唧唧堂:JFQA 金融与数量分析杂志2022年11月刊论文摘要12篇

唧唧堂 2022-11-25 23:53
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解析作者 | 唧唧堂经济金融学写作小组:Andy
审校 | 唧唧堂经济金融学写作小组:绵绵
编辑 | 小巴


1、投机情绪

本文利用杠杆ETF交易的一级市场来衡量信息不足且类似赌博的总需求注,即投机情绪。杠杆ETF交易的一级市场是一个新颖的环境,提供了可观察的套利活动,这归因于杠杆ETF交易的一级市场能够纠正ETF股票及标的资产之间的错误定价。套利活动代表了投机需求冲击的大小和方向,本文使用它们来形成投机情绪指数。该指标与同期市场收益率负相关(例如,在下跌市场中为看涨),并对收益率作出负面预测。以上结果与投机情绪一致,投机情绪导致市场范围内的价格扭曲,随后又发生逆转。

注:“杠杆ETF(Leveraged ETF),又称做多或看多ETF(Bull ETF),是通过运用股指期货、互换合约等杠杆投资工具,实现每日追踪目标指数收益的正向一定倍数(如1.5倍、2倍甚至3倍)的交易型开放式指数基金;当目标指数收益变化1%时,基金净值变化可以达到合同约定的1.5%、2%或3%。当杠杆倍数为1倍时,杠杆ETF实际上就相当于传统ETF…” https://baike.baidu.com/item/%E6%9D%A0%E6%9D%86ETF/8292405

I exploit the leveraged exchange-traded funds’ (ETFs’) primary market to measure aggregate, uninformed, gambling-like demand, that is, speculation sentiment. The leveraged ETFs’ primary market is a novel setting that provides observable arbitrage activity attributed to correcting mispricing between ETFs’ shares and their underlying assets. The arbitrage activity proxies for the magnitude and direction of speculative demand shocks and I use them to form the Speculation Sentiment Index. The measure negatively relates to contemporaneous market returns (e.g., it is bullish in down markets) and negatively predicts returns. The results are consistent with speculation sentiment causing market-wide price distortions that later reverse.

论文原文:Davies, S. (2022). Speculation Sentiment. Journal of Financial and Quantitative Analysis, 57(7), 2485-2515. 


2、主动向债权人保密:来自《统一商业秘密法》的证据

本文发现企业能够使用商业秘密法规来保护其知识产权时,会更加积极地管理其资本结构。利用美国各州通过的《统一商业秘密法》作为对商业秘密保护的积极“冲击”,本文发现该法案影响的公司降低了债务水平并增加了无形资产投资。额外的测试表明,公司通过发行更多的股票来资助这些融资和投资活动。由于无形资产增加,导致了债权人的合同问题被放大,受《统一商业秘密法》影响公司的债务成本会更高。

We find that an increase in a firm’s incentives to use trade secrets to protect its intellectual property results in a more actively managed capital structure. Exploiting U.S. states’ adoption of the Uniform Trade Secrets Act as a positive “shock” in the protection afforded to trade secrets, we find that firms covered by the Act reduce debt levels while increasing investments in intangibles. Additional tests suggest that firms fund these financing and investment activities by issuing more equity. Consistent with an increase in overall intangibility magnifying contracting problems with creditors, we find that covered firms experience higher costs of debt.

论文原文:Guernsey, S., John, K., & Litov, L. (2022). Actively Keeping Secrets From Creditors: Evidence From the Uniform Trade Secrets Act. Journal of Financial and Quantitative Analysis, 57(7), 2516-2558. 


3、游戏皮肤:经营增长、公司业绩和未来股票回报

先前的研究表明,资产增长与未来公司业绩呈负相关。相反,本文表明,由产品市场利益相关者资助的增长(即“经营增长”)与未来公司业绩正相关。投资者和证券分析师低估了经营增长对未来业绩的积极影响,导致对具有高经营增长公司的收益和盈利预测过度悲观。与出现错误预期的解释一致,未来股票收益集中在随后公布的、幅度下降的收益公告。横截面测试的结果进一步支持了一种假设,即经营增长预示着未来的高业绩,但投资者对此反应不足。

Prior research documents that asset growth is negatively associated with future firm performance. In contrast, we show that growth financed by product market stakeholders (i.e., “operating growth”) is positively associated with future firm performance. Investors and security analysts underestimate the positive effects of operating growth on future performance, resulting in return predictability and overly pessimistic earnings forecasts for firms with high operating growth. Future stock returns largely concentrate around subsequent earnings announcements with declining magnitudes, consistent with the error-in-expectation explanation. Results from cross-sectional tests further support the hypothesis that operating growth signals high future performance but investors underreact to it.

