鑽石舞台

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1. 開放式共同基金的波動定價及其脆弱性

如何避免開放式基金的脆弱性？近年來，市場觀察到一項改變開放式基金定價方式的創新——非傳統的定價規則（波幅定價，swing pricing），它可以通過調整基金的淨資產價值，將基金的交易成本轉嫁給交易中的股東。本文使用來自英國公司債基金中投資者層面的交易數據進行研究。我們發現，波幅定價消除了傳統定價規則帶來的先發優勢，並顯著減少了市場緊張期的資金外流。此外，波幅定價還降低了資金流量與業績之間關係的凹性，以及基金績效的稀釋程度。

How can fragility be averted in open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds』 net asset values to pass on funds』 trading costs to transacting shareholders. Using unique data on investor-level transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces outflows during market stress. Swing pricing also reduces concavity in the flow-performance relationship and dilution in fund performance.

Cite: Dunhong Jin, Marcin Kacperczyk, Bige Kahraman, Felix Suntheim, Swing Pricing and Fragility in Open-End Mutual Funds, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 1–50.

2. 可交易公司債券基金的意外後果：來自縮減恐慌時期的證據

本文檢驗了可交易基金（ETF）是否為公司債券脆弱性特有來源的事實。一般而言，相對於共同基金，可交易基金迎合了高流動性需求的投資者，可以促使其採用正反饋的交易策略，並通過近比例交易將資金外流傳導至公司債。通過比較同一發行人的債券利差變化，我們發現 ，可交易基金在縮減恐慌期間（即一個市場動盪的時期）會導致流動性壓力。與此同時，那些用於維持最大、最具流動性的可交易基金相對價格有效性的贖回手段，會導致其收益率利差在 4個月內顯着提高，之後才有所回落。上述結果表明，可交易基金放大了負向基本面衝擊的影響。

This paper examines whether ETFs are a unique source of corporate bond fragility. Relative to mutual funds, ETFs cater to high-liquidity-demand investors, facilitate positive feedback strategies, and transmit outflows to corporate bonds via near-proportional trading. Comparing yield spread changes of bonds from the same issuer, we show that ETFs create flow-induced pressure during the Taper Tantrum, a period of market turmoil. The pattern indicates ETFs amplify the effects of negative fundamental shocks.

Cite: Caitlin D Dannhauser, Saeid Hoseinzade, The Unintended Consequences of Corporate Bond ETFs: Evidence from the Taper Tantrum, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 51–90.

3. 指數基金能否發揮監督作用？

被動式管理的指數基金目前持有超過30%美國股票基金資產，這種轉變引發了關於監督和治理基本問題的思考。我們的研究表明，相對於主動管理的基金，指數基金的監督效率較低。其主要表現如下：首先，他們不太可能在有爭議的治理問題上投出反對公司管理層的票；其次，沒有證據表明他們有效地公開或私下參與了監督；第三，他們會導致其投資組合公司董事會的獨立性降低、報酬-業績敏感性降低。總體而言，指數基金的興起減小了受益所有人與公司管理層之間激勵的一致性，並將控制權從投資者手裡轉移給了管理者。

Passively managed index funds now hold over 30% of U.S. equity fund assets; this shift raises fundamental questions about monitoring and governance. We show that, relative to active funds, index funds are less effective monitors: (a) they are less likely to vote against firm management on contentious governance issues; (b) there is no evidence they engage effectively publicly or privately; and (c) they promote less board independence and worse pay-performance sensitivity at their portfolio companies. Overall, the rise of index funds decreases the alignment of incentives between beneficial owners and firm management and shifts control from investors to managers.

Cite: Davidson Heath, Daniele Macciocchi, Roni Michaely, Matthew C Ringgenberg, Do Index Funds Monitor?, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 91–131.

