金融学顶刊Journal of Financial Economics 2023年第1期

Journal of Financial Economics  2023年第1期

Volume 147, Issue 2，February 2023

 

 

——更多动态，请持续关注gzh：理想主义的百年孤独

 

 

1.Origins of international factor structures

国际要素结构的起源

Zhengyang Jiang, Robert J. Richmond

We show that exchange rate correlations tend to be explained by the global trade network while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain these findings using a model of the global trade network with market segmentation. Interdependent global production generates international comovements, while market segmentation disconnects the drivers of exchange rate correlations from the drivers of consumption correlations. Moreover, we show that the trade network generates common factors found in exchange rates. Our findings offer a trade-based account of the origins of international comovements and shed light on important frictions in international markets.

研究表明，汇率相关性可以用全球贸易网络来解释，而消费相关性可以用生产率相关性来解释。与其他国家建立共同的贸易联系会增加双边联系之外的汇率相关性。我们使用一个带有市场分割的全球贸易网络模型来解释这些发现。相互依存的全球生产产生了国际联动，而市场分割则将汇率相关性的驱动因素与消费相关性的驱动因素分离开来。此外，我们还发现，贸易网络产生了汇率中的共同因素。我们的发现提供了一个以贸易为基础的帐户的起源的国际变化，并阐明了在国际市场上的重要摩擦。

 

 

 

2.What do outside CEOs really do? Evidence from plant-level data

外部的ceo都做些什么?来自工厂层面数据的证据

John (Jianqiu) Bai, Anahit Mkrtchyan

Using rich plant-level data, we analyze the relative performance of firms with inside and outside CEOs. We show that firms with outside CEOs achieve greater productivity improvements compared to firms with inside CEOs. Contrary to conventional wisdom, the relation is stronger in well-performing, rather than poorly performing, firms. Although part of the productivity growth differential comes from divesting low-performing, peripheral, low-tech, and unionized plants, most productivity improvements arise from streamlining continuing plants. Here, productivity is increased by consolidating products, changing the composition of investments toward newer capital, shifting to more capital-intensive production, adopting structured management practices, and improving labor productivity.

利用丰富的工厂级数据，我们分析了拥有内部和外部首席执行官的公司的相对绩效。我们发现，与拥有内部首席执行官的公司相比，拥有外部首席执行官的公司实现了更大的生产率提高。与传统观点相反，这种关系在表现良好的公司中比表现不佳的公司更强。尽管生产率增长的部分差异来自于剥离业绩不佳、边缘、低技术和工会化的工厂，但大多数生产率提高来自于精简持续经营的工厂。在这种情况下，生产率的提高是通过整合产品、将投资成分转向较新的资本、转向资本密集型生产、采用结构化管理实践和提高劳动生产率来实现的。

 

 

 

3.Small and vulnerable: SME productivity in the great productivity slowdown

小而脆弱:中小企业生产率在大生产率中放缓

Sophia Chen, Do Lee

We show that the TFP growth of European micro, small, and medium-sized firms (SMEs) diverged from large firms after the global financial crisis. The average postcrisis TFP growth of medium-sized, small, and micro firms was, respectively, 1.1, 2.9, and 5.4 percentage points lower than that of large firms. This SME productivity gap is larger for firms with more severe credit supply shocks. The gap is partially attributable to a larger postcrisis reduction in intangible capital at SMEs than at large firms. Horseraces suggest that SME indicators are more robust and more powerful predictors of postcrisis TFP growth than other indicators.

研究发现，全球金融危机后，欧洲中小微企业的TFP增长与大企业的TFP增长出现了差异。危机后中小微企业的TFP平均增速分别比大企业低1.1、2.9和5.4个百分点。信贷供给冲击越严重的企业，中小企业生产率差距越大。这一差距的部分原因是，危机后中小企业的无形资本减少幅度大于大型企业。赛马数据表明，与其他指标相比，中小企业指标对危机后TFP增长的预测更为稳健和有力。

 

 

 

4.Do firms with specialized M&A staff make better acquisitions?

拥有专业并购人员的公司能更好地进行收购吗?

Sinan Gokkaya, Xi Liu, René M. Stulz

We open the black box of the M&A decision process by examining whether specialized M&A staff, who perform a wide range of acquisition-related functions, improve acquisition performance. We find that the presence and the quality of specialized M&A staff is one of the most economically important determinants of acquisition performance. We explore mechanisms through which specialized M&A staff improve acquisition performance and investigate why only less than half of US firms employ such staff. Agency costs are a first-order determinant for specialized M&A staff's value-creation role. Such staff do not improve acquisition performance in firms with heightened agency conflicts.

