We develop a dynamic asset pricing model of cryptocurrencies/tokens that allow users to conduct peer-to-peer transactions on digital platforms. The equilibrium price of tokens is determined by aggregating heterogeneous users’ transactional demand, rather than discounting cash flows as is done in standard valuations models. Endogenous platform adoption builds on user network externality and exhibits an S-curve: it starts slow, becomes volatile, and eventually tapers off. The introduction of tokens lowers users’ transaction costs on the platform by allowing users to capitalize on platform growth. The resultant intertemporal feedback between user adoption and token price accelerates adoption and dampens user-base volatility.
参考文献：Lin William Cong, Ye Li, Neng Wang, Tokenomics: Dynamic Adoption and Valuation, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1105–1155, https://doi.org/10.1093/rfs/hhaa089
Permissionless blockchains require a protocol to generate consensus. Many prominent permissionless blockchains employ Proof-of-Work (PoW) for that purpose, but PoW possesses significant shortcomings. Various alternatives have been proposed. This paper provides the first formal economic model of the most famous alternative, Proof-of-Stake (PoS), and establishes conditions under which PoS generates consensus. A sufficiently modest reward schedule not only implies the existence of an equilibrium in which consensus obtains as soon as possible but also precludes a persistent forking equilibrium. The latter result arises because PoS, unlike PoW, requires that validators are also stakeholders.
参考文献：Fahad Saleh, Blockchain without Waste: Proof-of-Stake, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1156–1190, https://doi.org/10.1093/rfs/hhaa075
The rise of centralized mining pools for risk sharing does not necessarily undermine the decentralization required for blockchains: because of miners’ cross-pool diversification and pool managers’ endogenous fee setting, larger pools better internalize their externality on global hash rates, charge higher fees, attract disproportionately fewer miners, and grow more slowly. Instead, mining pools as a financial innovation escalate miners’ arms race and significantly increase the energy consumption of proof-of-work-based blockchains. Empirical evidence from Bitcoin mining supports our model’s predictions. The economic insights inform other consensus protocols and the industrial organization of mainstream sectors with similar characteristics but ambiguous prior findings.
参考文献：Lin William Cong, Zhiguo He, Jiasun Li, Decentralized Mining in Centralized Pools, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1191–1235, https://doi.org/10.1093/rfs/hhaa040
We develop a theory of innovation waves, investor sentiment, and merger activity based on Knightian uncertainty. Uncertainty-averse investors are more optimistic on an innovation when they can make contemporaneous investments in multiple uncertain projects. Innovation waves occur when there is a critical mass of innovative companies, and are characterized by stronger investor sentiment, higher equity valuation, and hot initial public offering markets. Our approach to investor sentiment is not based on erroneous beliefs disjoint from economic fundamentals, but depends on uncertainty on the fundamentals. Our model can explain sector-specific booms uncorrelated with aggregate economic activity and the overall stock market.
参考文献：David Dicks, Paolo Fulghieri, Uncertainty, Investor Sentiment, and Innovation, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1236–1279, https://doi.org/10.1093/rfs/hhaa065
5. 创新与知情交易：来自行业ETF的证据
Innovation and Informed Trading: Evidence from Industry ETFs
We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift more among stocks with high industry risk exposure, suggesting that IETFs improve market efficiency. We also find that the short interest ratio of IETFs positively predicts IETF returns, consistent with the hedging role of IETFs.
参考文献：Shiyang Huang, Maureen O’Hara, Zhuo Zhong, Innovation and Informed Trading: Evidence from Industry ETFs, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1280–1316, https://doi.org/10.1093/rfs/hhaa077
6. 境外机构投资者提高价格效率了吗？
Do Foreign Institutional Investors Improve Price Efficiency?
我们利用公司层面的国际数据研究了境外机构投资者对价格效率的影响。我们使用摩根士丹利资本国际指数(MSCI Index)和美国就业与增长税减免协调法案(US Jobs And Growth Tax Desiliation Acciliation Act)的新增数据作为外资持股的外生冲击，发现外资持股增加会增加股价信息，尤其是在发达经济体。这一增长源于外国投资者带来的新信息，以及信息较少的国内散户投资者的转移。最后，我们发现，外资持股，特别是来自活跃投资者的持股，增加了市场流动性，降低了公司的股权成本，并增加了公司的实际投资增长。
We study the impact of foreign institutional investors on price efficiency with firm-level international data. Using additions to the MSCI index and the U.S. Jobs and Growth Tax Relief Reconciliation Act as exogenous shocks to foreign ownership, we show that greater foreign ownership increases stock price informativeness, especially in developed economies. This increase arises from new information that foreign investors bring in and displacement of less-informed domestic retail investors. Finally, we show that foreign ownership, particularly from active investors, increases market liquidity, reduces firms’ cost of equity, and increases firms’ real investment growth.