4. 公司治理實踐中的同群效應：來自普遍需求法的證據

同一網絡中的公司往往具有相似的公司治理實踐。然而，將治理實踐從一家公司傳播到另一家公司的同群效應與選擇效應（即具有相似偏好的公司會自我選擇到相關聯群體中）分開是十分困難的。通過研究董事會存在內部關聯的公司，本文利用各州交錯採用的普遍需求法，識別和估計了治理政策中的因果同群效應。我們的結論表明，反收購條款的採納過程中存在着同群效應。普遍需求法對內在關聯董事的治理經驗的影響，極有可能解釋了上述影響。

Firms in the same networks tend to have similar corporate governance practices. However, disentangling peer effects, where governance practices propagate from one firm to another, from selection effects, where firms with similar preferences self-select into linked groups, is difficult to do. Studying board-interlocked firms, we utilize the staggered adoption of universal demand laws across states to identify and estimate causal peer effects in governance policies. We find support for the existence of peer effects in the adoption of antitakeover provisions. The impact of universal demand laws on the governance experience of interlocking directors likely explains these effects.

Cite: Pouyan Foroughi, Alan J Marcus, Vinh Nguyen, Hassan Tehranian, Peer Effects in Corporate Governance Practices: Evidence from Universal Demand Laws, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 132–167.

5. 績效信號會如何影響合約？

信息原則指出，合同應依賴於有用的信號，本文研究了它應如何做到這一點。首先，產出分布向左移動的信號（例如，行業表現不佳）降低了經理獲得報酬的門檻；其次，那些表明產出是努力的一種精確度量的指標（例如，低波動性）降低了較高閾值，並提高了較低的閾值（註：在本文的模型假定中，閾值為一個門檻數值。一般而言，若某一指標低於其門檻指標，則合約的支付價格為0；若高於其門檻指標，則收益與指標呈線性增長關係）。令人驚訝的是，績效的良好信號並不會降低閾值。將該模型應用於基於績效的股權期權，我們的結論表明：績效的衡量應該影響執行價，而不是股權期權的數量，而這恰恰與實踐相反。

The informativeness principle states that a contract should depend on informative signals. This paper studies how it should do so. Signals indicating that the output distribution has shifted to the left (e.g., weak industry performance) reduce the threshold for the manager to be paid; those indicating that output is a precise measure of effort (e.g., low volatility) decrease high thresholds and increase low thresholds. Surprisingly, 「good」 signals of performance need not reduce the threshold. Applying our model to performance-based vesting, we show that performance measures should affect the strike price, rather than the number of vesting options, contrary to practice.

Cite: Pierre Chaigneau, Alex Edmans, Daniel Gottlieb, How Should Performance Signals Affect Contracts?, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 168–206.

6. 人才競爭：公司、經理與社交網絡

社交網絡能夠幫助公司招聘有才能的經理嗎？本文通過假定公司可通過前雇員隨機地與潛力年輕經理進行聯繫的前提，在離散選擇模型下研究了該問題。我們發現，網絡增加了公司聘用高能力經理的可能性，而對低能力經理的聘用率沒有影響。該影響對非本地公司、緊密聯繫的公司、以及住在同一社區公司的作用最大。文章的調查證據表明，社交網絡可以通過向潛在求職人提供有關公司基本面信息的方式，以促進招聘。我們的結論有助於解釋大多數經理與公司存在事前聯繫的原因。

Do social networks help firms recruit talented managers? In our setting, firms are randomly connected to prospective young managers through former employees. Under a discrete choice model, we find networks increase the likelihood firms hire high-ability managers, while having no effect on the hiring rate of low-ability managers. Effects are greatest for nonlocal firms, strong ties, and peers living in the same neighborhood. Survey evidence suggests social networks promote recruitment by providing information about firm fundamentals to potential applicants. Our results help rationalize why the majority of managers hold prior connections to the firm.

