金融学权威期刊The Journal of Finance 2023年第1期

The Journal of Finance 2023年第1期

Volume 78: Issue 1 (February 2023)

 

 

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1.Optimal Financial Transaction Taxes

最优金融交易税

EDUARDO DÁVILA

This paper characterizes the optimal transaction tax in an equilibrium model of financial markets. If investors hold heterogeneous beliefs unrelated to their fundamental trading motives and the planner calculates welfare using any single belief, a positive tax is optimal, regardless of the magnitude of fundamental trading. Under some conditions, the optimal tax is independent of the planner's belief. The optimal tax can be implemented by adjusting its value until total volume equals fundamental volume. Knowledge of (i) the share of nonfundamental trading volume and (ii) the semielasticity of trading volume to tax changes is sufficient to quantify the optimal tax.

本文刻画了金融市场均衡模型下的最优交易税。如果投资者持有与其基本交易动机无关的异质信念，而规划师使用任何单一信念计算福利，那么正税收是最优的，无论基本交易的规模如何。在一定条件下，最优税收与规划者的信念无关。最优税收可以通过调整其价值，直到总量等于基本总量来实现。了解(i)非基本面交易量的份额和(ii)交易量对税收变化的半弹性足以量化最优税收。

 

 

2.Less Mainstream Credit, More Payday Borrowing? Evidence from Debt Collection Restrictions

减少主流信贷，增加发薪日借贷?债务催收限制的证据

JULIA FONSECA

Governments regulate debt collectors to protect consumers from predatory practices. These restrictions may lower repayment, reducing the supply of mainstream credit and increasing demand for alternative credit. Using individual credit record data and a difference‐in‐differences design comparing consumers in states that tighten restrictions on debt collection to those in neighboring states that do not, I find that restricting collections reduces access to mainstream credit and increases payday borrowing. These findings provide new evidence of substitution between alternative and mainstream credit and point to a trade‐off between shielding consumers from certain collection practices and pushing them into higher cost payday lending markets.

政府对收债人进行监管，以保护消费者免受掠夺性行为的影响。这些限制可能会降低还款，减少主流信贷的供应，增加对替代信贷的需求。通过使用个人信用记录数据和差别化设计，将收紧债务催收限制的州的消费者与不收紧债务催收限制的邻近州的消费者进行比较，我发现，限制催收限制减少了获得主流信贷的机会，增加了发薪日借款。这些发现为替代性信贷和主流信贷之间的替代提供了新的证据，并指出了保护消费者免受某些催收做法的影响和推动他们进入成本更高的发薪日贷款市场之间的权衡。

 

 

3.Disruption and Credit Markets

混乱和信贷市场

BO BECKER, VICTORIA IVASHINA

We show that over the past half‐century, innovative disruptions were central to understanding corporate defaults. In a given year, industries experiencing abnormally high venture capital or initial public offering activity subsequently see higher default rates, higher segment exits by conglomerates, and higher yields on bonds issued by the firms in these industries. Overall, we find that disruption is a broad phenomenon, negatively affecting incumbent firms across the spectrum of age, valuation, and levers, with the exception of very large and low‐leverage firms, in line with our central hypothesis.

我们表明，在过去的半个世纪中，创新干扰是理解企业违约的核心。在特定的一年里，经历了异常高的风险资本或首次公开发行活动的行业随后出现了更高的违约率，企业集团的分部退出率更高，以及这些行业的公司发行的债券的收益率更高。总体而言，我们发现颠覆是一个广泛的现象，对年龄、估值和杠杆水平的在位公司产生了负面影响，但非常大和低杠杆水平的公司除外，这与我们的中心假设一致。

 

 

4.How Risky Are U.S. Corporate Assets?

美国公司资产的风险有多大?

TETIANA DAVYDIUK, SCOTT RICHARD, IVAN SHALIASTOVICH, AMIR YARON

We use market data on corporate bonds and equities to measure the value of U.S. corporate assets and their payouts to investors. In contrast to equity dividends, total corporate payouts are highly volatile, turn negative when corporations raise capital, and are acyclical. At the same time, corporate asset returns are similar to returns on equity, and both are exposed to fluctuations in economic growth. To reconcile this evidence, we argue that acyclical but volatile net repurchases mask the exposure of total payouts' cash components to economic growth risks. We develop an asset pricing framework to quantitatively illustrate this economic channel.

