唧唧堂：JFE 金融经济学期刊2021年2月刊论文摘要15篇

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解析作者 | 唧唧堂经济金融学写作小组： 王迪

审校 | 唧唧堂经济金融学写作小组： 绵绵

编辑 | 悠悠

1、匹兹堡怎么了? 受委托投资者和流动性集中度

What’s wrong with Pittsburgh? Delegated investors and liquidity concentration

摘要：是什么决定一种资产具备制度质量?本文认为其中一个原因是在一个市场里通过流动性渠道受委托投资者现有的集中程度。与这一直觉一致的是，本文记录了美国各城市投资者构成的差异，并表明受委托投资者将投资集中在成交量较高的城市。本人使用一个搜索模型进行估计，该模型展示了流动性偏好的异质性如何使某些市场更具流动性，即使资产拥有相同的现金流。本文为摩擦资产市场中出现的客户均衡提供了证据，并提出流动性渠道可以解释城市发展的不同路径。

What makes an asset institutional quality? This paper proposes that one reason is the existing concentration of delegated investors in a market through a liquidity channel. Consistent with this intuition, it documents differences in investor composition across US cities and shows that delegated investors concentrate their investments in cities with higher turnover. It then estimates a search model showing how heterogeneity in liquidity preferences makes some markets more liquid, even when assets have identical cash flows. The paper provides evidence for clientele equilibria arising in frictional asset markets and suggests that a liquidity channel may explain divergent paths in city development.

论文原文：

Reference: Andra C. Ghent, What’s wrong with Pittsburgh? Delegated investors and liquidity concentration, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 337-358, ISSN 0304-405X

2、坚持你的计划：当期偏差对信用卡还款的作用

Sticking to your plan: The role of present bias for credit card paydown

摘要：我们使用一个在线金融服务的数据表明许多消费者未能坚持自己设定的债务偿还计划。这种行为可以用当期偏差来解释。我们的实证方法采用了一个简洁的模型，该模型表明支出对工资收据的敏感性反映了有当期偏见的代理的短期不耐烦，也表明只有知道其未来不耐烦的代理在获得资源后才会降低这种敏感性。据此对用户进行分类，我们发现(i)成熟用户的债务偿还随着短期不耐烦而减少，以及(ii)计划偿还对成熟用户的实际偿还最具预测性。

We use data from an online financial service to show that many consumers fail to stick to their self-set debt paydown plans. This behavior is best explained by present bias. Our empirical approach is informed by a parsimonious model showing that the sensitivity of spending to paycheck receipt reflects a present-biased agents short-run impatience, and that this sensitivity is reduced by available resources only for agents who are aware (sophisticated) of their future impatience. Classifying users accordingly, we find that (i) sophisticated users debt paydown decreases with short-run impatience, and that (ii) planned paydown is most predictive of actual paydown for sophisticated users.

论文原文：

Reference: Theresa Kuchler, Michaela Pagel. Sticking to your plan: The role of present bias for credit card paydown, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 359-388, ISSN 0304-405X

3、多重借贷的动态理论?

A dynamic theory of multiple borrowing?

多重借贷——即借款人从多个贷款人获得重叠贷款——是许多信贷市场的一个普遍现象。我们建立了一个易于处理的、动态的多重借贷模型，并表明，由于重叠贷款的债权人可以将违约外部性强加给彼此，通过引入更多的债权人来扩大融资渠道可能会适得其反。资本配置被扭曲，偏离了最具生产力的用途。企业家选择了不充分的努力而获得低规模受益。当投资变得更具可质押性，或者当借款人能够接触到更多的贷款人时，这些问题就会加剧，这解释了为什么融资渠道的增加并不总能改善结果。

Multiple borrowing—when borrower obtains overlapping loans from multiple lenders—is a common phenomenon in many credit markets. We build a tractable, dynamic model of multiple borrowing and show that, because overlapping creditors can impose default externalities on each other, expanding financial access by introducing more lenders can backfire. Capital allocation is distorted away from the most productive uses. Entrepreneurs choose inefficient endeavors with low returns to scale. These problems are exacerbated when investments become more pledgeable or when borrowers have access to more lenders, explaining why increased access to finance does not always improve outcomes.

