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Intermediary-based equity term structure 基于中介的股权期限结构
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-05-20 DOI: 10.1016/j.jfineco.2024.103856
Kai Li , Chenjie Xu

We demonstrate that a financial intermediary-based asset pricing model offers a compelling explanation for a new set of conditional moments of equity term structure and convenience yields. The model’s key mechanism is that the time-varying tightness of intermediaries’ leverage constraints drives significant mean reversion in the price of risk. This model guides us in devising a novel empirical methodology to estimate the tightness of these constraints (i.e., the Relative Tightness Index) from cross-sectional returns of various asset classes. Our findings affirm that this measure significantly drives the dynamics of equity yield slope and convenience yields, both empirically and quantitatively.

我们证明,基于金融中介的资产定价模型为股票期限结构和便利收益率的一组新条件矩提供了令人信服的解释。该模型的关键机制在于,中介机构杠杆约束的时变松紧度会导致风险价格出现显著的均值回归。在这一模型的指导下,我们设计了一种新颖的实证方法,从各类资产的横截面收益率中估算出这些约束的松紧程度(即相对松紧指数)。我们的研究结果证实,无论从经验上还是从数量上看,这一指标都极大地推动了股票收益率斜率和便利收益率的动态变化。
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引用次数: 0
Financial constraints, cash flow timing patterns, and asset prices 财务限制、现金流时间模式和资产价格
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-05-17 DOI: 10.1016/j.jfineco.2024.103855
Weiping Hu , Kai Li , Xiao Zhang

We show that firms collect almost 70% of their cash flows in the second half of the fiscal year, and that firms that collect more cash by year-end earn a 6.8% higher per annum risk premium and save more cash. We rationalize these facts in a quantitative investment-based asset pricing model. Immediate cash payments negatively affect profitability, but reduce equity financing costs by increasing information transparency. Financially constrained firms optimally collect more cash at year-end when firms’ performance attracts more attention and information transparency is more valuable. Such behavior further results in greater exposure to aggregate productivity and financial shocks.

我们的研究表明,企业近 70% 的现金流是在财政年度的下半年收集的,而在年底前收集更多现金的企业每年可获得高出 6.8% 的风险溢价,并能节省更多现金。我们通过一个基于投资的量化资产定价模型来合理解释这些事实。立即支付现金会对盈利能力产生负面影响,但会通过提高信息透明度降低股权融资成本。当公司业绩更受关注、信息透明度更有价值时,财务紧张的公司会在年末以最优方式收集更多现金。这种行为进一步导致企业更容易受到总体生产率和金融冲击的影响。
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引用次数: 0
When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion 当市场出现 CO.V.I.D:传染、病毒和信息扩散时
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-05-13 DOI: 10.1016/j.jfineco.2024.103850
Maria Jose Arteaga-Garavito , Mariano M. Croce , Paolo Farroni , Isabella Wolfskeil

We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel dataset comprising (i) announcements related to COVID19 and (ii) high-frequency data on epidemic news diffused through Twitter (Hassan et al., 2019’s methodology). We provide novel empirical evidence about financial dynamics both around epidemic announcements and at daily/intra-daily frequencies. Analysis of contagion data and social media activity about COVID19 suggest that the market price of contagion risk is significant.

我们量化了主要金融市场受全球传染风险新闻冲击的影响程度,同时考虑了当地的疫情状况。我们为众多国家构建了一个新颖的数据集,其中包括:(i) COVID19 的相关公告;(ii) 通过 Twitter 传播的疫情新闻的高频数据(Hassan 等人,2019 年的方法论)。我们提供了有关疫情公告前后以及每日/日内频率的金融动态的新经验证据。对有关 COVID19 的传染数据和社交媒体活动的分析表明,传染风险的市场价格很高。
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引用次数: 0
Regulatory arbitrage or random errors? Implications of race prediction algorithms in fair lending analysis 监管套利还是随机误差?公平借贷分析中种族预测算法的影响
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-05-10 DOI: 10.1016/j.jfineco.2024.103857
Daniel L. Greenwald , Sabrina T. Howell , Cangyuan Li , Emmanuel Yimfor

When race is not directly observed, regulators and analysts commonly predict it using algorithms based on last name and address. In small business lending—where regulators assess fair lending law compliance using the Bayesian Improved Surname Geocoding (BISG) algorithm—we document large prediction errors among Black Americans. The errors bias measured racial disparities in loan approval rates downward by 43%, with greater bias for traditional vs. fintech lenders. Regulation using self-identified race would increase lending to Black borrowers, but also shift lending toward affluent areas because errors correlate with socioeconomics. Overall, using race proxies in policymaking and research presents challenges.