Cite: Isaac Hacamo, Kristoph Kleiner, Competing for Talent: Firms, Managers, and Social Networks, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 207–253,

7. 買方競爭與動量利潤

本研究表明，一個買方競爭的新衡量標準可以解釋動量利潤。當競爭較低時，動量五分位差為 1.11%，而在競爭激烈時則可以忽略不計。通過更優越的夏普比率與索蒂諾比率，我們可以無負偏態地取到更好的阿爾法值，也可以在以價值加權的投資組合和以大盤股為特色的更具投資性的策略中獲得。傳統上與動量相關的股票特徵不能解釋我們的結果。基於長期反轉、基金的交易模式、同類基金、遠期基金和散戶投資者的檢驗表明，緩慢的信息傳播解釋了低競爭市場中的大動量利差和動量逆轉的現象。

We show that a new measure of buy-side competition explains momentum profits. The momentum quintile spread is 1.11% when competition is low and negligible when competition is high. Better alphas are attained with superior Sharpe and Sortino ratios, with no negative skewness, and in more investible strategies featuring value-weighted portfolios and large capitalization stocks. Stock characteristics traditionally related to momentum do not explain our results. Tests based on long-term reversals, the trading patterns of funds, their style peers, distant funds, and retail investors suggest that slow information diffusion explains the large momentum spreads and momentum reversals in low competition markets.

Cite: Gerard Hoberg, Nitin Kumar, Nagpurnanand Prabhala, Buy-Side Competition and Momentum Profits, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 254–298.

8. 復刻私募股權：價值投資、自製槓桿與持有至到期的會計方法

研究表明，資產選擇和增量槓桿對收購投資業績的貢獻，比一般假設或估計的更為重要。例如，收購基金會偏好選擇具有明顯價值特徵的小型公司。相對於共同因素，具有這些特徵的上市股票具有較高的風險調整回報；而給公開交易的股票投資組合添加增量槓桿，既會增加風險，又會增加平均回報。本文的結論顯示，對私募股權基金進行直接投資所獲得的平均回報率，會低於通過上市股票、經紀人貸款等關鍵經濟特徵對其進行復刻的策略的平均回報率。

The contributions of asset selection and incremental leverage to buyout investment performance are more important than typically assumed or estimated to be. Buyout funds select small firms with distinct value characteristics. Public equities with these characteristics have high risk-adjusted returns relative to common factors. Adding incremental leverage to a publicly traded stock portfolio increases both risks and mean returns in this sample. Direct investments in private equity funds earn lower mean returns than a replicating strategy designed to mimic these key economic features of their investment process with public equities and brokerage loans.

Cite: Erik Stafford, Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 299-342.

9. 對回報指標的重新思考

投資者對業績的看法是有偏見的，因為相關的衡量標準「回報」很少得到顯示。目前，市場主要的指數忽略了股息，從而低估了市場表現。此外，報紙在除息日時更為悲觀，這與將指數認為是收益的錯誤認知是一致的。我們認為，市場的貝塔值應該跟蹤「回報」（即股息）這一指標，卻在實踐中追蹤了價格指標，繼而創造回報的可預期值。研究表明，共同基金因其可以「擊敗基於淨資產（而非回報）的標準普爾500指數」，獲得了資金流入。與此同時，投資者在形成年度業績預期時，往往對市場指數而不是回報進行推斷。進一步地，本文發現通過顯示默認的回報值，上述問題將得到改善。但無論如何得到高度關注，亦或採用了一致的適當措施進行緩解，這些問題也仍然會出現。

Investors』 perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, thereby underreporting market performance. Newspapers are more pessimistic on ex-dividend days, consistent with mistaking the index for returns. Market betas should track returns, but track prices more than dividends, creating predictable returns. Mutual funds receive inflows for 「beating the S&P 500」 price index based on net asset value (also not a return). Investors extrapolate market indices, not returns, when forming annual performance expectations. Displaying returns by default would ameliorate these issues, which arise despite high attention and agreement on the appropriate measure.

Cite: Samuel M Hartzmark, David H Solomon, Reconsidering Returns, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 343–393.

