When government debt is sluggish, consumption exhibits lower expected growth, more long-run uncertainty, and more long-run downside risk. Simultaneously, the risk premium on the consumption claim (Koijen et al. 2010; Lustig et al. 2013) increases and features more positive (adverse) skewness. We rationalize these findings in an endogenous growth model in which fiscal policy is distortionary, the value of innovation depends on fiscal risk, and the representative agent is sensitive to the resulting distribution of consumption risk. Our model suggests that committing to a rapid reduction of the debt-to-output ratio can enhance the value of innovation, aggregate wealth, and welfare.
参考文献：Mcab, C. , Ttnd, E. , & Sr, E. . (2021). Persistent government debt and aggregate risk distribution. Journal of Financial Economics.
2、公司债券交易商的电子化演变
The electronic evolution of corporate bond dealers
Technology transformed the trading of financial assets but has been slower to come to corporate bond trading. Combining proprietary data from MarketAxess with regulatory TRACE data, we investigate how electronic request for quote (RFQ) trading affects bond dealers and trading more generally. We demonstrate that electronic trading remains fairly small and segmented, but has wide-ranging effects on transaction costs and execution quality in both electronic and voice trading, and the interdealer market. We identify features particular to bond markets that have and could continue to limit electronic bond trading growth. We provide an intriguing portrait of a market in transition.
参考文献：O'Hara, M., & Zhou, X. A. . (2021). The electronic evolution of corporate bond dealers. Journal of Financial Economics.
This work studies the information content of trades in the world’s largest over-the-counter (OTC) market, the foreign exchange (FX) market. It analyzes a novel, comprehensive order flow data set, distinguishing among different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information across agents, time, and currency pairs, consistent with the asymmetric information theory and OTC market fragmentation. A trading strategy based on the permanent price impact, capturing asymmetric information risk, generates high returns even after accounting for risk, transaction cost, and other common risk factors shown in the FX literature.
参考文献：Ranaldo, A. , & Somogyi, F. . (2020). Asymmetric information risk in fx markets. Journal of Financial Economics.
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4、内涵波动性和真实活动的国债收益率
Treasury yield implied volatility and real activity
We show that at-the-money implied volatility of options on futures of five-year Treasury notes (Treasury “yield implied volatility”) predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment. This predictability is robust to controlling for the term spread, credit spread, stock returns, stock market implied volatility, and several other variables that prior literature showed to predict macroeconomic activity. Our results indicate that Treasury yield implied volatility is a useful forward-looking state variable to characterize risks and opportunities in the macro economy.
参考文献：Mc, A., Mf, B., & Pg, C. . (2020). Treasury yield implied volatility and real activity. Journal of Financial Economics.
5、为什么股票市场集中不利于经济发展？
Why is stock market concentration bad for the economy?
The stock market should fund promising new firms, thereby breeding competition, innovation, and economic growth. However, using three decades of data from 47 countries, we show that concentrated stock markets dominated by a small number of very successful firms are associated with less efficient capital allocation, sluggish initial public offering and innovation activity, and slower economic growth. These findings are robust to alternative sample periods, econometric specifications, and competing explanatory variables. Our evidence is consistent with the paradox that the capital market of a competitive economy can impede the continuing competitiveness of that economy.
参考文献：Bae, K. H., Bailey, W., & Kang, J. . (2021). Why is stock market concentration bad for the economy?. Journal of Financial Economics.
6、显著性理论与股票价格：实证证据
Salience theory and stock prices: Empirical evidence
We present evidence on the asset pricing implications of salience theory. In our model, investors overweight salient past returns when forming expectations about future returns. Consequently, investors are attracted to stocks with salient upsides, which are overvalued and earn low subsequent returns. Conversely, stocks with salient downsides are undervalued and yield high future returns. We find empirical support for these predictions in the cross-section of US stocks. The salience effect is stronger among stocks with greater limits to arbitrage and during high-sentiment periods. Our results are not explained by common risk factors, return reversals, lottery demand, and attention-grabbing news events.
参考文献：Cosemans, M. , & Frehen, R. . (2016). Salience theory and stock prices: empirical evidence. Social Science Electronic Publishing.
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7、低搜索成本加速了类似企业的合并嘛？来自公共银行网络的证据
Do low search costs facilitate like-buys-like mergers? Evidence from common bank networks
We examine how search frictions affect merger outcomes. Exploiting firm connections in common bank networks (CBNs) as a channel for reducing search costs, we show that like-buys-like mergers are more probable between firms connected through a CBN. This effect is amplified if the connection has been recently formed or the network contains many plausible choices for merger partners. CBN-facilitated mergers exhibit higher synergy and lower post-merger cost of debt. We confirm that CBNs reduce search costs even after alternative explanations are considered. These findings highlight the importance of search in the process of redrawing firm boundaries.
