鑽石舞台

picture from Internet

1. 企業價值分解

企業市場價值的經濟決定因素是什麼？我們藉助具有類固定勞動力和三種異質資本投入的廣義新古典投資模型來回答這個問題。使用美國公司層面的數據估計結構模型後，本文發現，根據行業區分，平均而言，現有勞動力占公司市場價值的 14-21%，實物資本占30-40%，知識資本占比20-43%，品牌資本占比6-25%。我們的研究為理解勞動力和無形資本投入對公司價值的重要性提供了直接的經驗證據。

What are the economic determinants of a firm’s market value? We answer this question through the lens of a generalized neoclassical model of investment with quasi-fixed labor and three heterogeneous capital inputs. We estimate the structural model using firm-level data on US firms and find that, on average and depending on the industry, installed labor force accounts for 14–21% of firms』 market value, physical capital accounts for 30–40%, knowledge capital accounts for 20–43%, and brand capital accounts for 6–25%. Our analysis provides direct empirical evidence for the importance of labor and intangible capital inputs for understanding firm value.

Frederico Belo, Vito D. Gala, Juliana Salomao, Maria Ana Vitorino, Decomposing firm value, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 619-639.

2. 管理信念的微觀與宏觀視角研究

本文研究了管理信念中的偏見如何影響管理決策、公司績效和宏觀經濟。藉助一項對美國經理人的新調查數據，我們發現了三個事實：(1) 經理們並不會過分樂觀：平均銷售增長的預測不會超過實際情況；(2) 管理人員往往過於精確：他們低估了未來銷售增長的波動性；(3) 管理者過度推斷：他們的預測在市場出現正面衝擊後過於樂觀，而在負面衝擊後過於悲觀。為了量化偏見的影響，本文估計了一個動態一般均衡模型。其中，異質性企業的管理者通過主觀信念做出前瞻性的招聘決策。過度精確和過度推斷導致管理者對公司層面的衝擊反應過度，在調整成本上花費過多，破壞了往常公司價值的2.1%至6.8%。普遍的過度反應導致了過度波動與再分配，使消費者福利相對於理性預期均衡狀態降低了0.5%至 2.3%。上述發現表明，過度反應會放大資產價格和商業周期的波動。

This paper studies how biases in managerial beliefs affect managerial decisions, firm performance, and the macroeconomy. Using a new survey of US managers I establish three facts. (1) Managers are not overoptimistic: sales growth forecasts on average do not exceed realizations. (2) Managers are overprecise: they underestimate future sales growth volatility. (3) Managers overextrapolate: their forecasts are too optimistic after positive shocks and too pessimistic after negative shocks. To quantify the implications, I estimate a dynamic general equilibrium model in which managers of heterogeneous firms use a subjective beliefs process to make forward-looking hiring decisions. Overprecision and overextrapolation lead managers to overreact to firm-level shocks and overspend on adjustment costs, destroying 2.1% to 6.8% of the typical firm’s value. Pervasive overreaction leads to excess volatility and reallocation, lowering consumer welfare by 0.5% to 2.3% relative to the rational-expectations equilibrium. These findings suggest overreaction could amplify asset-price and business-cycle fluctuations.

Cite: Jose Maria Barrero, The micro and macro of managerial beliefs, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 640-667.

3. 氣候政策的實際影響：金融約束和溢出效應

本研究表明，那些旨在減輕氣候風險的本地化政策，可能會由於公司的監管套利行為而產生意想不到的後果。使用美國工廠層面數據和雙重差分模型，本文研究了加利福尼亞總量管制和交易計劃的影響。結果表明，資金緊張的公司會將排放與產出從加利福尼亞轉移到其他州，這些被轉移州有者類似的未充分利用的工廠。相比之下，不受資金約束的公司不會做出這樣的調整。總體而言，不受限制的企業不會減少其總排放量，而受財政約束的企業會在總量管制和交易計劃的規則下增加其總排放量，從而削弱了政策的有效性。

We document that localized policies aimed at mitigating climate risk can have unintended consequences due to regulatory arbitrage by firms. Using a difference-in-differences framework to study the impact of the California cap-and-trade program with U.S. plant-level data, we show that financially constrained firms shift emissions and output from California to other states where they have similar plants that are underutilized. By contrast, unconstrained firms do not make such adjustments. Overall, unconstrained firms do not reduce their total emissions, whereas constrained firms increase their total emissions after the cap-and-trade rule, undermining the effectiveness of the policy.