本文通过考察专业的并购人员是否能够提升并购绩效，打开了并购决策过程的黑箱。我们发现，专业并购人员的存在和质量是并购绩效最重要的经济决定因素之一。我们探索了专业并购人员提高并购绩效的机制，并调查了为什么只有不到一半的美国公司雇佣了这类人员。代理成本是专业并购人员发挥价值创造作用的一阶决定因素。在代理冲突加剧的企业中，这类员工并不能提高并购绩效。

 

 

 

5.Presidential economic approval rating and the cross-section of stock returns

总统经济支持率和股票回报的横截面

Zilin Chen, Zhi Da, Dashan Huang, Liyao Wang

We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president’s handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR beta dynamically reveals a firm’s perceived alignment to the incumbent president’s economic policies and investors seem to misprice such an alignment.

我们通过对总统在各种全国民调中处理经济的平均评级，构建了1981年至2019年每月的总统经济支持率(PEAR)指数。在横截面上，在风险调整的基础上，对梨指数变化的高贝塔指数的股票在未来每月的表现显着低于低贝塔指数的1.00%。低梨beta溢价持续长达一年，并存在于各种子样本，甚至在其他G7国家。PEAR beta动态地揭示了一家公司被认为与现任总统的经济政策一致，而投资者似乎对这种一致定价错误。

 

 

 

6.Mutual fund performance at long horizons

长期共同基金的表现

Hendrik Bessembinder, Michael J. Cooper, Feng Zhang

The percentage of U.S. equity mutual funds that outperform the SPY ETF over the last 30 years decreases substantially as the horizon over which returns are measured is increased. Further, some funds with positive monthly alpha estimates have negative long-horizon abnormal returns. These results reflect positive skewness in the distribution of fund returns that increases with horizon, and highlight the limitations of conditional arithmetic means of short-horizon returns (e.g., alpha) for long-horizon investors. We tabulate an aggregate wealth loss of $1.02 trillion to mutual fund investors over our 30-year sample, when opportunity costs are based on beta-adjusted SPY returns.

在过去30年中，随着衡量回报的范围的增加，表现优于SPY ETF的美国股票共同基金的百分比大幅下降。此外，一些月度alpha估计为正的基金的长期超额收益为负。这些结果反映了基金收益随视距增加的正偏态分布，并突出了短期收益(如alpha)条件算术平均值对长期投资者的局限性。在我们的30年样本中，当机会成本基于beta调整后的间谍回报时，我们列出了共同基金投资者总计1.02万亿美元的财富损失。

 

 

 

7.Collateral quality and intervention traps

抵押品质量和干预陷阱

Michael Junho Lee, Daniel Neuhann

What determines the supply of good collateral? We study a dynamic model in which borrowers must exert effort to maintain collateral quality and markets become illiquid when average quality is too low. Average quality grows quickly when it is high initially, but deteriorates or grows slowly otherwise. As such, even long-run market conditions are sensitive to a wide array of fundamental and non-fundamental shocks. Recoveries from illiquidity can occur, but only if funding is inefficiently rationed for some time. Policymakers without commitment may fall into intervention traps in which ex-post efficient liquidity injections cause permanent declines in collateral quality.

是什么决定了优质抵押品的供应?我们研究了一个动态模型，在该模型中，借款人必须努力保持抵押品质量，当平均质量过低时，市场变得缺乏流动性。当初始质量很高时，平均质量增长很快，但反之则恶化或增长缓慢。因此，即使是长期市场状况也对广泛的基本面和非基本面冲击敏感。从流动性不足中复苏是可以实现的，但前提是在一段时间内资金缺乏效率。没有承诺的政策制定者可能会陷入干预陷阱，在这种陷阱中，事后有效的流动性注入会导致抵押品质量永久性下降。

 

 

 

8.Sovereign risk premia and global macroeconomic conditions

Sandro C. Andrade, Adelphe Ekponon, Alexandre Jeanneret

We study how shifting global macroeconomic conditions affect sovereign bond prices. Bondholders earn premia for two sources of systematic risk: exposure to low-frequency changes in the state of the economy, as captured by expected macroeconomic growth and volatility, and exposure to higher-frequency macroeconomic shocks. Our model predicts that the first source, labeled long-run macro risk, is the primary driver of the level and the cross-sectional variation in sovereign bond premia. We find support for this prediction using sovereign bond return data for 43 countries over the 1994–2018 period. A long-short portfolio based on long-run macro risk earns 8.11% per year in our sample.

