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解析文章首发于唧唧堂网站www.jijitang.com
解析作者 | 唧唧堂经济金融学研究小组：
Rebecca
；审校编辑 |
悠悠 糖糖
1.总统演讲：
担保和承诺
最优动态资本结构选择从根本上讲是一个承诺问题。在股东与债权人代理冲突的标准交易中，充分承诺实际上反驳了公司将几乎完全依赖债务融资的情况。相反，如果没有承诺，则将出现类似于Modigliani-Miller的价值无关性和政策不确定性的结果。因此，动态交易中止理论的内容必须依赖于承诺技术。在这种情况下，抵押品作为一种低成本的承诺手段是有价值的。由于事前的最优承诺很可能是事后的次优承诺，因此所观察到的资本结构动态将表现出滞后现象，并与标准预测显著偏离。
Optimal dynamic capital structure choice is fundamentally a problem of commitment. In a standard trade‐off setting with shareholder‐debtholder agency conflicts, full commitment counterfactually predicts the firm would rely almost exclusively on debt financing. Conversely, absent commitment a Modigliani‐Miller‐like value irrelevance and policy indeterminacy result holds. Thus, the content of dynamic trade‐off theory must depend on the commitment technology. In this context, collateral is valuable as a low‐cost commitment device. Because ex ante optimal commitments are likely to be suboptimal ex post, observed capital structure dynamics will exhibit hysteresis and depart significantly from standard predictions.
参考文献：Demarzo P M. Presidential address: Collateral and commitment[J]. The Journal of Finance, 2019, 74(4): 1587-1619.
2.没有交易的价格发现：限价单的证据
本文分析了高频交易员(HFTs)和非高频交易员对市场价格发现和限价指令的贡献。虽然市场订单对单个价格的影响更大，但限价订单的数量要多得多。这导致价格发现主要发生在限价订单。高频交易员提交了大量的限价单，这些限价单提供了大部分的价格发现。由于高频交易行为的变化，限价指令的提交及其对价格发现的贡献随着波动而下降。与对公共信息的快速反应所产生的逆向选择相一致，HFTs的信息优势部分是由公共信息来解释的。
We analyze the contribution to price discovery of market and limit orders by high‐frequency traders (HFTs) and non‐HFTs. While market orders have a larger individual price impact, limit orders are far more numerous. This results in price discovery occurring predominantly through limit orders. HFTs submit the bulk of limit orders and these limit orders provide most of the price discovery. Submissions of limit orders and their contribution to price discovery fall with volatility due to changes in HFTs’ behavior. Consistent with adverse selection arising from faster reactions to public information, HFTs’ informational advantage is partially explained by public information.
参考文献：Brogaard J, Hendershott T, Riordan R. Price discovery without trading: Evidence from limit orders[J]. The Journal of Finance, 2019, 74(4): 1621-1658.
3.实体异象
本文研究了截面资产定价异常对实体经济的重要性。为此，本文提出了一种新的企业截面定量模型，该模型以集中投资和信息低效为特征，同时以封闭的形式产生分布。研究发现，异象可能会导致实际效率低下，这增加了帮助消除它们的代理商为经济带来巨大价值的可能性。该模型表明，仅阿尔法指数的大小不能很好地反映实际结果，并强调了阿尔法持续性、错误定价的资本数量和受影响企业的托宾q值的重要性。
We examine the importance of cross‐sectional asset pricing anomalies (alphas) for the real economy. To this end, we develop a novel quantitative model of the cross‐section of firms that features lumpy investment and informational inefficiencies, while yielding distributions in closed form. Our findings indicate that anomalies can cause material real inefficiencies, which raises the possibility that agents who help eliminate them add significant value to the economy. The model shows that the magnitude of alphas alone is a poor indicator of real outcomes, and highlights the importance of the alpha persistence, the amount of mispriced capital, and the Tobin's q of firms affected.
参考文献：Van Binsbergen J H, Opp C C. Real anomalies[J]. The Journal of Finance, 2019, 74(4): 1659-1706.
