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解析文章首发于唧唧堂网站www.jijitang.com
解析作者 | 唧唧堂经济金融写作小组：
EUPHONY
；审校编辑 |
悠悠
1. 大型机构订单时点附近的高频交易
流动性提供方在使用逆风策略交易。我们分析高频交易者是否在通过一系列子订单来逆着大型机构投资者的订单进行交易。其他的方式是高频交易者顺风交易，就是和大型机构投资者的订单交易方向相同。我们发现高频交易者一开始逆着这些订单交易，但是最终改变方向，和掌握最多信息的机构订单采取同方向的策略。我们的实证发现和投资者利用他们的已有信息策略性交易方向一致。当考虑交易密度时，他们看起来在平衡更高的投机性利润和被高频交易者检测和捕食的风险。
Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading with the wind, that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take positions in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategically on their information. When deciding trade intensity, they seem to trade off higher speculative profits against higher risk of being detected and preyed on by HFTs.
参考文献：VINCENT VAN KERVEL ALBERT J. MENKVELD （14 February 2019）.High‐Frequency Trading around Large Institutional Orders. Journal of Finance June 2019.
2. 流动性风险和套利资本的动力学
我们开发出一个连续时间流动性提供的模型，在这个模型里套期保值者可以和套利者交易多种风险资产。套利者有恒定相对风险规避（CRRA）效用，而套期保值者的资产需求是和财富相独立的。套期保值者的风险规避增加，会内生性地使得套利者更加风险规避。因为套利者生成内生性风险，他们财富的增加或者他们CRRA系数的减少会增加风险溢价，即使夏普率在下降。套利者财富是一个标了价的风险因子，因为套利者持有的资产提供了高期望回报，然而当财富下降时却损失最多。加总的流动性不足，当财富下降时，捕获了这个因子。
We develop a continuous‐time model of liquidity provision in which hedgers can trade multiple risky assets with arbitrageurs. Arbitrageurs have constant relative risk‐aversion (CRRA) utility, while hedgers' asset demand is independent of wealth. An increase in hedgers' risk aversion can make arbitrageurs endogenously more risk‐averse. Because arbitrageurs generate endogenous risk, an increase in their wealth or a reduction in their CRRA coefficient can raise risk premia despite Sharpe ratios declining. Arbitrageur wealth is a priced risk factor because assets held by arbitrageurs offer high expected returns but suffer the most when wealth drops. Aggregate illiquidity, which declines in wealth, captures that factor.
参考文献：PÉTER KONDOR DIMITRI VAYANOS （14 February 2019）.Liquidity Risk and the Dynamics of Arbitrage Capital. Journal of Finance June 2019.
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3. 雇员股票期权执行和公司的成本
我们开发了一个雇员股票期权执行的实证模型，这个模型适合估值，并且允许行为学解释途径。使用88个上市公司，其中27个是S&P500公司的雇员执行期权数据，我们估计执行率是期权，股票，和雇员特性的函数。增加禁售期频率从每年到每月将期权价值从16%减少到11%。男性执行地更快，将价值从2%减少到4%，而顶层的雇员执行地更慢，将价值从2%增加到7%。最后，我们开发出一个分析性估值近似的方法，它比实践中运用的方法更加精确。
We develop an empirical model of employee stock option exercise that is suitable for valuation and allows for behavioral channels. We estimate exercise rates as functions of option, stock, and employee characteristics using all employee exercises at 88 public firms, 27 of them in the S&P 500. Increasing vesting frequency from annual to monthly reduces option value by 11% to 16%. Men exercise faster, reducing value by 2% to 4%, while top employees exercise slower, increasing value by 2% to 7%. Finally, we develop an analytic valuation approximation that is more accurate than methods used in practice.
参考文献：JENNIFER N. CARPENTER RICHARD STANTON NANCY WALLACE （14 February 2019）.Employee Stock Option Exercise and Firm Cost. Journal of Finance June 2019.
