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解析文章首发于唧唧堂网站www.jijitang.com
解析作者 | 唧唧堂经济金融写作小组：
梅子
；审校编辑 |
悠悠
1.限制短期投资的影响
我们检验了一系列为解决金融市场中的“短期主义”而提出的政策并研究其影响。为此，我们研究了一个噪音理性预期模型。在这个模型中，投资者的风险敞口和有关基本面的信息在不同领域内有着内源性差异。在这种环境下，对短期投资征税或将短期投资定为非法不会对长期基本面的价格信息产生负面影响。然而，这样的政策降低了短期和长期投资者的利润和效用。以牺牲短期投资者的利益为代价改变有关短期信息发布的政策，可以帮助长期投资者——这是一些决策者的目标。但这样做也会降低价格的信息含量，并增加投机成本。
We study the effects of policies proposed to address “short-termism” in financial markets. We examine a noisy rational expectations model in which investors’ exposures and information about fundamentals endogenously vary across horizons. In this environment, taxing or outlawing short-term investment doesn’t negatively affect the information in prices about long-term fundamentals. However, such a policy reduces short- and long-term investors’ profits and utility. Changing policies about the release of short-term information can help long-term investors—an objective of some policy makers—at the expense of short-term investors. Doing so also makes prices less informative and increases costs of speculation.
参考文献：
Nicolas Crouzet, Ian Dew-Becker, Charles G Nathanson, On the Effects of Restricting Short-Term Investment, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 1–43.
2.流动性供应合约和市场质量：来自纽约证券交易所的证据
我们利用纽约证券交易所指定做市商（DMM）合约的不连续性（DMM的义务和补偿在达到某个条件门槛时发生变化）来确定DMM的参与对均衡市场质量的因果影响。我们证明了，DMM合约增强（合约规定的义务和补偿增加）使市场深度增加、买卖价差缩小和价格改善速度加快。上述（市场质量的）改善大部分是由纽约证交所以外的市场流动性供应增加所带来的。这些结果不能归因于合约中义务和补偿激励变化的机械效应。此外，这些结果还表明做市具有策略互补特征。
We exploit a discontinuity in the New York Stock Exchange Designated Market Maker (DMM) contract to identify causal effects of DMM participation on equilibrium market outcomes. We document that contractual features that enhance DMM participation are associated with increased depth, narrower bid-ask spreads, and higher rates of price improvement, with most of the improvements attributable to increases in liquidity provision on markets other than the NYSE. These results cannot be attributed to the mechanical effects of the contractual changes and support the interpretation that market making is characterized by strategic complementarity.
参考文献：
Hendrik Bessembinder, Jia Hao, Kuncheng Zheng, Liquidity Provision Contracts and Market Quality: Evidence from the New York Stock Exchange, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 44–74.
3.挤兑：机构流动性需求对月度市场的影响
我们提供了广泛的证据表明，每月付款周期在全球流动性市场上形成了系统模式。首先，我们用证据证明了在月末现金需求相关的关键日期，债务和权益资本正好暂时增加。其次，我们提出了直接和间接证据，证明了机构在这些模式的起源中的作用，并得出了市场参与者承担的相关成本估计。再有，也是最后一点，我们研究了阻碍市场有效运作的套利限制。我们的结果表明，许多投资者及其代理人，包括共同基金，都遭受了与流动性相关的交易困境。
We present broad-based evidence that the monthly payment cycle induces systematic patterns in liquid markets around the globe. First, we document temporary increases in the costs of debt and equity capital that coincide with key dates associated with month-end cash needs. Second, we present direct and indirect evidence on the role of institutions in the genesis of these patterns and derive estimates of the associated costs borne by market participants. Third, and finally, we investigate the limits to arbitrage that prevent markets from functioning efficiently. Our results indicate that many investors and their agents, including mutual funds, suffer from liquidity-related trading.
参考文献：
Erkko Etula, Kalle Rinne, Matti Suominen, Lauri Vaittinen, Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 75–111.
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4.交叉上市，信贷与股票收益的动态关系
我们研究了在多个市场上市如何影响企业信用违约互换（CDS）与股票收益之间的动态关系。我们发现交叉上市增加了（1）CDS对股票收益的敏感性，（2）CDS与世界股票和债券市场的整合，以及（3）CDS与股票价格的统计同步性。对于媒体关注度更高、分析师和CDS覆盖面更广、谷歌搜索强度更大以及在熟悉市场上市的公司，我们的结果更为强劲。我们认为，通过减少信息摩擦，一个公司在全球股票市场上市可以改善信贷与股票的整合。
We study how listing in multiple markets affects the dynamics between firms’ credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest that a firm’s presence in global equity markets comes with an improvement in the credit-equity integration through a reduction of informational frictions.
参考文献：
Patrick Augustin, Feng Jiao, Sergei Sarkissian, Michael J Schill, Cross-Listings and the Dynamics between Credit and Equity Returns, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 112–154.
