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解析作者 | 唧唧堂经济金融学写作小组：
唧唧堂每日学术
1、不确定性和经济活动: 一个多国视角
我们构建了一个对世界经济持续增长因素具有不同敞口期的资产定价模型，该模型可以在波动性和产出增长的多国面板VAR中识别出全球的经济增长和金融震荡之间关系。本文的计量模型共估计出了三组实证结果:（1）全球增长对于解释整个商业周期中波动率与增长之间的相关性具有重要意义，并在单个国家的VAR实证研究中可能存在遗漏变量偏差,（2）产出冲击在一定程度上推动了金融波动，以及（3）该波动冲击对产出增长亦有传导效应。
We develop an asset pricing model with heterogeneous exposure to a persistent world growth factor to identify global growth and financial shocks in a multicountry panel VAR in volatility and output growth. The econometric estimates yield three sets of empirical results about (1) the importance of global growth for the interpretation of the correlation between volatility and growth over the business cycle and the possible presence of omitted variable bias in single-country VAR studies, (2) the extent to which output shocks drive volatility, and (3) the transmission of volatility shocks to output growth.
论文原文：
Ambrogio Cesa-Bianchi, M Hashem Pesaran, Alessandro Rebucci, Uncertainty and Economic Activity: A Multicountry Perspective, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3393–3445, https://doi.org/10.1093/rfs/hhz098
2、衡量主权债券市场一体化程度
本文发现，在21个发达国家和18个新兴国家中，主权债券市场整合的程度和动态存在很大差异。本文同时表明，更好的跨度可以通过消除本地风险溢价来显著增强市场的整合程度。当一个国家由于政治稳定和信贷质量的提高，且通货膨胀、通货膨胀风险及流动性的降低，而从第25个百分位升至第75个百分位时，主权债券市场的平均整合率平均提高约10％。平均而言，当一体化增加10％，主权资金成本每年减少约1％。
We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves from the 25th to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of funding of about 1% per annum.
论文原文：
Ines Chaieb, Vihang Errunza, Rajna Gibson Brandon, Measuring Sovereign Bond Market Integration, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3446–3491, https://doi.org/10.1093/rfs/hhz107
3、汇率因子结构中的引力
我们将货币的风险特征与物理，文化和金融机构距离的度量联系起来。距离其他国家较远的国家货币更容易遭受系统性货币风险。这是由于汇率因素结构中的重力效应：当一种货币对一揽子其他货币升值时，其双边汇率对较远国家的货币升值更多。这就导致了，与中心国家的货币相比，周边国家的货币更容易受到系统性变化的影响。贸易网络的中心性能最佳地预测货币对系统性风险的平均承受程度。
We relate the risk characteristics of currencies to measures of physical, cultural, and institutional distance. Currencies of countries which are more distant from other countries are more exposed to systematic currency risk. This is due to a gravity effect in the factor structure of exchange rates: When a currency appreciates against a basket of other currencies, its bilateral exchange rate appreciates more against currencies of distant countries. As a result, currencies of peripheral countries are more exposed to systematic variation than currencies of central countries. Trade network centrality best predicts a currency’s average exposure to systematic risk.
论文原文：
Hanno Lustig, Robert J Richmond, Gravity in the Exchange Rate Factor Structure, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3492–3540, https://doi.org/10.1093/rfs/hhz103
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4、宏观经济尾部风险和资产价格
本文证明，在经济不景气时期，美国股票市场的股息增长和回报与消费增长之间的关系更为密切。在一个具有普遍厌恶投资者和较小的独立同分布（IID）的消费冲击的资产定价模型中，尽管风险规避度低，但此特征仍可导致现实的股本溢价。该模型与从股指期权中推断出的关于股票市场风险溢价的主要事实是一致的，即结果仍然为严格参数化，并且可以为资产价格提供分析解决方案。具有非独立同分布(IID)动态的扩展模型可解决过度的波动性和收益预测性问题，并同时保留模型与期权矩（option moment）的一致性。
I document that dividend growth and returns on the aggregate U.S. stock market are more correlated with consumption growth in bad economic times. In a consumption-based asset pricing model with a generalized disappointment-averse investor and small, IID consumption shocks, this feature results in a realistic equity premium despite low risk aversion. The model is consistent with the main facts about stock market risk premiums inferred from equity index options, remains tightly parameterized, and allows for analytical solutions for asset prices. An extension with non-IID dynamics accounts for excess volatility and return predictability, while preserving the model’s consistency with option moments.