参考文献：Marcin Kacperczyk, Savitar Sundaresan, Tianyu Wang, Do Foreign Institutional Investors Improve Price Efficiency?, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1317–1367, https://doi.org/10.1093/rfs/hhaa076
picture from Internet
7. 投资者保护与资本脆弱性：来自全球对冲基金的证据
Investor Protection and Capital Fragility: Evidence from Hedge Funds around the World
We find that capital flows to hedge funds in different countries are influenced by the strength and the enforcement of investor protection laws. Hedge funds located in weak investor protection countries exhibit greater sensitivity of investor outflow to poor performance, relative to funds in countries with strong protection. Furthermore, weak investor protection is associated with fund managers engaging in greater returns management. Our findings suggest that in countries with weaker investor protection, poor fund performance exposes investors to a greater risk of fraud and legal jeopardy, thus triggering a larger outflow of capital.
参考文献：George O Aragon, Vikram Nanda, Haibei Zhao, Investor Protection and Capital Fragility: Evidence from Hedge Funds around the World, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1368–1407, https://doi.org/10.1093/rfs/hhaa051
We propose an incentive-based theory of how a savings glut produces financial fragility. Originators must be incentivized to produce high-quality assets. Assets are distributed to informed intermediaries or uninformed investors. A savings glut reduces origination incentives by compressing spreads between the prices paid for high-quality assets by informed intermediaries and prices paid by uninformed investors for generic assets. The narrowing of spreads relaxes intermediaries’ borrowing constraints, resulting in higher leverage. This generates financial fragility: intermediaries are more likely to become insolvent if unforeseen losses arise. Our model offers a coherent narrative of the run-up to the Global Financial Crisis.
参考文献：Patrick Bolton, Tano Santos, Jose A Scheinkman, Savings Gluts and Financial Fragility, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1408–1444, https://doi.org/10.1093/rfs/hhaa074
9. 逐渐缓和的情绪：量化宽松、其后果和新兴市场资本流动
Taper Tantrums: Quantitative Easing, Its Aftermath, and Emerging Market Capital Flows
This paper examines the spillover effects of U.S. unconventional monetary policy (UMP) on emerging market capital flows and asset prices. Affine term structure model estimates show that U.S. monetary policy shocks, identified with high-frequency Treasury futures data, represent revisions to expected short-term yields and term premia, especially during the UMP period. The policy shocks exhibit sizable effects on U.S. holdings of emerging market assets. These effects disproportionately manifest through valuation changes versus physical flows, are more pronounced for equity relative to bond markets, and are asymmetric between the quantitative easing and tapering periods, with flows more important during the unwinding.
参考文献：Anusha Chari, Karlye Dilts Stedman, Christian Lundblad, Taper Tantrums: Quantitative Easing, Its Aftermath, and Emerging Market Capital Flows, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1445–1508, https://doi.org/10.1093/rfs/hhaa044
We construct a new data set tracking the daily value of life insurers’ assets at the security level. Outside of the 2008–2009 crisis, a $ 1 drop in the market value of assets reduces an insurer’s market equity by $ 0.10. During the financial crisis, this pass-through rises to $ 1. We explain this pattern by viewing insurance companies as asset insulators, institutions with stable, long-term liabilities that can ride out transitory dislocations in market prices. Illustrating the macroeconomic importance of insulation, insurers’ market equity declined by $50 billion less than the duration-adjusted value of their securities during the crisis.
参考文献：Gabriel Chodorow-Reich, Andra Ghent, Valentin Haddad, Asset Insulators, The Review of Financial Studies, Volume 34, Issue 3, March 2021, Pages 1509–1539, https://doi.org/10.1093/rfs/hhaa061
Strong regulatory actions are needed to combat climate change, but climate policy uncertainty makes it difficult for investors to quantify the impact of future climate regulation. We show that such uncertainty is priced in the option market. The cost of option protection against downside tail risks is larger for firms with more carbon-intense business models. For carbon-intense firms, the cost of protection against downside tail risk is magnified at times when the public’s attention to climate change spikes, and it decreased after the election of climate change skeptic President Trump.
