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Presidential Address: Macrofinance and Resilience 主席致辞:宏观金融与复原力
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-11-11 DOI: 10.1111/jofi.13403
MARKUS K. BRUNNERMEIER
This address reviews macrofinance from the perspective of resilience. It argues for a shift in mindset, away from risk management toward resilience management. It proposes a new resilience measure, and contrasts micro‐ and macro‐resilience. It also classifies macrofinance models in first‐ (log‐linearized) and second‐generation models, and links the important themes of macrofinance to resilience.
本演讲从复原力的角度回顾宏观金融。它主张转变观念,从风险管理转向复原力管理。它提出了一种新的复原力衡量标准,并对微观复原力和宏观复原力进行了对比。它还将宏观金融模式分为第一代(对数线性化)和第二代模式,并将宏观金融的重要主题与抗灾能力联系起来。
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引用次数: 0
Scope, Scale, and Concentration: The 21st‐Century Firm 范围、规模与集中:21 世纪的企业
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-11-04 DOI: 10.1111/jofi.13400
GERARD HOBERG, GORDON M. PHILLIPS
We provide evidence using firm 10‐Ks that over the past 30 years, U.S. firms have expanded their scope of operations. Increases in scope were achieved largely without increasing traditional operating segments. Scope expansion significantly increases valuation and is realized primarily through acquisitions and investment in R&D, but not through capital expenditures. Traditional concentration ratios do not capture this expansion of scope. Our findings point to a new type of firm that increases scope through related expansion, which is highly valued by the market.
我们利用公司 10-K 报告提供的证据表明,在过去 30 年中,美国公司扩大了经营范围。经营范围的扩大在很大程度上是在不增加传统经营分部的情况下实现的。范围的扩大大大提高了估值,主要是通过收购和研发投资实现的,而不是通过资本支出。传统的集中度比率无法反映这种范围扩张。我们的研究结果表明,有一种新型企业通过相关扩张来扩大业务范围,并得到市场的高度评价。
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引用次数: 0
A Multifactor Perspective on Volatility‐Managed Portfolios 多因素视角下的波动率管理投资组合
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-28 DOI: 10.1111/jofi.13395
VICTOR DeMIGUEL, ALBERTO MARTÍN‐UTRERA, RAMAN UPPAL
Moreira and Muir question the existence of a strong risk‐return trade‐off by showing that investors can improve performance by reducing exposure to risk factors when their volatility is high. However, Cederburg et al. show that these strategies fail out‐of‐sample, and Barroso and Detzel show they do not survive transaction costs. We propose a conditional multifactor portfolio that outperforms its unconditional counterpart even out‐of‐sample and net of costs. Moreover, we show that factor risk prices generally decrease with market volatility. Our results demonstrate that the breakdown of the risk‐return trade‐off is more puzzling than previously thought.
莫雷拉和穆尔质疑是否存在强烈的风险收益权衡,他们的研究表明,当风险因素的波动性较高时,投资者可以通过减少风险因素的暴露来提高业绩。然而,Cederburg 等人的研究表明,这些策略在样本外失效,而 Barroso 和 Detzel 的研究则表明,这些策略无法在交易成本的影响下生存。我们提出了一种有条件的多因子投资组合,即使在样本外和扣除成本后,其表现也优于无条件的对应策略。此外,我们还表明,因子风险价格一般会随着市场波动而降低。我们的研究结果表明,风险收益权衡的分解比以前想象的更加令人费解。
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引用次数: 0
Equilibrium Data Mining and Data Abundance 均衡数据挖掘与数据丰富性
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-28 DOI: 10.1111/jofi.13397
JÉRÔME DUGAST, THIERRY FOUCAULT
We study theoretically how the proliferation of new data (“data abundance”) affects the allocation of capital between quantitative and nonquantitative asset managers (“data miners” and “experts”), their performance, and price informativeness. Data miners search for predictors of asset payoffs and select those with a sufficiently high precision. Data abundance raises the precision of the best predictors, but it can induce data miners to search less intensively for high‐precision signals. In this case, their performance becomes more dispersed and they receive less capital. Nevertheless, data abundance always raises price informativeness and can therefore reduce asset managers' average performance.
