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1、信用价差之谜真的存在吗？
Is the credit spread puzzle a myth?
作者重新审视了Feldhütter和Schaefer的报告（FS，2018）, 该报告提供了高收益债券而非投资级债券 “信用价差之谜 ”（credit spread puzzle）的证据。但作者发现，当Feldhütter和Schaefer的模型被校准使用债务的市场价值（根据理论要求）而不是账面价值时，会得出与他们报告中结果相反的结论。随后，作者阐明了当使用信用价差而不是历史违约率来识别违约边界时，在统计意义上可以拒绝Feldhütter和Schaefer的假设——企业动态遵循几何布朗运动。历史违约率需要和一个高市场价格的跳跃风险（jump risk）相匹配，这就产生了投资级债券而非高收益债券的信用价差之谜。
We revisit Feldhütter and Schaefer (FS, 2018), who report evidence of a “credit spread puzzle” for high-yield but not investment-grade bonds. We show their results are reversed when their model is calibrated to market values of debt (as required by theory) rather than book values. We then demonstrate that using credit spreads rather than historical default rates to identify the default boundary provides the statistical power necessary to reject their assumption that firm dynamics follow geometric Brownian motion. A large market price of jump risk is required to match historical default rates, which generates a credit spread puzzle for investment-grade but not high-yield bonds.
参考文献：Bai, J., Goldstein, R. and Yang, F., 2020. Is the credit spread puzzle a myth?. Journal of Financial Economics, 137(2), pp.297-319.
2、投资者意识形态
Investor ideology
作者从代理投票记录中估计机构投资者的偏好。根据2012财年的投票情况，使用WNOMINATE方法将投资者在一维空间上分为左右两类。其中，左侧的公共养老基金投资者和左侧的其他投资者支持那些把更多社会担当和环境友好作为导向并降低高管薪酬的企业。而“对钱敏感 ”（Money-conscious）的投资者则出现在右侧。作为代理顾问，机构股东服务集团（ISS）要提出投票建议，因此其应该处于中间位置，在大多数大型共同基金投资者的左边。二维空间反映了一个更为传统的治理观点，也就是，包括代理顾问公司Glass Lewis在内的信奉严格管理的投资者，与更倾向于宽松管理的投资者互相较量。
We estimate institutional investor preferences from proxy voting records. The WNOMINATE method maps investors onto a left-right dimension based on votes for fiscal year 2012. Public pension funds and other investors on the left support a more social and environment-friendly orientation of the firm and fewer executive compensation proposals. “Money-conscious” investors appear on the right. The proxy advisor ISS makes voting recommendations that place it center, to the left of most large mutual funds. A second dimension reflects a more traditional governance view, with management-disciplinarian investors, the proxy advisor Glass Lewis among them, pitted against more management-friendly ones.
参考文献：Bolton, P., Li, T., Ravina, E. and Rosenthal, H., 2020. Investor ideology. Journal of Financial Economics, 137(2), pp.320-352.
3、围绕着优先购买权的廉价股利益输送
Cheap-stock tunneling around preemptive rights
优先购买权被认为可以保护小股东免受控股股东利用廉价股票进行利益输送行为（tunneling）的影响。然而作者发现，优先购买权虽然使利用廉价股输送利益的行为变得更加困难，但当股票价值信息存在信息不对称，小股东无法判断这些股票是处于低价位还是高价位时，优先购买权就无法制止利用廉价股输送利益行为的发生。作者的分析可以帮助解释为什么非上市公司的老道投资者和上市公司的监管者不完全依靠优先购买权来解决廉价股利益输送问题，而是要辅以股票发行方面的其他限制。
Preemptive rights are thought to protect minority shareholders from cheap-stock tunneling by a controlling shareholder. We show that preemptive rights, while making cheap-stock tunneling more difficult, cannot prevent it when asymmetric information about the value of the offered shares makes it impossible for the minority to know whether these shares are cheap or overpriced. Our analysis can help explain why sophisticated investors in unlisted firms and regulators of listed firms do not rely entirely on preemptive rights to address cheap-stock tunneling, supplementing them with other restrictions on equity issues.
参考文献：Fried, J. and Spamann, H., 2020. Cheap-stock tunneling around preemptive rights. Journal of Financial Economics, 137(2), pp.353-370.
