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Information Aggregation with Asymmetric Asset Payoffs 资产报酬不对称的信息聚合
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-06-11 DOI: 10.1111/jofi.13361
ELIAS ALBAGLI, CHRISTIAN HELLWIG, ALEH TSYVINSKI

We study noisy aggregation of dispersed information in financial markets without imposing parametric restrictions on preferences, information, and return distributions. We provide a general characterization of asset returns by means of a risk-neutral probability measure that features excess weight on tail risks. Moreover, we link excess weight on tail risks to observable moments such as forecast dispersion and accuracy, and argue that it provides a unified explanation for several prominent cross-sectional return anomalies. Simple calibrations suggest the model can account for a significant fraction of empirical returns to skewness, returns to disagreement, and interaction effects between the two.

我们研究金融市场中分散信息的噪声聚合,而不对偏好、信息和收益分布施加参数限制。我们通过风险中性概率度量对资产收益进行了一般描述,该度量具有尾部风险超额权重的特征。此外,我们还将尾部风险的超额权重与预测的分散性和准确性等可观测矩联系起来,并认为它为几种突出的横截面回报异常提供了统一的解释。简单的校准表明,该模型可以解释很大一部分偏度回报、不一致回报以及二者之间的交互效应。
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引用次数: 0
What Drives Variation in the U.S. Debt-to-Output Ratio? The Dogs that Did not Bark 是什么导致了美国债务产出比的变化?没有吠叫的狗
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-06-11 DOI: 10.1111/jofi.13363
ZHENGYANG JIANG, HANNO LUSTIG, STIJN VAN NIEUWERBURGH, MINDY Z. XIAOLAN

A higher U.S. government debt-to-output (D-O) ratio does not forecast higher surpluses or lower returns on Treasurys in the future. Neither future cash flows nor discount rates account for the variation in the current D-O ratio. The market valuation of Treasurys is surprisingly insensitive to macro fundamentals. Instead, the future D-O ratio accounts for most of the variation because the D-O ratio is highly persistent. Systematic surplus forecast errors may help account for these findings. Since the start of the Global Financial Crisis, surplus projections have anticipated a large fiscal correction that failed to materialize.

美国政府债务与产出(D-O)比率越高,并不能预示未来盈余越多或国债收益越低。未来的现金流和贴现率都不能解释当前 D-O 比率的变化。市场对国债的估值对宏观基本面的不敏感令人惊讶。相反,由于 D-O 比率具有高度持久性,未来的 D-O 比率解释了大部分的变化。系统性盈余预测误差可能有助于解释这些发现。自全球金融危机爆发以来,盈余预测一直预期会出现大规模的财政修正,但却未能实现。
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引用次数: 0
Inside and Outside Information 内部和外部信息
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-06-10 DOI: 10.1111/jofi.13360
DANIEL QUIGLEY, ANSGAR WALTHER

We study an economy with financial frictions in which a regulator designs a test that reveals outside information about a firm's quality to investors. The firm can also disclose verifiable inside information about its quality. We show that the regulator optimally aims for “public speech and private silence,” which is achieved with tests that give insiders an incentive to stay quiet. We fully characterize optimal tests by developing tools for Bayesian persuasion with incentive constraints, and use these results to derive novel guidance for the design of bank stress tests, as well as benchmarks for socially optimal corporate credit ratings.

我们研究了一个存在金融摩擦的经济体,在这个经济体中,监管者设计了一种测试,向投资者披露有关公司质量的外部信息。企业也可以披露有关其质量的可验证内部信息。我们的研究表明,监管者的最佳目标是 "公开言论,私下沉默",通过测试激励内部人员保持沉默。通过开发具有激励约束的贝叶斯说服工具,我们充分描述了最优测试的特征,并利用这些结果为银行压力测试的设计提供了新的指导,同时也为社会最优企业信用评级提供了基准。
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引用次数: 0
Money and Banking with Reserves and CBDC 货币银行与储备金和 CBDC
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-06-05 DOI: 10.1111/jofi.13357
DIRK NIEPELT

We analyze the role of retail central bank digital currency (CBDC) and reserves when banks exert deposit market power and liquidity transformation entails externalities. Optimal monetary architecture minimizes the social costs of liquidity provision, and optimal monetary policy follows modified Friedman rules. Interest rates on reserves and CBDC should differ. Calibrations robustly suggest that CBDC provides liquidity more efficiently than deposits unless the central bank must refinance banks and this is very costly. Accordingly, the optimal share of CBDC in payments tends to exceed that of deposits.

我们分析了零售央行数字货币(CBDC)和储备金在银行发挥存款市场力量和流动性转化带来外部性时的作用。最优货币结构会使提供流动性的社会成本最小化,最优货币政策遵循修正的弗里德曼规则。准备金利率和 CBDC 利率应有所不同。校准稳健地表明,除非中央银行必须为银行再融资,而再融资的成本非常高,否则,与存款相比,CBDC 提供流动性的效率更高。因此,CBDC 在支付中的最佳份额往往超过存款。
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引用次数: 0
The Time-Varying Price of Financial Intermediation in the Mortgage Market 抵押贷款市场金融中介的时变价格
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-06-04 DOI: 10.1111/jofi.13358
ANDREAS FUSTER, STEPHANIE H. LO, PAUL S. WILLEN

We introduce a new measure of the price charged by financial intermediaries for connecting mortgage borrowers with capital market investors. Based on administrative lender pricing data, we document that the price of intermediation reacts strongly to variation in demand, reflecting capacity constraints of mortgage originators. This positive comovement of price with quantity reduced the pass-through of quantitative easing. We also find a notable upward trend in this price between 2008 and 2014, likely due to increased legal and regulatory burden in the mortgage market. The trend led to an implicit cost to borrowers of nearly $100 billion over this period.