Cite: Söhnke M. Bartram, Kewei Hou, Sehoon Kim, Real effects of climate policy: Financial constraints and spillovers, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 668-696.

4. 匯率中的缺失風險溢價

我們使用實際匯率的現值模型來對貨幣風險溢價進行結構性討論。在本文的模型假定中，貨幣風險溢價可以取決於利率差異和一個潛在的因素，即缺失的風險溢價。我們的現值模型顯示，實際匯率應該可以預測貨幣的收益，而這也與現實數據保持了一致性。本文發現，缺失的風險溢價解釋了大部分的實際匯率變化，而非利率差異作為主因。此外，我們的模型還闡明了利差、實際匯率和貨幣風險溢價之間的複雜關係。

We use a present-value model of the real exchange rate to impose structure on the currency risk premium. We allow the currency risk premium to depend on both the interest rate differential and a latent component: the missing risk premium. Consistent with the data, our present-value model implies that the real exchange rate should predict currency returns. We find that the missing risk premium, not the interest rate differential, explains most of the variation in the real exchange rate. Moreover, our model sheds light on puzzling relations between the interest rate differential, the real exchange rate, and the currency risk premium.

Cite: Magnus Dahlquist, Julien Pénasse, The missing risk premium in exchange rates, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 697-715.

5. 馴服偏差動物園

行為經濟學的成功帶來了一個新的挑戰：許多偏差為特定的金融異常現象提供了可觀的相似預測。為了馴服偏差動物園，我們將主觀調查答卷與觀察數據結合起來，提出了一種新方法，該方法能夠穩健地應對通過調查引入的特定問題偏差。為了說明該方法，本文通過對中國散戶投資者進行全國性調查以了解他們的交易動機；之後，基於調查得到的交易動機對受訪者實際營業額進行橫截面回歸，發現來自感知的信息優勢和賭博偏好在所有動機中占據最主要地位，儘管它們並不是基於調查答卷的最普遍的偏差。

The success of behavioral economics has led to a new challenge: many biases offer observationally similar predictions for a targeted financial anomaly. To tame this bias zoo, we combine subjective survey responses with observational data to propose a new approach, one that is robust to question-specific biases introduced through surveys. We illustrate this approach by administering a nationwide survey of Chinese retail investors to elicit their trading motives. In cross-sectional regressions of respondents』 actual turnover on survey-based trading motives, perceived information advantage and gambling preference dominate other motives, though they are not the most prevalent biases based on survey responses.

Cite: Hongqi Liu, Cameron Peng, Wei A. Xiong, Wei Xiong, Taming the bias zoo, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 716-741.

6. 全球市場上存在主場優勢嗎？

國際股票共同基金越來越多地從與其地域職權相關的國家聘請經理。本文展示了這些具有「本地關聯經理」的基金表現出的強烈偏好，即熱衷於投資經理所在國家的股票，並從該地吸引更多資金流。如果某隻基金擁有本地優勢，其所在國的股票投資組合的表現就會優於那些沒有本地關聯的經理所管理的基金。雖然，我們無法確定與本地關聯經理的業績相關的信息優勢的具體來源，但對資金流動的分析顯示，投資者對本地投資基金的信任主要是通過之前的出色表現獲得的。

International equity mutual funds increasingly hire managers from countries linked to their geographic mandate. We show these funds with 「home-linked managers」 exhibit a strong bias to invest in stocks of the managers' home countries and attract more flows. Portfolios of stocks from countries in which a fund has a home-field advantage outperform those managed by funds without home-linked managers. We are unable to identify specific sources of an information advantage associated with the home-linked manager's performance. But an analysis of fund flows reveals a role of investor trust in home-linked managers earned primarily through past superior performance.

Cite: Murali Jagannathan, Wei Jiao, G. Andrew Karolyi, Is there a home field advantage in global markets?, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 742-770.

7. 學生貸款信貸擴張的後果：來自三十年違約周期的證據

本文利用行政聯邦學生的貸款數據，研究了信貸可用性與學生貸款償還之間的聯繫。我們證明，高違約機構可獲得的信貸政策導致的變化，解釋了絕大部分違約的歷史時間序列變化。從1981年到1988年，聯邦貸款的資格增加，導致那些借款後更有可能違約的機構進入市場。1988年至1992年期間，信貸准入門檻收緊，造成許多違約率高的機構退出市場。1992年以後，這個循環再次上演，即隨着1992年之前的許多改革的取消，信貸准入門檻又逐漸放寬了。

This paper studies the link between credit availability and student loan repayment using administrative federal student loan data. We demonstrate that policy-driven changes in credit available to high-default institutions explain almost all of the historical time-series variation in defaults. Between 1981 and 1988, eligibility for federal loans was expanded, leading to the entry of institutions with borrowers more likely to default. From 1988 to 1992, credit access was tightened, leading to the exit of many institutions with high default rates. After 1992, the cycle was repeated, with credit access gradually loosened by unwinding many of the pre-1992 reforms.

