模棱兩可的文獻。
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.
翻譯：邵丹
原文鍊接：
https://www.journals.uchicago.edu/doi/10.1086/709993

中國資産管理研究中心-3097-大股東類型和董事會治理
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：本研究檢驗了大股東持股和公司董事會治理結構的關系。基于台灣地區公司的數據，我們發現不同類型的大股東持股對董事會治理結構的影響方式不同。特别的，我們發現更高的家族持股比例與更大外部經理人在董事會的占比以及更高的CEO-董事長合一的可能性相關。機構持股和董事會治理結構的關系取決于該機構是外國的還是本國的，以及是積極的還是消極的。我們的發現共同表明家族（機構）持股與指導性（監視性）董事會有更強的關系。我們的研究通過提供關于大股東類型和董事會治理結構多維關系證據豐富了相關領域的研究。
關鍵詞：代理問題，公司治理，經理層激勵，家族控制，家族持股，機構持股
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101715

中國資産管理研究中心-3098-話語和權力：機構持股者使用了他們的投票權嗎？
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：我調查了投票權起的作用—對投票結果的影響能力—從機構持股者的投票行為中。通過使用手工收集的以色列公司數據，該市場有公司所有權集中的特點，我采用從政治學研究中借鑒來的權力指數來衡量機構持股者持有的投票權和他們表現出的投票模式。我發現機構持股者的投票權力與他們投票反對管理層決定的傾向負相關：持股者越強勢，他們投票支持管理層發起的提議的傾向就越大。基于此處獲得的證據，這種行為可以歸因于投票前談判以及“反正我投票不算數”的投票策略。下一步，我使用持股者的投票細節數據來識别一個投票規則影響少數股東權益保護的渠道。我發現那些強有力的機構持股者幾乎從未使用他們的投票權來反對管理層，甚至是在公司治理糟糕的信号顯而易見的時侯。我得出了投票規則通過提議篩選影響少數股東權益保護而非直接通過投票的結論。
關鍵詞：公司治理，投票行為，投票權，股東投票，股東權益保護，機構持股者，表達性投票
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101716

中國資産管理研究中心-3099-董事會監管，經理聯系和信用質量
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：董事會監管有效性差的公司将會獲得更低的信用評級以及更高的信用溢差。我使用經理離世作為對董事會監管的外生沖擊來識别這些效應。這些效應在公司高杠杆運作時尤為顯著。董事會監管有效性進一步下降對信用質量的沖擊在大部分董事會成員由管理層指派和公司更有可能增加公司風險時最明顯。
關鍵詞：董事會監管，公司治理，債務成本，評級機構，公司違約
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101726

中國資産管理研究中心-3100-套利VS知情賣空：來自可轉債發行者的證據
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：先前的文章要麼研究了在證券市場上知情者賣空的效應，要麼研究了套利者賣空的效應。我們檢驗了同一公司同一時期中可轉債發行時和盈利公告時知情賣空和不知情賣空的相對重要性。可轉債的套利賣空與暫時性的價格壓力相關，與向下的需求曲線一緻。盈利公告時的賣空與預測到未來回報的知情交易者行為相吻合。影響賣空成本的公司層面特征對知情賣空和套利賣空産生的影響類似。刻畫對沖需求的交易層面特征也強烈地決定了可轉債的套利賣空。
關鍵詞：賣空，知情交易，套利，盈利公告，可轉債
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101687

中國資産管理研究中心-3101-預示風險投資公司籌資成功的早期指标
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：我們展示了風險投資公司的籌資如何受它的投資決策影響。我們調查了三個基于風險投資公司的投資類型計算得出的領先指标：風格偏離投資，後續投資以及在不是本公司領投的目标公司的投資。我們發現這些投資特征與更低的籌資額相聯系。風險投資公司的特征和市場對特征的反應都普遍随時穩定。我們還發現有關投資特征的信息預期特征對于世界形勢差時的籌資有更強的重要性，以及預期特征與最終退出的結果和财務績效相關的證據。
關鍵詞：私募股權，風格偏離，後續投資，領投人，績效指标，風險資本，籌資
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
翻譯：黃偉洲
原文鍊接：https://doi.org/10.1016/j.jcorpfin.2020.101672