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4、主（信息）经纪商业务
Prime (information) brokerage
作者表明，对冲基金从其主要经纪银行获得了关于银行企业借款人的信息优势。相关对冲基金在贷款公告发布之前就对借款企业的股票进行了异常大的交易，而且这些交易的回报优于其他交易。其中，那些能给主要经纪银行带来巨大潜在收益的对冲基金的交易表现更为突出。这些知情交易似乎不仅基于贷款本身的信息，还基于公司的基本面信息，如预期收益。最后，作者发现有证据表明，银行内部的股票分析师可能是信息传递的一个潜在渠道。
We show that hedge funds gain an information advantage from their prime broker banks regarding the banks’ corporate borrowers. The connected hedge funds make abnormally large trades in the stocks of borrowing firms prior to loan announcements, and these trades outperform other trades. The outperformance is particularly strong for trades of hedge funds that have high revenue potential for prime broker banks. These informed trades appear to be based on information not just about the loan itself but also about firms’ fundamentals such as future earnings. Finally, we find evidence suggesting that equity analysts inside the banks are one potential conduit of information transfer.
参考文献：Kumar, N., Mullally, K., Ray, S. and Tang, Y., 2020. Prime (information) brokerage. Journal of Financial Economics, 137(2), pp.371-391.
5、特立独行的重要性: 危机期间的回购市场
The importance of being special: Repo markets during the crisis
作者研究在欧元区主权债务危机期间，意大利主权债券回购市场的稀缺性溢价和“特殊性”（specialness）是如何受到欧洲央行（ECB）购买的影响。作者提出并校准了一个基于搜索的动态模型，其中，央行作为购买和持有的投资者。与模型预测一致的是，欧洲央行的购买与卖空相结合，推动了目标证券的“特殊性”。特殊基准债券带来正的现金溢价，但当欧洲央行购买时，其市场流动性下降。卖空者更有可能无法交付非常特殊的债券，而这些债券的持有者不太愿意将其作为欧洲央行流动性操作的抵押品。
We study how the Italian sovereign bond scarcity premia, specialness, in the repo market were affected by the European Central Bank (ECB)’s purchases during the euro area sovereign debt crisis. We propose and calibrate a search-based dynamic model with a central bank acting as a buy-and-hold investor. Consistent with model predictions, ECB purchases drive specialness of targeted securities in combination with short-selling. Special benchmark bonds entail a positive cash premium, but their market liquidity decreases when purchased by the ECB. Short-sellers were more likely to fail-to-deliver very special bonds, while holders of these bonds were less inclined to pledge them as collateral to the ECB liquidity operations.
参考文献：Corradin, S. and Maddaloni, A., 2020. The importance of being special: Repo markets during the crisis. Journal of Financial Economics, 137(2), pp.392-429.
6、变相腐败: 来自中国消费信贷的证据
Disguised corruption: Evidence from consumer credit in China
利用一家行业领先的中国银行的信用卡综合样本数据，作者发现，在收入相似且性别年龄相仿的情况下，政府官员获得的信贷额度比非政府官员要高16%。然而这些政府官员的信用卡账户出现拖欠和债务豁免的可能性却明显更高。银行向当地政府官员提供了更高信贷额度的地区设立了更多分支机构，同时从获得了更多来自地方政府的存款。在阶段性打击省级政府官员腐败行为的行动后，被曝光地区的银行向当地政府官员新发放的信用卡不再享受更高的信贷额度。同时，这些政府官员信用卡账户的拖欠率和还款率也变得与非政府官员的账户相似。
Using a comprehensive sample of credit card data from a leading Chinese bank, we show that government bureaucrats receive 16% higher credit lines than non-bureaucrats with similar income and demographics, but their accounts experience a significantly higher likelihood of delinquency and debt forgiveness. Regions associated with greater credit provision to bureaucrats open more branches and receive more deposits from the local government. After staggered corruption crackdowns of provincial-level political officials, the new credit cards originated to bureaucrats in exposed regions do not enjoy a credit line premium, and bureaucrats’ delinquency and reinstatement rates are similar to those of non-bureaucrats.
参考文献：Agarwal, S., Qian, W., Seru, A. and Zhang, J., 2020. Disguised corruption: Evidence from consumer credit in China. Journal of Financial Economics, 137(2), pp.430-450.
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7、工作权法的经济影响: 来自集体谈判协议和公司政策的证据
The economic impact of right-to-work laws: Evidence from collective bargaining agreements and corporate policies
作者分析了美国工作权利法（RTW）的经济和财务影响。使用来自集体谈判协议的数据，作者发现，在实行工作权法后，工会工人的工资会有所下降。企业增加了投资和就业，但降低了财务杠杆。劳动密集型企业的利润和劳动资产比都有所提高。股利和高管薪酬在工作权法施行后也有所增加。作者的研究结果与包含外生劳动力议价能力的企业规范理论是一致的，同时表明工作权法通过降低这种讨价还价能力来影响公司政策。
We analyze the economic and financial impact of right-to-work (RTW) laws in the US. Using data from collective bargaining agreements, we show that there is a decrease in wages for unionized workers after RTW laws. Firms increase investment and employment but reduce financial leverage. Labor-intensive firms experience higher profits and labor-to-asset ratios. Dividends and executive compensation also increase post-RTW. Our results are consistent with a canonical theory of the firm augmented with an exogenous bargaining power of labor and suggest that RTW laws impact corporate policies by decreasing that bargaining power.
