Journal of Financial Economics 2023年第2期

Journal of Financial Economics  2023年第2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.Automation and the displacement of labor by capital: Asset pricing theory and empirical evidence

自动化和资本替代劳动力:资产定价理论和经验证据

Jiří Knesl

I examine the asset pricing implications of technological innovations that allow capital to displace labor: automation. I develop a theory in which firms with displaceable labor are negatively exposed to such technology shocks. In the model, firms optimally adopt technology to gain competitive advantage but in equilibrium competition erodes profits and decreases firm value. Empirically, I find that firms with high share of displaceable labor have negative exposure to technology shocks. A long-short portfolio sorted on this variable mimics macroeconomic measures of technology shocks. Negatively exposed firms earn a 4% annual return premium consistent with displacement risk from technological progress.

我研究了允许资本取代劳动力的技术创新对资产定价的影响:自动化。我提出了一种理论，认为拥有可替代劳动力的公司会受到这种技术冲击的负面影响。在模型中，企业最优地采用技术来获得竞争优势，但在均衡竞争中，竞争会侵蚀利润，降低企业价值。实证研究发现，可替代劳动力占比高的企业受到的技术冲击是负向的。根据这一变量排序的多空投资组合模拟了对技术冲击的宏观经济指标。负敞口公司的年回报率溢价为4%，与技术进步带来的替代风险一致。

 

 

 

2.The distributional effects of student loan forgiveness

学生贷款减免的分配效应

Sylvain Catherine, Constantine Yannelis

We study the distributional consequences of student debt forgiveness in present value terms, accounting for differences in repayment behavior across the earnings distribution. Full or partial forgiveness is regressive because high earners took larger loans, but also because, for low earners, balances greatly overstate the benefits of debt cancellation. Consequently, forgiveness would benefit the top decile as much as the bottom three deciles combined. Enrolling households who would benefit from income-driven repayment is less expensive and distributes more funds to lower-income households.

我们研究了学生债务减免的现值分配后果，考虑了不同收入分配的还款行为的差异。全额或部分减免具有累退性，因为高收入者获得了更多的贷款，但也因为对低收入者来说，余额大大夸大了取消债务的好处。因此，宽恕对上十分位的好处和对下三个十分位的好处加起来一样多。将受益于收入驱动还款的家庭纳入其中的成本较低，并将更多的资金分配给低收入家庭。

 

 

 

3.Refusing the best price?

拒绝最优价格?

Sida Li, Mao Ye, Miles Zheng

The Regulation National Market System (Reg NMS) links fragmented stock exchanges by routing orders to the National Best Bid and Offer (NBBO). As the NBBO ignores exchange fees, 62% of routings lead to worse net prices. An increase in fee differences increases the market share captured by orders that refuse Reg NMS routings, particularly for stocks whose fees account for a large portion of transaction costs. Heterogeneous opportunity costs rationalize routing choices: non-routable orders entail lower non-execution costs than routable orders. Our results indicate that fees and clientele segmentation drive the proliferation of order types in the Reg NMS era.

监管国家市场系统(Reg NMS)通过将订单路由到国家最佳出价和报价(NBBO)将分散的证券交易所联系起来。由于NBBO忽略了交易费用，62%的路由导致了更糟糕的净价格。费用差异的增加增加了拒绝Reg NMS路由的订单所占的市场份额，特别是对于费用占交易成本很大一部分的股票来说。异构的机会成本使路由选择合理化:不可路由的订单比可路由的订单产生更低的非执行成本。我们的研究结果表明，在Reg NMS时代，费用和客户细分推动了订单类型的激增。

 

 

 

4.Empirical evaluation of overspecified asset pricing models

过度指定资产定价模型的实证评估

Elena Manresa, Francisco Peñaranda, Enrique Sentana

Empirical asset pricing models with possibly unnecessary risk factors are increasingly common. Unfortunately, they can yield misleading statistical inferences. Unlike previous studies, we estimate the identified set of SDFs and risk prices compatible with a given model’s asset pricing restrictions. We also propose tests that detect problematic situations with economically meaningless SDFs unrelated to the test assets. Empirically, we estimate linear subspaces of SDFs compatible with popular extensions of the traditional and consumption versions of the CAPM, which are typically two-dimensional. Moreover, we often find that all the SDFs in those linear spaces are uncorrelated with the test assets’ returns.