我们使用公司债券和股票的市场数据来衡量美国公司资产的价值及其对投资者的支付。与股票股息相比，公司的总派息高度波动，在公司筹集资本时变为负值，而且是非周期性的。同时，企业资产收益率与净资产收益率相似，两者都受到经济增长波动的影响。为了调和这一证据，我们认为，无周期性但波动的净回购掩盖了总支付的现金组成部分对经济增长风险的敞口。我们开发了一个资产定价框架来定量说明这一经济渠道。

 

 

5.International Yield Curves and Currency Puzzles

国际收益率曲线和货币难题

MIKHAIL CHERNOV, DREW CREAL

The currency depreciation rate is often computed as the ratio of foreign to domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. This happens because of the FX bond disconnect, the inability of bonds to span exchange rates. Incorporating innovations to the pricing kernel that affect exchange rates but not bonds helps resolve the puzzles. This approach also allows one to relate news about cross‐country differences between international yields to news about currency risk premiums.

货币贬值率通常以国外定价内核与国内定价内核的比率来计算。单独使用债券价格来估计这些核心会导致货币难题:模型无法匹配未揭示的利率平价的违反和汇率的波动。这是因为外汇债券脱节，即债券无法跨越汇率。将影响汇率但不影响债券的创新纳入定价核心，有助于解决这些难题。这种方法还允许人们将国际收益率的跨国差异与货币风险溢价的消息联系起来。

 

 

6.Decentralization through Tokenization

通过标记化去中心化

MICHAEL SOCKIN, WEI XIONG

We examine decentralization of digital platforms through tokenization as an innovation to resolve the conflict between platforms and users. By delegating control to users, tokenization through utility tokens acts as a commitment device that prevents a platform from exploiting users. This commitment comes at the cost of not having an owner with an equity stake who, in conventional platforms, would subsidize participation to maximize the platform's network effect. This trade‐off makes utility tokens a more appealing funding scheme than equity for platforms with weak fundamentals. The conflict reappears when nonusers, such as token investors and validators, participate on the platform.

我们通过标记化来研究数字平台的去中心化，作为一种解决平台与用户之间冲突的创新。通过将控制权委托给用户，通过实用令牌的令牌化充当了一种承诺设备，防止平台利用用户。这种承诺的代价是，在传统平台上，没有一个拥有股权的所有者会补贴参与，以最大限度地发挥平台的网络效应。对于基本面较弱的平台来说，这种交易使公用事业代币成为比股票更有吸引力的融资计划。当代币投资者和验证者等非用户参与该平台时，冲突会再次出现。

 

 

7.Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price

流动性需求和一价定律的偏离

TODD M. HAZELKORN, TOBIAS J. MOSKOWITZ, KAUSHIK VASUDEVAN

Deviations from the law of one price between futures and spot prices—the futures‐cash basis—capture information about liquidity demand for equity market exposure in global markets. We show that the basis comoves with dealer and investor futures positions, is contemporaneously positively correlated with futures and spot market returns, and negatively predicts futures and spot returns. These findings are consistent with the futures‐cash basis reflecting liquidity demand that is common to futures and cash equity markets. We find persistent supply‐demand imbalances for equity index exposure reflected in the basis, giving rise to an annual premium of 5% to 6%.

期货和现货价格之间偏离一价定律(期货-现金基)的情况捕捉了全球市场中股票市场敞口的流动性需求信息。我们发现，该基与交易商和投资者期货头寸一致，与期货和现货市场收益同时正相关，并负向预测期货和现货市场收益。这些发现与期货-现金基差一致，反映了期货和现金股票市场普遍存在的流动性需求。我们发现，股票指数投资的持续供需失衡反映在基准上，导致每年5%至6%的溢价。

 

 

8.Principal Portfolios

主要投资组合

BRYAN KELLY, SEMYON MALAMUD, LASSE HEJE PEDERSEN

We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own‐signal predictability, assuming equal strength across securities, our framework includes cross‐predictability—leading to three main results. First, we derive the optimal strategy in closed form. It consists of eigenvectors of a “prediction matrix,” which we call “principal portfolios.” Second, we decompose the problem into alpha and beta, yielding optimal strategies with, respectively, zero and positive factor exposure. Third, we provide a new test of asset pricing models. Empirically, principal portfolios deliver significant out‐of‐sample alphas to standard factors in several data sets.