5.特质跳跃风险问题：来自股票收益和期权的证据
关于特质风险定价，最近的文献提供了相互矛盾的经验证据。通过利用丰富的期权数据，本文对这一问题有了新的了解。首先，我们发现特质风险解释了股票风险溢价中28%的变化。其次，我们表明特质风险对股权溢价的贡献完全来自跳跃风险。再有，我们证明了特质尾部风险表现出的共性比文献里所记载的总特质风险表现出的共性要强得多。因此，尾部风险在特质风险的定价中起着核心作用。
The recent literature provides conflicting empirical evidence about the pricing of idiosyncratic risk. This paper sheds new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity premium arises exclusively from jump risk. Third, we document that the commonality in idiosyncratic tail risk is much stronger than that in total idiosyncratic risk documented in the literature. Tail risk thus plays a central role in the pricing of idiosyncratic risk.
参考文献：
Jean-François Bégin, Christian Dorion, Geneviève Gauthier, Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 155–211.
6.互换利差转负和有限套利
自2008年10月以来，30年期利率互换的固定利率大多低于30年期国债利率。在标准假设下，这意味着存在套利机会。本文提出了一个利率互换定价模型，该模型考虑了债券持有成本对套利的限制。我通过分析表明，互换利差转负不应该令人惊讶。在定量分析模型中，无需互换市场上出现巨大的需求失衡，互换利差即可以大致与实证数据中2008年前后的利差相匹配。实证结果还证明了模型中的期限利差和互换利差之间的关系。
Since October 2008, fixed rates for interest rate swaps with a 30-year maturity have been mostly below Treasury rates with the same maturity. Under standard assumptions, this implies the existence of arbitrage opportunities. This paper presents a model for pricing interest rate swaps, where frictions for holding bonds limit arbitrage. I analytically show that negative swap spreads should not be surprising. In the calibrated model, swap spreads can reasonably match empirical counterparts without the need for large demand imbalances in the swap market. Empirical evidence is consistent with the relation between term spreads and swap spreads in the model.
参考文献：
Urban J Jermann, Negative Swap Spreads and Limited Arbitrage, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 212–238.
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7.论汇率的资产市场观
如果资产市场是完全的，那么国外和国内代理人的跨期边际替代率的对数（log IMRS）之差（在经济意义上被解释为国外和国内代理人对资产回报不确定性敞口所要求的风险补偿之间的差异）等于实际汇率变化的对数。作为汇率的资产市场观，上述等式经常被用来论证下述观点：实际汇率的变化反映了国外和国内代理人所要求的风险补偿不同。我们表明，进行无摩擦交易的资产的相对收益（即风险补偿）仅反映在国外和国内代理人的跨期边际替代率的共有成分上，而没有反映在差异上。相反，商品市场中的摩擦才是国外和国内代理人的跨期边际替代率在经济意义上的差异来源，当汇率的资产市场观确实提供了一些洞见时。
If the asset market is complete, then the difference between foreign and domestic agents’ log intertemporal marginal rates of substitution (IMRSs) equals the log change in the real exchange rate. This equation is frequently used to argue that changes in real exchange rates reflect differences between agents’ required compensation for exposure to asset return uncertainty. We show that the relative returns on frictionlessly traded assets are only reflected in the common component of agents’ IMRSs, not in differences. Instead, when this equation does offer insights, frictions in the goods market are the source of economic distinction between agents.
参考文献：
A Craig Burnside, Jeremy J Graveline, On the Asset Market View of Exchange Rates, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 239–260.
8.公司债务优先级分散
优先权分散是指企业在信用质量下降时，增加对抵押债务和次级债务的依赖，减少对优先债务的依赖。我们认为，优先权分散之所以发生，是因为与承诺优先支付的契约条款相比，抵押为债权人提供了更大的保护，使其权益免受其他债权人的稀释。与此观点一致，我们发现，在债务重组中，有抵押的银行债权人权益很少被次级债权人稀释，而优先无抵押债权人的权益则经常被稀释；资产波动性的外生增加使债权人对债权被稀释和企业违反优先权规则的担忧增加，导致优先无抵押债务相对于抵押债务和次级债务的发行成本增加，从而造成更大程度的优先权分散，且随着资产波动性的增加，优先债券和次级债券的收益率趋于一致。
Priority spreading refers to the practice of firms increasing their reliance on secured and subordinated debt and reducing their reliance on senior debt as their credit quality deteriorates. We argue that priority spreading occurs because security provides creditors with greater protection from dilution from other creditors than do covenants that prioritize payments. Consistent with this argument, we find that secured bank creditors are rarely diluted by junior creditors in distressed restructurings, whereas senior unsecured creditors are frequently diluted, exogenous increases in asset volatility result in greater priority spreading and yields on senior and subordinated bonds converge as asset volatility increases.
