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解析文章首发于唧唧堂网站www.jijitang.com
解析作者 | 唧唧堂经济学研究小组：
Rebecca
；审校编辑 |
悠悠 糖糖
1. 特征是协方差:一个风险和收益的统一模型
本文提出了一种新的横截面收益建模方法- Instrumented Principal Component Analysis (IPCA)。
IPCA方法通过为不可观测的动态载荷引入可观测的特性，考虑了潜在因素和时变载荷。
如果潜在风险因素暴露的补偿决定了特征与预期收益的关系，IPCA将识别这些相应的潜在因素。
如果不存在这样的因素，IPCA推断其特征效果是无风险补偿，并将其分配给“异常”拦截。
通过在股票水平上研究收益和特征，本文发现5个显著的IPCA因子，它们比现有因子模型更准确地解释了平均横截面收益，并产生了特征相关的异常截距，不过这些异常截距很小，在统计上不显著。
此外，综合现有研究中的特征因子，只有10个在IPCA规范的1%水平上具有统计意义，并且几乎100%可以确认模型的准确性
We propose a new modeling approach for the cross section of returns. Our method, Instrumented Principal Component Analysis (IPCA), allows for latent factors and time-varying loadings by introducing observable characteristics that instrument for the unobservable dynamic loadings. If the characteristics/expected return relationship is driven by compensation for exposure to latent risk factors, IPCA will identify the corresponding latent factors. If no such factors exist, IPCA infers that the characteristic effect is compensation without risk and allocates it to an “anomaly” intercept. Studying returns and characteristics at the stock-level, we find that five IPCA factors explain the cross section of average returns significantly more accurately than existing factor models and produce characteristic-associated anomaly intercepts that are small and statistically insignificant. Furthermore, among a large collection of characteristics explored in the literature, only ten are statistically significant at the 1% level in the IPCA specification and are responsible for nearly 100% of the model’s accuracy.
参考文献：
Kelly B T, Pruitt S, Su Y. Characteristics are covariances: A unified model of risk and return[J]. Journal of Financial Economics, 2019, 134(3): 501-524.
2.发育不良的公司:殖民地税收的长期影响
本文研究了殖民时期米塔制度（1573-1812）【指西班牙殖民者对印第安人的一种特殊的徭役制度：
印第安人每年定期要向殖民当局提供男性总数的4%（在墨西哥）~14%（在秘鲁），从事强制性劳动】如何影响秘鲁公司的正规化、投资和2008年商业普查所衡量的绩效。
本文使用具有细粒度地理空间控制的断点回归模型，揭示了较低的销售额和固定资产，使用商业名称以及为米塔制度范围内的公司进行税务ID注册的可能性更小。
在米塔地区有银行关系的公司更易挣扎于财务问题。
几个世纪以来，米塔地区的不利税收证据表明，不信任的渠道依然存在。
现接受调查的米塔地区公民对税务机关的信任度较低，且在工作场合表现更为随意。
I study how the colonial mita forced labor system (1573–1812) impacted Peruvian firms’ formalization, investment, and performance measured by the 2008 business census. Regression discontinuity models with granular geospatial controls reveal lower sales and fixed assets, less likely use of a commercial name, and less likely tax ID registration for firms within mita boundaries. Firms with banking relationships in mita regions struggle more financially. Evidence on centuries-long disadvantageous taxation in mita regions suggests a persistent channel of distrust. Individuals in mita regions surveyed today show lower levels of trust in the tax authority and more informality at their workplace.
参考文献：
Natividad G. Stunted firms: The long-term impacts of colonial taxation[J]. Journal of Financial Economics, 2019, 134(3): 525-548.