带有可能不必要风险因素的经验资产定价模型越来越普遍。不幸的是，它们可能产生误导性的统计推断。与以前的研究不同，我们估计了与给定模型的资产定价限制相容的已确定的sdf和风险价格集合。我们还建议使用与测试资产无关的经济上无意义的sdf来检测有问题的情况。根据经验，我们估计了与传统CAPM的流行扩展和消费版本兼容的sdf的线性子空间，它们通常是二维的。此外，我们经常发现这些线性空间中的所有sdf都与测试资产的回报不相关。

 

 

 

5.Institutional investors, heterogeneous benchmarks and the comovement of asset prices

机构投资者、异质基准与资产价格的联动

Andrea M. Buffa, Idan Hodor

We study the equilibrium implications of a multi-asset economy in which asset managers performance is tied to different benchmarks, reflecting heterogeneity in their investment mandates. Fluctuations in the capital asset managers invest for benchmarking purposes, scaled by the size of the economy, induce price pressure that results in negative spillovers across assets. We characterize a rich structure of asset price comovement within and across benchmarks by analyzing shock elasticities and cross-elasticities of price-dividend ratios. Evidence on the heterogeneity of mutual fund mandates and the benchmarking-induced return comovement across cap-style and industry-sector portfolios corroborates the model assumptions and predictions.

我们研究了多资产经济的均衡含义，在多资产经济中，资产管理公司的业绩与不同的基准挂钩，反映了他们投资任务的异质性。资本资产管理公司为基准目的而投资的波动，按经济规模计算，会引发价格压力，导致资产之间的负溢出效应。我们通过分析价格股利比率的冲击弹性和交叉弹性，刻画了基准内和基准间资产价格联动的丰富结构。关于共同基金授权的异质性和基准诱导的资本风格和行业部门投资组合的回报联动的证据证实了模型假设和预测。

 

 

 

6.The fundamental-to-market ratio and the value premium decline

基本面对市场比率和价值溢价下降

Andrei S. Gonçalves, Gregory Leonard

Recent evidence indicates the value premium declined over time. We argue this decline happened because book equity, BE, is no longer a good proxy for fundamental equity, FE, defined as the present value of cash flows under a common discount rate across firms. Specifically, we estimate FE for public US firms over time and find that the premium associated with the fundamental-to-market ratio, FE/ME, subsumes the BE/ME premium and has been relatively stable while the cross-sectional correlation between FE/ME and BE/ME decreased over time, inducing an apparent decline in the value premium. We also show that FE/ME captures the value premium better than several alternative value signals beyond BE/ME.

最近的证据表明，价值溢价随着时间的推移而下降。我们认为，之所以出现这种下降，是因为账面股本BE不再是基本股本FE的良好代表，FE的定义是在跨公司的共同贴现率下现金流的现值。具体而言，我们估计了美国上市公司在一段时间内的估值，发现与基本面对市场比率相关的溢价FE/ME包含了BE/ME溢价，并且相对稳定，而FE/ME和BE/ME之间的横截面相关性随着时间的推移而下降，导致价值溢价明显下降。我们还表明，FE/ME比BE/ME以外的其他几种价值信号更好地捕捉了价值溢价。

 

 

7.Dynamic asset (mis)pricing: Build-up versus resolution anomalies

动态资产(错误)定价:积累与解决异常

Jules H. van Binsbergen, Martijn Boons, Christian C. Opp, Andrea Tamoni

We classify asset pricing anomalies into those exacerbating mispricing (build-up anomalies) and those resolving it (resolution anomalies). We estimate the dynamics of price wedges for well-known anomaly portfolios and map them to firm-level mispricings. We find that several prominent anomalies like momentum and profitability further dislocate prices. Multi-factor models designed to eliminate one-month alphas still produce large price wedges. Our estimates yield a novel decomposition of Tobin’s q, revealing that q’s mispricing component has substantial explanatory power for firm investment. Overall, our results suggest that financial intermediaries chasing build-up anomalies negatively affect price efficiency and associated real capital allocation.

