We present a new approach to selecting actively managed mutual funds that uses both portfolio holdings and fund return information to eliminate funds with predicted inferior performance through a sequence of pairwise fund comparisons. Our methodology determines both the number of skilled funds and their identities, and locates funds with substantially higher risk-adjusted returns than those identified by conventional alpha-ranking methods. We find strong evidence of time-series variation in both the number of funds identified as superior using our approach, as well as in their performance across different economic states.
参考文献:Gronborg, N. S., et al. (2021). "Picking funds with confidence." Journal of Financial Economics 139(1): 1-28.
We measure the impact of reputation for proxy fighting on investor activism by estimating a dynamic model in which activists engage a sequence of target firms. Our estimation produces an evolving reputation measure for each activist and quantifies its impact on campaign frequency and outcomes. We find that high reputation activists initiate 3.5 times as many campaigns and extract 85% more settlements from targets, and that reputationbuilding incentives explain 20% of campaign initiations and 19% of proxy fights. Our estimates indicate these reputation effects combine to nearly double the value that activism adds for target shareholders.
参考文献：Johnson, T. L. and N. Swem (2021). "Reputation and investor activism: A structural approach." Journal of Financial Economics 139(1): 29-56.
We exploit the randomized assignment of lottery prizes in a large administrative Swedish data set to estimate the causal effect of wealth on stock market participation. A $150,00 0 windfall gain increases the stock market participation probability by 12 percentage points among prelottery nonparticipants but has no discernible effect on prelottery stock owners. A structural life cycle model significantly overpredicts entry rates even for very high entry costs (up to $31,0 00). Additional analyses implicate pessimistic beliefs regarding equity returns as a major source of this overprediction and suggest that both recent and early-life return realizations affect beliefs.
参考文献：Briggs, J., et al. (2021). "Windfall gains and stock market participation." Journal of Financial Economics 139(1): 57-83.
Several measures of credit-market booms are known to precede downturns in real economic activity. We offer an early indicator for all known measures of credit booms. Our measure is based on intra-family flow shifts towards high-yield bond mutual funds. It predicts indicators such as growth in financial intermediary balance sheets, increase in shares of high-yield bond issuers, and downturns of various measures of credit spreads. It also directly predicts the business cycle by positively predicting GDP growth and negatively predicting unemployment. Our results provide support for the investor demand-based narrative of credit cycles and can be useful for policymakers.
参考文献：Ben-Rephael, A., et al. (2021). "Mutual fund flows and fluctuations in credit and business cycles." Journal of Financial Economics 139(1): 84-108.
We investigate the relation between common institutional ownership of the firms in an industry and product market competition. We find that common ownership is neither robustly positively related with industry profitability or output prices nor is it robustly negatively related with measures of nonprice competition, as would be expected if common ownership reduces competition. This conclusion holds regardless of industry classification choice, common ownership measure, profitability measure, nonprice competition proxy, or model specification. Our point estimates are close to zero with tight bounds, rejecting even modestly sized economic effects. We conclude that antitrust restrictions seeking to limit intra-industry common ownership are not currently warranted.
参考文献：Koch, A., et al. (2021). "Common ownership and competition in product markets." Journal of Financial Economics 139(1): 109-137.
6. 季节性回报是因为风险还是误定价？
摘要：在每年同一个月份中，股票相较于其他股票往往具有更高或更低的回报率(Heston and Sadka, 2008)。我们发现这些季节性因素是通过季节性反转来平衡的：一只股票在一个月内相对于其他股票具有较高的期望回报，而在其他月份相对于其他股票的预期回报率则较低。在一个日历年度内，季节性因素和季节性反转的回报率加总等于0，这与季节性因素是由于临时性误定价导致的观点一致。季节性反转的经济规模很大，统计上高度显著，并且它们类似于但又不同于长期的反转。
Stocks tend to earn high or low returns relative to other stocks every year in the same month (Heston and Sadka, 2008). We show these seasonalities are balanced out by seasonal reversals: a stock that has a high expected return relative to other stocks in one month has a low expected return relative to other stocks in the other months. The seasonalities and seasonal reversals add up to zero over the calendar year, which is consistent with seasonalities being driven by temporary mispricing. Seasonal reversals are economically large and statistically highly significant, and they resemble, but are distinct from, long-term reversals.