在无法直接观察到种族的情况下,监管机构和分析师通常使用基于姓氏和地址的算法来预测种族。在小企业借贷中,监管机构使用贝叶斯改进姓氏地理编码(BISG)算法评估公平借贷法的合规性,我们记录了对美国黑人的巨大预测误差。这些误差使测算出的贷款批准率的种族差异向下偏移了 43%,传统贷款机构与金融科技贷款机构之间的偏差更大。使用自我认定的种族进行监管会增加对黑人借款人的贷款,但也会使贷款流向富裕地区,因为误差与社会经济相关。总之,在政策制定和研究中使用种族代用指标是一项挑战。
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引用次数: 0
Debtor income manipulation in consumer credit contracts 消费信贷合同中对债务人收入的操纵
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-05-10 DOI: 10.1016/j.jfineco.2024.103851
Vyacheslav Mikhed , Sahil Raina , Barry Scholnick , Man Zhang

We show that forcing insolvent consumer debtors to repay a larger fraction of debt causes them to strategically manipulate the data they report to creditors. Exploiting a policy change that required insolvent debtors to increase debt repayments at an arbitrary income cutoff, we document that some debtors reduce reported income to just below this cutoff to avoid the higher repayment. Those debtors who manipulate income have a lower probability of default on their repayment plans, consistent with having access to hidden income. We estimate this strategic manipulation costs creditors 12% to 36% of their total payout per filing.

我们的研究表明,强迫资不抵债的消费者债务人偿还更多债务会导致他们战略性地操纵向债权人报告的数据。我们利用政策变化,要求无力偿还债务的债务人在一个任意的收入分界线上增加债务偿还额,我们记录了一些债务人将报告的收入减少到刚好低于这个分界线,以避免更高的偿还额。这些操纵收入的债务人违反还款计划的概率较低,这与他们能够获得隐性收入是一致的。我们估计,这种策略性操纵会使债权人在每次申请中损失 12% 至 36% 的总还款额。
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引用次数: 0
Associative memory, beliefs and market interactions 联想记忆、信念和市场互动
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-05-07 DOI: 10.1016/j.jfineco.2024.103853
Benjamin Enke , Frederik Schwerter , Florian Zimmermann

Recent theories and narratives highlight the potential role of associative recall in driving overreaction in expectations and market behavior. Based on a simple model, we test this idea through a series of experiments in which news are communicated with memorable contexts. Because the experimental participants predominantly remember those past news that get cued by new information, their beliefs about fundamentals strongly overreact. In a betting market experiment, associative recall translates into overreaction in market prices, which makes realized prices too extreme. Our results highlight the importance of associative memory for beliefs and financial decisions.

最近的理论和叙述强调了联想回忆在推动预期和市场行为过度反应方面的潜在作用。基于一个简单的模型,我们通过一系列实验验证了这一观点。由于实验参与者主要记得那些被新信息提示的过去新闻,因此他们对基本面的信念会产生强烈的过度反应。在博彩市场实验中,联想记忆转化为市场价格的过度反应,从而使实现价格过于极端。我们的研究结果凸显了联想记忆对信念和金融决策的重要性。
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引用次数: 0
Financial inclusion, economic development, and inequality: Evidence from Brazil 金融包容性、经济发展和不平等:巴西的证据
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-05-02 DOI: 10.1016/j.jfineco.2024.103854
Julia Fonseca , Adrien Matray

We study a financial inclusion policy targeting Brazilian cities with low bank branch coverage using data on the universe of employees from 2000–2014. The policy leads to bank entry and to similar increases in both deposits and lending. It also fosters entrepreneurship, employment, and wage growth, especially for cities initially in banking deserts. These gains are not shared equally and instead increase with workers’ education, implying a substantial increase in wage inequality. The changes in inequality are concentrated in cities where the initial supply of skilled workers is low, indicating that talent scarcity can drive how financial development affects inequality.