中國資産管理研究中心-3102-主權風險與銀行危機的關聯
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：歐元區發生的主權債務危機凸顯出銀行和主權政府财務狀況的緊密聯系，且與更高的融資成本和更低的私人部門信用水平相關聯。在本文中，我們分析了2010-2018年間的五個子區間上主權信用違約互換（CDS）利差和銀行信用違約互換（CDS）利差之間的協同運動，并評估了單一清算機制（SRM）的聲明和實施産生的影響。我們的證據表明新的纾困機制，這一機制确保問題銀行的私人債權人在公共資金注入銀行纾困前先承受損失，顯著地降低了主權政府和銀行部門風險的關聯性。
關鍵詞：内部纾困，銀行危機，單一清算機制，主權政府-銀行關聯，歐洲銀行
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101717
中國資産管理研究中心-3103-績效工資作為禮物交換：來自中國公司創新的證據
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：本文探究了普通員工在公司創新中的影響。我們揭示了向普通員工支付更高的相對工資将帶來表現為專利數量和質量的創新成就。這一效應在高技能員工占比更高的公司、研發強度更高的行業、勞動力市場競争性更強的省份和非國有企業更為顯著。進一步的分析顯示績效工資由于保持和吸引寶貴的人力資本且激發員工工作熱情可以作為激勵創新的潛在渠道。最後，我們揭示了技術進步機制是一個經由普通員工影響生産力增長進而影響經濟的機制。
關鍵詞：績效工資，公司創新，人力資本
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101725

中國資産管理研究中心-3104-共同基金的清盤，金融危機和達爾文
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：過去的研究已經證實基金表現和基金清盤間的負相關關系。本文分析了在2000-2014年間清盤的6600隻美國共同基金，這一數目接近目前仍存續的美國共同基金數量的兩倍，為2008年金融危機期間是否存在清盤-績效表現的負相關關系提供了證據。我們确認了這一總體關系存在，但發現，與其他時期不一緻，在金融危機期間不存在統計上顯著的清盤-績效表現的相關關系。我們還揭示出基金支出與負擔對基金清盤的影響在危機期間增強。這與我們的觀點一緻，即當一些積極投資者離開市場時，消極投資者對于基金家族變得十分重要，盡管這些投資者最終會蒙受損失。我們還發現，發生在金融危機後的并購的結果是并購發起方和被并購方的并購發生後表現都在統計上劣于他們在并購發生前的表現。
關鍵詞：委托代理沖突，共同基金，績效，基金清盤，并購，金融危機
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101738

中國資産管理研究中心-3105-在非正規金融市場中存在基于雇員的性别差異嗎？——來自國際的證據
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Jiafu An(Faculty of Business and Law, University of Portsmouth, United Kingdom)
摘要：我們研究了世界範圍内女性産業工人對于公司取得商業信用的影響。采用來自兩個來源的衡量性别歧視的變量以及雙重差分模型，我們發現有更多女性産業工人的公司在具有更強的男性偏好的國家更難獲得商業信用。這一關系更多的體現于出現非預期的信用緊張狀況産業的公司以及男性主導産業的公司。由于女性主導的企業更多依賴非正式金融體系，本研究與在存在高度性别歧視的地區制定引導女性主導企業參與正規金融體系的政策相關。
關鍵詞：性别歧視，商業信用，耕作，女性雇員
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101737

中國資産管理研究中心-3106-風險投資的策略性撤投
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Pierre Mella-Barral(TBS Business School, France)
摘要：初期階段的風險投資在項目需要更多資金前傳遞了有關該項目質量的信息。為了取得最理想的初期階段财務安排，創業者需要尋找擁有最優秀識别能力的風險投資人。然而向有最優秀識别能力的投資人籌資也會對後續融資産生副作用。投資人可以通過威脅不進行後續投資從創業者處取得更有利的條件：這位投資人判斷得越準确，他不參與下一輪投資向其他投資者傳遞的信号就越負面。因此，最有吸引力的初期階段風險投資人是那些隻具備普通識别能力的人。策略性撤投的威脅強化了信用配給現象。
關鍵詞：風險投資，識别能力，鑒定，階段性投資
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101724