论文原文：

Reference: Daniel Green, Ernest Liu, A dynamic theory of multiple borrowing, Journal of Financial  Economics, Volume 139, Issue 2, 2021,

Pages 389-404, ISSN 0304-405X

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4、信号安全

Signaling safety

与信号模型的主要预测相反，现金流水平的变化在实证上并不跟随股息的变化。我们通过Campbell(1991) 分解从收益中获取有关现金流和贴现率的消息，发现如下: (1)股息变动和回购公告都预示着现金流波动率的变化(方向相反); (2)现金流波动率变化越大，公告的收益越大; (3)贴现率消息、现金流量水平消息和总股票收益率波动率均不随股利变化而变化。我们总结出现金流消息——而不是贴现率消息——驱动股利政策，而股利政策传达了关于未来现金流波动的信息。

Contrary to signaling models’ central predictions, changes in the level of cash flows do not empirically follow changes in dividends. We use the Campbell (1991) decomposition to construct cash-flow and discount-rate news from returns and find the following: (1) both dividend changes and repurchase announcements signal changes in cash-flow volatility (in opposite directions); (2) larger cash-flow volatility changes come with larger announcement returns; and (3) neither discount-rate news, nor the level of cash-flow news, nor total stock return volatility change following dividend changes. We conclude cash-flow news—and not discount-rate news—drive payout policy, and payout policy conveys information about future cash-flow volatility.

论文原文：

Reference: Roni Michaely, Stefano Rossi, Michael Weber, Signaling safety, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 405-427, ISSN 0304-405X, https://doi.org/10.1016/j.jfineco.2020.08.013.

5、ICAPM中的时变状态变量风险溢价

(注意：ICAPM是Intertemporal Capital Asset Pricing Model，可直译为跨期资本资产定价模型)

Time-varying state variable risk premia in the ICAPM

我们发现状态变量，如国库券利率和期限差，与消费增长之间的关系是时变的。在美国股票的横截面中，对状态变量的风险溢价随时间而相应变化。当一个状态变量相对于其自身历史强烈预测消费时，其年化风险溢价将增长6%(夏普比率为0.4)。这一效应表明，风险溢价可以转变符号，并在状态变量的条件方差中增加。这些时变风险溢价的常见驱动因素与跨期资本资产定价模型是一致的。基准因子包含与状态变量风险溢价相同的条件预期收益效应。

We find that the relation between state variables, such as the t-bill rate and term spread, and consumption growth is time-varying. In the cross-section of U.S. stocks, risk premia for exposure to state variables vary over time accordingly. When a state variable predicts consumption strongly relative to its own history, its annualized risk premium increases by 6% (0.4 in Sharpe ratio). This effect implies that risk premia can switch signs and are increasing in the conditional variance of the state variable. These common drivers of time-varying risk premia are consistent with the Intertemporal CAPM. Benchmark factors contain the same conditional expected return effects as state variable risk premia..

论文原文：

Reference: Pedro Barroso, Martijn Boons, Paul Karehnke, Time-varying state variable risk premia in the ICAPM, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 428-451, ISSN 0304-405X, https://doi.org/10.1016/j.jfineco.2020.07.016.、

6、银行监控:来自银团贷款的证据

Bank monitoring: Evidence from syndicated loans

我们直接衡量银行对银团贷款的监控。银行通常至少每月要求借款人提供信息。约20%的贷款涉及主动监控(即实地考察或第三方评估)。监控随着牵头银行的动机和信息价值的增加而增加，并与贷款息差和期限呈负相关。我们的测量方式捕捉到的银行监控可以补充或替代基于贷款保证契约的监控，这取决于银行监控是否能告知贷款保证契约的遵守情况。随着借款人财务状况和信贷额度的恶化，银行会加强监控。最后，银行监控与未来违反契约和贷款重新商议呈正相关。

We directly measure banks’ monitoring of syndicated loans. Banks typically demand borrower information on at least a monthly basis. About 20% of loans involve active monitoring (i.e., site visits or third-party appraisals). Monitoring increases with the lead bank’s incentives and the value of information and is negatively associated with loan spreads and maturity. The monitoring captured by our measures can either complement or substitute for covenant-based monitoring, depending on whether the monitoring informs covenant compliance. Banks increase monitoring following deteriorations in borrower financial condition and credit line drawdowns. Finally, monitoring is positively related to future covenant violations and loan renegotiations.