论文原文:Cao, S., Wang, Z., & Yeung, P. (2022). Skin in the Game: Operating Growth, Firm Performance, and Future Stock Returns. Journal of Financial and Quantitative Analysis, 57(7), 2559-2590. 

4、相对与绝对绩效评估与CEO决策

本文为基于绩效的薪酬如何影响CEO决策,尤其是风险承担提供了新的证据。本文发现相对绩效评估(RPE)为CEO决策提供了激励,从而产生对绩效更为特质性的影响;绝对绩效评估(APE)则不然。从APE转换为RPE后,企业股票收益率与行业收益率之间的相关性下降,企业特质风险增加。此外,转向RPE之后,财务、投资和运营政策与行业规范的偏差也会更大(即更加特质的策略)。从RPE转换到APE的所有结果都相反。

We provide new evidence on how performance-based compensation plans affect CEO decision-making, especially risk-taking. Our main finding is that relative performance evaluation (RPE) plans provide incentives for CEOs to make decisions that generate more idiosyncratic performance outcomes; absolute performance evaluation (APE) plans do not. After switches from APE to RPE, the correlation between firm stock return and industry index return falls and firm idiosyncratic risk increases. Further, switches to RPE are followed by larger deviations in financial, investment, and operating policies from industry norms (i.e., more idiosyncratic strategies). All results are opposite for switches to APE.

论文原文:Wruck, K., & Wu, Y. (2022). Relative Versus Absolute Performance Evaluation and CEO Decision-Making. Journal of Financial and Quantitative Analysis, 57(7), 2591-2626. 


5、从后门涌入:银行资本在局部冲击溢出中的作用

本文证明由于会放大局部冲击的溢出效应,低银行资本具有负外部性。本文发现一项自然灾害的影响会通过银行传递给处于非灾害地区的公司。与资本充足银行相关联的公司相比,一家遭受严重灾难风险、位于资本最低的四分位数的银行相关联的公司的总借款减少6.6%,有形资产减少6.9%,并转化为对地区GDP和失业的负面影响。此外,在灾难事件发生后,银行减少了对当前未受影响但通常易受灾害影响地区的风险敞口。

This article demonstrates that low bank capital carries a negative externality because it amplifies local shock spillovers. We exploit a natural disaster that is transmitted to firms in nondisaster areas via their banks. Firms connected to a strongly disaster-exposed bank with lowest-quartile capitalization significantly reduce their total borrowing by 6.6% and tangible assets by 6.9% compared to similar firms connected to a well-capitalized bank. These findings translate to negative regional effects on GDP and unemployment. Additionally, following a disaster event, banks reduce their exposure to currently unaffected but generally disaster-prone areas.

论文原文:Rehbein, O., & Ongena, S. (2022). Flooded Through the Back Door: The Role of Bank Capital in Local Shock Spillovers. Journal of Financial and Quantitative Analysis, 57(7), 2627-2658. 


6、数字信贷鸿沟:市场借贷与创业

本文推测市场贷款会导致创业数量的增加,特别是在更加贫困的地区,尽管创业的平均质量较低。使用模糊回归断点设计,利用美国州界沿线借款人获得市场贷款的变化,本文估计市场贷款增加10%会导致人均创业企业增加0.44%。对于经验不足的企业家、利润较低的小型企业、更依赖外部融资的企业、进入沉没成本较低的行业以及金融机构准入条件较差的低收入地区,这些影响更为明显。

We conjecture that marketplace lending provokes an increase in the quantity of entrepreneurship, particularly in more regionally disadvantaged areas, albeit at lower average quality. Using a fuzzy regression discontinuity design that exploits exogenous variation in borrowers’ access to marketplace loans along U.S. state borders, we estimate a 10% increase in marketplace lending causes a 0.44% increase in business establishments per capita. The effects are more pronounced for less experienced entrepreneurs, for small and less profitable firms, firms more dependent upon external finance, in industries with lower sunk costs of entry, and for low-income regions with inferior access to financial institutions.

