国际金融研究杂志(国际金融研究 杂志)

本文汇总了金融学国际顶级期刊《Journal of Financial Economics》近期发表的最新论文成果，提供金融研究领域最新学术动态。

目录

1）Personal finance education mandates and student loan repayment

2）Bucking the trend: Why do IPOs choose controversial governance structures and why do investors let them?

3）Growth forecasts and news about monetary policy

4）Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion

5）Can FinTech reduce disparities in access to finance? Evidence from the Paycheck Protection Program

6）Price-setting in the foreign exchange swap market: Evidence from order flow

7）The secured credit premium and the issuance of secured debt

8）On the information content of credit ratings and market-based measures of default risk

9）Speculative dynamics of prices and volume

10）Peer selection and valuation in mergers and acquisitions

11）Executive stock options and systemic risk

12）The international propagation of economic downturns through multinational companies: The real economy channel

13）Millionaires speak: What drives their personal investment decisions?

14）Young firms, old capital

01

Personal finance education mandates and student loan repayment

作者：

Daniel Mangrum

(Federal Reserve Bank of New York)

摘要：本文估计了要求高中生完成个人理财教育对其大学毕业后偿还联邦学生贷款行为的影响。本文将来自College Scorecard的学生贷款和还款数据与来自IPEDS（高等教育机构综合数据系统）的不同州高中毕业生进入大学人数的数据进行合并，然后将受本州强制要求（完成个人理财教育）的大学生比例变化与大学中各类学生群体贷款结果的变化联系起来，进而估算了个人理财教育要求的因果效应。本文发现只有父母收入较高的学生群体通过调整借款对此做出了反应，借款余额中位数减少了7%。相比之下，受强制要求约束的第一代（富一代）和低收入借款人并未明显调整借款，但仍然更可能偿还（部分）借款余额。还款情况的改善有一部分原因是对联邦学生贷款条款更深的理解。与那些只强制要求个人理财教育的州相比，要求将职业探索与个人财务教育结合起来的州的学生贷款偿还情况更好。

Abstract：This paper estimates the impact of requiring high school students to complete personal finance education on federal student loan repayment behavior after college. I merge student loan borrowing and repayment data from the College Scorecard with data from the Integrated Postsecondary Education Data System on counts of high school graduates enrolling in college from different states. I estimate the causal effect of personal finance education mandates by relating the change in the share of university students subject to a state mandate to changes in university cohort student loan outcomes. I find only students with higher-income parents respond by adjusting borrowing, reducing median balances by 7%. By contrast, first-generation and low-income borrowers bound by mandates did not significantly adjust borrowing, but were nonetheless more likely to pay down balances. Repayment improvements are in part due to better understanding of the terms governing federal student loans. State mandates that incorporate career research alongside personal finance education are associated with better student loan repayment than those focused only on personal finance education.

02

Bucking the trend: Why do IPOs choose controversial governance structures and why do investors let them?

作者：

Laura Casares Field

(University of Delaware)

Michelle Lowry

(Drexel University)

摘要：自1990年以来，拥有分级分期董事会制度或双重股权结构的成熟公司比例下降了40%以上，但拥有这些结构的IPO公司比例则在这段时间内翻了一番。本文检验了IPO公司实施这些股权结构是出于最优化目的，还是利用这些结构令管理者保护他们控制权的私人利益。股东投票模式和上市企业类型的变化都表明代理假说能最好地解释IPO公司对双轨制的使用，特别是在投票权与现金流权分离程度较大的情况下。相反，在信息高度不对称的公司中最优治理假说能更好地解释分级分期董事会制度的使用。

Abstract：While the percentage of mature firms with classified boards or dual class shares has declined by more than 40% since 1990, the percentage of IPO firms with these structures has doubled over this period. We test whether IPO firms implement these structures optimally or whether they are utilized to allow managers to protect their private benefits of control. Both shareholder voting patterns and changes in firm types going public suggest that the Agency Hypothesis best explains IPO firm’ s use of dual class, particularly when there is a large voting-cash flow wedge. In contrast, among firms with high information asymmetry, classified board structures are better explained by the Optimal Governance hypothesis.

