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文献汇总

[1] Persistent government debt and aggregate risk distribution

持续性政府债务与总风险分布

[2] The electronic evolution of corporate bond dealers

公司债券交易商的电子化演进

[3] Asymmetric information risk in FX markets

外汇市场中的信息不对称风险

[4] Treasury yield implied volatility and real activity

国债收益率隐含波动性与实际活动

[5] Why is stock market concentration bad for the economy?

为什么股市集中对经济不利？

[6] Salience theory and stock prices: Empirical evidence

显著性理论与股票价格：经验证据

[7] Do low search costs facilitate like-buys-like mergers? Evidence from common bank networks1

低搜索成本是否有利于像并购这样的收购？来自共同银行网络的证据1

[8] A BIT goes a long way: Bilateral investment treaties and cross-border mergers

双边投资条约和跨国并购有着深远的影响

[9] To own or not to own: Stock loans around dividend payments

拥有还是不拥有：围绕股息支付的股票贷款

[10] Dynamic resource allocation with hidden volatility

隐含波动的动态资源配置

[11] Competition, profitability, and discount rates

竞争、盈利能力和贴现率

[12] Does personal liability deter individuals from serving as independent directors?

个人责任是否阻止个人担任独立董事？

[13] Frequency dependent risk

频率相关风险

[14] Surprise election for Trump connections

特朗普关系意外当选

[1] Persistent government debt and aggregate risk distribution

标题:持续性政府债务与总风险分布

作者:M. Croce,Thien T. Nguyen,S. Raymond

链接:https://www.sciencedirect.com/science/article/pii/S0304405X21000155

DOI:https://doi.org/10.1016/j.jfineco.2021.01.004

Abstract : When government debt is sluggish, consumption exhibits lower expected growth, more long-run uncertainty, and more long-run downside risk. Simultaneously, the risk premium on the consumption claim (Koijen et al. 2010;Lustig et al. 2013) increases and features more positive (adverse) skewness. We rationalize these findings in an endogenous growth model in which fiscal policy is distortionary, the value of innovation depends on fiscal risk, and the representative agent is sensitive to the resulting distribution of consumption risk. Our model suggests that committing to a rapid reduction of the debt-to-output ratio can enhance the value of innovation, aggregate wealth, and welfare.

Keywords : Fiscal policy;Endogenous growth risk;Asset prices

Abstract :当政府债务低迷时，消费表现出较低的预期增长、更多的长期不确定性和更多的长期下行风险。同时，消费索赔的风险溢价（Koijen et al.2010；Lustig et al.2013）增加，并且具有更多的正（逆）偏度。我们在一个内生增长模型中对这些发现进行了合理化，在这个模型中，财政政策是扭曲的，创新的价值取决于财政风险，代表性代理人对由此产生的消费风险分布是敏感的。我们的模型表明，承诺迅速降低债务与产出的比率可以提高创新价值、总财富和福利。

Keywords :财政政策；内生增长风险；资产价格

[2] The electronic evolution of corporate bond dealers

标题:公司债券交易商的电子化演进

作者:Maureen O'Hara,Xing Alex Zhou

链接:https://www.sciencedirect.com/science/article/pii/S0304405X21000015

DOI:https://doi.org/10.1016/j.jfineco.2021.01.001

Abstract : Technology transformed the trading of financial assets but has been slower to come to corporate bond trading. Combining proprietary data from MarketAxess with regulatory TRACE data, we investigate how electronic request for quote (RFQ) trading affects bond dealers and trading more generally. We demonstrate that electronic trading remains fairly small and segmented, but has wide-ranging effects on transaction costs and execution quality in both electronic and voice trading, and the interdealer market. We identify features particular to bond markets that have and could continue to limit electronic bond trading growth. We provide an intriguing portrait of a market in transition.

