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解析文章首发于唧唧堂网站www.jijitang.com
解析作者 | 唧唧堂经济与金融学研究小组：
浅烟
；审校编辑 |
悠悠 糖糖
1.首席执行官与产品市场：
何时一个强大的CEO是有益的？
我们研究了在评估赋予首席执行官(CEO)权力的收益和成本时，工业产品市场状况是否重要。
我们发现，在公司处于需求较高的产品市场，即公司更可能面临更多新入行者的威胁时，更有可能拥有强大的CEO。
在这些市场中，投资者对给予首席执行官更多权力的公告反应良好，而首席执行官权力与更高的市场价值、销售增长、投资、广告和更多新产品的推出相关。
我们的研究结果在考虑CEO权力的内生性问题时仍然具有重要意义，即利用过去非CEO执行董事和董事的突然死亡来作为工具变量CEO权力。
We examine whether industry product market conditions are important in assessing the benefits and costs of chief executive officer (CEO) power. We find that firms are more likely to have powerful CEOs in high demand product markets where firms are facing entry threats. In these markets, investors react favorably to announcements granting more power to CEOs, and CEO power is associated with higher market value, sales growth, investment, advertising, and the introduction of more new products. Our results remain significant when addressing the endogeneity of CEO power by instrumenting CEO power with past non-CEO executive and director sudden deaths.
参考文献：
Li, M., Lu, Y., & Phillips, G. M. (2019). CEOs and the product market: when are powerful CEOs beneficial?. Journal of Financial and Quantitative Analysis, 54(6), 2295-2326.
2.预期塑造与关注协调：
FOMC发布会的意外结果
为了增加透明度，美联储主席会在联邦公开市场委员会(FOMC)公告(但不是全部)后召开新闻发布会(PC)。
来自金融市场的证据表明，在没有美联储新闻发布会的日子里，投资者会降低对重要决策的预期，而这些公告传递的与价格有关的信息也较少。
相应地，我们发现投资者更关注即将发布的美联储新闻发布会。
这种注意力的协调会降低福利模式中公共信息的社会价值。
与投资者关注理论相一致，市场风险溢价在召开美联储发布会的日子更大。
In an effort to increase transparency, the chair of the Federal Reserve now holds a press conference (PC) following some, but not all, Federal Open Market Committee (FOMC) announcements. Evidence from financial markets shows that investors lower their expectations of important decisions on days without PCs and that these announcements convey less price-relevant information. Correspondingly, we show that investors pay more attention to upcoming announcements with PCs. This coordination of attention can reduce welfare in models of the social value of public information. Consistent with theories of investor attention, the market risk premium is larger on days with PCs.
参考文献：
Boguth, O., Grégoire, V., & Martineau, C. (2019). Shaping expectations and coordinating attention: The unintended consequences of FOMC press conferences. Journal of Financial and Quantitative Analysis, 54(6), 2327-2353.
3.流动性信息与金融脆弱性：
来自对冲基金的基金的证据。
我们通过开发一种新的衡量方法——非流动性缺口，来考察对冲基金的基金的流动性转换，该方法抓住了其投资组合的流动性与投资者可获得的流动性之间的不匹配。
我们发现，更高的流动性转换是由FoFs的激励措施驱动的，以吸引更多的资本和获得更高的报酬。
流动性转型程度越高，投资者挤兑风险就越大，危机期间的业绩就越差。
最后，FoFs通过维持更高的现金缓冲来降低与流动性转型相关的风险。
We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, that captures the mismatch between the liquidity of their portfolios and the liquidity available to their investors. We find that higher liquidity transformation is driven by FoFs’ incentives to attract more capital and earn higher compensation. Greater liquidity transformation is associated with higher exposure to investor runs and worse performance during crisis periods. Finally, FoFs mitigate the risks associated with liquidity transformation by maintaining higher cash buffers
参考文献：
Agarwal, V., Aragon, G. O., & Shi, Z. (2019). Liquidity transformation and financial fragility: Evidence from funds of hedge funds. Journal of Financial and Quantitative Analysis, 54(6), 2355-2381.
