《管理世界》2020年优秀论文名单
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会计学术研究应从“统计显著性崇拜”中走出
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雷光勇教授团队论文，在国际一流管理学期刊JBE发表！
二十年国家自科基金立项名单下载， 财会审金融领域！
第四届审计与会计研究训练营征文-5月1日截稿
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2021 Financial Markets and Corporate Governance Conference
The
Journal of Finance
publishes leading research across all the major fields of financial research. It is the most widely cited academic journal on finance. Each issue of the journal reaches over 8,000 academics, finance professionals, libraries, government and financial institutions around the world. Published six times a year, the journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
Together with
the
Journal of Financial Economics
and the
Review of Financial Studies
,
it is considered to be among the top
three finance journals
.
-
The Limits of Limited Liability: Evidence from Industrial Pollution
-
Do Household Wealth Shocks Affect Productivity? Evidence from Innovative Workers During the Great Recession
-
Mortgage Design in an Equilibrium Model of the Housing Market
-
The Capitalization of Consumer Financing into Durable Goods Prices
-
Inalienable Customer Capital, Corporate Liquidity, and Stock Returns
-
A Dynamic Model of Optimal Creditor Dispersion
-
A Unified Model of Firm Dynamics with Limited Commitment and Assortative Matching
-
Information Consumption and Asset Pricing
-
Learning From Disagreement in the U.S. Treasury Bond Market
-
Information Inertia
1.The Limits of Limited Liability: Evidence from Industrial Pollution
Pat Akey (University of Toronto)
Ian Appel (Boston College)
Abstract
:We
study how parent liability for subsidiaries' environmental cleanup
costs affects industrial pollution and production. Our empirical setting
exploits a Supreme Court decision that strengthened parent limited
liability protection for some subsidiaries. Using a
difference‐in‐differences framework, we find that stronger liability
protection for parents leads to a 5% to 9% increase in toxic emissions
by subsidiaries. Evidence suggests the increase in pollution is driven
by lower investment in abatement technologies rather than increased
production. Cross‐sectional tests suggest convexities associated with
insolvency and executive compensation drive heterogeneous effects.
Overall, our findings highlight the moral hazard problem associated with
limited liability.
2.Do Household Wealth Shocks Affect Productivity? Evidence from Innovative Workers During the Great Recession
Shai Bernstein (Harvard University and NBER)
Timothy McQuade (Stanford University)
Richard Townsend (UC San Diego and NBER)
Abstract
:We
investigate how the deterioration of household balance sheets affects
worker productivity, and in turn economic downturns. Specifically, we
compare the output of innovative workers who experienced differential
declines in housing wealth during the financial crisis but were employed
at the same firm and lived in the same metropolitan area. We find that,
following a negative wealth shock, innovative workers become less
productive and generate lower economic value for their firms. The
reduction in innovative output is not driven by workers switching to
less innovative firms or positions. These effects are more pronounced
among workers at greater risk of financial distress.
3.Mortgage Design in an Equilibrium Model of the Housing Market
Adam Guren (Boston University and NBER)
Arvind Krishnamurthy (Stanford Graduate School of Business and NBER)
Timothy McQuade (Stanford Graduate School of Business)
Abstract
:How
can mortgages be redesigned to reduce macrovolatility and default? We
address this question using a quantitative equilibrium life‐cycle model.
Designs with countercyclical payments outperform fixed payments. Among
those, designs that front‐load payment reductions in recessions
outperform those that spread relief over the full term. Front‐loading
alleviates liquidity constraints when they bind most, reducing default
and stimulating housing demand. To illustrate, a fixed‐rate mortgage
(FRM) with an option to convert to adjustable‐rate mortgage, which
front‐loads payment reductions relative to an FRM with an option to
refinance underwater, reduces price and consumption declines six times
as much and default three times as much.
4.The Capitalization of Consumer Financing into Durable Goods Prices
Bronson Argyle (Brigham Young University)
Taylor Nadauld (Brigham Young University)
Christopher Palmer (MIT and NBER)
Ryan Pratt (Brigham Young University)
Abstract
:Using
loan‐level data on millions of used‐car transactions across hundreds of
lenders, we study the consumer response to exogenous variation in
credit terms. Borrowers offered shorter maturity decrease expenditures
enough to offset 60% to 90% of the monthly payment increase. Most of
this is driven by shifting toward lower‐quality cars, but affected
borrowers offset 20% to 30% of a monthly payment shock by negotiating
lower prices for equivalent cars. Our results suggest that durable goods
prices adjust to reflect credit terms even at the individual level,
with one year of additional loan maturity increasing a car's price by
2.8%.
