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解析作者 | 唧唧堂经济金融写作小组:
REBECCA
审校 | 唧唧堂经济金融写作小组：
san, 绵绵
1. 长期雇佣合同下的CEO更替和波动性
本文研究了首席执行官(CEO)的合同期限在CEO更替和公司政策中的作用。使用手工收集的3954份固定期限CEO合同数据，作者表明，合同期限下的剩余时间可以预测CEO的更替。当合同接近到期时，更替更有可能出现，对业绩也更敏感。实证结果还显示在合同下剩余时间与公司风险之间的正相关关系。短期合同和长期合同的结果是相似的，这些结果既不是由公司或CEO的生存驱动，也不是由技术周期驱动的。它们与采取短期波动的长期项目的激励措施一致。
We study the role of the contractual time horizon of chief executive officers (CEOs) for CEO turnover and corporate policies. Using hand-collected data on 3,954 fixed-term CEO contracts, we show that remaining time under contract predicts CEO turnover. When contracts are close to expiration, turnover is more likely and is more sensitive to performance. We also show a positive within-CEO relation between remaining time under contract and firm risk. Our results are similar across short and long contracts and are driven neither by firm or CEO survival, nor technological cycles. They are consistent with incentives to take long-term projects with interim volatility.
参考文献：Cziraki, P., & Groen-Xu, M. (2020). CEO Turnover and Volatility under Long-Term Employment Contracts. Journal of Financial and Quantitative Analysis, 55(6), 1757-1791. doi:10.1017/S0022109019000632
2. 限价订单市场的流动性和信息
本文主要研究知情交易如何影响限价订单市场中的流动性，交易者如何在市价单（要求流动性）和限价单（提供流动性）之间进行选择？在本文提出的动态模型中，全面的知情交易有助于提高流动性，原因在于，较高比例的知情交易者一方面可以通过买卖差价和市场弹性来改善流动性，另一方面不会对订单的价格产生影响。该模型产生了其他可测试的含义，并提出了知情交易的新指标。
How does informed trading affect liquidity in limit order markets, where traders can choose between market orders (demanding liquidity) and limit orders (providing liquidity)? In a dynamic model, informed trading overall helps liquidity: A higher share of informed traders i) improves liquidity as proxied by the bid–ask spread and market resiliency, and ii) has no effect on the price impact of orders. The model generates other testable implications, and suggests new measures of informed trading.
参考文献：Roşu, I. (2020). Liquidity and Information in Limit Order Markets. Journal of Financial and Quantitative Analysis, 55(6), 1792-1839. doi:10.1017/S0022109019000759
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3. 夏普比率模型比较
本文旨在说明，当模型错误定价的程度由夏普比率的平方改进指标测度时，如何进行模型比较的渐近有效检验。这相当于根据最大夏普比率对模型进行排名以适应非嵌套模型的比较，有效地扩展了Gibbons、Ross和Shanken(1989)的检验。模拟投资组合可以替代任何非交易模型因素，并在统计推断中考虑了投资组合权重的估计误差。Fama和French(2018) 6因子模型的一个变体成为主导模型，即该模型中具有常规价差的每月新版本。
We show how to conduct asymptotically valid tests of model comparison when the extent of model mispricing is gauged by the squared Sharpe ratio improvement measure. This is equivalent to ranking models on their maximum Sharpe ratios, effectively extending the Gibbons, Ross, and Shanken (1989) test to accommodate the comparison of nonnested models. Mimicking portfolios can be substituted for any nontraded model factors, and estimation error in the portfolio weights is taken into account in the statistical inference. A variant of the Fama and French (2018) 6-factor model, with a monthly updated version of the usual value spread, emerges as the dominant model.
参考文献：Barillas, F., Kan, R., Robotti, C., & Shanken, J. (2020). Model Comparison with Sharpe Ratios. Journal of Financial and Quantitative Analysis, 55(6), 1840-1874. doi:10.1017/S0022109019000589
4. 同行监督，联合，和动态的风险资本互动:理论和证据
本文提出了一个理论模型，为风险资本家(VC)联合组织的形成提供了一个新的理论基础，并通过实证检验了该模型的预测性。企业家可以从一个风投公司或两个不同的风投公司获得融资和两个不同的增值投入，每个风投公司都在其专业领域内运作。该模型描述了企业家在与单个风投公司、单独与多个风投公司或与一个风险投资财团（辛迪加）签约之间的均衡选择。研究表明，辛迪加在价值增加方面减轻了风险投资的道德风险问题。文章进一步分析了风险投资辛迪加组成的动态规律。最后，本文实证分析结果与模型预测是一致的。
We develop a theoretical model providing a new rationale for venture capitalist (VC) syndicate formation and empirically test our model predictions. An entrepreneur obtains financing and two different value-adding inputs from a single VC or from two different VCs, each operating in his area of expertise. We characterize the entrepreneur’s equilibrium choice between contracting with a single VC, individually with multiple VCs, or with a VC syndicate. We show that syndicates mitigate VCs’ moral hazard problem in value addition. We also analyze the dynamics of VC syndicate composition. The results of our empirical analysis are consistent with our model’s predictions.
