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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：
Young已不Young
；审校编辑 |
悠悠 糖糖
1. 对抗私人信息随机失效的交易：一个自然实验
多年来，由于系统的延迟漏洞原因，一部分投资者可以在美国证券交易委员会（SEC）公开发布上市公司披露的信息之前，提前从SEC的系统中获取到即将披露的信息。我们利用这一独特的事件（因为公开披露之前的延迟漏洞是外生的，并且有效私人信息时间窗口是一定的）来研究具有信息随机失效时间的知情交易。交易强度和股价因反应披露信息而进行调整的节奏随着预期的延迟时间流逝而降低，直到该信息被公开发布，但其中交易强度与私人信息失效时间流逝的关系随着交易者知情过程而变化。假设一个固定的信息失效时间窗口，噪声交易和与此相对的信息优势在标准微观结构理论中扮演着相似的角色。
For years, the Securities and Exchange Commission (SEC) accidentally distributed securities disclosures to some investors before the public. We exploit this setting, which is unique because the delay until public disclosure was exogenous and the private information window was well defined, to study informed trading with a random stopping time. Trading intensity and the pace at which prices incorporate information decrease with the expected delay until public release, but the relation between trading intensity and time elapsed varies with traders' learning process. Noise trading and relative information advantage play similar roles as in standard microstructure theories assuming a fixed time window.
参考文献：BOLANDNAZAR, M., JACKSON, R., JIANG, W., & MITTS, J. (2019). Trading Against the Random Expiration of Private Information: A Natural Experiment. The Journal of Finance, 75(1), 5-44. doi: 10.1111/jofi.12844
2. 抵押品的获得与信贷的民主化：法国对《拿破仑证券法典》的改革
法国2006-346法令推翻了《拿破仑法典》中占有所有权的概念，放松了在一个信贷高度集中国家中实物资产的抵押。差异检验策略显示，在改革后，经营新的可抵押资产的公司大大提高了其借贷量。小企业、年轻企业和财务拮据的企业受益最大，它们的信贷渠道和实际效果得到了改善。此外，经营固定资产较多的初创企业的“初始”杠杆率较高，地理位置上这种初创公司距离大城市较远，此外，资产到位率高于以前。并且，初创公司的退出率和破产率下降。空间分析显示，改革影响到了农村地区的企业，减少了法国全国的信贷准入不平等。
Access to Collateral and the Democratization of Credit: France's Reform of the Napoleonic Security Code
France's Ordonnance 2006‐346 repudiated the notion of possessory ownership in the Napoleonic Code, easing the pledge of physical assets in a country where credit was highly concentrated. A differences‐test strategy shows that firms operating newly pledgeable assets significantly increased their borrowing following the reform. Small, young, and financially constrained businesses benefitted the most, observing improved credit access and real‐side outcomes. Start‐ups emerged with higher “at‐inception” leverage, located farther from large cities, with more assets‐in‐place than before. Their exit and bankruptcy rates declined. Spatial analyses show that the reform reached firms in rural areas, reducing credit access inequality across France's countryside.
参考文献：ARETZ, K., CAMPELLO, M., & MARCHICA, M. (2019). Access to Collateral and the Democratization of Credit: France's Reform of the Napoleonic Security Code. The Journal of Finance, 75(1), 45-90. doi: 10.1111/jofi.12846
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3. 行动总是胜于言语吗？
信息和控制权是领导，管理和公司治理研究的核心内容。本文研究了一个委托人-代理人模型，该模型将沟通和干预作为委托人向代理人施加影响的替代手段。主要结果表明，委托人干预代理人决策的权力限制了委托人有效传达其私人信息的能力。干预沟通所导致的逆向影响会对委托人不利，尤其是当干预的成本低或者潜在的代理问题严重时。本文全新的研究结果可被应用在管理领导层、公司董事会、私募、股东积极主义的研究。
Words Speak Louder without Actions
Information and control rights are central aspects of leadership, management, and corporate governance. This paper studies a principal‐agent model that features both communication and intervention as alternative means to exert influence. The main result shows that a principal's power to intervene in an agent's decision limits the ability of the principal to effectively communicate her private information. The perverse effect of intervention on communication can harm the principal, especially when the cost of intervention is low or the underlying agency problem is severe. These novel results are applied to managerial leadership, corporate boards, private equity, and shareholder activism.