论文原文：

Reference: Matthew T. Gustafson, Ivan T. Ivanov, Ralf R. Meisenzahl, Bank monitoring: Evidence from syndicated loans, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 452-477, ISSN 0304-405X

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7、融资约束的来源

The Sources of Financing Constraints

哪些金融摩擦导致了企业的融资约束?我们在结构上使用动态公司融资模型进行估计，嵌入许多金融摩擦，并使用了公共公司和私人公司的面板数据。我们将重点放在有限执行、道德风险和权衡模型上，并评估哪些模型在不同样本中最合理地执行公司政策。我们的测试基于实证上的政策功能基准，倾向于对较大的上市公司采用权衡模型，对较小的上市公司采用有限承诺模型，对私营公司采用道德风险模型。我们的估计表明，由于代理摩擦，融资受到严重限制，并强调了确定代理摩擦来源对企业估值的重要性。

Which financial frictions drive firms’ financing constraints? We structurally estimate dynamic firm financing models embedding many financial frictions, on panels of public firms and private firms. We focus on limited enforcement, moral hazard, and trade-off models and assess which models rationalize best observed corporate policies across various samples. Our tests, based on empirical policy function benchmarks, favor trade-off models for larger public firms, limited commitment models for smaller public firms, and moral hazard models for Private firms. Our estimates suggest significant financing constraints due to agency frictions and highlight the importance of identifying their sources for firm valuation.

论文原文：

Reference: Boris Nikolov, Lukas Schmid, Roberto Steri, The Sources of Financing Constraints, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 478-501, ISSN 0304-405X,

8、被拒绝的证券交易所申请人

Rejected stock exchange applicants

我们研究了1891年至1911年期间在伦敦证券交易所来自公司的上市申请。在628名申请人中，交易所拒绝了82名 (占比13.1%) 。与被拒绝的申请人相比，被接受的申请人支付股息的可能性是两倍(支付的金额也是两倍)，公司存在年限也更长。被拒绝的申请人比成功的申请人更有可能申请清算。即使我们控制了上市本身的主要好处:流动性和未来的资本流入，这些结果仍然存在。在这个时代，伦敦证券交易所(London Stock Exchange)可能会对上市申请人进行筛选。

We examine listing applications by firms to the London Stock Exchange between 1891 and 1911. The exchange rejected 82 (13.1%) of the 628 applicants to its main board. Accepted applicants were twice as likely to pay dividends (and to pay twice as much) and had longer firm lives than rejected applicants. Rejected applicants were more likely to file for liquidation than successful applicants. These results remain even after we control for the primary benefits of the listing itself: liquidity and future capital inflows. In this era, the London Stock Exchange could screen applicants for listing.

论文原文：

Reference: Sturla L. Fjesme, Neal E. Galpin, Lyndon Moore, Rejected stock exchange applicants, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 502-521, ISSN 0304-405X

9、不可预测的风险敞口能否被定价?

Can unpredictable risk exposure be priced?

我们研究贝塔可预测性和风险价格之间的联系。想要暴露在某种风险因素下的投资者需要预测下一时期的贝塔值是多少。我们使用一个简单的模型来说明当贝塔值难以预测时，模糊厌恶的代理人的需求会降低，从而导致风险溢价的降低。我们测试了下行贝塔指和波动率贝塔值的影响。我们发现，一旦我们考虑到投资者在确定资产需求时无法观察事后已实现的贝塔值，他们的风险价格在经济上和统计上都很小。

We study the link between beta predictability and the price of risk. An investor who desires exposure to a certain risk factor needs to predict what next period’s beta will be. We use a simple model to show that an ambiguity averse agent’s demand is lower when betas are hard to predict, leading to a reduction in risk premiums. We test the implications for downside betas and VIX betas. We find that they have economically and statistically small prices of risk once we account for the fact that an investor cannot observe ex-post realized betas when determining asset demand.

