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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：
小陈
；审校编辑 |
悠悠
1、低利率和风险承担：个人投资决策的证据
低利率如何影响投资者的行为？作者证明，当利率较低时，个人会“追求收益”，即更愿意承担风险。作者利用持有固定的风险溢价和风险的随机化投资实验，发现低利率导致不同人群对风险资产的分配明显增加，而传统的投资组合选择的理论或制度性摩擦却很难解释这种行为。继而，作者提出并提供与投资者心理有关机制的包括参考依赖和显著性的证据，此外，作者还使用有关家庭投资决策的观察数据展示了结果。
How do low interest rates affect investor behavior? We demonstrate that individuals “reach for yield,” that is, have a greater appetite for risk-taking when interest rates are low. Using randomized investment experiments holding fixed risk premiums and risks, we show low interest rates lead to significantly higher allocations to risky assets among diverse populations. The behavior is not easily explained by conventional portfolio choice theory or institutional frictions. We then propose and provide evidence of mechanisms related to investor psychology, including reference dependence and salience. We also present results using observational data on household investment decisions.
参考文献：
Chen Lian, Yueran Ma, Carmen Wang，Low Interest Rates and Risk-Taking: Evidence from Individual Investment Decisions
2、释放动物精神：实验性资产市场中的自我控制和过高定价
资产市场定价过高的一种解释是交易者缺乏自我控制能力。为了解决金融市场上自我控制与系统性定价过高之间的因果关系问题，作者执行了第一个实验。作者通过设备检测到一些渠道，通过这些渠道低个人自我控制能力会转化为市场中的非理性繁荣。数据表明，自我控制能力的降低对市场定价过高的问题有很大的直接影响。自我控制能力低下的交易员报告称，市场行情后情绪会更加激烈。
One explanation for overpricing on asset markets is a lack of traders’ self-control. We implement the first experiment to address the causal relationship between self-control and systematic overpricing on financial markets. Our setup detects some of the channels through which low individual self-control could transmit into irrational exuberance in markets. Our data indicate a large direct effect of reduced self-control on market overpricing. Low self-control traders report stronger emotions after the market.
参考文献：
Martin G Kocher, Konstantin E Lucks, David Schindler,Unleashing Animal Spirits: Self-Control and Overpricing in Experimental Asset Markets，
The Review of Financial Studies, 2019, 32(6): 2149–2178
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3、分析师的职业问题、工作量分配和公司的信息环境
从战略上讲，分析师会将更多的精力分配给对自己的职业相对重要的投资组合公司。因此，分析师所覆盖的其他公司间接影响到了一个公司的信息环境。通过对比分析师和公司的特征，作者发现，分析师会对在其投资组合中排名较高的公司做出了更准确、频繁、有利的盈利预测和建议。一个公司的相对排名在不同的分析师之间差异很大，但是当更多的分析师认为它相对重要时，其信息环境就会改善。然而，在战略性地分配他们的努力时，分析师会体验到更优越的职业成果。
Analysts strategically allocate more effort to portfolio firms that are relatively more important to their careers. Thus, the other firms the analysts cover indirectly affect a firm’s information environment. Controlling for analyst and firm characteristics, we find that an analyst makes more accurate, frequent, and informative earnings forecasts and recommendations for firms ranked higher within her portfolio based on proxies for importance to institutions. A firm’s relative rank widely varies across analysts, but its information environment improves when a larger proportion of analysts consider it to be relatively important. Analysts experience more favorable career outcomes when strategically allocating their efforts.
参考文献：
Jarrad Harford, Feng Jiang, Rong Wang, Fei Xie,Analyst Career Concerns, Effort Allocation, and Firms’ Information Environment.