参考文献：Chen, J. , JH Kim, & Rhee, S. G. . (2020). Do low search costs facilitate like-buys-like mergers? evidence from common bank networks. Journal of Financial Economics(3).
8、双边投资条约大有裨益：双边投资条约和跨境合并
A BIT goes a long way: Bilateral investment treaties and cross-border mergers
We examine whether bilateral investment treaties (BITs), an external governance mechanism, stimulate cross-border mergers by protecting the property rights of foreign acquirers. Exploiting the staggered adoption and bilateral nature of the treaties, we find that BITs have a large positive effect on cross-border mergers. The probability and dollar volume of mergers between two given countries more than doubles after the signing of a BIT. The increase is driven by deals flowing from developed economies to developing economies and is concentrated in target countries with medium levels of political risk. The results suggest BITs are effective in expanding the global market for corporate control, particularly in the developing world.
参考文献：Bhagwat, V. , Brogaard, J. , & Julio, B. . (2020). A bit goes a long way: bilateral investment treaties and cross-border mergers. Journal of Financial Economics.
9、持有还是不持有：股息支付前后的股票贷款
To own or not to own: Stock loans around dividend payments
In a standard stock loan, the borrower reimburses the lender any dividends paid while the loan is outstanding. Since these substitute dividends may be taxed differently than dividend payments themselves, some investors have incentives to either remove their shares from lendable supply–if they pay high taxes on substitute dividends–or lend out their shares to arbitrageurs–if they pay high taxes on dividends. Consistent with these incentives, we find a significant tightening of the equity lending market on dividend record days driven by both a contraction of supply and an expansion of demand–although the demand effect appears to dominate. We then exploit the plausibly exogenous nature of these shifts to causally link tightness in the lending market to wider effective spreads in the stock market.
参考文献：Dixon, P. N., Fox, C. A., & Kelley, E. K. . (2021). To own or not to own: stock loans around dividend payments. Journal of Financial Economics.
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10、具有隐藏波动的动态资源配置
Dynamic resource allocation with hidden volatility
We study a firm’s internal resource allocation using a dynamic principal-agent model with endogenous cash flow volatility. The principal supplies the agent with resources for productive use, but the agent has private control over both project volatility and resource intensity and may misallocate resources to obtain private benefits. The optimal contract can yield either overly risky or overly prudent project selection. It can be implemented with a constant pricing schedule (i.e., a static, decentralized, linear mechanism), giving the agent control over the resource quantities, project risk, and agent’s equity share. The implementation rationalizes the use of hurdle rates above a firm’s cost of capital and transfer prices above marginal cost, while showing that hurdle rates or transfer prices may not vary with the agent’s risk choice.
参考文献：Feng, F. Z., & Westerfield, M. M. . (2021). Dynamic resource allocation with hidden volatility. Journal of Financial Economics, 140.
We build an asset-pricing model with dynamic strategic competition to explain the strong joint fluctuations in aggregate discount rates, competition intensity, profitability, and asset prices. Product market competition endogenously intensifies as discount rates rise, because firms compete more aggressively for current cash flows by undercutting each other as the value of future cooperation decreases. In industries with a lower turnover rate of market leaders, firms’ profit margins tend to be higher yet more exposed to discount-rate fluctuations, thereby generating the gross profitability premium. We exploit large tariff cuts to identify exogenous variation in market structure to test the core mechanism directly.
参考文献：Dou, W. W. , Ji, Y. , & Wu, W. . (2021). Competition, profitability, and discount rates. Journal of Financial Economics.
12、个人责任是否阻止了个人担任独立董事？
Does personal liability deter individuals from serving as independent directors?
This study examines whether personal liability for corporate malfeasance deters individuals from serving as independent directors. After the introduction of personal liability in India, we find that individuals are deterred from serving on corporate boards. We find stronger deterrence among firms with greater litigation and regulatory risk, higher monitoring costs, and weak monetary incentives. Expert directors are more likely to exit, resulting in 1.16% lower firm value. We further evaluate whether contemporaneous corporate governance reforms and market developments contribute to this deterrence. Overall, our results suggest that personal liability deters individuals with high reputational costs from serving as independent directors.
参考文献：Naaraayanan, S. L. , & Nielsen, K. M. . (2021). Does personal liability deter individuals from serving as independent directors?. Journal of Financial Economics, 140.