我们从理论上研究了新数据的激增("数据丰度")如何影响定量和非定量资产管理者("数据挖掘者 "和 "专家")之间的资本分配、他们的业绩和价格信息量。数据挖掘者寻找资产收益的预测因素,并选择那些精度足够高的预测因素。数据丰富会提高最佳预测指标的精确度,但也会促使数据挖掘者减少对高精度信号的搜索。在这种情况下,他们的业绩会变得更加分散,获得的资本也会减少。尽管如此,数据的丰富性总是会提高价格的信息量,因此会降低资产管理者的平均业绩。
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引用次数: 0
Does Floor Trading Matter? 场内交易重要吗?
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-28 DOI: 10.1111/jofi.13401
JONATHAN BROGAARD, MATTHEW C. RINGGENBERG, DOMINIK ROESCH
Although algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID‐19. Using a difference‐in‐differences analysis around the closure of the floor, we find that floor traders are important contributors to market quality. The suspension of floor trading leads to higher spreads and larger pricing errors for treated stocks relative to control stocks. To explore the mechanism, we exploit two partial floor reopenings that have different characteristics. Our finding suggests that in‐person human interaction facilitates the transfer of valuable information that algorithms lack.
尽管算法交易现在主导着金融市场,但一些交易所仍在继续使用人工场内交易员。2020 年 3 月 23 日,纽约证券交易所因 COVID-19 暂停了场内交易。通过对场内交易关闭前后的差分分析,我们发现场内交易员是市场质量的重要贡献者。与对照股票相比,暂停场内交易导致处理股票的价差更大,定价误差也更大。为了探究这一机制,我们利用了两个具有不同特征的部分大堂重开。我们的研究结果表明,人与人之间的互动有利于有价值信息的传递,而这正是算法所缺乏的。
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引用次数: 0
Equity Term Structures without Dividend Strips Data 无红利带的股本期限结构数据
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-24 DOI: 10.1111/jofi.13394
STEFANO GIGLIO, BRYAN KELLY, SERHIY KOZAK
We use a large cross section of equity returns to estimate a rich affine model of equity prices, dividends, returns, and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and across maturities, and generates term structures for various equity portfolios. The novel cross section of term structures from our model covers 45 years and includes several recessions, providing a novel set of empirical moments to discipline asset pricing models.
我们利用股票收益的大量横截面数据来估计股票价格、股息、收益及其动态的丰富仿射模型。我们的模型为市场和股票投资组合的股息条定价,在估算过程中不使用股息条数据。然而,模型推测的股票收益率与交易股息条的收益率非常接近。我们的模型对股票期限结构数据进行了跨时间(到 20 世纪 70 年代)和跨期限的扩展,并生成了各种股票组合的期限结构。我们的模型所产生的期限结构的新横截面覆盖了 45 年的时间,包括了几次经济衰退,为规范资产定价模型提供了一套新颖的经验矩。
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引用次数: 0
Carbon Returns across the Globe 全球碳回报
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-22 DOI: 10.1111/jofi.13402
SHAOJUN ZHANG
The pricing of carbon transition risk is central to the debate on climate‐aware investments. Emissions are tightly linked to sales and are available to investors only with significant lags. The positive carbon return, or brown‐minus‐green return differential, documented in previous studies arises from forward‐looking firm performance information contained in emissions rather than a risk premium in ex ante expected returns. After accounting for the data release lag, carbon returns turn negative in the United States and insignificant globally. Developed markets experience lower carbon returns due to intense climate concern shocks, while countries with stringent climate policies exhibit higher carbon returns.