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4.公司为员工提供保险时的资本份额动态
尽管美国公司的总资本份额增加了，但公司层面的资本份额却减少了。这种差异是由于大型企业在不按比例增加劳动报酬的情况下产生了更大的产出份额。本文建立了一个模型，在该模型中，公司为员工提供针对公司特定冲击的保险，生产率更高的公司向股东分配更多的租金，而生产率较低的公司则内生地退出。公司层级风险延迟的增加和大型公司规模的度量增加了，从而提高（降低）了总（平均）资本份额，而租金水平的提高会放大这种影响。同时，本文也提供了支持这种机制的证据。
Although the aggregate capital share of U.S. firms has increased, capital share at the firm‐level has decreased. This divergence is due to mega‐firms that produce a larger output share without a proportionate increase in labor compensation. We develop a model in which firms insure workers against firm‐specific shocks, with more productive firms allocating more rents to shareholders, while less productive firms endogenously exit. Increasing firm‐level risk delays exit and increases the measure of mega‐firms, raising (lowering) the aggregate (average) capital share. An increase in the level of rents magnifies this effect. We present evidence that supports this mechanism.
参考文献：Hartman‐Glaser B, Lustig H, Xiaolan M Z. Capital share dynamics when firms insure workers[J]. The Journal of Finance, 2019, 74(4): 1707-1751.
5.美国市场资产定价中的资本份额风险
基于总收益资本份额增长的单一宏观经济因子对一系列股票特征投资组合和非股票资产类别的预期收益具有显著的解释力，其风险价格估计具有相同的符号和相似的大小。资本份额风险敞口获得了正的风险溢价，与最近的资产定价模型相一致。在资产定价模型中，再分配冲击将收入份额在富人和工人之间转移，前者主要用资产所有权为消费提供资金，后者主要用工资和薪金为消费提供资金。
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and nonequity asset classes, with risk price estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk premium, commensurate with recent asset pricing models in which redistributive shocks shift the share of income between the wealthy, who finance consumption primarily out of asset ownership, and workers, who finance consumption primarily out of wages and salaries.
参考文献：Lettau M, Ludvigson S C, Ma S. Capital share risk in US asset pricing[J]. The Journal of Finance, 2019, 74(4): 1753-1792.
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6.劳动力-技术替代:对资产定价的影响
本文研究了企业用自动化取代常规劳动的机会对资产定价的影响。本文提出了一个模型，在该模型中，企业在生产率低下时可以最佳地进行此类替换。因此，具有常规任务劳动力的公司将保留替代方案，以对冲其价值以应对不利的宏观经济冲击并降低其预期收益。利用现有的公司职业数据，本文构建了一个衡量公司日常工作劳动份额的指标。研究发现，与业内同行相比，在经济衰退期间，常规工作劳动力比例较高的公司：(i)在机器上投入更多，减少了更多的常规工作劳动力; (ii)股票预期回报率较低。
This paper studies the asset pricing implications of a firm's opportunities to replace routine‐task labor with automation. I develop a model in which firms optimally undertake such replacement when their productivity is low. Hence, firms with routine‐task labor maintain a replacement option that hedges their value against unfavorable macroeconomic shocks and lowers their expected returns. Using establishment‐level occupational data, I construct a measure of firms' share of routine‐task labor. Compared to their industry peers, firms with a higher share of routine‐task labor (i) invest more in machines and reduce more routine‐task labor during economic downturns, and (ii) have lower expected stock returns.
参考文献：Zhang M B. Labor‐Technology Substitution: Implications for Asset Pricing[J]. The Journal of Finance, 2019, 74(4): 1793-1839.
7.资产波动时变性和信用利差之谜
大多数现存的结构性信用风险模型都低估了信用价差——这一缺陷被称为信用价差之谜。本文考虑了一个具有定价随机资产风险的模型，该模型能够适应中长期息差。该模型以公司层面的数据为基础进行估算，并识别出显著的资产差异风险溢价。该模型的一个重要特征是由资产风险的不确定性引起的显著地风险溢价时变性。同时，模型考虑了各种扩展形式，其中包括最优杠杆和内生性违约。
Most extant structural credit risk models underestimate credit spreads—a shortcoming known as the credit spread puzzle. We consider a model with priced stochastic asset risk that is able to fit medium‐ to long‐term spreads. The model, augmented by jumps to help explain short‐term spreads, is estimated on firm‐level data and identifies significant asset variance risk premia. An important feature of the model is the significant time variation in risk premia induced by the uncertainty about asset risk. Various extensions are considered, among them optimal leverage and endogenous default.