4. 中间商和散户投资人：冲突的利益和被控制的产品
我在研究中间商怎样扭曲了家庭投资的决定。使用崭新的债券数据，我发现消费者通常购买被控制的债券 ---- 它们便宜，而其它的更贵 ---- 相似的债券在市场上共生。中间商被激励去销售被控制的债券，通常能通过销售这种债券获得比原来多两倍的费率。我开发并估计了一个中间商作为中介的搜索模型来理性解释这种行为。估计表明这种需要成本的搜索是金融市场的主要摩擦，而搜索成本的效果在当中间商被激励去引导消费者搜索高费用的劣等产品时被放大。
I study how brokers distort household investment decisions. Using a novel convertible bond data set, I find that consumers often purchase dominated bonds—cheap and expensive otherwise‐identical bonds coexist in the market. Brokers are incentivized to sell the dominated bonds, typically earning two times greater fees for selling them. I develop and estimate a broker‐intermediated search model that rationalizes this behavior. The estimates indicate that costly search is a key friction in financial markets, but the effects of search costs are compounded when brokers are incentivized to direct the search of consumers toward high‐fee inferior products.
参考文献：MARK EGAN （14 February 2019）.Brokers versus Retail Investors: Conflicting Interests and Dominated Products. Journal of Finance June 2019.
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5. 风险资本和资本分配
我发现风险资本家建立名声的动机可以对一级市场有有益的效果，减少信息摩擦并且帮助公司上市。因为没有信息的名声导向的风险资本家想要展现出自己有信息，他们会偏误地反对支持公司 ---- 通过不支持公司，他们避免了带领低价值的公司到市场，从而最终展现出他们缺少信息。在均衡里，名声导向的风险资本家支持相对较少的差公司，从而创造出一种认证效果，这种效果减少了信息摩擦。然而，他们同样支持相对较少的好公司，从而，名声动机减少了好公司景气或者利润高带来的福利。
I show that venture capitalists' motivation to build reputation can have beneficial effects in the primary market, mitigating information frictions and helping firms go public. Because uninformed reputation‐motivated venture capitalists want to appear informed, they are biased against backing firms—by not backing firms, they avoid taking low‐value firms to market, which would ultimately reveal their lack of information. In equilibrium, reputation‐motivated venture capitalists back relatively few bad firms, creating a certification effect that mitigates information frictions. However, they also back relatively few good firms, and thus, reputation motivation decreases welfare when good firms are abundant or profitable.
参考文献：GIORGIA PIACENTINO （14 February 2019）.Venture Capital and Capital Allocation. Journal of Finance June 2019.
6.贸易中心性和货币风险溢价
我发现一个经济意义上的全球风险暴露驱动了全球资产价格。更处于全球贸易网络中心的国家有更低的利率和货币风险溢价。为了解释这些发现，我展示了一个一般均衡模型，在这个模型里中心国家的消费增长更加暴露于全球消费增长的冲击。这导致了中心国家货币在不好的时段里升值，导致了更低的利率和货币风险溢价。实证分析表明，中心国家的消费增长和世界消费增长共变，更加证实了以上提出的机制。
I uncover an economic source of exposure to global risk that drives international asset prices. Countries that are more central in the global trade network have lower interest rates and currency risk premia. To explain these findings, I present a general equilibrium model in which central countries' consumption growth is more exposed to global consumption growth shocks. This causes the currencies of central countries to appreciate in bad times, resulting in lower interest rates and currency risk premia. Empirically, central countries' consumption growth covaries more with world consumption growth, further validating the proposed mechanism.
参考文献：ROBERT J. RICHMOND （14 February 2019）.Trade Network Centrality and Currency Risk Premia. Journal of Finance June 2019.