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4.高管人力资本，发明者流动性与企业创新
作者利用高层管理特征面板数据和基于个体管理质量测度的公共因子分析构建的管理质量因子，分析了高管质量与企业创新投入产出的关系。
我们证明了高管质量是企业创新的一个重要决定因素，管理质量的各个方面对新老企业创新的影响是不同的。
此外，具有较高最高管理质量的企业会采用更具风险性的(探索性)创新战略。
最后，雇佣更多和更高质量的发明者是拥有更高管理质量的公司实现更大创新产出的重要渠道。
Using panel data on top management characteristics and a management quality factor constructed using common factor analysis on individual management quality measures, we analyze the relation between top firm management quality and corporate innovation input and output. We show that top management quality is an important determinant of corporate innovation, with individual aspects of management quality affecting innovation in younger and older firms differently. Further, firms with higher top management quality engage in more risky (“explorative”) innovation strategies. Finally, hiring more and higher-quality inventors is an important channel through which firms with higher management quality achieve greater innovation output.
参考文献：
Chemmanur, T. J., Kong, L., Krishnan, K., & Yu, Q. (2019). Top management human capital, inventor mobility, and corporate innovation. Journal of Financial and Quantitative Analysis, 54(6), 2383-2422.
5.波动率的波动风险
研究表明，市场波动率是影响指数和波动率指数期权收益的重要风险因素，其影响范围超出了波动率本身。
波动率和波动率指数的波动率分别被称为VIX和VVIX，它们之间的相关性很弱。
delta对冲的指数和VIX期权回报率平均为负，对于那些更容易受到波动性和波动性的风险影响的策略来说，回报率更负。
此外，波动性和波动性的波动性显著负向预测未来的对冲期权收益。
证据表明，波动率和波动率的波动风险是共同定价的，具有负的市场风险价格。
We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility indices, identified model-free as the VIX and VVIX, respectively, are only weakly related to each other. Delta-hedged index and VIX option returns are negative on average and are more negative for strategies that are more exposed to volatility and volatility-of-volatility risks. Further, volatility and volatility of volatility significantly negatively predict future delta-hedged option payoffs. The evidence suggests that volatility and volatility-of-volatility risks are jointly priced and have negative market prices of risk.
参考文献：
Huang, D., Schlag, C., Shaliastovich, I., & Thimme, J. (2019). Volatility-of-volatility risk. Journal of Financial and Quantitative Analysis, 54(6), 2423-2452.
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6.注意力分散的机构投资者
作者调查了分心如何影响专业资产经理的交易行为。
通过研究详细的交易层面数据，我发现，在投资组合中有很大一部分股票是发布了业绩公告的基金经理，在其他股票上进行交易的可能性要低得多，这表明这些公告转移了投资者对其他股票交易决策的注意力。
这种分散注意力的效果在那些积极选择股票的主动型经理身上表现得更为明显。
最后，作者确定了分散注意力会影响经理人业绩的三个渠道:注意力分散的经理人获利较少，交易成本略高，而且不太可能平仓。
I investigate how distraction affects the trading behavior of professional asset managers. Exploring detailed transaction-level data, I show that managers with a large fraction of portfolio stocks that have an earnings announcement are significantly less likely to trade in other stocks, suggesting that these announcements divert attention from trading decisions for other stocks. This distraction effect is more pronounced for nonpassive managers who engage in active s
tock selection choices. Finally, I identify three channels through which distraction hurts managers’ performance: Distracted managers trade less profitably, incur slightly higher transaction costs, and are less likely to close losing positions
参考文献：
Schmidt, D. (2019). Distracted institutional investors. Journal of Financial and Quantitative Analysis, 54(6), 2453-2491.
7.关注市场信息以及对市场波动日收益反应不足
盈余公告效应(PEAD)在那些在市场回报率较高的日子发布收益的公司中表现得更为强烈。
在控制了之前记录的因素(如周五发布、同时发布的数量和价格延迟度量)之后，这种效应仍然很明显。
负收益意外推动了这种趋势，这种趋势在小型股、价值型股和分析师关注程度较低的股票中更为明显。
分析师对收益的反应较慢也是造成这种效应的原因之一。
这些发现与投资者更关注市场信息而较少关注公司特定信息是一致的。
Post-earnings announcement drift (PEAD) is stronger in firms that release earnings on days when market returns are higher in magnitude. This drift remains robust after controlling for previously documented factors such as Friday releases, the number of simultaneous releases, and price delay measure. Negative earnings surprises drive this drift, and the drift is more pronounced among small stocks, value stocks, and stocks that have low analyst following. Slower analyst response to earnings contributes to the drift. These findings are consistent with investors paying more attention to market information and less attention to firm-specific information due to attention constraints.
参考文献：
Kottimukkalur, B. (2019). Attention to market information and underreaction to earnings on market moving days. Journal of Financial and Quantitative Analysis, 54(6), 2493-2516.