参考文献：Du D, Elkamhi R, Ericsson J. Time‐Varying Asset Volatility and the Credit Spread Puzzle[J]. The Journal of Finance, 2019, 74(4): 1841-1885.
8.股票的预期回报率是多少？
本文根据市场的风险中性方差和股票相对于平均股票的风险中性方差得出了股票的预期收益公式。这些数量可以从指数和股票期权价格计算得出，在该公式没有自由参数。无论在样本内还是样本外，该理论在实证上的表现都很好。研究结果表明，随着时间的推移和不同股票之间，预期收益的差异比以前承认的要大得多。
We derive a formula for the expected return on a stock in terms of the risk‐neutral variance of the market and the stock's excess risk‐neutral variance relative to that of the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters. The theory performs well empirically both in and out of sample. Our results suggest that there is considerably more variation in expected returns, over time and across stocks, than has previously been acknowledged.
参考文献：Martin I W R, Wagner C. What is the Expected Return on a Stock?[J]. The Journal of Finance, 2019, 74(4): 1887-1929.
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9.股票和债券风险收益权衡下的非线性和安全资产转移
本文证明了股票和债券回报与过去股市波动率的高度显著、强烈的非线性关系。提出了一种新的非线性预测关系的估计函数，这种估计函数利用了回报横截面的变化。非线性是股票和债券的镜像，揭示了“投资者安全资产转移行为”:当波动性从中等水平上升到高水平时，股票的预期回报率会上升，而国债的预期回报率会下降。这些发现为动态资产定价理论提供了支持，其中风险价格是市场波动的非线性函数。
We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross‐section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight‐to‐safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasuries. These findings provide support for dynamic asset pricing theories in which the price of risk is a nonlinear function of market volatility.
参考文献：Adrian T, Crump R K, Vogt E. Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds[J]. The Journal of Finance, 2019, 74(4): 1931-1973
10.昂贵的信息获取、社交网络和资产定价:实验证据
本文设计了一个实验来研究信息网络对金融市场中获取昂贵信息的动机、市场流动性、投资者收益和资产价格特征的影响。由于代理人受邻居购买的信号的诱惑，导致社会通讯排挤了信息。虽然交易者之间的信息交换增加了交易量，提高了流动性，提高了资产价格对市场上可用信息的反应能力，但并没有提高价格的信息化程度。由于减少获取昂贵的信号，信息共享使得净收益和社会福利更高。
We design an experiment to study the implications of information networks for incentives to acquire costly information, market liquidity, investors' earnings, and asset price characteristics in a financial market. Social communication crowds out information production as a result of an agent's temptation to free ride on the signals purchased by her neighbors. Although information exchange among traders increases trading volume, improves liquidity, and enhances the ability of asset prices to reflect the available information in the market, it fails to improve price informativeness. Net earnings and social welfare are higher with information sharing due to reduced acquisition of costly signals.
参考文献：Halim E, Riyanto Y E, Roy N. Costly information acquisition, social networks, and asset prices: Experimental evidence[J]. The Journal of Finance, 2019, 74(4): 1975-2010.
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11.CEO的视野，最优薪酬期限，以及短期主义的升级
本文研究了经营者以企业价值为代价操纵绩效指标时的最优契约。最优合同会延迟补偿。随着时间的流逝，经理人的激励机制越来越多，而薪酬对短期绩效变得非常敏感。这就产生了一个内在的视野问题，管理者在其任职的最后几年加强了绩效操纵。合同旨在鼓励努力，同时最大程度地减少操纵的不利影响。本文根据经理人的任期，短期和长期激励的最佳归属期，以及首席执行官任期中的短期主义动态，来确定短期和长期薪酬的最佳组合。
This paper studies optimal contracts when managers manipulate their performance measure at the expense of firm value. Optimal contracts defer compensation. The manager's incentives vest over time at an increasing rate, and compensation becomes very sensitive to short‐term performance. This generates an endogenous horizon problem whereby managers intensify performance manipulation in their final years in office. Contracts are designed to encourage effort while minimizing the adverse effects of manipulation. We characterize the optimal mix of short‐ and long‐term compensation along the manager's tenure, the optimal vesting period of incentive pay, and the dynamics of short‐termism over the CEO's tenure.
参考文献：Marinovic I, Varas F. CEO Horizon, Optimal Pay Duration, and the Escalation of Short‐Termism[J]. The Journal of Finance, 2019, 74(4): 2011-2053.