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3. 评估资产定价模型的大规模方法
最近的研究表明，标准的测试组合没有包含足够的信息来区分各种资产定价模型。
为了解决这个问题，本文开发了一个大规模的方法，将横截面扩展到几千个投资组合。
这种新方法简单、适用广泛，并可用于正式评估或比较测试。
资本资产定价模型(CAPM)和基于特征的模型(character -based models)的实证检验证实了其优越性。
虽然这些模型都是错误拟合的，但本文发现了它们之间显著的性能差异。
特别是人力资本和有条件资本资产定价模型的表现显著优于资本资产定价模型，这表明劳动收入和时变衰退风险是投资者主要关注的问题。
Recent studies show that the standard test portfolios do not contain sufficient information to discriminate between asset pricing models. To address this issue, we develop a large-scale approach that expands the cross-section to several thousand portfolios. Our novel approach is simple, widely applicable, and allows for formal evaluation/comparison tests. Its benefits are confirmed in empirical tests of CAPM- and characteristic-based models. While these models are all misspecified, we uncover striking performance differences between them. In particular, the human capital and conditional CAPMs largely outperform the CAPM, which suggests that labor income and time-varying recession risks are primary concerns for investors.
参考文献：
Barras L. A large-scale approach for evaluating asset pricing models[J]. Journal of Financial Economics, 2019, 134(3): 549-569.
4.一个（学校）名字里究竟蕴藏着什么秘密?高等教育债券市场的种族歧视
传统的黑人高校(HBCUs)在发行免税债券时要支付更高的承销费，由此反映寻找有购买愿意的买家的成本更高。
这种影响在美国南部腹地地区要大三倍，那里的种族敌意仍然最严重。
信用质量起的作用很小。
例如，即使在2007-2009年金融危机之前，同样拥有AAA评级的HBCU和非HBCU，在同一家公司承保的情况下，承销费也存在显著的差异。
另外，本文发现，HBCU发行的债券在二级市场交易的成本也更高，而且在二级市场交易时，它们在交易商处滞留的时间也更长。
Historically black colleges and universities (HBCUs) pay higher underwriting fees to issue tax-exempt bonds, compared with similar non-HBCUs, apparently reflecting higher costs of finding willing buyers. The effect is three times larger in the Deep South, where racial animus remains the most severe. Credit quality plays little role. For example, identical differences are observed between HBCU and non-HBCUs with AAA ratings or when insured by the same company, even before the 2007–2009 financial crisis. HBCU-issued bonds are also more expensive to trade in secondary markets and, when they do, sit in dealer inventory longer.
参考文献：
Dougal C, Gao P, Mayew W J, et al. What’s in a (school) name? Racial discrimination in higher education bond markets[J]. Journal of Financial Economics, 2019, 134(3): 570-590.
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5.没有经济来源的成长
早年在当地金融机构的生活经历提高了家庭金融包容性，并导致消费信贷结果的长期改善。
本文利用国会立法来确定当地金融市场的影响，这些立法导致了印第安人保留地金融市场发展的差异。
来自金融欠发达地区的个人进入消费信贷市场的时间较晚，而且在成年后，他们的信用分数要低10个百分点，拖欠的账户要多4个百分点。
这些影响是长期存在的，在人们搬到更发达的地区后会缓慢贬值。
对地方银行的形成性暴露通过提高金融知识和金融信任来改善消费者信贷行为。
Early life exposure to local financial institutions increases household financial inclusion and leads to long-term improvements in consumer credit outcomes. We identify the effect of local financial markets using Congressional legislation that led to unintended differences in financial market development across Native American reservations. Individuals from financially underdeveloped reservations enter consumer credit markets later, and upon reaching adulthood, have ten point lower credit scores and four percentage point more delinquent accounts. These effects are long-lived and depreciate slowly after individuals move to more developed areas. Formative exposures to local banking improve consumer credit behavior by increasing financial literacy and financial trust.
参考文献：
Brown J R, Cookson J A, Heimer R Z. Growing up without finance[J]. Journal of Financial Economics, 2019, 134(3): 591-616.