我们将资产定价异常分为加剧错误定价(累积异常)和解决错误定价(解析异常)。我们估计了众所周知的异常投资组合的价格楔形动态，并将其映射到公司层面的错误定价。我们发现，一些突出的异常现象，如势头和盈利能力，进一步扰乱了价格。旨在消除一个月alpha的多因素模型仍然产生了巨大的价格楔子。我们的估计得到了一个新的托宾q分解，表明q的错误定价成分对企业投资有很大的解释力。总体而言，我们的研究结果表明，金融中介机构追逐累积异常会对价格效率和相关的实际资本配置产生负向影响。

 

 

 

8.Pirates without borders: The propagation of cyberattacks through firms’ supply chains

无国界海盗:网络攻击通过公司的供应链传播

Matteo Crosignani, Marco Macchiavelli, André F. Silva

This paper examines the supply chain effects of the most damaging cyberattack in history so far. The attack propagated from the directly hit firms to their customers, causing a four-fold amplification of the initial drop in profits. These losses were larger for affected customers with fewer alternative suppliers. Internal liquidity buffers and increased borrowing, mainly through bank credit lines, helped firms navigate the shock. Nonetheless, the cyberattack led to persistent adjustments to the supply chain network, with affected customers terminating trading relations with directly hit firms and forming new ones with alternative suppliers with a stronger cybersecurity posture.

本文研究了迄今为止历史上最具破坏性的网络攻击对供应链的影响。攻击从直接受到打击的公司蔓延到他们的客户，导致最初利润下降的四倍扩大。对于替代供应商较少的受影响客户来说，这些损失更大。内部流动性缓冲和增加借贷(主要通过银行信贷额度)帮助企业应对了冲击。尽管如此，网络攻击导致供应链网络持续调整，受影响的客户终止了与直接受到打击的公司的贸易关系，并与网络安全态势更强的替代供应商建立了新的关系。

 

 

 

9.Open banking: Credit market competition when borrowers own the data

开放银行:当借款人拥有数据时的信贷市场竞争

Zhiguo He, Jing Huang, Jidong Zhou

Open banking facilitates data sharing consented to by customers who generate the data, with the regulatory goal of promoting competition between traditional banks and challenger fintech entrants. We study lending market competition when sharing banks’ customer transaction data enables better borrower screening for fintechs. Open banking promotes competition if it helps level the playing field for all lenders in screening borrowers; however, if it over-empowers fintechs, it can also hinder competition and leave all borrowers worse off. Due to the credit quality inference from borrowers’ sign-up decisions, this remains true even if borrowers have the control of whether to share their banking data. We also study extensions with fintech affinities and data sharing on borrower preferences.

开放银行促进生成数据的客户同意的数据共享，监管目标是促进传统银行和挑战者金融科技进入者之间的竞争。当共享银行的客户交易数据能够更好地筛选金融科技公司的借款人时，我们研究了贷款市场竞争。如果开放银行有助于为所有贷款人在筛选借款人时创造公平的竞争环境，它就会促进竞争;然而，如果它过度授权金融科技公司，它也可能阻碍竞争，让所有借款人变得更糟。由于从借款人的注册决定中得出的信用质量推断，即使借款人可以控制是否共享他们的银行数据，这也是正确的。我们还研究了金融科技亲和力和数据共享对借款人偏好的扩展。