8.新的熵约束与对更具体资产定价模型的要求
本文提出以m*m的熵(m为随机折现因子)作为评价资产定价模型的指标。
当m正确地为有限数量的回报定价时，我们建立了m*m的熵的边界，并考虑了m高于下界而在m*m上失败的模型。
在解释我们的结果时，我们详细阐述了m*m的熵与m的熵之间的区别。
我们进一步的研究表明，m*m的熵代表了以m为回报的证券的期望超额(log)回报的一个上界。
This article proposes the entropy of m2 (m is the stochastic discount factor) as a metric to evaluate asset-pricing models. We develop a bound on the entropy of m2 when m correctly prices a finite number of returns and consider models that pass the lower bound on m, yet fail the lower bound on m2. Interpreting our results, we elaborate on the distinction between the entropy of m2 versus the entropy of m. We further show that the entropy of m2 represents an upper bound on the expected excess (log) return of the sec
urity with the payoff of m
.
参考文献：
Bakshi, G., & Chabi-Yo, F. (2014). New entropy restrictions and the quest for better specified asset pricing models. Charles A. Dice Center Working Paper, (2014-07).
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9.保险公司之间的投资共性:火灾保险销售风险和公司收益差
保险公司通常遵循高度相关的投资策略。
作为公司债券的主要投资者，它们的投资共性使投资者在监管限制导致评级下调后大量撤资的情况下面临贱卖风险。
保险公司的投资主要聚集在债券，这对收益率差、流动性、信用风险等因素具有显著的解释力，反映了火灾销售风险。
保险公司的集群化对债券收益率息差的影响在金融危机期间更为明显，因为资本受限的保险公司、那些评级更接近美国保险专员协会(National Association of insurance commission)、资本金要求更高的风险类别的保险公司所持有的债券规模更大。
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of fire sale risk, the clustering of insurance companies in a bond has significant explanatory power for yield spreads, controlling for liquidity, credit risk, and other factors. The effect of insurer clustering on bond yield spreads is more evident for bonds held to a greater extent by capital-constrained insurance companies, those with ratings closer to National Association of Insurance Commissioners risk categories with larger capital requirements, and during the financial crisis.
参考文献：
Nanda, V., Wu, W., & Zhou, X. A. (2019). Investment commonality across insurance companies: Fire sale risk and corporate yield spreads. Journal of Financial and Quantitative Analysis, 54(6), 2543-2574.
10.利用MIDAS Logit模型预测美国银行的倒闭
我们提出了一种基于logit模型的新方法来提高美国银行破产预测的准确性。
混合数据抽样(MIDAS)是在逻辑回归的背景下引入的。
我们还缓解了数据中的类别不平衡问题，调整了分类评估精度。
我们将模型应用于2004年至2016年期间，结果表明，与经典的logit模型相比，此模型能够正确地分类更多的银行破产案例，特别是在长期预测方面。
最近美国一些被错误分类的银行倒闭现在被正确地预测到了。
We propose a new approach based on a generalization of the logit model to improve prediction accuracy in U.S. bank failures. Mixed-data sampling (MIDAS) is introduced in the context of a logistic regression. We also mitigate the class-imbalance problem in data and adjust the classification accuracy evaluation. In applying the suggested model to the period from 2004 to 2016, we show that it correctly classifies significantly more bank failure cases than the classic logit model, in particular for long-term forecasting horizons. Some of the largest recent bank failures in the United States that had been previously misclassified are now correctly predicted.
参考文献：
Audrino, F., Kostrov, A., & Ortega, J. P. (2019). Predicting US bank failures with MIDAS logit models. Journal of Financial and Quantitative Analysis, 54(6), 2575-2603.
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11.交易关系对低信息不对称场外市场执行成本的影响
交易员可以通过与经销商建立关系来降低在经销商市场的搜索成本。
然而，由于低风险和信息不对称，交易商从这些关系中获得的信息收益很少。
我们调查了范围，持续时间，对定价的影响，以及客户和经销商关系的潜在利益。
发现关系增强会导致客户的执行成本增加，在市场压力较大的情况下会增加更多，但在信息不对称和公司债券交易的情况下会减少。
当搜索成本高昂时，关系交易员会立刻得到的补偿。
Traders can reduce search costs in dealership markets by entering relationships with dealers. However, dealers draw little informational benefit from these relationships in Treasury markets, due to low risk and information asymmetry. We investigate the extent, duration, effects on pricing, and potential benefits of client–dealer relationships. We find that relationship strength leads to higher execution costs for clients, more so during stressed market conditions but less so in the presence of information asymmetry and when trading in corporate bonds. Relationship traders are compensated with immediacy at times when search is costly.