6.时变模糊、信贷利差和杠杆股权溢价
本文研究了时变奈特不确定性(模糊)对卢卡斯交换经济下资产定价的影响。
具体地说，它考虑了一个一般均衡模型，在该模型中，使用一个贴现率作为模糊厌恶程度代理变量，该贴现率不仅会根据当前的模糊程度进行调整，而且还根据与未来波动相关的风险进行调整。
因此，模糊性和波动性有助于提高资产溢价，并能更好适应资产价格波动。
该模型是基于模糊度的一种新的测度方式，能够在内生地匹配历史违约概率的同时，获取企业信用利差和股权溢价水平。
更重要的是，模型隐含的信贷利差和股票价格-股息率在跟踪相应历史数据的时变性方面表现出色。
This paper studies the effects of time-varying Knightian uncertainty (ambiguity) on asset pricing in a Lucas exchange economy. Specifically, it considers a general equilibrium model where an ambiguity-averse agent applies a discount rate that is adjusted not only for the current magnitude of ambiguity but also for the risk associated with its future fluctuations. As such, both the ambiguity level and volatility help to raise the asset premiums and accommodate richer dynamics of asset prices. Based on a novel empirical measure of the ambiguity level, the estimated model can capture the empirical levels of corporate credit spreads and the equity premium while endogenously matching the historical default probability. More importantly, the model-implied credit spread and equity price-dividend ratio perform remarkably in tracking the time variations in their historical counterparts.
参考文献：
Shi Z. Time-varying ambiguity, credit spreads, and the levered equity premium[J]. Journal of Financial Economics, 2019, 134(3): 617-646.
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7.交易对手信用风险和衍生品定价
本文推导了一个对交易对手信用风险下期权定价具有定性影响的模型，并利用2005-2014年香港衍生品市场的数据进行实证检验。
本文发现，存在交易对手信用风险的衍生权证与不存在交易对手信用风险的相同期权之间的对数价差，与权证发行者的信用违约互换利差存在显著负相关关系。
另外还发现，与其他权证相比，、虚值期权认沽权证的价格对信用风险更敏感。
结果表明，交易对手信用风险对衍生品定价有重要影响。
We derive a model with qualitative implications for options pricing under counterparty credit risk and provide empirical evidence using the data from the Hong Kong derivatives market during 2005–2014. We find that the log-price difference between a derivative warrant with counterparty credit risk and an otherwise identical option without counterparty credit risk is significantly and negatively associated with the credit default swap spread on the warrant issuer. We also find that the prices of out-of-the-money put warrants are more sensitive to credit risk than those of other warrants. Our results show counterparty credit risk matters for derivative pricing.
参考文献：
Li G, Zhang C. Counterparty credit risk and derivatives pricing[J]. Journal of Financial Economics, 2019, 134(3): 647-668.
8.共同基金委员会的联系和委托代理投票制
本文主要探究公司高管和董事担任基金董事时所产生的基金-公司联系。
研究发现，关联基金在负面机构股东服务(ISS)推荐或低股东支持的提案中，更有可能投票支持管理层。
正如实证结果显示，无论是在连接形成之前还是在连接终止之后，都不存在管理支持，所以这个结果不太可能是由于遗漏的因素造成的。
相反，关联基金的投票模式显示独立于ISS推荐，成功的关联投票与公告回报收益相关，这表明关联基金对管理的支持反映了信息优势。
最后，本文发现，当基金家族持有该公司的大量股份、地理位置相近，且有独立于ISS投票的记录时，基金家族与公司更有可能建立联系。
We study fund-firm connections that arise when firm executives and directors serve as fund directors. We find that connected funds are significantly more likely to vote with management in proposals with negative Institutional Shareholder Services (ISS) recommendations or low shareholder support. As our data show that management support does not exist either before connection formation or after its termination, this result is unlikely to be caused by omitted factors. Rather, the connected fund's voting patterns show independence from ISS recommendations and successful connected voting is associated with positive announcement returns, suggesting that connected fund support for management reflects information advantages. Lastly, we find that a fund family and firm are more likely to connect when the fund family holds a large stake in the firm and is geographically proximate as well as when it has a record of voting independently from ISS.