论文原文：
David Schreindorfer, Macroeconomic Tail Risks and Asset Prices, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3541–3582, https://doi.org/10.1093/rfs/hhz105
5、股票溢价与1%
我们发现，在一个具有风险规避或信念异质性的一般均衡模型中，将财富从拥有较少股票的代理商转移到拥有更多股票的代理商会减少股权溢价。从经验的角度来看，当富人持有更多的股票时，这种不平等性就可以预测股票市场的超额收益。与我们的理论一致，我们发现当美国高收入人群收入份额增加时，随后的1年期超额市场收益会显着下降。这种负向关系在我们控制住经典的股价收益回报预测因子，预测样本外以及通过房地产税率变化来衡量不平等现象后，仍具有稳健性。这种现象在国际市场上也成立。
We show that in a general equilibrium model with heterogeneity in risk aversion or belief, shifting wealth from an agent who holds comparatively fewer stocks to one who holds more reduces the equity premium. From an empirical view, the rich hold more stocks, so inequality should predict excess stock market returns. Consistent with our theory, we find that when the U.S. top income share rises, subsequent 1-year excess market returns significantly decline. This negative relation is robust to controlling for classic return predictors, predicting out-of-sample, and instrumenting inequality with estate tax rate changes. It also holds in international markets.
论文原文：
Alexis Akira Toda, Kieran James Walsh, The Equity Premium and the One Percent, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3583–3623, https://doi.org/10.1093/rfs/hhz121
6、时变风险溢价和跨年龄层的失业风险
我们发现，金融市场的时变风险溢价可以解释劳动力市场的一个关键但同时令人困惑的特征：在经济周期中，不同年龄段的工人的失业风险存在巨大差异。我们的搜索模型刻画了一个时变风险溢价情形且揭示出工人生产率中未发现的异质性。通过公司的劳动政策，他们的相互作用产生了巨大的实际影响。我们的模型预测在风险溢价较高的情况下，年轻工人的失业风险相对于适龄工人更高，并且在高β（bete）行业中，适龄工人与年轻工人的就业比率更具周期性。我们发现实证经验支持该模型的预测。
We show that time-varying risk premium in financial markets can explain a key, yet puzzling, feature of labor markets: the large differences in unemployment risk across worker age groups over the business cycle. Our search model features a time-varying risk premium and learning about unobserved heterogeneity in worker productivity. Their interaction generates large real effects through firms’ labor policies. Our model predicts higher unemployment risk of younger workers relative to prime-age workers when risk premium is high, and the employment ratio of prime-age to young workers to be more cyclical in high beta industries. We find empirical support for these predictions
论文原文：
Indrajit Mitra, Yu Xu, Time-Varying Risk Premium and Unemployment Risk across Age Groups, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3624–3673, https://doi.org/10.1093/rfs/hhz122
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7、历史相关的风险偏好：个人选择的证据和处置效应的影响
通过使用体育博彩市场的交易数据，我们在前景理论范式下研究了个人的动态风险偏好。这个市场具有类似实验性的功能，有助于我们进行偏好估算，而较长的面板则使我们能够研究偏好是否因人而异，并且是否取决于早期结果。我们的模型估计将支撑实验结果扩展到更复杂的市场环境——具有轻度的效用曲率，适度的损失厌恶情绪，以及可能大概率的极端后果——并揭示出偏好是异质性的且取决于历史环境。将我们的估算结果应用于投资组合选择问题时，我们发现比起之前的设想，前景理论能够更好地解释处置效应的普遍性。
Using trading data from a sports wagering market, we estimate individuals’ dynamic risk preferences within a prospect theory paradigm. This market’s experimental-like features facilitate preference estimation, and our long panel enables us to study whether preferences vary across individuals and depend on earlier outcomes. Our estimates extend support for experimental findings—mild utility curvature, moderate loss aversion, and probability overweighting of extreme outcomes—to a market setting and reveal that preferences are heterogeneous and history dependent. Applying our estimates to a portfolio choice problem, we show prospect theory can better explain the prevalence of the disposition effect than previously thought.