参考文献：Bayar, O., Chemmanur, T., & Tian, X. (2020). Peer Monitoring, Syndication, and the Dynamics of Venture Capital Interactions: Theory and Evidence. Journal of Financial and Quantitative Analysis, 55(6), 1875-1914. doi:10.1017/S0022109019000218
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5. 衡量股票推荐的增值
利用斯德哥尔摩证券交易所(SSE)的数据，本文研究了分析师推荐的增值(与异常回报不同)。推荐经纪人的客户以牺牲其他经纪人客户的利益为代价，围绕积极的推荐进行有利可图的交易。大量利润来自于推荐日期之前的交易。尽管有很高的异常收益，但增值对于升级到大盘股而言最大，而对于降级和建议小盘股而言却微不足道。经纪人提供有利可图的推荐会产生异常高的佣金收入，收回大部分客户的异常利润，其异常的佣金收入随客户的异常利润而变化。
Using data from the Stockholm Stock Exchange (SSE), we study the value added by (as distinct from the abnormal returns to) analysts’ recommendations. Recommending brokers’ clients trade profitably around positive recommendations at the expense of other brokers’ clients. Significant profits come from transactions before recommendation dates. Value added is greatest for upgrades to large caps, and largely insignificant for downgrades and recommendations of small caps, despite high abnormal returns. Brokers making profitable recommendations generate abnormally high commission income, recouping much of their clients’ abnormal profits, and their abnormal commission income varies in line with the abnormal profits for their clients.
参考文献：Anderson, A., Jones, H., & Martinez, J. (2020). Measuring the Added Value of Stock Recommendations. Journal of Financial and Quantitative Analysis, 55(6), 1915-1945. doi:10.1017/S0022109019000413
6. 目标市场价值杠杆的调整速度远低于你的想象
在资本结构文献中，无论使用账面杠杆还是市场杠杆，调整速度（SOA）估计都是相似的。鉴于调查证据表明企业以账面杠杆为目标，而经验证据表明它们没有发行证券来抵消因股价变化引起的市场杠杆率变化，因此这种稳健性值得怀疑。本文显示，由于股票价格波动的消极影响，现有的市场SOA估计值明显偏高。为控制这种偏见，SOA估计的账面杠杆为16％，市场杠杆为10％，这意味着权衡理论不如以前想象的那么重要。
In the capital structure literature, speed of adjustment (SOA) estimates are similar whether book or market leverage is used. This robustness is suspect, given the survey evidence that firms target their book leverage and the empirical evidence that they don’t issue securities to offset market leverage changes caused by stock price changes. We show that existing market SOA estimates are substantially upward biased due to the passive influence of stock price fluctuations. Controlling for this bias, the SOA estimate is 16% for book leverage and 10% for market leverage, implying that the trade-off theory is less important than previously thought.
参考文献：Yin, Q., & Ritter, J. (2020). The Speed of Adjustment to the Target Market Value Leverage Is Slower Than You Think. Journal of Financial and Quantitative Analysis, 55(6), 1946-1977. doi:10.1017/S0022109019000516
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7. 邻近性对投资的因果效应：来自航班介绍的证据
本文引入直航作为对共同基金和公司之间旅行时间的外生冲击，以估计邻近性对基金投资决策和业绩的因果关系。本文发现，在直航引入后，基金对更接近的公司的投资显著增加，而这些更接近的投资表现更佳。该研究结果稳健地涵盖了各种固定效应和潜在混杂因素，如公司层面的冲击、基金层面的冲击和时间趋势。总体而言，本文结果表明，邻近性增强了投资者获取公司价值相关信息的能力。
We use the introduction of direct flights as an exogenous shock to the travel time between mutual funds and firms to estimate the causal effects of proximity on fund investment decisions and performance. We find that a fund invests significantly more in firms that become more proximate following the introduction of direct flights and that these more proximate investments exhibit superior performance. Our findings are robust to including a variety of fixed effects and potential confounders such as firm-level shocks, fund-level shocks, and time trends. Collectively, our results indicate that proximity enhances investors’ ability to acquire value-relevant information about firms.