参考文献：
Dominique C Badoer, Evan Dudley, Christopher M James, Priority Spreading of Corporate Debt, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 261–308.
9.投资时机和激励成本
我们分析了平滑调整资本的成本（如激励成本）对投资时机的影响。在我们的模型中，企业的所有者一方面持有实物期权可以用来增加大型资本，另一方面也可以平滑地调整增量资本。增量资本的成本增加可以延缓或加速对大型资本的投资。由道德风险引起的激励成本是增量资本积累过程中自然的成本来源。当道德风险严重时，延迟对大型资本的投资需付出高昂的代价，且此时相对于最佳情形，过度投资是最优的。
We analyze how the costs of smoothly adjusting capital, such as incentive costs, affect investment timing. In our model, the owner of a firm holds a real option to increase a lumpy form of capital and can also smoothly adjust an incremental form of capital. Increasing the cost of incremental capital can delay or accelerate investment in lumpy capital. Incentive costs due to moral hazard are a natural source of costs for the accumulation of incremental capital. When moral hazard is severe, delaying investment in lumpy capital is costly, and overinvesting relative to the first-best case is optimal.
参考文献：
Sebastian Gryglewicz, Barney Hartman-Glaser, Investment Timing and Incentive Costs*, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 309–357.
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10.企业风险投资的生命周期
本文研究了工业企业对创业企业进行企业风险投资(CVC)的原因。我利用CVC部门进入、投资和终止这三个阶段的决策来检验CVC的其他作用。CVC集中进入那些经历了内部创新情况恶化的公司。在投资阶段，CVC会选择具有类似的技术重点但知识基础不重叠的初创企业，并且将这些企业开发出的创造了战略价值的技术整合在一起。当母公司的创新能力恢复时，CVC就到了终止阶段。总的来说，在遭受负面冲击后解决创新不足的战略愿望促使企业采用CVC。
This paper investigates why industrial firms conduct Corporate Venture Capital (CVC) investment in entrepreneurial companies. I test alternative views on CVC by exploiting the entry, investment, and termination decisions of CVC divisions. CVC entry concentrates in firms that experience deteriorations of internal innovation. At the investment stage, CVCs select startups with a similar technological focus but that have a non-overlapping knowledge base, and they integrate technologies generated from these ventures that create strategic value. CVCs are terminated when parent firms’ innovation recovers. Overall, the strategic desire to fix innovation weaknesses after adverse shocks motivates firms to adopt CVCs.
参考文献：
Song Ma, The Life Cycle of Corporate Venture Capital, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 358–394.
11.社会经济地位与宏观经济预期
我们的研究表明，个体的宏观经济预期受其社会经济地位（通过收入和教育来衡量）的影响。社会经济地位高的个体，即高收入人群或受过高等教育的人对未来的宏观经济发展（包括商业环境、全国失业率和股市回报）更为乐观。社会经济地位低的个体倾向于思考时更多地基于个人的经济环境，忽略宏观经济的好消息，对宏观经济的预期则更悲观。在经济衰退期间，社会经济地位高的个体和社会经济地位低的个体对宏观经济的预期非常相似，信念差异显著缩小，两者之间的信念楔子几乎消失。与专业预测者和历史数据的比较表明，上述两类个体之间的信念楔子（beliefs wedge）反映出后者的过度悲观。此外，受社会经济地位影响的宏观经济预期有助于解释为什么社会经济地位较高的个体更倾向于投资股市，且更有可能考虑购买房屋、耐用品或汽车。
We show that individuals’ macroeconomic expectations are influenced by their socioeconomic status (SES). People with higher income or higher education are more optimistic about future macroeconomic developments, including business conditions, the national unemployment rate, and stock market returns. The spread in beliefs between high- and low-SES individuals diminishes significantly during recessions. A comparison with professional forecasters and historical data reveals that the beliefs wedge reflects excessive pessimism on the part of low-SES individuals. SES-driven expectations help explain why higher-SES individuals are more inclined to invest in the stock market and more likely to consider purchasing homes, durable goods, or cars.
参考文献：
Sreyoshi Das, Camelia M Kuhnen, Stefan Nagel, Socioeconomic Status and Macroeconomic Expectations, The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 395–432.
12.同辈收入和财务困境：来自彩票中奖者和邻近破产的证据
我们研究了同辈之间的相对收入差异是否会引发财务困境。利用彩票中奖作为相对收入的外生变量，我们发现一个邻居中彩票的金额大小增加了其他邻居随后的借贷和破产。我们还研究了哪些因素可以减轻贷款机构面临的来自这些社区的破产风险。我们表明，破产申请者获得的更多是有担保而不是无担保的债务，贷款机构向低风险而不是高风险的债务人提供额外的信贷。此外，我们发现的相应证据表明，当地贷款机构利用软信息来降低信贷风险。