10. 跨境融資壁壘能否解釋金融一體化的逆轉？

研究表明，對利用槓桿獲取外國頭寸的限制，可能會成為國際投資的壁壘。在一個具有槓桿約束的、國際資本資產定價模型的設定下，我們得以使用觀察到的股票價格，衡量這種跨境融資壁壘的幅度和隱性成本的變化。本文的衡量標準有助於解釋全球市場一體化的動態變化，尤其是已有文獻中提到的、其他國際投資壁壘無法解釋的逆轉現象。我們亦使用替代的金融一體化指標、國際資本流動和機構投資組合，證實了本文的結果。

We show that constraints on using leverage for foreign positions can act as an international investment barrier. Guided by an international CAPM with leverage constraints, we use observed stock prices to measure the variation in the magnitude and the implicit cost of such cross-border funding barriers. Our measure helps explain the dynamics of global market integration and, in particular, its reversals documented in the literature, but not explained by other international investment barriers. We confirm our results using alternative financial integration measures, international capital flows, and institutional portfolio holdings.

Cite: Amir Akbari, Francesca Carrieri, Aytek Malkhozov, Can Cross-Border Funding Frictions Explain Financial Integration Reversals?, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 394–437.

11. 跨境銀行的資金流動與貨幣政策

本文使用跨越了二十年的大樣本國家數據，對貨幣政策對跨境銀行流動的影響進行分析。我們研究發現了可以支持跨境風險承擔渠道的證據，即國家的貨幣政策立場被證實是跨境銀行資金流動的重要決定因素。樣本國家若採取相對收緊的貨幣政策，會促使銀行將其貸款重新分配給更安全的外國交易方；而對於資本較少的銀行所在國，信貸的跨境重新分配現象更為明顯。同樣，這些資金的重新分配將流向相對安全的海外借貸者，例如發達的經濟體，或擁有投資級別主權評級的經濟體。

We analyze the impact of monetary policy on cross-border bank flows for a large sample of countries over two decades. We find evidence in favor of a cross-border risk-taking channel, as the monetary policy stance of source countries is an important determinant of cross-border bank flows. A relatively tighter monetary policy in source countries prompts banks to reallocate their lending toward safer foreign counterparties. The cross-border reallocation of credit is more pronounced for source countries with lower-capitalized banks. Also, the reallocation is directed toward foreign borrowers in relatively safer destinations, such as advanced economies or economies with investment-grade sovereign ratings.

Cite: Ricardo Correa, Teodora Paligorova, Horacio Sapriza, Andrei Zlate, Cross-Border Bank Flows and Monetary Policy, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 438–481.

12. 後危機時期遞減式抵押貸款的再分配現象研究

本文總結了自2008-2009年金融危機發生後，傳統與金融科技貸方發起的美國抵押貸款的四個長期趨勢。首先，自2011年以來，與大額貸款相比，中小額貸款的總量、規模和批准率均呈下降趨勢；其次，最大的貸款方重新分配其貸款最多；第三，這種貸款規模的再分配增再次加了貸款人的規模；第四，對於那些遠離符合標準的貸款限額的抵押貸款，這種影響會更大。我們認為，信貸供應推動了這些長期趨勢。此外，本文還評估了幾種潛在的經濟機制。

We document four secular trends about U.S. mortgage origination by traditional and FinTech lenders after the 2008-2009 financial crisis. First, since 2011, the overall number, size, and approval rate of small and medium-sized loans have been decreasing over time, relative to large loans. Second, the largest lenders redistribute their lending the most. Third, this loan-size redistribution of credit increases in the size of the lender. Fourth, the effects are stronger for mortgages further away from the conforming loan limit(s) in both directions. We argue that the supply of credit drives these secular trends, and we assess several potential economic mechanisms.

Cite: Francesco D』Acunto, Alberto G Rossi, Regressive Mortgage Credit Redistribution in the Post-Crisis Era, The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 482–525.