The Review of Financial Studies, 2019, 32(6): 2179–2224
4、沉默是金吗？强制披露的实际影响
强制性披露提供了好处，但同时也带来了成本。其中一项成本与管理人员的学习有关：通过阻止知情交易，披露可能会降低管理人员从价格中获取与决策相关的信息的能力。利用美国的强制性分布报告，作者发现投资q敏感性降低，这表明监管后投资效率降低。与学习一致的是，较低的敏感度主要集中在具有更明智的交易和较低融资约束的公司中。相比而言，受约束的公司对投资q的敏感度没有变化，这表明它们通过增加融资和加强治理而抵制利益。总体而言，本文记录了强制披露与实际影响之间的新联系。
Mandatory disclosure provides benefits, but it also entails costs. One cost concerns managerial learning: by discouraging informed trading, disclosure could reduce managers’ ability to glean decision-relevant information from prices. Using mandatory segment reporting in the United States, we uncover a reduction in investment-q sensitivity, indicating lower investment efficiency after regulation. Consistent with learning, lower sensitivity is concentrated in firms with more informed trading and lower financing constraints. Constrained firms exhibit no change in investment-q sensitivity, suggesting that they enjoy countervailing benefits via greater financing and stronger governance. Overall, we document a novel link between mandatory disclosure and real effects.
参考文献：
Sudarshan Jayaraman, Joanna Shuang Wu,Is Silence Golden? Real Effects of Mandatory Disclosure.
The Review of Financial Studies, 2019, 32(6): 2225–2259
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5、机构投资者与信息获取：对资产价格和信息效率的影响
本文研究了机构投资者的联合投资组合和信息选择问题，这些投资者关注的方面在于其相对于基准的表现。基准测试通过两种不同的经济机制影响信息选择：首先，基准测试减少了对信息敏感的投资者投资组合中的股票数量，从而导致私人信息的价值下降；其次，基准测试限制了投资者进行投机的意愿，这不仅降低了私人信息的价值，而且还对信息聚合产生负面影响。在均衡状态下，投资者获得的信息较少，信息效率低下。结果，收益波动率增加，基准较低的机构投资者的表现要优于基准较高的机构投资者。
We study the joint portfolio and information choice problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking influences information choices through two distinct economic mechanisms. First, benchmarking reduces the number of shares in investors’ portfolios that are sensitive to information. Hence, the value of private information declines. Second, benchmarking limits investors’ willingness to speculate. This not only reduces the value of private information but also adversely affects information aggregation. In equilibrium, investors acquire less information and informational efficiency declines. As a result, return volatility increases, and less-benchmarked institutional investors outperform more-benchmarked ones.
参考文献：
Matthijs Breugem, Adrian Buss,Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency.
The Review of Financial Studies, 2019, 32(6): 2260–2301
6、具有股价触发因素的或有可转换债券：永续年金
或有可转换债券（CoCos）的最初提议设想，当发行银行的股票价格下跌至预定触发点时，这些债券将转换为股权。随后的研究声称，这样做会使股票价格具有多重均衡或无均衡。本文表明，当CoCos是永续年金时，除非在不现实的条件下，否则大多数实际的CoCos都存在独特的股票价格均衡。当转换有利于或不利于CoCo投资者，当CoCos转换为股权或被减记以及当CoCos可赎回时，就会发生独特的均衡。本文还分析了银行在转换前后的风险选择。
Initial proposals for contingent convertibles (CoCos) envisioned that these bonds would convert to equity when the issuing bank’s stock price declined to a prespecified trigger. Subsequent research has claimed that doing so causes the stock price to have multiple equilibria or no equilibrium. We show that when CoCos are perpetuities, which characterizes most actual CoCos, a unique stock price equilibrium exists, except under unrealistic conditions. Unique equilibria occur when conversion favors or disfavors CoCo investors, when CoCos convert to equity or are written down, and when CoCos are callable. We also analyze a bank’s risk choices before and after conversion.
参考文献：
George Pennacchi, Alexei Tchistyi,Contingent Convertibles with Stock Price Triggers: The Case of Perpetuities.