中國資産管理研究中心-3107-公司媒體聯系與并購結果
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：我們檢驗了并購方與媒體的社會聯系和并購結果之間的關系。我們發現，與媒體管理假說一緻，媒體聯系與更高的出價公告回報率、更低的接管收益，更糟糕的并購後經營績效，更高的并購中止可能性以及更強的并購動機有關。媒體聯系和并購公告回報率的聯系在采用股票收購時更明顯。通過對各個潛在的渠道進行檢驗，我們揭示出媒體網絡與并購方的媒體覆蓋和标前公告期的媒體标題情緒正相關。我們的發現在使用了替代變量和進行内生性檢驗後仍具有魯棒性。
關鍵詞：兼并收購，媒體聯系，媒體覆蓋與情緒
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101736

中國資産管理研究中心-3108-從屬于銀行持股公司與銀行穩定性：來自美國銀行部門的證據
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：作為一家擁有多家銀行的持股公司旗下一員能否有利于銀行的穩定？我們通過檢驗獨立銀行以及屬于多銀行持股公司的銀行市場風險指标對一次外生性負面沖擊（2005年美國飓風季）的反應。我們發現的證據與銀行持股公司在緩沖負面沖擊時扮演重要角色的理論一緻，擁有持有更多流動性頭寸子公司的持股公司在系統層面和個體層面都更具穩定性。我們還進行了事件研究，結果表明市場認為多銀行持股公司對沖擊的應對模式是一種價值提升。
關鍵詞：銀行持股公司，系統性風險，金融穩定
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101739

中國資産管理研究中心-3109-P2P向中小企業貸款中的信用配給：借貸雙方的關系有影響嗎？
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Rients Galema(School of Economics, Utrecht University, Netherlands)
摘要：這篇文章研究了熟悉借款者的P2P個體投資者在向中小企業貸款中存在的信用配給的緩解上發揮的作用。我使用由荷蘭最大的P2P借貸平台之一提供的獨有數據，在該平台上與借款者相熟的人可以在其他P2P投資者之前進行投資。我發現P2P投資者會向他們所熟識的人的借款投資更多的資金。更多的來自于借款人熟人的初始投資與之後有更高的可能性從P2P借款人處取得第二筆貸款，更大額的其他P2P投資者投資以及更低的事後違約率相關。這些結果與擁有優勢信息或者監督技能的非正式出借人和理性跟随非正式出借人的投資決策相一緻。
關鍵詞：P2P借貸，信用配給，中小企業，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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101742

中國資産管理研究中心-3110-外部的不确定性對企業可持續性績效有影響嗎？
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：受啟發于企業可持續性概念的流行以及國際間逐漸增加的不确定性，我們調查了三種來源的不确定性的影響，即：經濟政策、氣候變化以及政治不穩定性對企業可持續性績效的影響。使用來自72個國家共6804家企業前後15年的數據，我們的研究揭示來自氣候變化、經濟政策和政治不穩定性的不确定性對企業可持續性績效産生負面影響。這一發現支持了實物期權理論，理論認為外部環境中的不确定性将抑制企業開展長期投資（例如投資于企業的可持續性上）。除此之外，結果表明可推延企業可持續性投資的選擇權緩和了國家層面的不确定性和企業可持續性績效之間的關系。面對不确定性時，擁有更高可持續性績效的企業擁有更高的企業價值，擁有更高收益表現的企業在面對國家層面的不确定性時可持續性更強。
關鍵詞：氣候變化，企業可持續性，經濟政策不确定性，政治不穩定性，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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101743

中國資産管理研究中心-3111-雇員友好型企業投資效率更高嗎？——來自勞動力投資效率的證據
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：我們研究了雇員待遇對勞動力投資效率的影響。我們用證據證明了對雇員友好的待遇條件與更低的實際勞動力投資和經濟基本面确定的勞動力投資的偏差顯著相關，亦即更高的勞動力投資效率。雇員待遇對人力投資效率的影響在擁有更多技術工人和知識資本的人力資本密集型企業上，以及面對激烈産品市場競争的公司上更為強烈。使用2008年至2009年金融危機作為外生沖擊并采用雙重差分法，我們還揭示出雇員友好型企業在金融危機後有更高的勞動力投資效率，但在危機期間承受了更低的勞動力投資效率。經過安慰劑檢驗、選擇性偏差測試、傾向性評分匹配、替代解釋檢驗，以及用将殘差作為被解釋變量、額外控制變量和其他解決内生性問題的方法進行調整後，我們的結論仍具備魯棒性。
關鍵詞：雇員待遇，企業社會責任，勞動力投資效率，人力資本，金融危機
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101744Get
中國資産管理研究中心-3112-股權衆籌中的質量展示與誇大
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：本文研究了定性商業信息在股權衆籌中創業者和投資者之間緩解信息不對稱所起的作用。定性商業信息包括創業者對商業模型、競争策略、産品市場、産品/服務在被市場接納中的動力和阻力以及經營計劃的介紹。實證數據表明，從總體上，對定性商業信息的更細緻展示将帶來更好的籌資結果。但是，創業者過度使用情緒化語言以及無依據地誇贊自己項目的質量不會從清醒的投資者中取得回報，但普通投資者對情緒化的語言抵抗力不足。我們還發現JOBS法案第三節的實施導緻了籌資成功比率的下降但強化了項目介紹對籌資成功比率的作用。
關鍵詞：股權衆籌，信息不對稱，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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101741

