Journal of Financial Economics 2023年第148卷
Journal of Financial Economics 2023年第148卷
Volume 148, Issue1、2、 3
——更多动态，请持续关注gzh：理想主义的百年孤独
The Modern Mutual Fund Family
现代共同基金家族
Caitlin D. Dannhauser, Harold D. Spilker
Modern mutual fund families include more than active mutual funds (AMFs). AMFs in families with greater index mutual fund (IMF) presence generate higher category-adjusted gross returns. Performance is positively related to the levels of passive and active fees, suggesting moral hazard. Intrafamily competition from IMFs in the same Morningstar category incentivizes managers to exert effort. Financial resources do not contribute to the performance effect. Cross-trading with IMFs occurs with some positive effect on performance. ETFs have no impact on performance. IMFs reduce flow-performance sensitivity and flow volatility of AMFs in the family. IMFs and ETFs uniquely contribute to expense pressure.
现代共同基金家族不仅包括主动共同基金(amf)。拥有更多指数共同基金(IMF)的家庭的资产管理基金产生更高的类别调整总回报。业绩与被动收费和主动收费水平呈正相关，表明存在道德风险。来自国际货币基金组织(imf)同一晨星(Morningstar)类别的家族内部竞争，会激励管理者付出努力。财政资源对业绩效应没有贡献。与国际货币基金组织的交叉交易对业绩有一定的积极影响。etf对业绩没有影响。IMFs降低了家族中AMFs的流动性能敏感性和流动波动性。国际货币基金组织和交易所交易基金是造成费用压力的唯一因素。
The global factor structure of exchange rates
汇率的全球要素结构
Sofonias Alemu Korsaye, Fabio Trojani, Andrea Vedolin
We propose a model-free methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sectionsof international stocks, bonds, and currencies in markets with frictions. We theoretically establish a SDF decomposition into one global factor and a currency basket. We show that our global factor prices a large cross-section of international asset returns, not just in- but also out-of-sample, across different currency denominations. Moreover, the pricing ability of the global factor is largely independent of the market structure or the size and type of market friction.
我们提出了一种无模型的方法来估计国际随机贴现因子(sdf)，该因子在有摩擦的市场中共同为国际股票、债券和货币的横截面定价。理论上，我们将SDF分解为一个全球因素和一篮子货币。我们表明，我们的全球因素定价了国际资产回报的一个很大的横截面，不仅在样本内，而且在样本外，跨越不同的货币面额。此外，全球因素的定价能力在很大程度上与市场结构或市场摩擦的大小和类型无关。
Set it and forget it? Financing retirement in an age of defaults
设定好了就忘了?在违约时代为退休融资
Lucas Goodman, Anita Mukherjee, Shanthi Ramnath
Retirement savings abandonment is a rising concern connected to defined contribution systems and default enrollment. We use tax data on Individual Retirement Accounts (IRAs) to establish that for a recent cohort, 0.4% of retirement-age individuals abandoned an aggregate of $66 million, proxied by a failure to claim over ten years after a legal requirement to do so. Analysis of state unclaimed property databases suggests that workplace defined contribution plans are abandoned at a higher rate than IRAs. Finally, regression discontinuity estimates show that certain accounts created by default enrollment are at higher risk of abandonment by passive savers.
退休储蓄放弃是一个日益令人担忧的问题，与固定缴款制度和违约登记有关。我们使用个人退休账户(IRAs)的税务数据来确定，在最近的一个队列中，0.4%的退休年龄个人放弃了总计6600万美元的资金，原因是在法律规定的十多年后仍未申报。对国家无人认领财产数据库的分析表明，工作场所固定缴款计划被放弃的比例高于个人退休账户。最后，回归不连续估计表明，通过默认登记创建的某些帐户被被动储蓄者放弃的风险更高。
Barking up the wrong tree: Return-chasing in 401(k) plans
找错了对象:追求401(k)计划的回报
Anh Tran, Pingle Wang
This paper examines investors’ retirement savings allocation using a hand-collected dataset on 401(k) plans. We find that 83% of investors in our sample hold only 39% of total assets and follow a return-chasing strategy. In contrast, the remaining 17% of wealthy investors with relatively higher financial literacy follow CAPM alpha. This difference between the two investor groups explains why fund flows respond to returns at the plan level but to CAPM alpha at the aggregated fund level. Return-chasing by unwealthy investors is not optimal, as it significantly underperforms a strategy that passively invests in the existing funds in their plans.
本文使用手工收集的401(k)计划数据集来检验投资者的退休储蓄配置。我们发现样本中83%的投资者只持有总资产的39%，并遵循追逐回报的策略。相比之下，其余17%的金融知识相对较高的富有投资者遵循CAPM alpha。这两个投资者群体之间的差异解释了为什么资金流在计划层面响应回报，而在总基金层面响应CAPM alpha。不富裕的投资者追逐回报并不是最理想的，因为它的表现明显不如被动投资于他们计划中的现有基金的策略。
Flexibility costs of debt: Danish exporters during the cartoon crisis
债务的灵活性成本:卡通危机中的丹麦出口商
Benjamin U. Friedrich, Michał Zator
We study how firms respond to an unexpected demand shock, exploiting the 2006 boycott of Danish products after publication of Muhammad caricatures. On average, affected firms lose the majority of their exports to Muslim countries and experience a significant decrease in total sales. However, firms with low financial leverage redirect sales to new and existing product-destination markets in non-Muslim countries, which allows them to fully offset their losses. In contrast, high-leverage firms do not enter new markets and instead actively downsize. Our results highlight the importance of financial flexibility in times of crisis, consistent with declarations of practitioners.