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7.最优合同，公司金融，和不可剥夺的人力资本估值
一个与利润可观的企业有关的的风险厌恶的企业家需要从投资者那里获得资金。她不能承诺无限地将她的人力资本投入到这个企业中，这样会限制这个公司的借债能力，扭曲投资和补偿，并且限制企业家的风险分担。这将动态流动性和依情况而定的风险分配放在了公司金融管理的中心。公司平衡了均值方差投资的有效性和金融松弛的保持。我们展示了一般来说，企业家的净值过度暴露于异质性风险，而过少暴露于系统性风险。这些扭曲在公司更加接近于用完它的借债能力时会更强。
A risk‐averse entrepreneur with access to a profitable venture needs to raise funds from investors. She cannot indefinitely commit her human capital to the venture, which limits the firm's debt capacity, distorts investment and compensation, and constrains the entrepreneur's risk sharing. This puts dynamic liquidity and state‐contingent risk allocation at the center of corporate financial management. The firm balances mean‐variance investment efficiency and the preservation of financial slack. We show that in general the entrepreneur's net worth is overexposed to idiosyncratic risk and underexposed to systematic risk. These distortions are greater the closer the firm is to exhausting its debt capacity.
参考文献：PATRICK BOLTON NENG WANG JINQIANG YANG（14 February 2019）.Optimal Contracting, Corporate Finance, and Valuation with Inalienable Human Capital. Journal of Finance June 2019.
8. 杠杆和横截面股票回报
建立在理论资产定价文献上，我们检查了市场风险和规模，账面市值比，和波动性异质对于横截面无杠杆股票回报的作用。与杠杆股票回报相比，无杠杆的市场beta在解释无杠杆股票回报横截面时起到更重要的作用，即使控制了规模和账面市值比，规模效应减弱了，而价值溢价和波动性之谜实际上在无杠杆回报中消失了。我们展示了杠杆导致了回报的异方差性。无杠杆的回报去除了这种规律，除此以外会很难通过控制回归中的杠杆效应来解释。
Building on theoretical asset pricing literature, we examine the role of market risk and the size, book‐to‐market (BTM), and volatility anomalies in the cross‐section of unlevered equity returns. Compared with levered (stock) returns, unlevered market beta plays a more important role in explaining the cross‐section of unlevered equity returns, even after controlling for size and BTM. The size effect is weakened, while the value premium and the volatility puzzle virtually disappear for unlevered returns. We show that leverage induces heteroskedasticity in returns. Unlevering returns removes this pattern, which is otherwise difficult to address by controlling for leverage in regressions.
参考文献：HITESH DOSHI KRIS JACOBS PRAVEEN KUMAR RAMON RABINOVITCH （14 February 2019）.Leverage and the Cross‐Section of Equity Returns. Journal of Finance June 2019.
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9.家庭的债务负担和失业
我们用一个劳动力市场搜索模型来解释为什么最糟糕的就业率暴跌通常跟在家庭债务膨胀之后。我们发现受有限责任保护的家庭遭受家庭债务负担问题，这会导致他们要求更高的工资去工作。公司通过提高工资而减少工作机会来回应。这种提供工作的效果意味着高家庭负债导致高失业。即使家庭从银行通过双边最优合同借债，均衡的家庭负债水平是低效率的，因为家庭债务的外部性。我们分析了金融行业管理者在减少这种外部性中所起到的作用。
We use a labor‐search model to explain why the worst employment slumps often follow expansions of household debt. We find that households protected by limited liability suffer from a household‐debt‐overhang problem that leads them to require high wages to work. Firms respond by posting high wages but few vacancies. This vacancy posting effect implies that high household debt leads to high unemployment. Even though households borrow from banks via bilaterally optimal contracts, the equilibrium level of household debt is inefficiently high due to a household‐debt externality. We analyze the role that a financial regulator can play in mitigating this externality.
参考文献：JASON RODERICK DONALDSON GIORGIA PIACENTINO ANJAN THAKOR （14 February 2019）.Household Debt Overhang and Unemployment. Journal of Finance June 2019.