Keywords : Electronic trading;Voice trading;RFQ;Transaction costs;Execution quality

Abstract :技术改变了金融资产的交易，但在公司债券交易方面进展较慢。结合MarketAxess的专有数据和监管跟踪数据，我们研究了电子询价（RFQ）交易对债券交易商和交易的影响。我们证明，电子交易仍然是相当小的和分割的，但有广泛的影响，交易成本和执行质量的电子和语音交易，以及交易商间市场。我们确定债券市场特有的特征，这些特征已经并可能继续限制电子债券交易的增长。我们提供了一个有趣的市场转型的画像。

Keywords :电子交易；语音交易；询价；交易成本；执行质量

[3] Asymmetric information risk in FX markets

标题:外汇市场中的信息不对称风险

作者:Angelo Ranaldo,Fabricius Somogyi

链接:https://www.sciencedirect.com/science/article/pii/S0304405X20303470

DOI:https://doi.org/10.1016/j.jfineco.2020.12.007

Abstract : This work studies the information content of trades in the world’s largest over-the-counter (OTC) market, the foreign exchange (FX) market. It analyzes a novel, comprehensive order flow data set, distinguishing among different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information across agents, time, and currency pairs, consistent with the asymmetric information theory and OTC market fragmentation. A trading strategy based on the permanent price impact, capturing asymmetric information risk, generates high returns even after accounting for risk, transaction cost, and other common risk factors shown in the FX literature.

Keywords : Asymmetric information;Currency portfolios;Order flow;OTC;Risk premium

Abstract :这项工作研究了在世界上最大的场外交易（OTC）市场，外汇（FX）市场交易的信息内容。它分析了一个新颖、全面的订单流数据集，区分了不同的市场参与者群体，涵盖了大量的货币对。我们发现令人信服的证据，异质优越的信息跨代理，时间和货币对，符合不对称信息理论和场外交易市场分割。基于永久价格影响的交易策略，捕捉不对称信息风险，即使在考虑风险、交易成本和外汇文献中显示的其他常见风险因素后，也能产生高回报。

Keywords :信息不对称；货币组合；订单流；场外交易；风险溢价

[4] Treasury yield implied volatility and real activity

标题:国债收益率隐含波动性与实际活动

作者:Martijn Cremers,Matthias Fleckenstein,Priyank Gandhi

链接:https://www.sciencedirect.com/science/article/pii/S0304405X20303494

DOI:https://doi.org/10.1016/j.jfineco.2020.12.009

Abstract : We show that at-the-money implied volatility of options on futures of five-year Treasury notes (Treasury “yield implied volatility”) predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment. This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market implied volatility, and several other variables that prior literature showed to predict macroeconomic activity. Our results indicate that Treasury yield implied volatility is a useful forward-looking state variable to characterize risks and opportunities in the macro economy.

Keywords : Treasury futures and options;Implied volatility;Macroeconomic activity;Macroeconomic uncertainty;Forecasting

Abstract :我们发现，五年期国库券期货期权的货币隐含波动率（国库券“收益隐含波动率”）预测了国内生产总值（gdp）的增长率和波动率，以及其他宏观经济变量，如工业生产、消费和就业。这种可预测性对于控制期限利差、信用利差、股票收益率、股市隐含波动率以及先前文献显示用于预测宏观经济活动的其他几个变量是稳健的。我们的结果表明，美国国债收益率隐含波动率是一个有用的前瞻性状态变量来表征风险和机会在宏观经济。

Keywords :国债期货和期权；隐含波动率；宏观经济活动；宏观经济不确定性；预测

[5] Why is stock market concentration bad for the economy?

标题:为什么股市集中对经济不利？

作者:Kee-Hong Bae,Warren Bailey,Jisok Kang

链接:https://www.sciencedirect.com/science/article/pii/S0304405X21000027

DOI:https://doi.org/10.1016/j.jfineco.2021.01.002

Abstract : The stock market should fund promising new firms, thereby breeding competition, innovation, and economic growth. However, using three decades of data from 47 countries, we show that concentrated stock markets dominated by a small number of very successful firms are associated with less efficient capital allocation, sluggish initial public offering and innovation activity, and slower economic growth. These findings are robust to alternative sample periods, econometric specifications, and competing explanatory variables. Our evidence is consistent with the paradox that the capital market of a competitive economy can impede the continuing competitiveness of that economy.