我们研究企业如何应对意外的需求冲击，利用2006年穆罕默德漫画出版后对丹麦产品的抵制。平均而言，受影响的公司失去了对穆斯林国家的大部分出口，总销售额大幅下降。然而，低财务杠杆的公司将销售转向非穆斯林国家的新产品和现有产品目的地市场，这使他们能够完全抵消损失。相比之下，高杠杆公司不进入新市场，而是积极缩小规模。我们的研究结果强调了危机时期财务灵活性的重要性，这与从业人员的声明是一致的。
Loan spreads and credit cycles: The role of lenders’ personal economic experiences
贷款息差和信贷周期:贷款人个人经济经验的作用
Daniel Carvalho, Janet Gao, Pengfei Ma
We provide evidence that changes in lender optimism can lead to excessive fluctuations in credit spreads across the credit cycle. Using data on the real estate properties of loan officers originating large corporate loans, we find that credit spreads overreact to sophisticated lenders’ recent local economic experiences, captured by local housing price growth. These effects are only present when borrowers own real estate assets and during times of greater uncertainty about real estate values, i.e., boom-and-bust cycles in housing prices. Our analysis suggests that recent personal experiences shape sophisticated lenders’ beliefs about real estate values, which affect their pricing decisions.
我们提供的证据表明，贷款人乐观情绪的变化可能会导致整个信贷周期的信贷利差过度波动。利用发放大额企业贷款的信贷员的房地产数据，我们发现，信贷息差对复杂贷款机构近期在当地的经济经验(由当地房价增长反映)反应过度。只有当借款人拥有房地产资产时，以及房地产价值不确定性较大的时期，即房价的繁荣和萧条周期，才会出现这些影响。我们的分析表明，最近的个人经历塑造了复杂的贷款人对房地产价值的信念，这影响了他们的定价决策。
Political ideology and international capital allocation
政治意识形态与国际资本配置
Elisabeth Kempf, Mancy Luo, Larissa Schäfer, Margarita Tsoutsoura
Does investors’ political ideology shape international capital allocation? We provide evidence from two settings—syndicated corporate loans and equity mutual funds—to show ideological alignment with foreign governments affects the cross-border capital allocation by U.S. institutional investors. Ideological alignment on both economic and social issues plays a role. Our empirical strategy ensures direct economic effects of foreign elections or government ties between countries are not driving the result. Ideological distance between countries also explains variation in bilateral investment. Combined, our findings imply ideological alignment is an important, omitted factor in models of international capital allocation.
投资者的政治意识形态会影响国际资本配置吗?本文从银团企业贷款和股权共同基金两种情况下的证据表明，与外国政府的意识形态一致影响了美国机构投资者的跨境资本配置。在经济和社会问题上的意识形态一致发挥了作用。我们的经验主义战略确保了外国选举或国家间政府关系的直接经济影响不会推动结果。国家之间的意识形态距离也解释了双边投资的差异。综合来看，我们的研究结果表明，意识形态一致性是国际资本配置模型中一个重要的、被忽略的因素。
Heterogeneous liquidity providers and night-minus-day return predictability
异质流动性提供者和夜间-日间回报可预测性
Zhongjin Lu, Steven Malliaris, Zhongling Qin
We present and test a model to understand the puzzling fact that characteristics-sorted stock portfolios tend to earn opposite-signed overnight and intraday expected returns. Heterogeneous arbitrageurs – “fast” arbitrageurs with informational advantages and “slow” arbitrageurs with low inventory costs – compete to determine the price of liquidity. High information asymmetry around market open allows fast arbitrageurs to demand large price deviations for absorbing order imbalances, as cream-skimming risk discourages competition from slow arbitrageurs. Despite persistent order imbalances, these deviations attenuate when cream-skimming risk subsides, leading to opposite-signed overnight and intraday returns. Our model identifies novel determinants that empirically explain substantial variations in predictable overnight-minus-intraday returns.
本文提出并检验了一个模型，以理解特征排序股票组合往往在隔夜和盘中获得相反的预期收益这一令人困惑的事实。异质性套利者——具有信息优势的“快速”套利者和具有低库存成本的“缓慢”套利者——竞争决定流动性的价格。围绕市场开放的高度信息不对称使得快速套利者可以要求较大的价格偏差来吸收订单失衡，因为撇脂风险会阻碍缓慢套利者的竞争。尽管订单持续失衡，但当撇脂风险消退时，这些偏差会减弱，导致隔夜和盘中的反向收益。我们的模型确定了新的决定因素，这些决定因素在经验上解释了可预测的隔夜-日内回报的重大变化。
Insurance and portfolio decisions: Two sides of the same coin?