论文原文:Cumming, D., Farag, H., Johan, S., & McGowan, D. (2022). The Digital Credit Divide: Marketplace Lending and Entrepreneurship. Journal of Financial and Quantitative Analysis, 57(7), 2659-2692. 

7、流动性不足的影子成本

本文通过模型捕捉到非流动资产的交易成本和交易机会的不频繁性,以更好地理解不同来源的资产非流动性和异质投资者类型的非流动性的影子成本。本文表明,次优资产配置的流动性不足导致的影子成本很低,而当流动性不足以限制消费时,影子成本很高。因此,短期投资者、面临巨大流动性冲击的投资者以及希望将大部分财富分配给非流动性资产的投资者的影子成本很高。

We solve a flexible model that captures transactions costs and infrequencies of trading opportunities for illiquid assets to better understand the shadow costs of illiquidity for different origins of asset illiquidity and heterogeneous investor types. We show that illiquidity that results in suboptimal asset allocation carries low shadow costs, whereas these costs are high when illiquidity restricts consumption. As a result, the shadow costs are high for short-term investors, investors who face substantial liquidity shocks, and investors who desire to allocate a large fraction of their wealth to illiquid assets.

论文原文:Jansen, K., & Werker, B. (2022). The Shadow Costs of Illiquidity. Journal of Financial and Quantitative Analysis, 57(7), 2693-2723. 


8、税收处置效应:税收意识对投资者行为的影响

标准的投资组合选择模型预测投资者会考虑交易的税务影响。然而,个人倾向于实现收益和持有亏损投资的行为会恶化投资者的业绩。本文在一个实验性市场中表明,增加税收突出度会降低22%至47%的处置效果,从而在不增加总交易活动的情况下实现更高的投资组合余额。使用现场数据,本文发现,当税收可能很突出时,投资者的资产处置对围绕税率变化的税收很敏感。本文的分析表明,提高税收意识会影响家庭的投资组合选择,这表明了改善财务决策的政策含义。

Standard portfolio choice models predict that investors consider the tax implications of trading. However, individuals are disposed toward realizing gains and holding losing investments, behaviors that worsen their performance. We show, in an experimental market, that increasing tax salience reduces the disposition effect between 22% and 47%, leading to higher portfolio balances without increasing total trading activity. Using field data, we find that investors’ disposition is sensitive to taxes around tax rate changes when taxes are likely salient. Our analysis demonstrates that increasing tax awareness can affect households’ portfolio choices, which suggests policy implications for improving financial decision-making.

论文原文:Bazley, W., Moore, J., & Murren Vosse, M. (2022). Taxing the Disposition Effect: The Impact of Tax Awareness on Investor Behavior. Journal of Financial and Quantitative Analysis, 57(7), 2724-2765. 


9、CEO市场、就业机会和薪酬:来自薪酬同行引证的证据

强制披露CEO同行薪酬的要求通过披露哪些公司将其视为高管候选人,为被引用的CEO提供了潜在的外部机会。经常被引证为薪酬同行的CEO(尤其是大公司,这些公司代表着有吸引力的就业机会)更有可能离职去更好的职位,或获得加薪。在大公司引证之后,股权薪酬的授予期更短,表明受大公司引证的CEO对其董事会获得了谈判权。披露要求提高了劳动力市场的透明度,并提高了被高度引用的CEO的薪酬,而没有惩罚被引用较少的CEO,这给CEO薪酬带来了上升压力。

Mandatory disclosure of CEO compensation peers signals potential outside opportunities for the cited CEOs by revealing which companies view them as viable executive candidates. CEOs cited often as compensation peers (especially by larger firms, which represent attractive employment opportunities) are more likely to leave for better positions or receive compensation increases. Equity-based awards following cites by larger firms have shorter vesting periods, suggesting these CEOs gain negotiating power relative to their boards. The disclosure requirement enhanced labor market transparency and led to higher compensation for highly cited CEOs without penalizing less cited CEOs, putting upward pressure on CEO compensation.