论文原文：

Reference: Ricardo Barahona, Joost Driessen, Rik Frehen, Can unpredictable risk exposure be priced? Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 522-544, ISSN 0304-405X

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10、准实验中的融资流动性冲击:来自信用违约互换大爆炸的证据

Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang

我们利用2009年4月新信用违约互换(CDS)交易惯例的出现——CDS互换大爆炸——来研究融资流动性的冲击如何影响市场流动性。在“大爆炸”之后，交易员被要求为执行CDS交易支付预付款，费用的大小取决于CDS息差的水平。虽然CDS买卖价差在大爆炸后总体下降，但对于需要较高费用的合约，这种下降幅度较小。此外，融资效应对于规模较小、风险较高的公司和非中心化清算合同更强。德意志银行退出后，这种效应也变得更强。

We use the advent of new credit default swap (CDS) trading conventions in April 2009—the CDS Big Bang—to study how a shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute CDS transactions, with the size of the fees depending on the level of CDS spreads. While CDS bid-ask spreads decline in aggregate after the Big Bang, they do so less for contracts that require larger fees. Furthermore, the funding effect is stronger for smaller and riskier firms and for noncentrally cleared contracts. The effect also becomes stronger after Deutsche Bank's exit.

论文原文：

Reference: Xinjie Wang, Yangru Wu, Hongjun Yan, Zhaodong (Ken) Zhong, Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 545-560, ISSN 0304-405X

11、投资者能把握时机投资私人股本吗?

Can investors time their exposure to private equity?

无论是在收购还是风险投资方面，私人股本的表现都具有高度的周期性:在高融资期之后是低绩效期。尽管这种变化似乎是可以预测的，但我们发现，追求可行的、可投资的策略，即安排时间把资金承诺给私募股权投资中，最多只能获得微薄的收益。出现这种情况的部分原因是，投资者只能确定什么时候给与资金承诺; 他们无法确定何时承诺资本被需要或何时退出投资。在净现金流中存在高度的时间序列相关性，甚至在以非常不同的方式分配资本的承诺策略中也是如此。

Private equity performance, both for buyouts and venture capital, has been highly cyclical: periods of high fundraising have been followed by periods of low performance. Despite this seemingly predictable variation, we find modest gains, at best, to pursuing realistic, investable strategies that time capital commitments to private equity. This occurs, in part, because investors can only time their commitments to funds; they cannot time when commitments are called or when investments are exited. There is a high degree of time-series correlation in net cash flows even across commitment strategies that allocate capital in a very different manner over time.

论文原文：

Reference: Gregory Brown, Robert Harris, Wendy Hu, Tim Jenkinson, Steven N. Kaplan, David T. Robinson, Can investors time their exposure to private equity?, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 561-577, ISSN 0304-405X

12、有破产保护福利的朋友

Friends with bankruptcy protection benefits

我们发现，信息溢出限制了有针对性的债务减免项目的有效性。我们的研究对象是从最近同事申请破产保护的经历中了解债务减免可能性的个人。被批准破产的同行可以免除债务，而面临解雇的同行则失去所有保护。利用随机指派的法官处理破产案件，我们确定那些“被解雇的同行”申请破产或申请取消抵押品赎回权的可能性显著降低。我们强调了一个将社会网络与家庭财务联系起来的新渠道，并确定了给予贷款人个人债务减免的额外成本。

We show information spillovers limit the effectiveness of targeted debt relief programs. We study individuals who learn about the likelihood of debt relief from the recent experiences of workplace peers filing for bankruptcy protection. Peers granted bankruptcy can discharge debts, while peers facing dismissal lose all protections. Exploiting the random assignment of judges to bankruptcy cases, we determine that individuals with a “dismissed peer” are significantly less likely to file for bankruptcy or enter foreclosure. We highlight a novel channel relating social networks to household finances and identify additional costs of granting individual debt relief imposed on lenders.

论文原文：

Reference: Kristoph Kleiner, Noah Stoffman, Scott E. Yonker, Friends with bankruptcy protection benefits, Journal of Financial Economics, Volume 139, Issue 2, 2021, Pages 578-605, ISSN 0304-405X,

https://doi.org/10.1016/j.jfineco.2020.08.003.

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13、上市的隐性成本:来自新兴市场跨国公司的证据

The hidden costs of being public: Evidence from multinational firms operating in an emerging market

我研究公司如何应对限制其运营的商业法规。我首先指出，公司的所有权结构影响其遵守法规的程度，上市公司比私人持有的公司更遵守法规。这种不同的合规给上市公司带来了负担，这有助于解释合并和收购模式。随着监管水平的提高，民营企业收购上市公司，上市公司停止收购民营企业。这些结果揭示了上市公司面临的额外成本，确定了并购交易的新驱动力，并表明高水平的监管导致了不透明的公司结构。