5.Inalienable Customer Capital, Corporate Liquidity, and Stock Returns
Winston Dou (University of Pennsylvania)
Yan Ji (Hong Kong University of Science and Technology)
David Reibstein (University of Pennsylvania)
Wei Wu (Texas A&M University)
Abstract
:We
develop a model in which customer capital depends on key talents'
contribution and pure brand recognition. Customer capital guarantees
stable demand but is fragile to financial constraints risk if retained
mainly by talents, who tend to quit financially constrained firms,
damaging customer capital. Using a proprietary, granular
brand‐perception survey, we construct a firm‐level measure of the
inalienability of customer capital (ICC) that captures the degree to
which customer capital depends on talents. Firms with higher ICC have
higher average returns, higher talent turnover, and more precautionary
financial policies. The ICC‐sorted long‐short portfolio's spread comoves
with financial constraints factor.
6.A Dynamic Model of Optimal Creditor Dispersion
Hongda Zhong (the London School of Economics and Political Science)
Abstract
:Borrowing
from multiple creditors exposes firms to rollover risk due to
coordination problems among creditors, but it also improves firms'
repayment incentives, thereby increasing pledgeability. Based on this
trade‐off, I develop a dynamic debt rollover model to analyze the
evolution of creditor dispersion. Consistent with empirical evidence, I
find that firms optimally increase creditor dispersion after poor
performance. In contrast, cross‐sectionally higher‐growth firms can
support more dispersed creditors. Frequent debt renegotiation limits
firms' ability to increase pledgeability by having more creditors.
Finally, holding a cash balance while borrowing from multiple creditors
improves firms' repayment incentives uniformly across all future states.
7.A Unified Model of Firm Dynamics with Limited Commitment and Assortative Matching
Hengjie Ai (University of Minnesota)
Dana Kiku (University of Illinois at Urbana‐Champaign)
Rui Li (University of Massachusetts Boston)
Jincheng Tong (University of Toronto)
Abstract
:We
develop a unified theory of dynamic contracting and assortative
matching to explain firm dynamics. In our model, neither firms nor
managers can commit to arrangements that yield lower payoffs than their
outside options, which are microfounded by the equilibrium conditions in
a matching market. The model endogenously generates power laws in firm
size and CEO compensation, and explains differences in their right
tails. We also show that our model quantitatively accounts for many
salient features of the time‐series dynamics and the cross‐sectional
distribution of firm investment, dividend payout, and CEO compensation.
8.Information Consumption and Asset Pricing
Azi Ben‐Rephael (Rutgers Business School)
Bruce Carlin (Rice University)
Zhi Da (University of Notre Dame)
Ryan Israelsen (Michigan State University)
Abstract
:We
study whether firm and macroeconomic announcements that convey
systematic information generate a return premium for firms that
experience information spillovers. We use information consumption to
proxy for investor learning during these announcements and construct ex
ante measures of expected information consumption (EIC) to calibrate
whether learning is priced. On days when there are information
spillovers, affected stocks earn a significant return premium (5%
annualized) and the capital asset pricing model performs better. The
positive effect of the Federal Reserve Open Market Committee
announcements on the risk premia of individual stocks appears to be
modulated by EIC. Our findings are most consistent with a risk‐based
explanation.
9.Learning From Disagreement in the U.S. Treasury Bond Market
Marco Giacoletti (University of Southern California)
Kenneth Singleton (Stanford University and NBER)
Abstract
:We
study risk premiums in the U.S. Treasury bond market from the
perspective of a Bayesian econometrician ℬℒ who learns in real time
from disagreement among investors about future bond yields. Notably,
disagreement has substantial predictive power for yields, and ℬℒ 's
risk premiums are less volatile than those in the analogous model
without learning. ℬℒ 's forecasts are substantially more accurate than
the consensus forecasts of market professionals, particularly following
U.S. recessions. The predictive power of disagreement is distinct from
the (much weaker) one of inflation and output growth. Rather, it appears
to reflect uncertainty about future fiscal policy.
Philipp
Illeditsch (Texas A&M University)
Jayant Ganguli (University of Essex)
Scott Condie (Brigham Young University)
Abstract
:We
show that aversion to risk and ambiguity leads to information inertia
when investors process public news about assets. Optimal portfolios do
not always depend on news that is worse than expected; hence, the
equilibrium stock price does not reflect this bad news. This
informational inefficiency is more severe when there is more risk and
ambiguity but disappears when investors are risk‐neutral or the news is
about idiosyncratic risk. Information inertia leads to news momentum
(e.g., after earnings announcements) and is consistent with low
household trading activity. An ambiguity premium helps explain the macro
and earnings announcement premium.
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