picture from Internet
解析作者 | 唧唧堂经济金融学写作小组：
REBECCA
1. 初始代币发行：通过加密货币代币销售为增长提供融资
与首次公开募股，风险投资和预售众筹相似，首次代币发行（ICO）已经成为一种新的企业融资机制。本文通过1500个ICO总样本（总筹资129亿美元），研究了哪些发行人和ICO特征可以预测成功的实际结果（增加发行人的就业人数并避免企业失败）。结果表明，成功与公开、可信的项目承诺和质量信号有关。并通过工具变量分析发现，ICO代币交换上市会带来更高的未来就业机会，说明代币流动性的获取对企业具有重要的现实影响。
Initial coin offerings (ICOs) have emerged as a new mechanism for entrepreneurial finance, with parallels to initial public offerings, venture capital, and presale crowdfunding. In a sample of more than 1,500 ICOs that collectively raise $12.9 billion, we examine which issuer and ICO characteristics predict successful real outcomes (increasing issuer employment and avoiding enterprise failure). Success is associated with disclosure, credible commitment to the project, and quality signals. An instrumental variables analysis finds that ICO token exchange listing causes higher future employment, indicating that access to token liquidity has important real consequences for the enterprise.
参考文献：Sabrina T Howell, Marina Niessner, David Yermack, Initial Coin Offerings: Financing Growth with Cryptocurrency Token Sales, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 3925–3974, https://doi.org/10.1093/rfs/hhz131
2. 证券众筹的融资效率
本文分析了分散的、内源性消息灵通的投资者的早期风险融资。企业家选择收益最大化的产品，而投资者则通过出资或弃权来传达其信息。企业家利用筹资金额所传达的信息来决定是否进行风险投资，其“决定门槛”保护了投资者免受不良项目的影响，创造了一种“失败者的祝福”，鼓励投资者在没有信息的情况下做出贡献。对投资者的吸引力降低提供减轻了失败者的祝福但可以产生一个赢家的诅咒。这两种紧张关系都会降低融资效率。
We analyze early-venture fundraising from dispersed, endogenously informed investors. An entrepreneur chooses a payoff-maximizing offering, and investors communicate their information by either contributing capital or abstaining. The entrepreneur uses the information conveyed by fundraising amounts to decide whether or not to undertake a risky venture. His decision threshold hedges investors against bad projects, creating a “loser’s blessing” that encourages contributing without information. Making the offering less attractive to investors mitigates the loser’s blessing but can give rise to a winner’s curse. Both tensions reduce financing efficiency.
参考文献：David C Brown, Shaun William Davies, Financing Efficiency of Securities-Based Crowdfunding, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 3975–4023, https://doi.org/10.1093/rfs/hhaa025
3. 当投资者激励和消费者利益出现分歧时:高等教育领域的私募股权
本文研究了私募股权收购如何在高等教育中创造价值，高等教育是一个产品质量不透明且政府补贴很高的行业。通过994所学校的88笔私募股权交易的新数据，作者研究发现，收购导致学费变高、学生债务增加。另外，利用提高贷款限额的方法，发现私立学校能更好地获得政府援助。在收购之后，教育投入、毕业率、贷款还款率和毕业生的收入均变低，学校选择和学生人数的变化都不能完全解释这个结果。以上结果显示，在受补贴的产业中，价值最大化可能不会改善消费者产出。
We study how private equity buyouts create value in higher education, a sector with opaque product quality and intense government subsidy. With novel data on 88 private equity deals involving 994 schools, we show that buyouts lead to higher tuition and per-student debt. Exploiting loan limit increases, we find that private equity-owned schools better capture government aid. After buyouts, we observe lower education inputs, graduation rates, loan repayment rates, and earnings among graduates. Neither school selection nor student body changes fully explain the results. The results indicate that in a subsidized industry, maximizing value may not improve consumer outcomes.