中國資産管理研究中心-3113-投資的外部籌資方式
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：本文探究了投資特征對籌資選擇的影響。我們調查了美國公司通過股權再融資、銀行貸款、直接非銀行借款以及可轉換證券融資的案例，這些案例發行時的用途聲明都是資本支出，且我們能通過手工方式采集并歸類他們的投資特征。控制公司現有資産、資本結構和價值的特征後，我們發現，投資特征與在股權和債權兩種籌資方式的選擇間存在強實證關聯性。因子分析指出，籌資方式選擇背後的規律性決定因素是一項投資的回報能否描述為成功或失敗。
關鍵詞：投資風格，籌資，債股選擇，可轉換證券
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101745

中國資産管理研究中心-3114-董事委員會的決定因素與效應
Journal of Corporate Finance ? Volume 65 ? December 2020
作者：Wei-Ming Lee(City University of Hong Kong, Hong Kong, China)
摘要：2003年發生的企業治理結構改革要求董事會下設諸多委員會。本文研究這些委員會的結構與對應的影響。我發現那些有很長任期的獨立董事傾向于承擔多項職責并進入更多的委員會。公司讓獨立董事承擔多項職責的行為與該公司有相對更低的CEO報酬和高ROA相關聯。一般地，在有長任期CEO的公司中獨立董事承擔多項職責帶來的好處更為明顯。本研究為該領域做出的貢獻在于發現董事會績效不僅取決于董事們的身份，還取決于指派給他們的職責。
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.
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101747

中國資産管理研究中心-3115-氣候風險：幹旱的代價
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：我們證實了股權資本成本與幹旱風險之間的顯著正相關關系。我們的估計結果表明受嚴重幹旱情況影響的公司的股權資本成本會高出92個基點。我們的證據表明當公司受幹旱影響時，本地機構持股比例更高的公司表現出更高的股權資本成本。這一結果支持廣為人知的機構投資者的本地偏見，并表明多元化不能完全消除由幹旱帶來的财富損失。與我們的理論預測一緻，我們發現幹旱的持續時間和幹旱的嚴重程度進一步增加了公司的風險溢價。然而，對于有多元化現金流/投資、地理上分散運營、高現金儲備的公司，幹旱對預期回報率的影響顯著減輕。總之，我們的發現揭示了投資者向受幹旱影響的公司要求更高的收益率，同時為公司如何減少因幹旱導緻的股權資本成本增加提出了建議。
關鍵詞：氣候變化，帕默爾幹旱指數（Palmer Drought Severity Index），幹旱，股權資本成本
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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101750

中國資産管理研究中心-3116-不确定性規避與共同基金
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：我們研究了文化如何影響全世界的共同基金。不确定性規避（UA），與模糊厭惡相關聯，在我們的25國樣本中，與資金流對業績的敏感性，基金基準偏離度，基金阿爾法值以及積極管理部分比例呈現負相關。甚至在我們控制了一個詳盡的包含個體基金層面以及國家層面特征集合後，這一結論依舊成立。我們還發現，基金與其基準的偏離不僅僅受基金注冊地所在國UA的影響，還受基金家族的發起國UA的影響。我們的結果凸顯出在研究各國共同基金時，考慮文化特質特别是UA的重要性。
關鍵詞：共同基金，文化，不确定性規避，基金資金流，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
翻譯：黃偉洲
原文鍊接：
https://doi.org/10.1016/j.jcorpfin.2020.101748