03

Growth forecasts and news about monetary policy

作者：

Nina Karnaukh

(Fisher College of Business, The Ohio State University)

Petra Vokata

(Fisher College of Business, The Ohio State University)

摘要：本文发现，联邦公开市场委员会(FOMC)会议前Blue Chip专家对GDP增长预测的修正对FOMC定期公告前后30分钟的债券收益率变化有预测作用。FOMC会议前GDP增长的向上修正预测收缩性的政策新闻冲击（债券收益率的正向变化），GDP增长的向下修正预测扩张性的政策新闻冲击（债券收益率的负向变化）。如果没有考虑到这种可预测性，货币政策对经济影响效果的估计就会出现偏差：首先，美联储的信息效应消失了，因为真正不可预测的政策新闻冲击并不影响专业人士对经济的信念；其次，与原始政策冲击相比，净政策冲击对未来实际GDP的负面影响更大。

Abstract：We find that 30-minute changes in bond yields around scheduled Federal Open Market Committee (FOMC) announcements are predictable with the pre-FOMC Blue Chip professionals’ revisions in GDP growth forecasts. A positive pre-FOMC GDP growth revision predicts a contractionary policy news shock (positive change in bond yields), a negative GDP growth revision predicts an expansionary policy news shock (negative change in bond yields). Failing to account for this predictability biases the estimates of monetary policy effects on the economy. First, the Fed’s information effect dissipates as the truly unpredictable policy news shock does not affect professionals’ beliefs about the economy. Second, net policy shock has a more negative impact on actual future GDP than the raw policy shock.

04

Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion

作者：

Carolin Pflueger

(Harris School of Public Policy, University of Chicago, NBER, and CEPR)

Gianluca Rinaldi

(Harvard University)

摘要：本文表明，经济周期过程中风险厌恶的内生变化可以共同解释金融市场对高频货币政策冲击的反应与标准的资产定价矩（特征）。本文将习惯形成偏好的逆周期风险厌恶与常用新凯恩斯模型整合为一个新模型。在该模型中，政策利率的意外提高会降低消费-习惯点比值，提高风险厌恶程度。模型中内生时变的风险厌恶对于解释因政策利率意外提高导致的股市大幅下跌、行业截面回报率差异以及长期债券收益率增加至关重要。

Abstract：We show that endogenous variation in risk aversion over the business cycle can jointly explain financial market responses to high-frequency monetary policy shocks with standard asset pricing moments. We newly integrate a work-horse New Keynesian model with countercyclical risk aversion via habit formation preferences. In the model, a surprise increase in the policy rate lowers consumption relative to habit, raising risk aversion. Endogenously time-varying risk aversion in the model is crucial to explain the large fall in the stock market, the cross-section of industry returns, and the increase in long-term bond yields in response to a surprise policy rate increase.

05

Can FinTech reduce disparities in access to finance? Evidence from the Paycheck Protection Program

作者：

Isil Erel

(Department of Finance, The Ohio State University, NBER, and ECGI)

Jack Liebersohn

(Department of Economics, University of California, Irvine)

摘要：新技术有望扩大不太被银行支持的小企业的金融服务供应。它成功了吗？我们研究了金融科技对因引入工资保障计划而产生的金融服务需求的反应。金融科技在银行分支机构较少、收入较低、少数族裔家庭较多的地区以及银行关系较少的行业中被使用的比例极高，在COVID-19疫情产生经济影响更严重的县区使用比例也更多。金融科技与银行之间的替代性经济意义较小，这意味着金融科技主要是扩大而不是重新分配金融服务的供应。

Abstract：New technology promises to expand the supply of financial services to small businesses poorly served by banks. Does it succeed? We study the response of FinTech to financial services demand created by the introduction of the Paycheck Protection Program. FinTech is disproportionately used in ZIP codes with fewer bank branches, lower incomes, and more minority households, and in industries with fewer banking relationships. It is also greater in counties where the economic effects of the COVID-19 pandemic were more severe. Substitution between FinTech and banks is economically small, implying that FinTech mostly expands, rather than redistributes, the supply of financial services.