参考文献：Charlie Eaton, Sabrina T Howell, Constantine Yannelis, When Investor Incentives and Consumer Interests Diverge: Private Equity in Higher Education, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4024–4060, https://doi.org/10.1093/rfs/hhz129
picture from Internet
4. 工作中的破坏性创造:财务困境如何激发创业精神
利用美国人口普查公司员工数据，本文证明了公司的财务困境对员工离开公司创业有重要的经济影响。在高科技和服务行业中，雇员是关键资产，这种影响会被放大。在具有可强制执行的非竞争合同的州，这种影响会减轻。与典型的企业家相比，困境驱动型企业家是高薪员工，他们从工作、薪水和生存等方面衡量，找到了更好的公司。在受约束的现有企业中，初创公司可以弥补33％的工作损失。总体而言，现有企业的财务能力不足以寻求生产机会，这增加了经济活动向新企业的重新分配。
Using U.S. Census firm-worker data, I document that firms’ financial distress has an economically important effect on employee departures to entrepreneurship. The impact is amplified in the high-tech and service sectors, where employees are key assets. In states with enforceable noncompete contracts, the effect is mitigated. Compared to typical entrepreneurs, distress-driven entrepreneurs are high-wage workers who found better firms, as measured by jobs, pay, and survival. Startup jobs compensate for 33% of job losses at the constrained incumbents. Overall, the financial inability of incumbent firms to pursue productive opportunities increases the reallocation of economic activity into new firms.
参考文献：Tania Babina, Destructive Creation at Work: How Financial Distress Spurs Entrepreneurship, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4061–4101, https://doi.org/10.1093/rfs/hhz110
5. 企业为什么要持有现金?人口需求转变的证据
本文利用人口统计数据引起的需求变化来提供现金持有的预防性动机的因果证据。研究表明，企业为应对投资机会的外源性增长而大幅提高了现金水平。本文还提供了现金积累和动态使用的新证据：受财务约束的公司利用内部资源建立现金储备，此类公司更早开始存钱，并能长时间保持高现金水平；不受约束的公司依赖外部融资来投资和建立现金储备，这意味着此类公司需要节省资金，并降低持有成本。
We exploit variation in demand induced by demographics to provide causal evidence of the precautionary motive of cash holdings. We show that firms significantly increase their cash levels in response to exogenous increases in investment opportunities. We also provide novel evidence of the dynamics of accumulation and use of cash. Financially constrained firms build their cash reserves using internal sources. Consequently, they start saving earlier and keep high cash levels longer. Unconstrained firms rely on external financing to both invest and build cash reserves, requiring them to save less and allowing them to incur lower costs of carry.
参考文献：Igor Cunha, Joshua Pollet, Why Do Firms Hold Cash? Evidence from Demographic Demand Shifts, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4102–4138, https://doi.org/10.1093/rfs/hhz124
6. 股息支付和展期危机
本文主要研究当银行面临以协调为基础的展期危机时的股利支付。作者在模型中假设银行可以利用红利来转移风险，也可以向短期放贷者发出可用流动性信号，从而影响放贷者的行为。在均衡状态下，以上渠道都会诱使银行支付比未发生展期危机时更高的股息。在模型中，银行通过放贷者的推理和行为对其他银行施加信息外部性，为了修正这种外部性并促进金融稳定，模型中设定最优股息监管，比如设定有约束的股息上限。最后，作者还讨论了该理论的可验证性。
We study dividend payouts when banks face coordination-based rollover crises. Banks in the model can use dividends to both risk shift and signal their available liquidity to short-term lenders, thus, influencing the lenders’ actions. In the unique equilibrium both channels induce banks to pay higher dividends than in the absence of a rollover crisis. In our model banks exert an informational externality on other banks via the inferences and actions of lenders. Optimal dividend regulation that corrects this externality and promote financial stability includes a binding cap on dividends. We also discuss testable implications of our theory.
参考文献：Ragnar E Juelsrud, Plamen T Nenov, Dividend Payouts and Rollover Crises, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4139–4185, https://doi.org/10.1093/rfs/hhz130
picture from internet
7. 逆周期银行股票发行
在1980年至2012年期间，美国大型商业银行在信贷扩张期间筹集和保留的股本较少，这放大了它们的杠杆率。相对于随后的银行亏损，股票发行的减少很大。作者考虑了银行为何拒绝增发股权的各种解释后，找到了与政府担保导致的债权人市场纪律减弱相一致的证据。作者通过对德国地方银行债权人取消政府担保的分析来检验这一解释，并发现债权人市场纪律和股权发行增加。这些发现有助于解释为什么银行拒绝筹集股本，从而更有可能陷入财务困境。
Over the period 1980–2012, large U.S. commercial banks raise and retain less equity during credit expansions, which amplifies their leverage. The decrease in equity issuance is large relative to subsequent banking losses. I consider a variety of explanations for why banks resist raising equity and find evidence consistent with the diminishment of creditor market discipline due to government guarantees. I test this explanation by analyzing the removal of government guarantees to German Landesbank creditors and find that creditor market discipline and equity issuance increase. These findings help explain why banks resist raising equity, making financial distress more likely.