碳过渡风险的定价是气候意识投资辩论的核心。排放量与销售额密切相关,投资者只能在显著滞后的情况下才能获得排放量。以往研究中记录的正的碳回报率,或褐-绿回报率差异,来自于排放量中包含的前瞻性企业绩效信息,而不是事前预期回报率中的风险溢价。考虑到数据发布的滞后性,美国的碳回报率转为负值,在全球范围内则不显著。发达市场因强烈的气候问题冲击而出现较低的碳回报率,而实行严格气候政策的国家则表现出较高的碳回报率。
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引用次数: 0
Bonds versus Equities: Information for Investment 债券与股票:投资信息
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-20 DOI: 10.1111/jofi.13396
HUIFENG CHANG, ADRIEN D'AVERNAS, ANDREA L. EISFELDT
We provide a simple model of investment by a firm funded with debt and equity and empirical evidence to demonstrate that, once we control for the debt overhang problem with credit spreads, asset volatility is an unambiguously positive signal for investment, while equity volatility sends a mixed signal: Elevated volatility raises the option value of equity and increases investment for financially sound firms, but exacerbates debt overhang and decreases investment for firms close to default. Our study provides a simple unified understanding of the structural and empirical relationships between investment, credit spreads, equity versus asset volatility, leverage, and Tobin's q$q$.
我们提供了一个以债务和股权融资的公司进行投资的简单模型,并提供了经验证据来证明,一旦我们用信用利差控制了债务悬置问题,资产波动对投资来说就是一个明确的积极信号,而股权波动则是一个混合信号:波动率上升会提高股权期权价值,增加财务稳健企业的投资,但会加剧债务悬置,减少濒临违约企业的投资。我们的研究为投资、信用利差、股票相对于资产波动率、杠杆率和托宾 q$q$ 之间的结构和经验关系提供了一个简单统一的理解。
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引用次数: 0
Mortgage Lock-In, Mobility, and Labor Reallocation 抵押锁定、流动性和劳动力重新分配
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-20 DOI: 10.1111/jofi.13398
JULIA FONSECA, LU LIU
We study the impact of rising mortgage rates on mobility and labor reallocation. Using individual-level credit record data and variation in the timing of mortgage origination, we show that a 1 percentage point decline in the difference between mortgage rates locked in at origination and current rates reduces moving by 9% overall and 16% between 2022 and 2024, and this relationship is asymmetric. Mortgage lock-in also dampens flows in and out of self-employment and the responsiveness to shocks to nearby employment opportunities that require moving, measured as wage growth within a 50- to 150-mile ring and instrumented with a shift-share instrument.
我们研究了抵押贷款利率上升对流动性和劳动力重新配置的影响。利用个人层面的信用记录数据和抵押贷款发放时间的变化,我们发现,发放时锁定的抵押贷款利率与当前利率之间的差值每下降 1 个百分点,就会使总体流动率降低 9%,在 2022 年至 2024 年期间降低 16%,而且这种关系是非对称的。抵押贷款锁定还抑制了自雇人员的流入和流出,以及对需要搬迁的附近就业机会冲击的反应能力,附近就业机会以 50 到 150 英里范围内的工资增长来衡量,并使用轮班份额工具来衡量。
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引用次数: 0
Time‐Consistent Individuals, Time‐Inconsistent Households 时间一致的个人,时间不一致的家庭
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-10-17 DOI: 10.1111/jofi.13392
ANDREW HERTZBERG
I present a model of consumption and savings for a multiperson household in which members are imperfectly altruistic, derive utility from both private and shared public goods, and share wealth. I show that, despite having standard exponential time preferences, the household is time‐inconsistent: Members save too little and overspend on private consumption goods. The household remains time‐inconsistent even when members save separately, because the possibility of voluntary transfers or joint contribution to the public good preserves the dynamic commons problem. The household will choose to share wealth when the risk‐sharing benefits outweigh the utility cost of overconsumption.
我提出了一个多人家庭的消费和储蓄模型,在这个模型中,家庭成员都是不完全利他主义者,从私人物品和共享公共物品中获取效用,并分享财富。我的研究表明,尽管该家庭具有标准的指数时间偏好,但其时间不一致:家庭成员储蓄过少,在私人消费品上过度消费。即使成员分别储蓄,该家庭仍然具有时间不一致性,因为自愿转移或共同贡献公共产品的可能性保留了动态公地问题。当风险分担的收益大于过度消费的效用成本时,家庭会选择分享财富。
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引用次数: 0
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Journal of Finance
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