我们研究全球宏观经济状况的变化如何影响主权债券价格。债券持有人赚取两种系统性风险来源的溢价:经济状况低频变化的风险敞口(由预期的宏观经济增长和波动反映)，以及高频宏观经济冲击的风险敞口。我们的模型预测，第一个来源，即长期宏观风险，是主权债券溢价水平和横截面变化的主要驱动因素。我们利用43个国家1994-2018年期间的主权债券回报数据发现，这一预测得到了支持。在我们的样本中，基于长期宏观风险的长短期投资组合的年收益为8.11%。

 

 

 

9.Institutional investors, the dollar, and U.S. credit conditions

机构投资者、美元和美国信贷条件

Friederike Niepmann, Tim Schmidt-Eisenlohr

A strong dollar has been associated with lower lending to emerging markets and tighter global financial conditions. This paper documents similar patterns for credit in the U.S. economy: when the U.S. broad dollar index appreciates by 1 percent, U.S. banks’ corporate loan originations fall by 4.5 percent, with banks tightening credit standards and lending to safer borrowers. This negative correlation, which we term the U.S. dollar credit channel, is at least in part driven by institutional investors, who reduce their demand for risky loans on the secondary loan market when the dollar appreciates. As it becomes harder to sell loans to these investors, banks lend less.

美元走强一直与新兴市场贷款减少和全球金融环境收紧有关。本文记录了美国经济中类似的信贷模式:当美国广义美元指数升值1%时，美国银行的企业贷款发放量下降4.5%，银行收紧信贷标准，向更安全的借款人发放贷款。这种负相关关系，我们称之为美元信贷渠道，至少在一定程度上是由机构投资者驱动的，当美元升值时，机构投资者减少了在二级贷款市场上对风险贷款的需求。随着向这些投资者出售贷款变得越来越困难，银行发放的贷款也越来越少。

 

 

 

10.What are the events that shake our world? Measuring and hedging global COVOL

什么事件震撼了我们的世界?衡量和对冲全球COVOL

Robert F. Engle, Susana Campos-Martins

Some events impact volatilities of most assets, asset classes, sectors and countries, causing serious damage to investment portfolios. The magnitude of such shocks is defined as global COVOL which is an abbreviation for global common volatility, a broad measure of all types of global financial risk. This paper introduces a statistical formulation of such events as common volatility innovations in both a multivariate volatility and an asset pricing context. Simulations verify the statistical performance of a simple but novel estimator and of a test to detect global COVOL. Two empirical examples show the events that have had the biggest impact on financial markets. The results are useful for portfolio optimization and risk forecasting.

一些事件会影响大部分资产、资产类别、行业和国家的波动，对投资组合造成严重损害。这种冲击的强度被定义为全球COVOL，这是全球共同波动率的缩写，是对所有类型全球金融风险的广泛衡量。本文介绍了在多元波动率和资产定价背景下，常见波动率创新事件的统计公式。仿真验证了一个简单但新颖的估计器和检测全局COVOL的测试的统计性能。两个经验例子显示了对金融市场影响最大的事件。研究结果对投资组合优化和风险预测具有重要意义。

 

 

 

11.Industry asset revaluations around public and private acquisitions

围绕公共和私人收购进行行业资产重估

François Derrien, Laurent Frésard, Victoria Slabik, Philip Valta

Revaluations of industry peers around horizontal acquisitions are negative when targets are private, but positive when they are public. We posit this “revaluation spread” arises because acquiring managers favor private targets when public firms are overvalued. Targets’ ownership status thus conveys information about industry assets’ misvaluation and triggers predictable revaluations. Supporting this idea, private acquisitions occur when private targets appear “cheaper” than public firms based on valuation multiples or the trading activity of industry insiders. The revaluation spread varies with overall market misvaluation, predicts future industry returns, and is unrelated to peers’ and industries’ fundamentals.

当目标是私人公司时，围绕横向收购的行业同行的重估是负面的，但当目标是公开时，重估是正面的。我们假设，这种“重估价差”的出现，是因为当上市公司估值过高时，收购经理更青睐私人目标公司。因此，目标公司的所有权状况传达了有关行业资产错误估值的信息，并触发了可预测的重估。支持这一观点的是，根据估值倍数或业内人士的交易活动，当私人目标公司看起来比上市公司”更便宜”时，就会发生私人收购。重估利差随市场整体错误估值而变化，预测未来行业回报，与同业及行业基本面无关。