06

Price-setting in the foreign exchange swap market: Evidence from order flow

作者：

Olav Syrstad

(Norges Bank)

Paul A. Laux

(Warwick Business School)

摘要：利用交易商间市场交易层面的数据，我们发现一标准差外汇互换订单流量变化的价格影响从2008年之前的不到一个基点增加到2008年之后的大约五个基点。然而，价格影响的增加只限于资金成本分散度高的时期和季度末。中央银行的货币互换额度减少了美元的订单流入，继而影响了外汇远期利率。相反，我们观察到在季度末和货币政策宣布后，交易商立即调整价格以抑制订单流动。

Abstract：Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one basis point prior to 2008 to about five basis points after 2008. However, the increase in price impact is confined to periods of elevated dispersion in funding costs and over quarterends. Central bank swap lines reduce the order flow into USD, subsequently affecting the FX forward rate. In contrast, over quarter-ends and after monetary policy announcements we observe that dealers immediately adjust prices to curb order flow.

07

The secured credit premium and the issuance of secured debt

作者：

Efraim Benmelech

(Kellogg School of Management and NBER)

Nitish Kumar

(Warrington College of Business, University of Florida)

Raghuram Rajan

(University of Chicago Booth School and NBER)

摘要：有担保债务的信用利差低于无担保债务，尤其是当公司的信用质量恶化、经济放缓或平均信用利差扩大时。然而，投资级公司一直不愿意发行有担保债务。相比之下，我们发现评级在投资级以下的公司发行担保债务的可能性随着公司信用质量恶化、经济放缓或平均信用利差扩大而增加。这种发行行为的差异模式与高评级公司将未设押抵押品视为一种仅在极端情况使用的保险形式一致。

Abstract：Credit spreads for secured debt are lower than for unsecured debt, especially when a firm’s credit quality deteriorates, the economy slows, or average credit spreads widen. Yet investment-grade firms tend to be reluctant to issue secured debt at all times. In contrast, we find that for firms that are rated below investment grade, the likelihood of secured debt issuance increases as firm credit quality deteriorates, the economy slows, or average credit spreads widen. This differential pattern of issue behavior is consistent with highly rated firms seeing unencumbered collateral as a form of insurance, to be used only in extremis.

08

On the information content of credit ratings and market-based measures of default risk

作者：

Oleg R. Gredil

(A.B. Freeman School of Business, Tulane University)

Nishad Kapadia

(A.B. Freeman School of Business, Tulane University)

Jung Hoon Lee

(Owen Graduate School of Management, Vanderbilt University)

摘要：我们研究了评级和基于市场的（违约风险）指标对违约的预测能力。尽管基于市场的指标在一年以内的时间范围内（对违约的预测）更准确，但评级对基于市场的指标有补充作用，在预测不同期限范围内的违约方面并不冗余。基于市场的指标与评级的不同之处在于其对现金流和贴现率消息都会作出反应，而评级主要对现金流消息作出反应，现金流消息对未来违约更具信息含量。评级忽略了信用风险的暂时性冲击，而基于市场的指标并未忽略。评级机构对暂时性冲击的反应是观察而非降级。在经济扩张期间以及对于投机级的公司而言，评级更具信息含量。

Abstract：We examine the ability of ratings and market-based measures to predict defaults. Although market-based measures are more accurate at horizons up to one year, ratings complement market-based measures and are not redundant in predicting defaults across horizons. Market-based measures differ from ratings in that they respond to both cash-flow and discount-rate news, while ratings respond primarily to cash-flow news, which is more informative of future defaults. Ratings ignore transitory shocks to credit risk, while market-based measures do not. Rating agencies respond to transitory shocks with watches rather than downgrades. Ratings are more informative during expansions and for speculative grade firms.