参考文献：Chava, S., Danis, A. and Hsu, A., 2020. The economic impact of right-to-work laws: Evidence from collective bargaining agreements and corporate policies. Journal of Financial Economics, 137(2), pp.451-469.
8、公司债券一级市场的机构配置情况
Institutional allocations in the primary market for corporate bonds
利用2002-2014年保险公司的交易，作者首次提供了承销商在公司债券一级市场上的配置行为的经验证据。由于债券的定价往往偏低，配置行为帮助投资者创造了约410亿美元的首日利润。这些利润会随着投资者在建账过程（bookbuilding）中信息生产（information production）的代理增多而增加，特别是，随着投资者之前与承销商的交易而增加。当非对称信息较多时，信息生产的影响较大，而当发行人与承销商代理问题较严重时，事前交易的影响较大。当分配竞争比较激烈时，事先交易会进一步增加保险公司的首日利润。
Using 2002–2014 insurer transactions, we provide the first empirical evidence on underwriters’ allocation practices in the primary market for corporate bonds. Since bonds are often underpriced, allocations generate for investors an estimated $41 billion of first-day profits. These profits increase with proxies for investors’ information production during the bookbuilding process and, more strongly, with investors’ prior trading with underwriters. Information production has a larger impact when asymmetric information is higher, while prior trading has a larger impact when the issuer-underwriter agency problem is more severe. When there is more competition for allocations, prior trading further increases an insurer’s first-day profits.
参考文献：Nikolova, S., Wang, L. and Wu, J., 2020. Institutional allocations in the primary market for corporate bonds. Journal of Financial Economics, 137(2), pp.470-490.
9、恐怖袭击和投资者风险偏好：来自共同基金流动的证据
Terrorist attacks and investor risk preference: Evidence from mutual fund flows
利用30年来的恐怖袭击全面的清单，作者发现，总的投资者风险规避与美国的恐怖活动成反比。每月袭击次数增加一个标准差，就会导致流向股票基金的总资金减少759万美元，流向政府债券基金的资金增加5681万美元。对替代渠道的测试进一步表明，总风险规避的转变主要是由情感冲动导致的，而不是因为财富或外部环境的变化。作者还研究了减少流向高风险资产的可能的替代解释。作者的证据与恐惧引起的总体风险厌恶增加相一致。
Using a comprehensive list of terrorist attacks over three decades, we find that aggregate investor risk aversion inversely relates to terrorist activity in the United States. A one standard deviation increase in the number of attacks each month leads to a $75.09 million drop in aggregate flows to equity funds and a $56.81 million increase to government bond funds. Tests on alternative channels further suggest that the shift in aggregate risk aversion is driven mainly by an emotional shock rather than changes in wealth or the outside environment. We also investigate possible alternate explanations for reduced flows to risky assets. Our evidence is consistent with a fear-induced increase in aggregate risk aversion.
参考文献：Wang, A. and Young, M., 2020. Terrorist attacks and investor risk preference: Evidence from mutual fund flows. Journal of Financial Economics, 137(2), pp.491-514.
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10、所见非所得：市场异常交易的成本
What you see is not what you get: The costs of trading market anomalies
纸面上的交易策略的盈利能力与实践中实现的盈利能力之间是否存在差距？作者通过发展一种衡量金融市场异常情况下现实世界的实施成本的普适技术来回答这个问题。作者的方法扩展了Fama-MacBeth回归，以比较纸面上的因子暴露（factor exposures）回报与共同基金所实现的回报。与现有方法不同的是，作者的方法无需依赖参数化的微观结构模型或明确指定的因子交易策略，就能提供所有实施成本的估计。在计入实施成本后，典型的共同基金赚取的是低价值回报，而没有动量回报。
Is there a gap between the profitability of a trading strategy on paper and that which is achieved in practice? We answer this question by developing a general technique to measure the real-world implementation costs of financial market anomalies. Our method extends Fama-MacBeth regressions to compare the on-paper returns to factor exposures with those achieved by mutual funds. Unlike existing approaches, ours delivers estimates of all-in implementation costs without relying on parametric microstructure models or explicitly specified factor trading strategies. After accounting for implementation costs, typical mutual funds earn low returns to value and no returns to momentum.
参考文献：Patton, A. and Weller, B., 2020. What you see is not what you get: The costs of trading market anomalies. Journal of Financial Economics, 137(2), pp.515-549.
11、变非系统性风险为系统性风险：套利和内生风险
Turning alphas into betas: Arbitrage and endogenous risk