论文原文:Choi, D., Cicero, D., & Mobbs, S. (2022). CEO Marketability, Employment Opportunities, and Compensation: Evidence from Compensation Peer Citations. Journal of Financial and Quantitative Analysis, 57(7), 2766-2797. 

10、投资者异质性与流动性

与流动性的相关需求一致,具有相似投资期限的基金之间的资金流动更为相关。本文发现,投资范围更为异质化的机构持有的股票流动性更强,流动性的波动更低。结果表明,当投资者异质性的增加是由于2003年税改引起的外部冲击时,股票流动性的改善是有效的。此外,当股票的投资者基础不那么异质时,机构基金的极端流动的诱导交易对价格的影响更大。另外,与股票流动性不足相关的溢价集中体现在投资者异质性低的股票。

Fund flows are more correlated among funds with similar investment horizon, consistent with correlated demand for liquidity. We find that stocks held by institutions with more heterogeneous investment horizon are more liquid and have lower volatility of liquidity. Identification tests confirm that the improvement in stock liquidity holds when the increase in investor heterogeneity arises from an exogenous shock due to the 2003 tax reform. In addition, extreme flow-induced trading by institutional funds has a bigger price impact when stocks have a less heterogeneous investor base. Moreover, the premium associated with stock illiquidity is concentrated in stocks with low investor heterogeneity.

论文原文:Chan, K., Cheng, S., & Hameed, A. (2022). Investor Heterogeneity and Liquidity. Journal of Financial and Quantitative Analysis, 57(7), 2798-2833. 


11、大股东披露门槛与对冲基金激进性

对冲基金激进性由大股东披露门槛、实际投资和管理行为共同决定。当与信息充足的激进基金交易的成本超过激进基金对管理层的纪律约束的好处时,信息不足的投资者会看重较低的门槛(更高的透明度)。相反,如果激进基金的参与威胁阻碍了管理层的渎职行为,那么他们可能希望获得披露门槛作为利润来源。对冲基金的激进性可能是过度的:如果市场不透明性足以伤害信息不足的投资者,那么减少实际投资的成本将超过管理约束带来的社会效益,而社会将从较低的披露门槛中受益。

Blockholder disclosure thresholds shape incentives for hedge fund activism, which are jointly determined with real investment and managerial behavior. Uninformed investors value lower thresholds (greater transparency) when the cost of trading against an informed activist outweighs the benefits of the activist’s disciplining of management. Conversely, activists may desire disclosure thresholds if the threat of their participation discourages managerial malfeasance, which is their source of profits. Hedge fund activism can be excessive: If market opacity sufficiently harms uninformed investors, the costs of reduced real investment outweigh the social benefits from managerial disciplining, and society benefits from lower thresholds.

论文原文:Ordóñez-Calafi, G., & Bernhardt, D. (2022). Blockholder Disclosure Thresholds and Hedge Fund Activism. Journal of Financial and Quantitative Analysis, 57(7), 2834-2859. 


12、收购中为何包括投标人终止条款?

本文提出了对投标人终止条款的解释,考虑了终止条款对投标人和目标公司联合收购的收益的影响。当收购目标对投标人的价值低于其自身价值时,包含该条款可以通过终止来创造价值,但也会产生权衡,因为收购目标对投标人比其自身价值更高时,也可能发生终止。这种权衡解释了为什么该条款只包含在一些交易中,并解释了终止费的变化。如果终止费定价适当,则纳入该条款与更大的合并公告的回报相关。

We present a rationale for bidder termination provisions that considers their effect on bidders’ and targets’ joint takeover gains. The provision’s inclusion can create value by enabling termination when the target becomes less valuable to the bidder than on its own, but creates a trade-off because termination may also occur when the target is more valuable to the bidder than on its own. This trade-off explains why the provision is included in only some deals, and explains variation in termination fees. Inclusion of the provision is associated with larger combined announcement returns, provided that the termination fee is priced appropriately.

论文原文:Chen, Z., Mahmudi, H., Virani, A., & Zhao, X. (2022). Why Are Bidder Termination Provisions Included in Takeovers? Journal of Financial and Quantitative Analysis, 57(7), 2860-2896.  


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