参考文献：Ellis, J., Madureira, L., & Underwood, S. (2020). The Causal Effects of Proximity on Investment: Evidence from Flight Introductions. Journal of Financial and Quantitative Analysis, 55(6), 1978-2004. doi:10.1017/S0022109019000565
8. 承销商是否会通过抬高IPO价格来防止投资者撤资?
本文研究了承销商是否通过抬高首次公开发行(IPO)的价格，以防止投资者退出。作者利用了经验策略中IPO价格分布在申报区间的低边界附近的不连续性。在此边界处定价的事前提款概率很高的产品，其定价可能会满足发行人的保留价。文中将这些IPO的售后市场收益与发行人的保留价可能没有约束力的其他需求疲弱的产品的收益进行了比较，确定了负8.4个百分点的差异是由于将价格定为低价所固有的激进定价时退出风险高。
We examine whether underwriters price up weakly demanded initial public offerings (IPOs) to prevent withdrawal. Our empirical strategy exploits a discontinuity in the distribution of IPO prices around the low boundary of the filing range. Offerings with a high ex ante withdrawal probability that are priced at this boundary are likely priced up to meet issuers’ reservation prices. We compare the aftermarket returns of these IPOs to the returns of other weakly demanded offerings where issuers’ reservation prices were likely not binding, and we identify a negative 8.4-percentage-point differential attributable to the aggressive pricing inherent in setting the price at the low boundary when withdrawal risk is high.
参考文献：Busaba, W., Liu, Z., & Restrepo, F. (2020). Do Underwriters Price Up IPOs to Prevent Withdrawal? Journal of Financial and Quantitative Analysis, 55(6), 2005-2036. doi:10.1017/S0022109019000553
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9. 全球市场中的信息壁垒：来自国际分包关系的证据
本文研究了全球市场上的信息壁垒与资产管理的组织形式之间的联系。基金家族会将其在信息方面处于劣势、无法产生业绩的基金外包出去。利用一个自我选择的结构模型，作者将外包决策内化，估计每月外包的正收益为4-14个基点，从而将外包基金的绩效不佳与基金家族的绩效最大化相协调。外包带来的收益为区分全球金融市场的信息壁垒提供了一种新的度量:基金投资的基础市场越细分，外包带来的收益就越大。
We study the link between information barriers in global markets and the organizational form of asset management. Fund families outsource funds in which they are at an informational disadvantage to generate performance. Using a structural model of self-selection, we endogenize the outsourcing decision and estimate positive gains from outsourcing of 4–14 basis points per month, thereby reconciling underperformance of outsourced funds with performance maximization by fund families. The gains from outsourcing provide a novel proxy for the information barriers that segment global financial markets: The more segmented the underlying markets where the funds invest, the larger the gains from outsourcing.
参考文献：Massa, M., & Schumacher, D. (2020). Information Barriers in Global Markets: Evidence from International Subcontracting Relationships. Journal of Financial and Quantitative Analysis, 55(6), 2037-2072. doi:10.1017/S0022109019000528
10. 个人承诺和团队绩效:来自共同基金经理的证据
心理学文献表明，个人承诺通过减轻搭便车问题对团队绩效产生积极影响。凭借其详细的管理团队信息，共同基金行业为研究个人管理承诺与绩效之间的关系提供了一个独特的机会。承诺基金经理（Committed fund managers）的定义是仅为一只基金工作的基金经理。由于缺乏获取私人信息的动机，没有承诺成员的团队的表现要低于拥有承诺成员的团队。在纳入各种控制变量后，该结果依然稳健。作者还进一步探究了为什么有些不负责任的团队尽管绩效不佳，却越来越多地被使用。
The psychology literature suggests that individual commitment has a positive effect on team performance by mitigating the free-rider problem. With its detailed management-team information, the mutual fund industry provides a unique opportunity to study how individual managerial commitment is related to performance. Committed fund managers are defined as those who work only for one fund. With few incentives to acquire private information, teams with no committed members underperform those with committed members. These findings remain robust after we incorporate various controls. We also explore why non-committed teams have been used increasingly often despite their poor performance.