Keywords : Stock market concentration;Capital allocation;IPO;Innovation;Economic growth

Abstract :股市应该为有前途的新公司提供资金，从而培育竞争、创新和经济增长。然而，利用来自47个国家的30年数据，我们发现，由少数非常成功的公司主导的集中的股票市场与资本配置效率低下、首次公开募股和创新活动迟缓以及经济增长放缓有关。这些发现对替代样本期、计量经济学规范和相互竞争的解释变量具有较强的稳健性。我们的证据与一个悖论是一致的，即竞争经济体的资本市场会阻碍该经济体的持续竞争力。

Keywords :股市集中度；资本配置；IPO；创新；经济增长

[6] Salience theory and stock prices: Empirical evidence

标题:显著性理论与股票价格：经验证据

作者:Mathijs Cosemans,Rik Frehen

链接:https://www.sciencedirect.com/science/article/pii/S0304405X20303524

DOI:https://doi.org/10.1016/j.jfineco.2020.12.012

Abstract : We present evidence on the asset pricing implications of salience theory. In our model, investors overweight salient past returns when forming expectations about future returns. Consequently, investors are attracted to stocks with salient upsides, which are overvalued and earn low subsequent returns. Conversely, stocks with salient downsides are undervalued and yield high future returns. We find empirical support for these predictions in the cross section of US stocks. The salience effect is stronger among stocks with greater limits to arbitrage and during high-sentiment periods. Our results are not explained by common risk factors, return reversals, lottery demand, and attention-grabbing news events.

Keywords : Salience theory;Probability weighting;Asset pricing;Return predictability

Abstract :我们提出的证据资产定价的影响显着理论。在我们的模型中，投资者在形成对未来收益的预期时，会增持显著的过去收益。因此，投资者被具有显著上升趋势的股票所吸引，这些股票被高估并获得较低的后续回报。相反，下跌明显的股票被低估了，并产生了很高的未来回报。我们在美国股市的横截面上找到了这些预测的实证支持。在套利限制较大的股票和情绪高涨时期，显著性效应更强。我们的结果不能用常见的风险因素、回报逆转、彩票需求和吸引眼球的新闻事件来解释。

Keywords :显著性理论；概率加权；资产定价；收益可预测性

[7] Do low search costs facilitate like-buys-like mergers? Evidence from common bank networks1

标题:低搜索成本是否有利于像并购这样的收购？来自共同银行网络的证据1

作者:Jiakai Chen,Joon Ho Kim,S. Ghon Rhee

链接:https://www.sciencedirect.com/science/article/pii/S0304405X20303299

DOI:https://doi.org/10.1016/j.jfineco.2020.12.002

Abstract : We examine how search frictions affect merger outcomes. Exploiting firm connections in common bank networks (CBNs) as a channel for reducing search costs, we show that like-buys-like mergers are more probable between firms connected through a CBN. This effect is amplified if the connection has been recently formed or the network contains many plausible choices for merger partners. CBN-facilitated mergers exhibit higher synergy and lower post-merger cost of debt. We confirm that CBNs reduce search costs even after alternative explanations are considered. These findings highlight the importance of search in the process of redrawing firm boundaries.