参考文献：Matthew Baron, Countercyclical Bank Equity Issuance, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4186–4230, https://doi.org/10.1093/rfs/hhaa008
8. 对大型金融机构来说，股票很便宜
在很多国家，前10%的金融股平均占一个国家市值的20%以上，但平均回报率明显低于同等规模和风险敞口的非金融公司。在一个包含政府救助扩大和罕见灾害的资产定价模型中，大型和小型机构之间经风险调整后的收益差距取决于国家特征，而国家特征决定了纾困的可能性。另外作者发现，与这种模式相一致的是，在金融部门庞大且相互关联、资本监管和公司治理较弱、政府财政实力较强的国家，息差更大，预期金融危机会加剧估值缺口。
Across a wide panel of countries, the top-10% of financial stocks on average account for over 20% of a country’s market capitalization but earn on average significantly lower returns than do nonfinancial firms of the same size and risk exposures. In a bailout-augmented, rare disasters asset pricing model, the spread in risk-adjusted returns between large and small institutions depends on country characteristics that determine the likelihood of bailouts. Consistent with this model, we find larger spreads in countries with large and interconnected financial sectors, weaker capital regulation and corporate governance, and fiscally stronger governments. Valuation gaps increase in anticipation of financial crises.
参考文献：Priyank Gandhi, Hanno Lustig, Alberto Plazzi, Equity Is Cheap for Large Financial Institutions, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4231–4271, https://doi.org/10.1093/rfs/hhaa001
9. 资产价格泡沫和系统性风险
本文使用涵盖近30年的银行级数据，分析资产价格泡沫与系统性风险之间的关系。在泡沫形成期间，银行的系统性风险已经上升，甚至在泡沫破裂期间加剧。各个银行和泡沫之间，风险的增加差异很大。这种差异取决于银行的特征（尤其是银行的规模）和泡沫特征，并且可能变得非常大：在房地产泡沫破裂的中位数中，系统性风险对特征不利的银行增加了近70％。这些结果强调了银行层面因素在泡沫时期金融脆弱性积累中的重要性。
We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost 30 years. Banks’ systemic risk already rises during a bubble’s buildup and even more so during its bust. The increase in risk strongly differs across banks and by bubble. It depends on bank characteristics (especially bank size) and bubble characteristics and can become very large: in a median real estate bust, systemic risk increases by almost 70% of the median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors in the buildup of financial fragility during bubble episodes.
参考文献: Markus Brunnermeier, Simon Rother, Isabel Schnabel, Asset Price Bubbles and Systemic Risk, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4272–4317, https://doi.org/10.1093/rfs/hhaa011
picture from internet
10. 股票横截面中的Beta风险
本文开发了一个连续时间条件资本资产定价模型，该模型允许出现随机Beta风险敞口。当贝塔系数与市场方差和随机折现因子(SDF)相结合时，贝塔风险会被定价，股票的预期收益偏离证券市场线。该模型预测，低贝塔系数股票获得高回报，因为它们的贝塔系数与市场方差和SDF呈正相关。高贝塔值股票则相反。根据股票和期权数据估计模型，作者发现贝塔风险解释了低贝塔和高贝塔股票的预期回报，从而解决了“做空贝塔”的异常现象。
We develop a conditional capital asset pricing model in continuous time that allows for stochastic beta exposure. When beta comoves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The model predicts that low-beta stocks earn high returns, because their beta positively comoves with market variance and the SDF. The opposite is true for high-beta stocks. Estimating the model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving the “betting against beta” anomaly.
参考文献：Ali Boloorforoosh, Peter Christoffersen, Mathieu Fournier, Christian Gouriéroux, Beta Risk in the Cross-Section of Equities, The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4318–4366, https://doi.org/10.1093/rfs/hhz139
11. 金融约束、货币政策冲击和股票回报率横截面
本文分析了未预期的货币政策变化对美国股票回报率横截面的影响。与没有财务约束的公司相比，在利率突然上升(下降)后，受财务约束的公司获得的回报明显更低(更高)。约束公司和不受约束公司之间的这种不同的回报响应是在延迟3到4天后出现的。此外，与未受约束的公司相比，受约束的公司在未受约束的情况下，未预期的联邦基金利率上调与预期现金流消息的较大下降相关，但不与贴现率消息相关。