保险和投资组合决策:一枚硬币的两面?
Olivier Armantier, Jérôme Foncel, Nicolas Treich
We study insurance and portfolio decisions, two opposite risk retention tradeoffs. Using household level data, we identify the first joint determinants (e.g. subjective expectations, risk attitude) and frictions (e.g. liquidity constraints, financial literacy) in the literature. We also find key differences between the two decisions. Notably, contrary to economic intuition, risky asset holding and insurance coverage both increase with wealth. We show that this apparent puzzle is driven in part by a specific behavioral pattern (the poor invest too conservatively, while the rich over-insure), and can be explained by two factors: regret avoidance and nonperformance risk.
我们研究保险和投资组合决策，这两种相反的风险保留权衡。利用家庭层面的数据，我们识别了文献中的第一个联合决定因素(如主观预期、风险态度)和摩擦(如流动性约束、金融素养)。我们还发现了这两个决定之间的关键差异。值得注意的是，与经济直觉相反，风险资产持有和保险覆盖率都随着财富的增加而增加。我们的研究表明，这一明显的困惑在一定程度上是由一种特定的行为模式(穷人投资过于保守，而富人过度保险)驱动的，可以用两个因素来解释:后悔规避和不良风险。
Asset holders’ consumption risk and tests of conditional CCAPM
资产持有人的消费风险与有条件capm的测试
Redouane Elkamhi, Chanik Jo
We test the conditional consumption-CAPM using asset holders’ consumption and find that the time variation in the prices of asset holders’ consumption risk is procyclical. This puzzling time variation is at odds with the implication of existing consumption-based equilibrium asset pricing models. We show that our finding is a salient feature of the data observed in multiple asset classes (aggregate equity market, equity portfolios, bond portfolios, and commodities portfolios), using different measures of consumption (household survey data and high-frequency retail shopping data) and alternative empirical methodologies.
本文利用资产持有人的消费对条件消费- capm模型进行了检验，发现资产持有人的消费风险价格的时间变化是顺周期的。这种令人困惑的时间变化与现有基于消费的均衡资产定价模型的含义不一致。我们使用不同的消费衡量指标(家庭调查数据和高频零售购物数据)和其他经验方法，在多个资产类别(综合股票市场、股票投资组合、债券投资组合和大宗商品投资组合)中观察到的数据中，我们的发现是一个显著特征。
Why is dollar debt Cheaper? Evidence from Peru
为什么美元债务更便宜?来自秘鲁的证据
Bryan Gutierrez, Victoria Ivashina, Juliana Salomao
In emerging markets, a significant share of corporate loans are denominated in dollars. Using novel data that includes loan-level currency and the cost of credit, in addition to several other transaction-level characteristics, we re-examine the reasons behind dollar credit popularity. We find that a dollar-denominated loan has an interest rate that is 2 percentage points lower per year than a loan in local currency. Expectations of exchange rate movements do not explain this difference. We show that this interest rate differential for lending rates is closely matched by the differential in the deposit market. Our results suggest that the preference for dollar loans is rooted in the local depositors preference for dollar savings, and a banking sector that is strongly incentivized to closely match its foreign-currency assets and liabilities. Cross-borrower variation points to competitive pressure among banks to explain the significant pass-through of this differential.
在新兴市场，很大一部分企业贷款以美元计价。利用包括贷款级货币和信贷成本在内的新数据，以及其他几个交易级特征，我们重新审视了美元信贷流行背后的原因。我们发现，以美元计价的贷款的年利率比以当地货币计价的贷款低2个百分点。对汇率变动的预期并不能解释这种差异。我们发现，这种贷款利率的差异与存款市场的差异是紧密匹配的。我们的研究结果表明，对美元贷款的偏好根源于当地储户对美元储蓄的偏好，以及银行部门受到强烈的激励来密切匹配其外币资产和负债。交叉借款人的差异表明，银行之间存在竞争压力，可以解释这种差异的显著传递。
Reaching for yield and the housing market: Evidence from 18th-century Amsterdam
追求收益和住房市场:来自18世纪阿姆斯特丹的证据
Matthijs Korevaar
Do investors reach for yield when interest rates are low and does this behavior affect the housing market? Using the unique setting and data of 18th-century Amsterdam, I show that reach-for-yield behavior of wealthy investors resulted in a large boom and bust in house prices and major changes in rental yields. Exploiting changes in the supply of bonds, I show that investors living off capital income shifted their portfolios towards real estate and other higher-yielding assets when bond yields were low and decreasing. This behavior exacerbated house price volatility and increased housing wealth inequality.
当利率较低时，投资者会追求收益吗?这种行为会影响房地产市场吗?利用18世纪阿姆斯特丹的独特环境和数据，我展示了富裕投资者追求收益的行为导致了房价的大幅暴涨和暴跌，以及租金收益率的重大变化。我利用债券供给的变化表明，当债券收益率处于低位且不断下降时，依靠资本收入为生的投资者将其投资组合转向房地产和其他高收益资产。这种行为加剧了房价波动，加剧了住房财富不平等。