Keywords : Search costs;Common bank network;Asset complementarity;Like-buys-like mergers;Synergy

Abstract :我们研究了搜索摩擦如何影响合并结果。利用公共银行网络（CBN）中的企业联系作为降低搜索成本的渠道，我们发现通过CBN连接的企业之间更可能发生类似购买的合并。如果这种联系是最近形成的，或者网络中有许多合情合理的合并伙伴选择，这种影响就会放大。CBN促进的并购表现出更高的协同效应和更低的并购后债务成本。我们确认，即使在考虑其他解释后，CBN也能降低搜索成本。这些发现突出了搜索在重新划定企业边界过程中的重要性。

Keywords :搜索成本；共同银行网络；资产互补性；同类并购；协同效应

[8] A BIT goes a long way: Bilateral investment treaties and cross-border mergers

标题:双边投资条约和跨国并购有着深远的影响

作者:Vineet Bhagwat,Jonathan Brogaard,Brandon Julio

链接:https://www.sciencedirect.com/science/article/pii/S0304405X20303457

DOI:https://doi.org/10.1016/j.jfineco.2020.12.005

Abstract : We examine whether bilateral investment treaties (BITs), an external governance mechanism, stimulate cross-border mergers by protecting the property rights of foreign acquirers. Exploiting the staggered adoption and bilateral nature of the treaties, we find that BITs have a large positive effect on cross-border mergers. The probability and dollar volume of mergers between two given countries more than doubles after the signing of a BIT. The increase is driven by deals flowing from developed economies to developing economies and is concentrated in target countries with medium levels of political risk. The results suggest BITs are effective in expanding the global market for corporate control, particularly in the developing world.

Keywords : Cross-border acquisitions;Bilateral investment treaties;Property rights;Political risk

Abstract :我们考察了双边投资条约（BITs）这一外部治理机制是否通过保护外国收购者的产权来促进跨国并购。利用条约的交错通过和双边性质，我们发现双边投资条约对跨国并购有很大的积极影响。在签署了一份双边协议之后，两个特定国家之间合并的概率和金额增加了一倍多。这一增长是由发达经济体流向发展中经济体的交易推动的，主要集中在政治风险中等的目标国家。研究结果表明，双边投资条约对拓展全球公司控制权市场，特别是在发展中国家是有效的。

Keywords :跨国并购；双边投资条约；产权；政治风险

[9] To own or not to own: Stock loans around dividend payments

标题:拥有还是不拥有：围绕股息支付的股票贷款

作者:Peter N. Dixon,Corbin A. Fox,Eric K. Kelley

链接:https://www.sciencedirect.com/science/article/pii/S0304405X20303500

DOI:https://doi.org/10.1016/j.jfineco.2020.12.010

Abstract : In a standard stock loan, the borrower reimburses the lender any dividends paid while the loan is outstanding. Since these substitute dividends may be taxed differently than dividend payments themselves, some investors have incentives to either remove their shares from lendable supply–if they pay high taxes on substitute dividends–or lend out their shares to arbitrageurs–if they pay high taxes on dividends. Consistent with these incentives, we find a significant tightening of the equity lending market on dividend record days driven by both a contraction of supply and an expansion of demand–although the demand effect appears to dominate. We then exploit the plausibly exogenous nature of these shifts to causally link tightness in the lending market to wider effective spreads in the stock market.

Keywords : Stock loans;Securities lending;Short selling;Dividend arbitrage

Abstract :在标准股票贷款中，借款人偿还贷款人在贷款未偿还期间支付的任何股息。由于这些替代股息的征税方式可能不同于股息支付本身，一些投资者有动机要么将其股票从可借出的供给中剔除（如果他们对替代股息缴纳高额税款），要么将其股票借给套利者（如果他们对股息缴纳高额税款）。与这些激励措施相一致，我们发现，在股息创纪录的日子里，受供应萎缩和需求扩张的双重驱动，股票借贷市场大幅收紧，尽管需求效应似乎占主导地位。然后，我们利用这些变化看似外生的性质，将贷款市场的紧缩与股市更广泛的有效利差因果联系起来。