参考文献：LEVIT, D. (2019). Words Speak Louder without Actions. The Journal of Finance, 75(1), 91-131. doi: 10.1111/jofi.12834
4. 向同事学习：周围同事对个人投资决策的影响
通过使用员工股票购买计划（ESPP）这一独特数据，本文检验了公司雇员人际网络对投资决策的影响。通过确定在同一个大都会区为同一家公司工作的员工来定义为个人的同事群体，比较在同一选择时间窗口期内公司内员工的选择（加入ESPP的参与决策和交易决策），我们发现，公司员工股票购买计划内同事的选择对员工自己的参与决策和交易决策产生了重大影响。此外，本文还发现有更多信息员工（从事可能与投资或其它专业知识相关职业的员工、先前有良好投资经验的员工以及收入最高的员工）的存在放大了这种同伴影响。鉴于参与ESPP是价值最大化的，本文分析表明，公司雇员人际网络和有针对性的教育典型员工对提高财务决策质量有潜力。
Learning from Coworkers: Peer Effects on Individual Investment Decisions
Using unique data on employee stock purchase plans (ESPPs), we examine the influence of networks on investment decisions. Comparing employees within a firm during the same election window with metro area fixed effects, we find that the choices of coworkers in the firm's ESPP exert a significant influence on employees’ own decisions to participate and trade. Moreover, we find that the presence of high‐information employees magnifies the effects of peer networks. Given participation in an ESPP is value‐maximizing, our analysis suggests the potential of networks and targeted investor education to improve financial decision‐making.
参考文献：OUIMET, P., & TATE, G. (2019). Learning from Coworkers: Peer Effects on Individual Investment Decisions. The Journal of Finance, 75(1), 133-172. doi: 10.1111/jofi.12830
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5. 为什么我们会产生分歧呢？来自投资者社会网络的证据
我们使用社交媒体投资讨论平台的投资者情绪，结合用户投资方式的信息（例如，技术面，基本面），研究投资者分歧的来源。通过研究相同投资模型但不同信息集分歧（within investment approach)和不同投资模型的分歧(across investment approach)，本文研究了多少分歧是由信息集不同和对信息解读不同所驱动的。整体分歧在两个分歧来源之间平均分配，相较于两个分歧源之间的相关度，同一个分歧源的内部分歧与交易量的相关性更高。尽管两种分歧的来源都很重要，但本文研究结果表明，信息差异对交易的重要性大于投资模型之间的差异。
Why Don't We Agree? Evidence from a Social Network of Investors
We study sources of investor disagreement using sentiment of investors from a social media investing platform, combined with information on the users' investment approaches (e.g., technical, fundamental). We examine how much of overall disagreement is driven by different information sets versus differential interpretation of information by studying disagreement within and across investment approaches. Overall disagreement is evenly split between both sources of disagreement, but within‐group disagreement is more tightly related to trading volume than cross‐group disagreement. Although both sources of disagreement are important, our findings suggest that information differences are more important for trading than differences across market approaches.
参考文献：COOKSON, J., & NIESSNER, M. (2019). Why Don't We Agree? Evidence from a Social Network of Investors. The Journal of Finance, 75(1), 173-228. doi: 10.1111/jofi.12852
6. 显著性对投资者行为的影响：来自一个自然实验的证据
本文检测了在高风险交易环境中，信息的展示方式是否会对投资者行为产生因果影响。使用投资者层面的中国券商数据和一项自然实验，本文估计了信息展示方式改变的影响，这种改变增加了股票购买价格的重要性，但并未改变投资者的信息集。本文采用差异方法，发现显著性冲击使处置效应增加了17％。我们使用微数据来记录不同投资者在处置效应上的实质异质性。一个先前已被发现的交易模式——“等级效应”，解释了处置效应变化的异质性。
The Impact of Salience on Investor Behavior: Evidence from a Natural Experiment
We test whether the display of information causally affects investor behavior in a high‐stakes trading environment. Using investor‐level brokerage data from China and a natural experiment, we estimate the impact of a shock that increased the salience of a stock's purchase price but did not change the investor's information set. We employ a difference‐in‐differences approach and find that the salience shock causally increased the disposition effect by 17%. We use microdata to document substantial heterogeneity across investors in the treatment effect. A previously documented trading pattern, the “rank effect,” explains heterogeneity in the change in the disposition effect.
参考文献：FRYDMAN, C., & WANG, B. (2019). The Impact of Salience on Investor Behavior: Evidence from a Natural Experiment. The Journal of Finance, 75(1), 229-276. doi: 10.1111/jofi.12851
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7. 刺激房地产市场
本文研究了临时性财政刺激方案，该类方案旨在通过催生私人市场买家的需求来刺激陷入困境的房地产市场。利用差异和回归扭结研究设计，研究发现首次购房者信贷增加了49万套（9.8%），每增加一个项目风险标准差，房价中值增加了2400美元（1.1%），转变为拥有住房的比率增加了53%。政策回应没有立即逆转。相反，这种被催生的需求透支于未来几年：在2009年，财政刺激方案下被催生的购房者比典型的首次购房者年轻三岁。该计划稳定市场的益处可能超过其直接带来的刺激效应。
Stimulating Housing Markets
We study temporary fiscal stimulus designed to support distressed housing markets by inducing demand from buyers in the private market. Using difference‐in‐differences and regression kink research designs, we find that the First‐Time Homebuyer Credit increased home sales by 490,000 (9.8%), median home prices by $2,400 (1.1%) per standard deviation increase in program exposure, and the transition rate into homeownership by 53%. The policy response did not reverse immediately. Instead, demand comes from several years in the future: induced buyers were three years younger in 2009 than typical first‐time buyers. The program's market‐stabilizing benefits likely exceeded its direct stimulus effects.
