Journal of Financial Economics 2023年第2期

Journal of Financial Economics  2023年第2期

Volume 147, Issue 3，March 2023

——更多动态，请持续关注gzh：理想主义的百年孤独

Common ownership and innovation efficiency

公有制和创新效率

Xuelin Li, Tong Liu, Lucian A. Taylor

How does common ownership affect innovation? We study this question using project-level data on pharmaceutical startups and their venture capital (VC) investors. We find that common ownership leads VCs to hold back projects, withhold funding, and redirect innovation at lagging startups. Effects are stronger where R&D costs are larger, consistent with common owners aiming to cut duplicate costs. Effects are also stronger where technological similarity is greater and preexisting competition is lower, consistent with common owners seeking market power for their surviving projects. Overall, common VC ownership appears to generate social benefits, via improved innovation efficiency, but also social costs.

共同所有权如何影响创新?我们使用制药初创公司及其风险投资(VC)投资者的项目级数据来研究这个问题。我们发现，共同所有权导致风投公司推迟项目，扣留资金，并在落后的初创公司重新定向创新。在研发成本较高的地方，效果更强，这与共同所有者削减重复成本的目标一致。在技术相似度较高、先前存在的竞争较低的地方，影响也更强，这与共同所有者为其幸存的项目寻求市场力量是一致的。总体而言，共同的风险投资所有权似乎通过提高创新效率产生了社会效益，但也产生了社会成本。

Mortgage prepayment, race, and monetary policy

抵押贷款提前支付，种族和货币政策

Kristopher Gerardi, Paul S. Willen, David Hao Zhang

Black and Hispanic homeowners pay significantly higher mortgage interest rates than white and Asian homeowners. We show that the main reason is that white and Asian borrowers are much more likely to exploit periods of falling interest rates by refinancing their mortgages or moving. Black and Hispanic borrowers face challenges refinancing because, on average, they have lower credit scores, equity and income. But even holding those factors constant, Black and Hispanic borrowers refinance less, suggesting that other factors are at play. Because they are more likely to exploit lower interest rates, white borrowers benefit more from monetary expansions. Policies that reduce barriers to refinancing for minority borrowers and alternative mortgage contract designs can reduce racial mortgage pricing inequality.

黑人和西班牙裔房主支付的抵押贷款利率明显高于白人和亚裔房主。我们表明，主要原因是白人和亚裔借款人更有可能利用利率下降的时期，为抵押贷款再融资或搬家。黑人和西班牙裔借款人面临着再融资的挑战，因为他们的平均信用评分、股权和收入都较低。但即使保持这些因素不变，黑人和西班牙裔借款人的再融资也减少了，这表明还有其他因素在起作用。因为白人更有可能利用较低的利率，他们从货币扩张中获益更多。减少少数族裔借款人再融资障碍的政策和替代抵押贷款合同设计可以减少种族抵押贷款定价不平等。

The colour of finance words

金融词汇的色彩

Diego García, Xiaowen Hu, Maximilian Rohrer

Our paper relies on stock price reactions to colour words, in order to provide new dictionaries of positive and negative words in a finance context. We extend the machine learning algorithm of Taddy (2013), adding a cross-validation layer to avoid over-fitting. In head-to-head comparisons, our dictionaries outperform the standard bag-of-words approach (Loughran and McDonald, 2011) when predicting stock price movements out-of-sample. By comparing their composition, word-by-word, our method refines and expands the sentiment dictionaries in the literature. The breadth of our dictionaries and their ability to disambiguate words using bigrams both help to colour finance discourse better.

我们的论文依赖于股票价格对颜色词的反应，以便在金融背景下提供积极和消极词汇的新词典。我们扩展了Taddy(2013)的机器学习算法，增加了一个交叉验证层以避免过度拟合。在正面比较中，我们的词典在预测样本外股价波动时优于标准的词袋方法(Loughran和McDonald, 2011)。通过逐字比较它们的构成，我们的方法对文献中的情感词典进行了提炼和扩充。我们的词典的广度和它们使用双引号消除单词歧义的能力都有助于更好地为金融话语增添色彩。

Volatility and informativeness

波动性和信息性

Eduardo Dávila, Cecilia Parlatore

This paper studies the relation between volatility and informativeness in financial markets. We identify two channels (noise-reduction and equilibrium-learning) that determine the volatility-informativeness relation. When informativeness is sufficiently high (low), volatility and informativeness positively (negatively) comove in equilibrium. We identify conditions on primitives that guarantee that volatility and informativeness comove positively or negatively. We introduce the comovement score, a statistic that measures the distance of a given asset to the positive/negative comovement regions. Empirically, comovement scores (i) have trended downwards over the last decades, (ii) are positively related to value and idiosyncratic volatility and negatively to size and institutional ownership.