Cite: Adam Looney, Constantine Yannelis, The consequences of student loan credit expansions: Evidence from three decades of default cycles, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 771-793.

8. 走在快車道上：信息獲取成本與信息生產

利用高鐵（HSR）的引入作為對信息獲取成本的外生衝擊，本研究表明，信息獲取成本的降低將導致以下結果：（1）信息生產的顯着增加，這一點可以通過分析師訪問投資組合的頻率增加得到證明；（2）產出質量的提高，表現為更高的預測準確性和更好的推薦建議。對於那些難以產出信息的公司，這種影響更為明顯。重要的是，更多的信息生產也與價格效率的提高有關。我們通過對金融分析師的大規模調查，證實了上述發現。最後，實證結果和調查研究都指出了軟信息在分析師特有信息生產中的重要性。

Using the introduction of high-speed rail (HSR) as an exogenous shock to costs of information acquisition, we show reductions in information-acquisition costs lead to (i) a significant increase in information production, evidenced by a higher frequency of analysts visiting portfolio firms and (ii) improvement in output quality, manifested in higher forecast accuracy and better recommendations. The effect is more pronounced for firms with information that is difficult to produce. Importantly, more information production is also associated with improved price efficiency. We corroborate these findings using a large-scale survey of financial analysts. Finally, both the empirical and survey results highlight the importance of soft information in analysts』 unique-information production.

Cite: Deqiu Chen, Yujing Ma, Xiumin Martin, Roni Michaely, On the fast track: Information acquisition costs and information production, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 794-823.

9. 繁忙的破產法庭和信貸成本

在2005年美國消費者破產改革之後，美國法院積壓案件的數量出現了有記錄以來的最大降幅。本文利用公司里那些看似合理的外部敞口，估算了破產法庭案件數量對信貸獲取的影響。我們指出，法庭積壓案件的減少縮短了公司在破產中花費的時間，並增加了其殘值，這也反映在了信用利差和貸款期限中。與信貸供應的衝擊相一致的是，案件積壓少的法庭增加了企業槓桿率，但違約風險保持不變。粗略的計算表明，破產法庭積壓的案件每年至少會花費公司借款人7.4億美元來支付利息。

This paper estimates the effect of bankruptcy court caseload on access to credit by exploiting firms』 plausibly exogenous exposure to the largest recorded drop in court backlog in the United States following the 2005 consumer bankruptcy reform. I show that a drop in court congestion reduces the time firms spend in bankruptcy and increases recovery values, which is priced into credit spreads and loan maturities. Consistent with a shock to credit supply, less congested courts increase firm leverage but leave default risk unchanged. A back-of-the-envelope calculation suggests that backlog in bankruptcy courts costs corporate borrowers at least $740 million per year in interest payments.

Cite: Karsten Müller, Busy bankruptcy courts and the cost of credit, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 824-845.

10. 注意力誘因與投資者風險承擔

本文使用了一個大樣本數據，來研究個人注意力誘因會如何影響金融風險承擔的問題。該數據庫記錄了一項經紀服務的交易過程，即向散戶投資者發送標準化股票推送消息。通過利用雙重差分（DID）模型，我們發現，注意力的誘因會增加投資者的冒險行為。我們的 DID係數意味着受關注的交易的槓桿率比未受關注的交易槓桿率平均高出19個百分點。本文還提供了一系列橫截面數據分析，以識別受這種影響更強的投資者和股票。

This paper investigates how individual attention triggers influence financial risk-taking based on a large sample of trading records from a brokerage service that sends standardized push messages on stocks to retail investors. By exploiting the data in a difference-in-differences (DID) setting, we find attention triggers increase investors』 risk-taking. Our DID coefficient implies attention trades carry, on average, a 19 percentage-point-higher leverage than non-attention trades. We provide a battery of cross-sectional analyses to identify the groups of investors and stocks for which this effect is stronger.

Cite: Marc Arnold, Matthias Pelster, Marti G. Subrahmanyam, Attention triggers and investors』risk-taking, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 846-875.