参考文献：BERGER, D., TURNER, N., & ZWICK, E. (2019). Stimulating Housing Markets. The Journal of Finance, 75(1), 277-321. doi: 10.1111/jofi.12847
8. 两个关于溢价的故事：对冲者和投机者在大宗商品期货市场中的作用
本文研究了大宗商品期货市场中交易者净头寸与风险溢价之间的动态相互作用。短期头寸变化主要受非商业交易员（Non-commercial trader)的流动性需求驱动，而长期变化则主要被商业交易者(commercial trader)的对冲需求所驱动。这两种驱动原因以释放相反的信号影响期货的预期收益。因商业交易者提供的流动性而获得的收益很大程度上抵消了他们为获得价格保险而支付的成本。
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short‐term position changes are driven mainly by the liquidity demands of noncommercial traders, while long‐term variation is driven primarily by the hedging demands of commercial traders. These two components influence expected futures returns with opposite signs. The gains from providing liquidity by commercials largely offset the premium they pay for obtaining price insurance.
参考文献：KANG, W., ROUWENHORST, K., & TANG, K. (2019). A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets. The Journal of Finance, 75(1), 377-417. doi: 10.1111/jofi.12845
9. 可抵押性、行业流动性和融资周期
为什么企业预期自身高估值时会选择高负债，而随后却表现不佳？我们提出了一种融资周期理论，其中债权人对现金流的控制权（“可抵押性”）的重要性随行业流动性而变化。市场允许企业在预期未来流动性将会提高的条件下，可以借更多债务。然而，高预期的流动性和由此被激发的高债务限制了它们提高自身可抵押性的动力。这在低迷时期造成了更长久的消极影响。由于这些影响很难缩小，更高的预期流动性也会减少公司目前获得融资的机会。
Pledgeability, Industry Liquidity, and Financing Cycles
Why do firms choose high debt when they anticipate high valuations, and underperform subsequently? We propose a theory of financing cycles where the importance of creditors’ control rights over cash flows (“pledgeability”) varies with industry liquidity. The market allows firms take on more debt when they anticipate higher future liquidity. However, both high anticipated liquidity and the resulting high debt limit their incentives to enhance pledgeability. This has prolonged adverse effects in a downturn. Because these effects are hard to contract upon, higher anticipated liquidity can also reduce a firm's current access to finance.
参考文献：DIAMOND, D., HU, Y., & RAJAN, R. (2019). Pledgeability, Industry Liquidity, and Financing Cycles. The Journal of Finance, 75(1), 419-461. doi: 10.1111/jofi.12831
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10. 借贷合同中”保险“的逆向选择：未能为合同编制指数
我们使用可用的指数对合同未能普遍分担风险的失败进行建模。借贷者和被借贷者可以通过调整指数来分担风险。被借贷者拥有衡量真实状况能力的私人信息，这个真实状况便是借贷者愿意付出多少成本来对冲风险。被借贷者规避风险，因此需要溢价为借贷者投“保险”。然而，如果该指数不能很好地衡量真实状况，借贷者可能会白白付出投保成本。我们为此提供了充分的论证，使借款人选择无指数合同。
The Insurance Is the Lemon: Failing to Index Contracts
We model the widespread failure of contracts to share risk using available indices. A borrower and lender can share risk by conditioning repayments on an index. The lender has private information about the ability of this index to measure the true state that the borrower would like to hedge. The lender is risk‐averse and thus requires a premium to insure the borrower. The borrower, however, might be paying something for nothing if the index is a poor measure of the true state. We provide sufficient conditions for this effect to cause the borrower to choose a nonindexed contract instead.
参考文献：HARTMAN‐GLASER, B., & HÉBERT, B. (2019). The Insurance Is the Lemon: Failing to Index Contracts. The Journal of Finance, 75(1), 463-506. doi: 10.1111/jofi.12856
11. 基于消费的资产定价的可靠推断
传统资产定价检验的可靠性取决于：（1）资产收益率与因素之间的相关性；（2）时间序列样本量T与资产数量N的比较。对于宏观层面的风险因子，比如消费增长，（1）和（2）通常使得传统测试无法被信任。我们扩展了Gibbons-Ross-Shanken统计以测试风险溢价的特性，并构建其95％的置信度。当T和N接近时，这些集合是宽泛的或无边界的，但是表明，当T大大超过N时，平均收益不能完全被beta覆盖。我们的发现表明有意义的实证推断何时可行。