Keywords :股票贷款；证券借贷；卖空；股利套利

[10] Dynamic resource allocation with hidden volatility

标题:隐含波动的动态资源配置

作者:Felix Zhiyu Feng,Mark M. Westerfield

链接:https://www.sciencedirect.com/science/article/pii/S0304405X20303469

DOI:https://doi.org/10.1016/j.jfineco.2020.12.006

Abstract : We study a firm’s internal resource allocation using a dynamic principal-agent model with endogenous cash flow volatility. The principal supplies the agent with resources for productive use, but the agent has private control over both project volatility and resource intensity and may misallocate resources to obtain private benefits. The optimal contract can yield either overly risky or overly prudent project selection. It can be implemented with a constant pricing schedule (i.e., a static, decentralized, linear mechanism), giving the agent control over the resource quantities, project risk, and agent’s equity share. The implementation rationalizes the use of hurdle rates above a firm’s cost of capital and transfer prices above marginal cost, while showing that hurdle rates or transfer prices may not vary with the agent’s risk choice.

Keywords : Capital budgeting;Transfer pricing;Dynamic contracting;Volatility control;Cost of capital

Abstract :本文利用内生现金流波动的动态委托代理模型研究企业内部资源配置问题。委托人为代理人提供生产性使用的资源，但代理人对项目的波动性和资源强度都有私人控制权，并可能为了获得私人利益而错配资源。最优契约可以产生过度风险或过度谨慎的项目选择。它可以通过一个固定的定价计划（即静态的、分散的、线性的机制）来实现，使代理人能够控制资源量、项目风险和代理人的权益份额。实施合理化的使用障碍率高于企业的资本成本和转让价格高于边际成本，同时表明障碍率或转让价格可能不会随着代理人的风险选择而变化。

Keywords :资本预算；转移定价；动态契约；波动率控制；资本成本

[11] Competition, profitability, and discount rates

标题:竞争、盈利能力和贴现率

作者:Winston Wei Dou,Yan Ji,Wei Wu

链接:https://www.sciencedirect.com/science/article/pii/S0304405X20303536

DOI:https://doi.org/10.1016/j.jfineco.2020.12.013

Abstract : We build an asset-pricing model with dynamic strategic competition to explain the strong joint fluctuations in aggregate discount rates, competition intensity, profitability, and asset prices. Product market competition endogenously intensifies as discount rates rise, because firms compete more aggressively for current cash flows by undercutting each other as the value of future cooperation decreases. In industries with a lower turnover rate of market leaders, firms’ profit margins tend to be higher yet more exposed to discount-rate fluctuations, thereby generating the gross profitability premium. We exploit large tariff cuts to identify exogenous variation in market structure to test the core mechanism directly.

Keywords : Oligopoly;Profitability premium;Leadership persistence;Tariff shocks;Price wars

Abstract :我们建立了一个具有动态战略竞争的资产定价模型来解释总贴现率、竞争强度、盈利能力和资产价格的强联合波动。随着贴现率的上升，产品市场竞争内在地加剧，因为随着未来合作价值的降低，企业之间通过相互削价来更为激烈地争夺当前的现金流。在市场领导者更替率较低的行业，企业的利润率往往较高，但更容易受到贴现率波动的影响，从而产生毛利润溢价。我们利用大幅削减关税来识别市场结构的外生变化，直接检验核心机制。

Keywords :寡头垄断；利润溢价；领导持续性；关税冲击；价格战

[12] Does personal liability deter individuals from serving as independent directors?

标题:个人责任是否阻止个人担任独立董事？

作者:S. Lakshmi Naaraayanan,Kasper Meisner Nielsen

链接:https://www.sciencedirect.com/science/article/pii/S0304405X21000143

DOI:https://doi.org/10.1016/j.jfineco.2021.01.003

Abstract : This study examines whether personal liability for corporate malfeasance deters individuals from serving as independent directors. After the introduction of personal liability in India, we find that individuals are deterred from serving on corporate boards. We find stronger deterrence among firms with greater litigation and regulatory risk, higher monitoring costs, and weak monetary incentives. Expert directors are more likely to exit, resulting in 1.16% lower firm value. We further evaluate whether contemporaneous corporate governance reforms and market developments contribute to this deterrence. Overall, our results suggest that personal liability deters individuals with high reputational costs from serving as independent directors.