11. 地方銀行、信貸供給與房價

本文利用一項瑞士的自然實驗研究了當地抵押貸款供給的增加對房價的影響。2008年，許多零售客戶將存款從遭受海外損失的全球銀行轉移到同質化的、受限服務於本地的抵押貸款銀行。將兩種銀行之間的距離作為存款增長的工具變量，本研究現實，地方的抵押貸款銀行增加抵押貸款的行為與隨後的市場房價上升相關。這一研究結果表明，銀行的專業化在資本配置中發揮着重要的作用。

I study the effects of an increase in the supply of local mortgage credit on house prices by exploiting a natural experiment from Switzerland. In 2008, retail customers migrate deposits from universal banks that are suffering overseas losses to homogeneous and narrowly-local mortgage banks. Using the distance between the two types of banks as an instrument for deposit growth, I show that local mortgage banks increase mortgage lending, which correlates with subsequent house price growth in their markets. My results highlight that bank specialization plays an important role in the allocation of capital.

Cite: Kristian Blickle, Local banks, credit supply, and house prices, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 876-896.

12. 搜尋股權溢價

具有遞歸效用、搜尋摩擦和資本積累的動態隨機一般均衡模型，是形成資產價格和商業周期統一理論的良好開端。該模型再現了每年4.27%的股權溢價、12.42%的股市波動率和 1.97%的平均利率，同時還保留了合理的商業周期動態。股票溢價和股市波動具有很強的逆周期性，而利率和消費的增長在很大程度上是不可預測的。由於工資的慣性，儘管該模型已經通過投資平滑了消費，但是股息依然保留了順周期性。此外，商業周期的福利成本巨大，高達33.6%。

A dynamic stochastic general equilibrium model with recursive utility, search frictions, and capital accumulation is a good start to forming a unified theory of asset prices and business cycles. The model reproduces an equity premium of 4.27% per annum, a stock market volatility of 12.42%, and an average interest rate of 1.97%, while retaining plausible business cycle dynamics. The equity premium and stock market volatility are strongly countercyclical, whereas the interest rate and consumption growth are largely unpredictable. Because of wage inertia, dividends are procyclical despite consumption smoothing via investment. The welfare cost of business cycles is huge, 33.6%.

Cite: Hang Bai, Lu Zhang, Searching for the equity premium, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 897-926.

13.上市公司對經濟的重要性是否已經降低？

與20世紀70年代相比，上市公司對總非農就業和GDP的貢獻減少了。這一發展的主要原因是製造業的衰落、製造業向海外轉移、以及服務經濟的增長等，因為提供服務的公司在交易所上市的可能性很小。現在，一個公司的股票市值對其就業的指導意義遠不如以前。不過，市價總值對企業給GDP帶來貢獻的有效信息並沒有系統性地減少。與上世紀70年代相比，上市股票市場超級明星的就業率有所下降。

Publicly traded firms contribute less to total nonfarm employment and GDP now than in the 1970s. Major reasons for this development are the decline of manufacturing, the shift towards more production abroad in manufacturing, and the growth of the service economy as firms providing services are less likely to be listed on exchanges. A firm's stock market capitalization is much less instructive about its employment now than earlier. Market capitalizations have not become systematically less informative about firms』 contribution to GDP. Listed stock market superstars account for less employment than they did in the 1970s.

Cite: Frederik P. Schlingemann, René M. Stulz, Have exchange-listed firms become less important for the economy?, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 927-958.

14. 為什麼商業貸款利率如此具有粘性？私人信息對貸款利差的影響

過去的研究發現，商業貸款利差具有「粘性」，因為它們不能完全響應公開市場利率的變化，或是可觀察的公司信用風險特徵。在本文中，我們提供了導致粘性的證據，即其部分原因在於，銀行篩選的強度合可觀察到的企業信貸風險特徵，會與信貸市場條件的變化呈反比。我們的分析表明，貸款利差的粘性並不一定表明貸款定價錯誤或信貸分配不當。

Past studies find that commercial loan spreads are 「sticky」 in the sense that they do not fully respond to changes in open market rates or observable firm credit risk characteristics. In this paper, we provide evidence that the appearance of stickiness arises, in part, because the intensity of bank screening varies inversely with changes in both observable firm credit risk characteristics and credit market conditions. Our analysis demonstrates that stickiness in loan spreads does not necessarily indicate loan mispricing or misallocation of credit.

Cite: Cem Demiroglu, Christopher James, Guner Velioglu, Why are commercial loan rates so sticky? The effect of private information on loan spreads, Journal of Financial Economics, Volume 143, Issue 2, 2022, Pages 959-972,