参考文献：Keloharju, M., et al. (2021). "Are return seasonalities due to risk or mispricing?" Journal of Financial Economics 139(1): 138-161.
We show that investors derive nonpecuniary utility from investing in dual-objective Venture Capital (VC) funds, thus sacrificing returns. Impact funds earn 4.7 percentage points (ppts) lower internal rates of return (IRRs) ex-post than traditional VC funds. In random utility/willingness-to-pay (WTP) models investors accept 2.5-3.7 ppts lower IRRs ex ante for impact funds. The positive WTP result is robust to fund access rationing and investor heterogeneity in fund expected returns. Development organizations, foundations, financial institutions, public pensions, Europeans, and United Nations Principles of Responsible Investment signatories have high WTP. Investors with mission objectives and/or facing political pressure exhibit high WTP; those subject to legal restrictions (e.g., Employee Retirement Income Security Act) exhibit low WTP.
参考文献：Barber, B. M., et al. (2021). "Impact investing." Journal of Financial Economics 139(1): 162-185.
We examine the within-firm resource allocation and restructuring outcomes at firms violating debt covenants. Using establishment-level data from the US Census Bureau, we find that covenant violations are followed by reductions in employment, investment, and more frequent establishment closures among violating firms' noncore business lines and less productive establishments. These changes are concentrated among establishments at which manager-shareholder agency costs are pronounced and when key lenders have industry experience. Our findings suggest that enhanced creditor control reduces managerial agency costs and encourages a more efficient allocation of resources within the boundaries of firms in technical default.
参考文献：Ersahin, N., et al. (2021). "Creditor control rights and resource allocation within firms." Journal of Financial Economics 139(1): 186-208.
We study how disclosure requirements for large short positions affect investor behavior and security prices. Short positions accumulate just below the applicable disclosure threshold as certain investors never disclose any of their positions. Further tests suggest that this secrecy is part of investors' general policy of avoiding disclosure to protect their unique, profitable investment strategies against reverse engineering by competitors. No evidence supports the notion that short sellers avoid disclosure because of potential adverse effects on securities' lending fees, risk of recall, or short squeezes. Finally, the evasive behavior by short sellers in response to transparency regulations hampers price discovery.
参考文献：Jank, S., et al. (2021). "Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices." Journal of Financial Economics 139(1): 209-233.
Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns ("alpha") in most regions, especially Asia-Pacific, that are unrelated to known anomalies. The strategy's 40-70 basis point per month alpha difference between emerging and developed markets contrast with prior research findings. A country's pre-transaction cost alpha is positively related to its trading costs, but exceeds countryspecific institutional trading costs. Thus, global equity markets are inefficient, particularly in countries with quantifiable market frictions, like trading costs, that deter arbitrageurs.
参考文献：Bartram, S. M. and M. Grinblatt (2021). "Global market inefficiencies." Journal of Financial Economics 139(1): 234-259.
Why is high-growth entrepreneurship scarce in developing countries? Does this scarcity reflect firm capabilities constraints? We explore these questions using as a laboratory an accelerator in Colombia that selects participants using scores from randomly assigned judges and offers them training, advice, and visibility but no cash. Exploiting exogenous differences in judges' scoring generosity, we show that alleviating constraints to firm capabilities unlocks innovative entrepreneurs' potential but does not transform subpar ideas into high-growth firms. The results demonstrate that some high-potential entrepreneurs in developing economies face firm capabilities constraints and accelerators can help identify these entrepreneurs and boost their growth.
参考文献：Gonzalez-Uribe, J. and S. Reyes (2021). "Identifying and boosting "Gazelles": Evidence from business accelerators." Journal of Financial Economics 139(1): 260-287.