Keywords : Independent directors;Reputation;Accountability;Personal liability;Director incentives

Abstract :本研究探讨个人对公司渎职的责任是否会阻碍个人担任独立董事。在印度引入个人责任之后，我们发现，个人不敢在公司董事会任职。我们发现，在诉讼和监管风险较大、监控成本较高、货币激励较弱的公司中，威慑力更强。专家董事更可能退出，导致公司价值下降1.16%。我们进一步评估了同期的公司治理改革和市场发展是否有助于这种威慑。总的来说，我们的研究结果表明，个人责任阻止了声誉成本高的个人担任独立董事。

Keywords :独立董事；声誉；责任；个人责任；董事激励

[13] Frequency dependent risk

标题:频率相关风险

作者:Andreas Neuhierl,Rasmus T. Varneskov

链接:https://www.sciencedirect.com/science/article/pii/S0304405X21000180

DOI:https://doi.org/10.1016/j.jfineco.2021.01.007

Abstract : We provide a model-free framework for studying the dynamics of the state vector and its risk prices. Specifically, we derive a frequency domain decomposition of the unconditional asset return premium in a general setting with a log-affine stochastic discount factor (SDF). Importantly, we show that the cospectrum between returns and the SDF only displays frequency dependencies through the state vector and that its dynamics and risk prices can be inferred from covariances between asset (portfolio) returns, that is, from the cross-section. Empirically, we find low and high-frequency state vector risk to be differentially priced for US equities.

Keywords : Asset pricing;Factor models;Nonparametric measures;Spectral analysis

Abstract :我们提供了一个无模型的框架来研究状态向量的动态及其风险价格。具体地说，我们推导了对数仿射随机贴现因子（SDF）在一般情况下无条件资产收益溢价的频域分解。重要的是，我们证明了收益和SDF之间的共谱仅通过状态向量显示频率依赖性，其动态和风险价格可以从资产（投资组合）收益之间的协方差（即从横截面）推断出来。从经验上看，我们发现美国股市的低频率和高频状态向量风险的定价存在差异。

Keywords :资产定价；因子模型；非参数测度；谱分析

[14] Surprise election for Trump connections

标题:特朗普关系意外当选

作者:Travers Barclay Child,Nadia Massoud,Mario Schabus,Yifan Zhou

链接:https://www.sciencedirect.com/science/article/pii/S0304405X20303317

DOI:https://doi.org/10.1016/j.jfineco.2020.12.004

Abstract : We exploit Donald Trump’s nonpolitical background and surprise election victory to identify the value of sudden presidential ties among S&P 500 firms. In our setting firms did not choose to become politically connected, so we identify treatment effects comparatively free of selection bias prevalent in this literature. Firms with presidential ties enjoyed greater abnormal returns around the 2016 election. Since Trump’s inauguration, connected firms had better performance, received more government contracts, and were less subject to unfavorable regulatory actions. We rule out a number of confounding factors, including industry designation, sensitivity to Republican platforms, campaign finance, and lobbying expenditures.

Keywords : Political connections;Event study;Firm performance;Donald Trump

Abstract :我们利用唐纳德•特朗普（Donald Trump）的非政治背景和意外的选举胜利来确定标准普尔500指数（s&p500）公司之间突然出现的总统关系的价值。在我们的背景下，公司没有选择成为政治上的联系，所以我们确定治疗效果比较自由的选择偏见在这篇文献中流行。2016年大选前后，与总统关系密切的公司获得了更大的异常回报。自特朗普就职以来，关联公司的业绩更好，获得更多的政府合同，较少受到不利的监管行动的影响。我们排除了一些令人困惑的因素，包括行业名称、对共和党政纲的敏感性、竞选资金和游说支出。

Keywords :政治关联；事件研究；公司绩效；唐纳德·特朗普