我们引入了一种新的衡量标准,用于衡量金融中介机构将抵押贷款借款人与资本市场投资者联系起来所收取的价格。根据贷款人的行政定价数据,我们记录了中介价格对需求变化的强烈反应,反映了抵押贷款发放者的能力限制。价格与数量的正相关性降低了量化宽松政策的传导性。我们还发现,在 2008 年至 2014 年期间,这一价格有明显的上升趋势,这可能是由于抵押贷款市场的法律和监管负担加重所致。这一趋势导致借款人在此期间付出了近 1,000 亿美元的隐性成本。
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引用次数: 0
Ravi Jagannathan 拉维-贾甘纳坦
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-06-03 DOI: 10.1111/jofi.13359
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引用次数: 0
AMERICAN FINANCE ASSOCIATION 美国金融协会
IF 8 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-05-04 DOI: 10.1111/jofi.13148
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引用次数: 0
A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ 您的想法(子)一分钱:跟踪 TAQ 的散户投资者活动
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-05-03 DOI: 10.1111/jofi.13334
BRAD M. BARBER, XING HUANG, PHILIPPE JORION, TERRANCE ODEAN, CHRISTOPHER SCHWARZ

We placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by signing trades using the quoted spread midpoints. The quote midpoint method does not affect identification rates but reduces the signing error rates to 5% and provides informative order imbalance measures for all stocks.

从 2021 年 12 月到 2022 年 6 月,我们在六个零售经纪账户中进行了 85,000 笔零售交易,以验证 Boehmer 等人的算法,该算法使用亚笔交易价格来识别和签署零售交易。该算法将 35% 的交易识别为零售交易,错误地签署了 28% 的识别交易,并对 30% 的股票进行了无信息的订单不平衡测量。我们修改了算法,使用报价价差中点来签署交易。报价中点法不会影响识别率,但会将签约错误率降至 5%,并为所有股票提供信息丰富的订单不平衡度量。
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引用次数: 0
Spending Less after (Seemingly) Bad News 在收到(看似)坏消息后减少支出
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-04-29 DOI: 10.1111/jofi.13325
MARK J. GARMAISE, YARON LEVI, HANNO LUSTIG

Using high-frequency spending data, we show that household consumption displays excess sensitivity to salient macroeconomic news, even when the news is not real. When the announced local unemployment rate reaches a 12-month maximum, local news coverage of unemployment increases and local consumers reduce their discretionary spending by 1.5% relative to consumers in areas with the same macroeconomic conditions. Low-income households display greater excess sensitivity to salience. The decrease in spending is not later reversed. Households in treated areas act as if they are more financially constrained than those in untreated areas with the same fundamentals.

通过使用高频消费数据,我们发现家庭消费对显著的宏观经济新闻表现出过度的敏感性,即使这些新闻并不真实。当公布的当地失业率达到 12 个月的最高值时,当地有关失业的新闻报道就会增加,与宏观经济条件相同地区的消费者相比,当地消费者的可自由支配支出就会减少 1.5%。低收入家庭对显著性的过度敏感度更高。支出的减少后来并没有逆转。在基本面相同的情况下,与未受影响地区的家庭相比,受影响地区的家庭在经济上更加拮据。
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引用次数: 0
Is Long-Run Risk Really Priced? Revisiting Liu and Matthies (2022) 长期风险真的定价了吗?重新审视刘和马蒂斯(2022 年)
IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-04-22 DOI: 10.1111/jofi.13340
PAULO MAIO

The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios (associated with four different portfolio groups) is not appropriate. In fact, their single-factor model is successful only in explaining the momentum deciles, while producing strongly negative performance for the remaining groups. The pricing performance is more doubtful in the case of the alternative news factor (HNI), as the respective risk price is not identified. LM's conclusions stem from a combination of questionable empirical choices and misinterpretation of their results. Moreover, the NI model cannot explain prominent capital asset pricing model anomalies not considered in their study.

Liu 和 Matthies(LM)声称他们的宏观新闻风险因子(NI)为 51 个投资组合(与四个不同的投资组合组相关)定价,这种说法并不恰当。事实上,他们的单因子模型只成功地解释了动量十分位数,而对其余组别产生了强烈的负面表现。在另类新闻因子(HNI)的情况下,由于没有确定相应的风险价格,其定价性能更令人怀疑。LM 的结论源于对经验选择的质疑和对结果的误读。此外,NI 模型无法解释其研究中未考虑的突出的资本资产定价模型异常现象。
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引用次数: 0
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Journal of Finance
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