我们提出了一个新的资产定价框架，其中所有证券的信号预测每个个体的收益。虽然文献关注证券自身信号的可预测性，假设各证券的强度相等，但我们的框架包括交叉可预测性，从而导致三个主要结果。首先，我们以封闭形式推导出最优策略。它由“预测矩阵”的特征向量组成，我们称之为“主要投资组合”。其次，我们将问题分解为α和β，分别给出零和积极因素暴露的最佳策略。第三，我们对资产定价模型进行了新的测试。根据经验，在几个数据集中，主要投资组合对标准因子提供了显著的样本外阿尔法。

 

 

9.Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market

小企业股权回报:来自商业信用卡证券化市场的经验证据

MATTHIAS FLECKENSTEIN, FRANCIS A. LONGSTAFF

We present a new approach for estimating small business equity returns. This approach applies the Merton (1974) credit model to the returns on entrepreneurial business credit card debt securitizations and solves for the implied equity returns for the small businesses owned by the cardholders. The estimated small business equity premium is 10.74%. The standard deviation of small business equity returns is 56.37%. We validate the methodology by applying it to investment‐grade corporate bonds and recovering a public equity premium of 6.17%.

我们提出了一种估计小企业股权回报的新方法。该方法将Merton(1974)信用模型应用于创业型企业信用卡债务证券化的回报，并求解持卡人拥有的小型企业的隐含股权回报。小企业股权溢价估计为10.74%。小企业股权回报率的标准差为56.37%。我们通过将该方法应用于投资级公司债券并获得6.17%的公开股权溢价来验证该方法。

 

 

10.Beliefs Aggregation and Return Predictability

信念聚合和回报可预测性

ALBERT S. KYLE, ANNA A. OBIZHAEVA, YAJUN WANG

We study return predictability using a model of speculative trading among competitive traders who agree to disagree about the precision of private information. Although traders apply Bayes' Law consistently, returns are predictable. In addition to trading on long‐term fundamental value, traders also trade on perceived short‐term opportunities arising from foreseen future disagreement, as in a Keynesian beauty contest. Contradicting conventional wisdom, this short‐term speculation dampens price fluctuations and generates time‐series momentum. Model calibration shows quantitatively realistic patterns of return dynamics. Consistent with empirical evidence, our model predicts more pronounced momentum for stocks with higher trading volume.

我们使用竞争性交易者之间的投机交易模型来研究回报的可预测性，这些交易者同意对私人信息的准确性持不同意见。尽管交易者始终应用贝叶斯定律，但回报是可预测的。除了基于长期基本价值进行交易外，交易员还会根据可预见的未来分歧所产生的短期机会进行交易，就像凯恩斯主义的选美比赛一样。与传统观点相反，这种短期投机行为抑制了价格波动，并产生了时间序列动力。模型校准在定量上显示了回归动态的真实模式。与经验证据一致，我们的模型预测交易量越大的股票增长势头越明显。

 

 

11.Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

因子簇的贝叶斯解决方案:我们刚刚运行了2千万亿个模型

SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD

We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high‐dimensional problems. For a (potentially misspecified) stand‐alone model, it provides reliable price of risk estimates for both tradable and nontradable factors, and detects those weakly identified. For competing factors and (possibly nonnested) models, the method automatically selects the best specification—if a dominant one exists—or provides a Bayesian model averaging–stochastic discount factor (BMA‐SDF), if there is no clear winner. We analyze 2.25 quadrillion models generated by a large set of factors and find that the BMA‐SDF outperforms existing models in‐ and out‐of‐sample.

我们提出了一个分析线性资产定价模型的新框架:简单，稳健，适用于高维问题。对于一个(可能被错误指定的)独立模型，它为可交易的和不可交易的因素提供了可靠的风险估计价格，并检测出那些识别较弱的因素。对于竞争因素和(可能是非嵌套的)模型，该方法自动选择最佳规格(如果存在主导规格)或提供贝叶斯模型平均-随机折扣因子(BMA‐SDF)，如果没有明确的赢家。我们分析了由大量因素生成的2.25千万亿模型，发现BMA‐SDF优于现有的样本内和样本外模型。