参考文献：
Calluzzo P, Kedia S. Mutual fund board connections and proxy voting[J]. Journal of Financial Economics, 2019, 134(3): 669-688.
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9.收益率曲线的注释
本文基于以下假设研究收益率曲线的性质：
(1)固定收益市场是完备的；
(2)驱动利率的矢向量服从有限离散时间马尔可夫链。
本文主要研究收益率曲线长端行为与恢复时间贴现因子和伪代表代理的边际效用之间的关系;以及一个经济体的“陷阱”与长期收益率趋同之间的关系。
We study the properties of the yield curve under the assumptions that (i) the fixed-income market is complete and (ii) the state vector that drives interest rates follows a finite discrete-time Markov chain. We focus in particular on the relationship between the behavior of the long end of the yield curve and the recovered time discount factor and marginal utilities of a pseudo-representative agent; and on the relationship between the “trappedness” of an economy and the convergence of yields at the long end.
参考文献：
Martin I W R, Ross S A. Notes on the yield curve[J]. Journal of Financial Economics, 2019, 134(3): 689-702.
10.商业银行和投资银行分离的影响:合资投资银行解散的证据
本文利用日本合资投资银行大和证券SMBC解散的数据，研究了商业银行与投资银行分离对企业的影响。
这一事件使其客户公司无法同时获得贷款和承销服务。
在银行解散之后，导致这些客户公司市值剧烈下跌，更频繁地更换增发(SEO)承销商，以及当它们与前母公司商业银行-三井住友金融集团(Sumitomo Mitsui Financial Group)有密切贷款关系时，不再享受再融资的折扣。
因此，将两家银行业务分离会增加企业成本。
This study investigates how firms are affected by the separation of commercial and investment banking, using unique data from the dissolution of Japan’s Daiwa Securities SMBC, a joint venture investment bank. This event prevented its client firms from receiving a combination of lending and underwriting services. After the dissolution, these firms experienced a sharper decline in market value, more frequent switching of seasoned equity offering (SEO) underwriters, and the disappearance of lower SEO discounts when they had close lending relationships with Sumitomo Mitsui Financial Group, the ex-parent commercial bank. Thus, separating the two banking businesses would impose costs on firms.
参考文献：
Akiyoshi F. Effects of separating commercial and investment banking: Evidence from the dissolution of a joint venture investment bank[J]. Journal of Financial Economics, 2019, 134(3): 703-714.
11.房地产经纪人在房地产市场上有信息优势吗?
本文使用新加坡的一个大型房屋交易数据集来研究房地产经纪人是否利用信息优势以低廉的价格购买房屋。
经纪人以比其他买家低2.54%的价格购买自己的房子。
与信息不对称相一致的是，在信息较少的环境中，经纪人买家具有更多的信息优势，他们更有可能从卖家手中购买房屋。
代理人折扣既来自于选择优势，也来自于议价能力，且议价能力对代理人折扣的贡献更大。
经纪人的优势在于他们能提供可售房屋的信息和之前的购买价格。
We use a large housing transaction data set in Singapore to study whether real estate agents use information advantages to buy houses at bargain prices. Agents bought their own houses at prices that are 2.54% lower than comparable houses bought by other buyers. Consistent with information asymmetries, agent buyers have more information advantages in less informative environments, and agent buyers are more likely to buy houses from agent sellers. Agent discounts are from both “cherry picking” and bargaining power, and bargaining power contributes more to the agent discounts. Agents’ advantage consists in their information of available houses and previous purchase prices.
参考文献:Agarwal S, He J, Sing T F, et al. Do real estate agents have information advantages in housing markets?[J]. Journal of Financial Economics, 2019, 134(3): 715-735.