The Review of Financial Studies, 2019, 32(6): 2302–2340
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7、社会风险、财政风险和政府项目组合
作者开发了一个政府投资组合选择模型，在这个模型中，政府在市场失灵和税收扭曲的情况下选择风险项目的规模。市场失灵、税收扭曲等摩擦促使政府对社会风险和财政风险进行管理。社会风险管理倾向于在经济不景气时改善市场失灵的项目。财政风险管理在当其他政府项目也需要大量支出时发挥作用，它使得涉及大量政府支出的项目缺乏吸引力。这两种风险管理动机经常混为一谈。利用所开发的政府投资组合选择模型，本文探讨了不同金融稳定计划的吸引力随着政府的财政负担和经济特征而变化的方式。
We develop a model of government portfolio choice in which the government chooses the scale of risky projects in the presence of market failures and tax distortions. These frictions motivate the government to manage social risk and fiscal risk. Social risk management favors programs that ameliorate market failures in bad times. Fiscal risk management makes unattractive programs involving large government outlays when other government programs also require large outlays. These two risk management motives often conflict. Using the model, we explore how the attractiveness of different financial stability programs varies with the government’s fiscal burden and characteristics of the economy.
参考文献：
Samuel G Hanson, David S Scharfstein, Adi Sunderam,Social Risk, Fiscal Risk, and the Portfolio of Government Programs.
The Review of Financial Studies, 2019, 32(6):2341–2382
8、银行决议和全球银行的结构
本文研究了国家监管机构对全球银行的解决方案。单入口解决方案（SPOE）解决方案（吸收损失的资本在各个辖区之间共享）是有效的，但面临实施限制。首先，当跨辖区的预期转移过于不对称时，国家监管机构无法制定SPOE决议。其次，当所需的事后转移额过大时，国家监管机构会对资产进行隔离，而不是在SPOE决议中进行合作。在这种情况下，预先分配了吸收亏损的资本的多入口点（MPOE）决议会更可靠。本文分析强调了有效的银行决议、全球银行的运营结构、风险和激励措施之间的根本联系。
We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across jurisdictions, is efficient but faces implementation constraints. First, when expected transfers across jurisdictions are too asymmetric, national regulators fail to set up SPOE resolution ex ante. Second, when required ex post transfers are too large, national regulators ring-fence assets instead of cooperating in SPOE resolution. In this case, a multiple-point-of-entry (MPOE) resolution, where loss-absorbing capital is preassigned, is more robust. Our analysis highlights a fundamental link between efficient bank resolution, the operational structures, risks, and incentives of global banks.
参考文献：
Patrick Bolton, Martin Oehmke,Bank Resolution and the Structure of Global Banks.
The Review of Financial Studies, 2019, 32(6):2384–2421
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9、资产负担，银行资金和脆弱性
作者对受滚动风险影响的银行的资产负担进行建模，并研究其对脆弱性，融资成本和审慎监管的后果。银行的私人最佳保留选择权在扩大由廉价长期优先有担保债务供资的、盈利丰厚但又缺乏流动性的投资所带来的收益，与无担保债务挤兑所带来的更大的脆弱性成本之间取得了平衡。作者推导出了可负担比率的可检验含义，引入存款保险或批发融资担保会导致过多的负担和脆弱性。限制资产抵押或庇古税消除了此类风险转移诱因。本文研究结果揭示了当前在多个司法管辖区奉行的审慎政策。
We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank’s privately optimal encumbrance choice balances the benefit of expanding profitable, yet illiquid, investment funded by cheap long-term senior secured debt, against the cost of greater fragility from runs on unsecured debt. We derive testable implications about encumbrance ratios. The introduction of deposit insurance or wholesale funding guarantees induces excessive encumbrance and fragility. Limits on asset encumbrance or Pigovian taxes eliminate such risk-shifting incentives. Our results shed light on prudential policies currently being pursued in several jurisdictions.