本文研究了金融市场波动率与信息量之间的关系。我们确定了确定波动性-信息量关系的两个通道(降噪和均衡学习)。当信息性足够高(低)时，波动性和信息性正(负)平衡。我们确定了保证波动性和信息性正向或负向变化的原语条件。我们引入了运动分数，这是一种测量给定资产到正/负运动区域的距离的统计数据。从经验上看，在过去的几十年里，移动得分(i)呈下降趋势，(ii)与价值和特质波动性呈正相关，与规模和机构所有权呈负相关。

From patriarchy to partnership: Gender equality and household finance

从父权制到伙伴关系:性别平等与家庭财务

Luigi Guiso, Luana Zaccaria

We obtain a model-driven measure of gender norms on intra-household financial decision making by leveraging dramatic variation across Italian cohorts and regions in the gender of the household head. We use these estimates to identify the effects of gender parity on household financial decisions. More egalitarian norms increase household participation in financial markets, equity holdings, asset diversification, and returns on investments. This evidence suggests that gender roles can have large economic costs. Consistent with this view, we show that patriarchal norms began receding in the early 1990s, when a pension reform made it too costly to comply with traditional roles.

我们通过利用意大利各群体和地区在户主性别方面的巨大差异，获得了一个模型驱动的家庭内部财务决策性别规范的衡量标准。我们使用这些估计来确定性别平等对家庭财务决策的影响。更平等的规范增加了家庭对金融市场、股权持有、资产多样化和投资回报的参与。这一证据表明，性别角色可能会带来巨大的经济成本。与这一观点一致，我们表明，父权规范在20世纪90年代初开始消退，当时养老金改革使得遵守传统角色的成本过高。

Financial markets and unemployment

金融市场与失业

Tommaso Monacelli, Vincenzo Quadrini, Antonella Trigari

We study the importance of financial markets for (un)employment fluctuations in a model with matching frictions where firms borrow under limited enforcement. Borrowing affects employment through a ‘debt bargaining channel’: higher debt improves the bargaining position of employers with workers and increases the incentive to hire. We estimate the model structurally and find that the debt bargaining channel accounts for 26 percent of unemployment fluctuations. We find empirical support for the channel at the micro level using firm level data from Compustat.

我们在一个具有匹配摩擦的模型中研究了金融市场对(非)就业波动的重要性，其中企业在有限强制下借款。借贷通过“债务讨价还价渠道”影响就业:较高的债务提高了雇主与工人讨价还价的地位，增加了雇佣的动力。我们对模型进行了结构估计，发现债务谈判渠道占失业率波动的26%。我们使用来自Compustat的企业层面数据在微观层面上找到了对渠道的实证支持。

The negativity bias and perceived return distributions: Evidence from a pandemic

消极偏见和感知回报分布:来自大流行的证据

Richard Sias, Laura T. Starks, H.J. Turtle

We hypothesize that the well-documented negativity bias, the psychological tendency to asymmetrically emphasize negative over positive aspects, can help explain several financial market phenomena: why most individuals hold strongly bearish views of both short- and long-term equity return distributions, why individuals exhibit heterogeneous beliefs, and the stock market participation puzzle. Using variation in the perceived risk of mortality from the swine flu pandemic as our primary proxy for an individual's negativity bias, we find strong support for our hypothesis even when controlling for alternative mechanisms including optimism, risk aversion, ambiguity aversion, and anxiety.

我们假设，证据充分的消极偏见，即不对称地强调消极而非积极方面的心理倾向，可以帮助解释几个金融市场现象:为什么大多数人对短期和长期股票回报分布持强烈的看跌观点，为什么个人表现出异质的信念，以及股票市场参与之谜。使用猪流感大流行死亡感知风险的变化作为个体消极偏见的主要代理，我们发现即使在控制乐观、风险厌恶、模糊厌恶和焦虑等替代机制时，我们的假设也得到了强有力的支持。

Supporting small firms through recessions and recoveries

支持小企业渡过衰退和复苏

Diana Bonfim, Cláudia Custódio, Clara Raposo

We use variation in the access to a government credit certification program to estimate the financial and real effects of supporting small firms. This program was first implemented during the global financial crisis, but has remained active ever since, allowing us to analyze its effects both during recessions and recoveries. Eligible firms have access to government loan guarantees and a credit quality certification. We estimate real effects using a multidimensional regression discontinuity design. We find that eligible firms borrow more and at lower rates than non-eligible firms, allowing them to increase investment and employment during crises. Industry-level analysis shows reduced productivity heterogeneity in more exposed industries, which is consistent with improved credit allocation. However, when the economy is recovering the effects of the program are less pronounced and centered on the certification component. The cost-per-job in the recovery period is half of the one estimated for the crisis period (5784€ and 11,788€, respectively).

我们利用获得政府信用认证计划的机会来评估支持小企业的财务和实际影响。该计划最初是在全球金融危机期间实施的，但此后一直保持活跃，使我们能够分析其在衰退和复苏期间的影响。符合条件的公司可以获得政府贷款担保和信用质量认证。我们使用多维回归不连续设计来估计实际效果。我们发现，符合条件的企业比不符合条件的企业借款更多，利率更低，这使它们能够在危机期间增加投资和就业。行业层面的分析显示，暴露程度较高的行业的生产率异质性降低，这与信贷分配的改善是一致的。然而，当经济复苏时，该计划的影响就不那么明显了，主要集中在认证部分。恢复期的每项工作费用是危机期间估计费用的一半(分别为5784欧元和11788欧元)。