中國資産管理研究中心-3117-信用與社會動蕩：來自20世紀30年代中國的證據
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：信貸緊縮會引發社會動蕩嗎？為了回答這個問題，我們來考察上世紀30年代中國的一個自然實驗。1933年的美國白銀購買計劃對銀行放貸造成了沖擊。我們手工收集了一組數據，包括銀行和公司之間的貸款合同、勞工動亂事件和地下共産黨滲透情況。白銀購買沖擊導緻了嚴重的信貸緊縮，從風險較大的銀行借款的企業會經曆更嚴重的勞工動蕩和共産黨的滲透。這些發現有助于理解信貸沖擊的社會政治後果。
關鍵詞：信貸沖擊，社會動蕩
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
翻譯：楊璐
原文鍊接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301495

中國資産管理研究中心-3118-經驗豐富的投資者和市場效率：來自自然實驗的證據
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：我們研究了在面對信息環境的沖擊時，經驗豐富的投資者将如何改變自己的信息獲取和交易行為，以及這些變化将如何對市場效率産生影響。我們發現，在經紀公司關閉和合并導緻分析師覆蓋外生地減少後，對沖基金将擴大信息獲取規模、更加積極地交易、并從受影響的股票獲得更高的異常回報。對沖基金的參與也減輕了分析師覆蓋減少對市場效率的損害。總體而言，因果框架下我們的研究結果表明，在促進市場效率方面經驗豐富的投資者和公共信息提供者之間存在替代效應。
關鍵詞：對沖基金，信息環境，市場效率，信息獲取，分析師覆蓋
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
翻譯：楊璐
原文鍊接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301719

中國資産管理研究中心-3119-金融穩定的缺乏是否會損害貨币政策的傳導？
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：我們調查了2006年1月到2010年6月期間歐洲央行流動性向銀行存貸款利差的傳導情況。我們發現它與銀行風險導緻的受損的傳輸渠道相一緻。盡管央行的流動性降低了高風險銀行與低風險銀行的存款利差，但對高風險銀行來說，流動性并不能轉化為更低的一年期以上貸款利差。這對高風險銀行借款人的資産負債表産生了不利影響，這将導緻花費、資本支出以及就業的減少。總體而言我們的研究結果表明，在放松貨币政策時，銀行的資本約束對銀行貸款渠道的有效性和中央銀行的最後貸款人功能構成了挑戰。
關鍵詞：央行流動性，貨币政策傳導，企業存款，金融危機，最後貸款人，貸款，實際效果
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
翻譯：楊璐
原文鍊接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301781

中國資産管理研究中心-3120-矛盾的投資建議比沒有建議好嗎？
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：投資建議的效益取決于建議的質量和投資者的反事實投資組合。我們利用俄勒岡大學系統可選退休計劃的變化來強調計劃設計對建議尋求者的反事實投資組合的影響。當有經紀人而沒有目标日期基金（TDFs）時，經紀人會幫助對風險建議預期需求較高的參與者承擔市場風險，但同時他們也會推薦傭金較高的選擇。當剔除經紀人并加入目标日期基金時，新的高預期需求參與者主要投資目标日期基金。目标日期基金可以提供類似的市場風險，但夏普比率要高于我們樣本内的經紀人建議的投資組合。
關鍵詞： 投資建議，經紀人，反事實的，違約，退休計劃，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
翻譯：楊璐
原文鍊接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301537

中國資産管理研究中心-3121-期限結構和通脹的不确定性
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：為了評估通貨膨脹風險對國債名義收益率的重要性，我們利用基于調查的通貨膨脹不确定性估計了一個具有時變通貨膨脹風險的二次期限結構模型。由此産生的收益率分解捕捉了通脹和實際風險溢價的大為不同的宏觀經濟動态(上世紀80年代大且為正，但2008年後小且為負)，并在長期樣本中産生了對預期通脹和實際短期利率的合理高頻估計。模型隐性因素與宏觀基本面之間的明确聯系表明，短期的而非長期的波動不受收益率影響，這與對短暫通脹沖擊不做出反應的利率政策一緻。
關鍵詞：二次高斯期限結構模型，通貨膨脹風險溢價，調查預測，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
翻譯：楊璐
原文鍊接：
https://www.sciencedirect.com/science/article/pii/S0304405X20301306