我们利用 2000-2014 年间的雇员数据,研究了针对银行网点覆盖率较低的巴西城市的普惠金融政策。该政策促进了银行的进入,存款和贷款也出现了类似的增长。它还促进了创业、就业和工资增长,尤其是对于最初处于银行荒漠的城市。这些收益并没有被平等分享,而是随着工人受教育程度的提高而增加,这意味着工资不平等现象大幅增加。不平等的变化主要集中在技术工人初始供应量较低的城市,这表明人才的稀缺性可以推动金融发展对不平等的影响。
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引用次数: 0
Ambiguity and private investors’ behavior after forced fund liquidations 基金强制清算后的模糊性和私人投资者的行为
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-04-29 DOI: 10.1016/j.jfineco.2024.103849
Steffen Meyer , Charline Uhr

We investigate individual investors' decisions under time-varying ambiguity (VVIX) using plausibly exogenous forced mutual fund liquidations at a German brokerage. Investors reinvest 87% of forced liquidations when the refund occurs on a day of low ambiguity and 0% when it occurs on a day of high ambiguity. Instead of reinvesting, investors become inert and keep the refund in their cash holdings. The effect reverses approximately six months after the liquidation. If investors reinvest, they decrease their risk-taking under ambiguity. Our results are not driven by risk, rebalancing decisions, experiencing losses, or attention and are robust to alternative measures of ambiguity.

我们利用德国一家券商的似然外生共同基金强制清算,研究了个人投资者在时变模糊性(VVIX)下的决策。当退款发生在模糊性较低的一天时,投资者对 87% 的强制清算进行了再投资,而当退款发生在模糊性较高的一天时,投资者对 0% 的强制清算进行了再投资。投资者不再进行再投资,而是将退款保留在现金中。这种效应在清算大约六个月后发生逆转。如果投资者进行再投资,他们就会减少在模棱两可情况下的风险承担。我们的研究结果不受风险、再平衡决策、经历损失或注意力的影响,而且对其他模糊性衡量标准也是稳健的。
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引用次数: 0
Gradual information diffusion across commonly owned firms 信息在共同拥有的企业中逐渐扩散
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-04-26 DOI: 10.1016/j.jfineco.2024.103852
Jie Ying

This paper studies how common institutional ownership (CIO) affects information diffusion in the stock market. My findings suggest that CIO can exacerbate the slow spread of information across firms. With over 50% of institutional investors holding concentrated stock portfolios, I infer a fundamental connection among firms with CIO. These firms exhibit cross-predictability in monthly stock returns, leading to a CIO-based peer momentum strategy that outperforms Ali and Hirshleifer's (2020) shared-analyst momentum strategy. This anomaly stems primarily from institutional investors with fewer stock holdings, who employ passive asset management characterized by lower portfolio turnover and more delegated investment.

本文研究共同机构所有权(CIO)如何影响股票市场的信息传播。我的研究结果表明,CIO 会加剧信息在公司间的缓慢传播。由于 50%以上的机构投资者持有集中的股票投资组合,我推断拥有 CIO 的公司之间存在着根本性的联系。这些公司的月度股票回报表现出交叉可预测性,导致基于 CIO 的同行动量策略表现优于 Ali 和 Hirshleifer(2020 年)的共享分析师动量策略。这种反常现象主要源于持有较少股票的机构投资者,他们采用被动资产管理,其特点是较低的投资组合周转率和更多的委托投资。
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引用次数: 0
Portfolio pumping in mutual fund families 共同基金家族的投资组合抽水
IF 8.9 1区 经济学 Q1 BUSINESS, FINANCE Pub Date : 2024-04-15 DOI: 10.1016/j.jfineco.2024.103839
Pingle Wang

This paper investigates portfolio pumping at the fund family level, where non-star fund managers strategically purchase stocks held by star funds in the family to inflate their quarter-end performance. Star funds that engage in such activities show inflated performance after 2002 when the Securities and Exchange Commission increased regulation on portfolio pumping. Stocks pumped by the strategy show strong reversals at the quarter end. Moreover, despite a minor underperformance stemming from portfolio misallocation, non-star fund managers pumping for star funds receive abnormally high subsequent flows, suggesting a pattern of family subsidization.

本文研究了基金家族层面的投资组合抽水,即非明星基金经理策略性地购买家族中明星基金持有的股票,以夸大其季度末业绩。2002 年,美国证券交易委员会加强了对投资组合抽水的监管,此后,从事此类活动的明星基金表现出了虚高的业绩。被该策略抽走的股票在季度末出现强劲反转。此外,尽管因投资组合配置不当而导致业绩略微不佳,但为明星基金抽血的非明星基金经理却获得了异常高的后续资金流,这表明存在家族补贴模式。
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引用次数: 0
期刊
Journal of Financial Economics
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