论文原文：
Angie Andrikogiannopoulou, Filippos Papakonstantinou, History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3674–3718, https://doi.org/10.1093/rfs/hhz127
8、核心与“外壳”：消费价格与利率期限结构
我们提出了一个具有名义和实物期限结构的无套利模型，该模型可容纳不同通胀组成部分的不同持续性和波动性。核心通胀，食品通胀和能源通胀组合成一个单一的总通胀指标，将名义和实际无风险债券价格联系在一起。该模型成功地从名义收益率和通胀数据中提取了市场参与者对未来通胀的预期。估算结果揭示了一个核心通货膨胀和利率共有的因素结构，并且淡化了短期粮食和能源冲击对通货膨胀和利率的传递效应。总体而言，该模型的预测能力优于问卷调查预测和其他基准方式的预测。
We propose a no-arbitrage model of the nominal and real term structures that accommodates the different persistence and volatility of distinct inflation components. Core, food, and energy inflation combine into a single total inflation measure that ties nominal and real risk-free bond prices together. The model successfully extracts market participants’ expectations of future inflation from nominal yields and inflation data. Estimation uncovers a factor structure common to core inflation and interest rates and downplays the pass-through effect of short-lived food and energy shocks on inflation and interest rates. Model forecasts systematically outperform survey forecasts and other benchmarks.
论文原文：
Andrea Ajello, Luca Benzoni, Olena Chyruk, Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3719–3765, https://doi.org/10.1093/rfs/hhz094
9、股权价格发现与知情的私人债务
股权市场没有考虑到银团贷款参与者所享有与价值相关的非公开信息，并反映在公开发布的贷款价格中。通过购买(出售)最近升值(贬值)贷款的公司的股票的多空策略，投资者可以获得巨大的风险调整后的回报。这表明在同一公司的资本结构中存在着一种令人惊讶且在经济上存在重要的细分水平的投资策略。交易策略回报捕捉到的信息滞后情形不受公司特定关注因素的影响，包括在《华尔街日报》上发表的贷款收益。相反，在同样从事银团贷款交易的共同基金持有的股票中，这种交易策略的收益被抵消了。
Equity markets fail to account for the value-relevant nonpublic information enjoyed by syndicated loan participants and reflected in publicly posted loan prices. A long-short strategy that buys (sells) the equities of firms with recently appreciated (depreciated) loans earns large risk-adjusted returns, suggesting a surprising and economically important level of segmentation across the same firm’s capital structure. The information lag captured by trading strategy returns is not affected by drivers of firm-specific attention, including the publication of loan returns in the Wall Street Journal. Instead, returns to the strategy are eliminated among equities held by mutual funds also trading in syndicated loans.
论文原文：
Jawad M Addoum, Justin R Murfin, Equity Price Discovery with Informed Private Debt, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3766–3803, https://doi.org/10.1093/rfs/hhz128
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10、股票市场传言与可信度
股票价格偶尔会因未经证实的传言而变动。本文提出了一个简易的交谈模型，在这个模型中，造谣者说出真相的动机取决于她的投资眼光和消息接收投资者的信息获取决策之间的相互作用。该模型的关键预测是，短期的投资期限可以促进投资者之间可信的信息共享，从而加速信息资本化达到市场上的价格。通过分析美国报纸上有关收购传闻的数据，本文发现了一些有启发性的证据来支持这一预测。
Stock prices occasionally move in response to unverified rumors. I propose a cheap talk model in which a rumormonger’s incentives to tell the truth depend on the interaction between her investment horizon and the information acquisition decisions of message-receiving investors. The model’s key prediction is that short investment horizons can facilitate credible information sharing between investors, thereby accelerating the information capitalization into market prices. Analyzing a data set of takeover rumors covered by U.S. newspapers, I find suggestive evidence in support of this prediction.
论文原文：
Daniel Schmidt, Stock Market Rumors and Credibility, The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3804–3853, https://doi.org/10.1093/rfs/hhz120
11、稳健还是激进？利用自愿披露来获取市场反馈
我们探讨管理者利用自愿披露来征集市场反馈。利用管理层资本支出预测，我们发现管理者会根据股市对资本支出预测的正面（负面）反应来向上（向下）调整年度资本支出，但这仅限于那些推动而不是阻碍知情交易的预测公告。这些由市场反馈驱动的资本支出调整与更高的未来业绩相关。当外部人员（管理者）更了解情况时，这些资本支出调整会更强（更弱）。最后，我们发现，当披露前的股票价格受到暂时性非基本面冲击的影响时，管理者更有可能从资本支出预测中获益。
