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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：
Ally
；审校编辑 |
悠悠 糖糖
1.首席执行官与产品市场：
什么时候强大的首席执行官会受益？
Abstract: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.
摘要：
我们研究了在评估首席执行官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，在高需求的产品市场中，公司面临进入威胁的时候，更有可能拥有强大的首席执行官。
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。
我们的研究结果在处理首席执行官权力的内生性问题时仍然具有重要意义，方法是将过去非首席执行官和董事的突然死亡相联系来调整首席执行官的权力。
参考文献：
Minwen Li, Yao Lu, Gordon M. Phillips(2019).CEOs and the Product Market: When Are Powerful CEOs Beneficial?.Journal of Financial and Quantitative Analysis,54(6),2295-2326.
2.塑造预期和协调关注:联邦公开市场委员会新闻发布会的意外后果
Abstract: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.
摘要：
为了增加透明度，美联储主席现在召开新闻发布会，在此之前，联邦公开市场委员会发布了一些公告。
来自金融市场的证据表明，在没有个人电脑的日子里，投资者会降低对重要决策的预期，而这些公告传递的价格相关信息也较少。
相应地，我们发现投资者更关注即将发布的个人电脑产品。
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，市场风险溢价会在使用个人电脑的日子里更大。
参考文献：
Oliver Boguth, Vincent Grégoire, Charles Martineau(2019).Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences.Journal of Financial and Quantitative Analysis,54(6),2327-2353.
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3.流动性转换与金融脆弱性：
来自对冲基金的证据
Abstract: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.
摘要：
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对冲基金吸引更多资本和获得更高报酬的激励驱动的。
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，对冲基金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。
参考文献：
Vikas Agarwal, George O. Aragon, Zhen Shi(2019).Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds.Journal of Financial and Quantitative Analysis,54(6),2355-2381.
4.高层管理人员人力资本、发明家流动性和企业创新
Abstract: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.
摘要：
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，分析了高层管理质量与企业创新投入产出的关系。
我们证明了最高管理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，具有较高管理质量的企业采用风险更大（“探索性”）的创新战略。
最后，雇佣更多和更高质量的发明家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。
参考文献：
Thomas J. Chemmanur, Lei Kong, Karthik Krishnan, Qianqian Yu(2019).Top Management Human Capital, Inventor Mobility, and Corporate Innovation.Journal of Financial and Quantitative Analysis,54(6),2383-2422.
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5.波动风险的波动性
Abstract: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.
摘要：
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。
波动率指数的波动率和波动性风险分别被称为VIX和VVIX，它们之间的相关性很弱。
Delta对冲指数和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风险影响的策略来说，回报率更为负。
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。
参考文献：
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme(2019).Volatility-of-Volatility Risk.Journal of Financial and Quantitative Analysis,54(6),2423-2452.
6.分心的机构投资者
Abstract: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 stock 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.
摘要：
我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非被动经理身上表现得更为明显。
最后，我确定了分散注意力会影响经理人业绩的三个渠道：
分散注意力的经理人获利较少，交易成本略高，而且不太可能平仓。
参考文献：
Daniel Schmidt(2019).Distracted Institutional Investors.Journal of Financial and Quantitative Analysis,54(6),2453-2491.
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7.关注市场信息，对市场运行日收益反应不足
Abstract: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.
摘要：
在市场回报率更高的日子里发布收益的公司，收益公告后的漂移更强。
在控制了之前记录的因素后，比如周五发布、同时发布的数量和价格延迟度量，这种偏移仍然很明显。
负收益意外推动了这种趋势，而这种趋势在小型股、价值股和分析师关注度较低的股票中更为明显。
分析师对盈利的反应放缓是造成这种趋势的原因之一。
这些发现与投资者对市场信息的关注程度较高，而对企业特定信息的关注程度较低是一致的。
参考文献：
Badrinath Kottimukkalur(2019).Attention to Market Information and Underreaction to Earnings on Market Moving Days.Journal of Financial and Quantitative Analysis,54(6),2493-2516.
8.新的熵限制与对更具体资产定价模型的探索
Abstract: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 security with the payoff of m.
摘要：
本文提出以m2的熵（m为随机贴现因子）作为资产定价模型的评价指标。
当m对有限个收益率进行正确定价时，我们给出了m2熵的一个界，并考虑了在m上通过下界而在m2上不通过下界的模型。
在解释我们的结果时，我们详细说明了m2的熵与m的熵之间的区别。
我们进一步证明，m2的熵代表了在m的收益下，证券的期望超额收益的一个上界。
参考文献：
Gurdip Bakshi, Fousseni Chabi-Yo(2019).New Entropy Restrictions and the Quest for Better-Specified Asset-Pricing Models.Journal of Financial and Quantitative Analysis,54(6),2517-2541.
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9.保险公司之间的投资共性：
火灾销售风险和公司收益差
Abstract: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.
摘要：
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评级下调后，监管限制促使大规模撤资时面临抛售风险。
考虑到火灾销售风险，保险公司在债券中的聚集性对收益率差、流动性控制、信用风险等因素具有显著的解释力。
保险公司集群对债券收益率利差的影响在更大程度上表现为资本受限的保险公司持有的债券、那些评级更接近于具有更高资本要求的全国保险专员协会风险类别的保险公司以及金融危机期间持有的债券。
参考文献：
Vikram Nanda, Wei Wu, Xing (Alex) Zhou(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模型预测美国银行破产
Abstract: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.
摘要：
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，调整了分类精度评估。
将建议的模型应用于2004年至2016年期间，结果表明，与经典的logit模型相比，该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。
美国最近一些被错误分类的最大的银行倒闭现在被正确地预测到了。
参考文献：
Francesco Audrino, Alexander Kostrov, Juan-Pablo Ortega(2019).Predicting U.S. Bank Failures with MIDAS Logit Models.Journal of Financial and Quantitative Analysis,54(6), 2575-2603.
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11.低信息不对称条件下交易关系对执行成本的影响
Abstract: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.
摘要：
交易者可以通过与经销商建立关系来降低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。
我们调查客户-经销商关系的范围、持续时间、对定价的影响和潜在利益。
我们发现，关系强度会导致客户的执行成本上升，在市场压力较大的情况下会更高，但在信息不对称和公司债券交易的情况下会更低。