09

Speculative dynamics of prices and volume

作者：

Anthony A. DeFusco

(Kellogg School of Management, Northwestern University, and National Bureau of Economic Research)

Charles G. Nathanson

(Kellogg School of Management, Northwestern University)

Eric Zwick

(Booth School of Business, University of Chicago, and National Bureau of Economic Research)

摘要：利用美国上一个房地产周期的5000万条房屋销售数据，我们发现销售量的大部分变化来自投机活动的起落。投机热潮较大的城市房屋价格上涨幅度更大，当市场转变时未售出房屋的挂牌量增加幅度更剧烈，萧条也更严重。我们提出了一个相较长期买家，可预测价格上涨内生更吸引短期买家的模型。短期买家更快地销售房屋导致交易量扩大，并通过正反馈效应令价格不稳定。我们的模型与领先-滞后的价量关系和库存的急剧增加等主要总量（实证）趋势相匹配。

Abstract：Using data on 50 million home sales from the last U.S. housing cycle, we document that much of the variation in volume came from the rise and fall in speculation. Cities with larger speculative booms have larger price booms, sharper increases in unsold listings as the market turns, and more severe busts. We present a model in which predictable price increases endogenously attract short-term buyers more than long-term buyers. Short-term buyers amplify volume by selling faster and destabilize prices through positive feedback. Our model matches key aggregate patterns, including the lead-lag price-volume relation and a sharp rise in inventories.

10

Peer selection and valuation in mergers and acquisitions

作者：

Gregory W. Eaton

(Spears School of Business, Oklahoma State University)

Feng Guo

(Ivy College of Business, Iowa State University)

Tingting Liu

(Ivy College of Business, Iowa State University)

Micah S. Officer

(College of Business Administration, Loyola Marymount University)

摘要：本文使用独特的数据考察了投资银行在并购可比公司分析中对同行的选择。本文强有力的证据表明，产品市场空间是同行选择中最重要的因素之一，但标准行业分类（SIC）代码，特别是3位和4位代码，在这种情况下对相关公司的分类效果较差。银行战略性地选择具有高估值倍数的大型高增长同行，这些因素也都与溢价正向相关。本文证据与目标公司顾问选择具有高估值倍数的同行以通过谈判获取更高收购价格相一致。

Abstract：Using unique data, this paper examines investment banks’ choice of peers in comparable companies analysis in mergers and acquisitions. We find strong evidence that product market space is amongst the most important factors in peer selection, but Standard Industrial Classification (SIC) codes, particularly three and four digit codes, do a poor job of categorizing related firms in this setting. Banks strategically select large, high growth peers with high valuation multiples, factors that are also positively related to premiums. Our evidence is consistent with target-firm advisors selecting peers with high valuation multiples to negotiate higher takeover prices.

11

Executive stock options and systemic risk

作者：

Christopher Armstrong

(The Wharton School, University of Pennsylvania)

Allison Nicoletti

(The Wharton School, University of Pennsylvania)

Frank S. Zhou

(The Wharton School, University of Pennsylvania)

摘要：利用一种考虑了银行和高管内生匹配的新控制函数回归方法，本文发现股权投资组合vega，即高管的股权投资组合价值对其所在公司股票收益波动率的敏感性产生了系统性风险，这种系统性风险体现在随后的经济收缩中，但不会体现在经济扩张中。本文进一步发现，vega会鼓励系统性更具风险的政策，包括维持较低的普通股一级资本比率、依赖更容易出现挤兑 (run-prone) 的债务融资以及进行更多的顺周期投资。总体而言，本文的证据表明高管的激励报酬合同会通过银行的贷款、投资和融资行为提高其对于系统性风险的承担。

Abstract：Employing a novel control function regression method that accounts for the endogenous matching of banks and executives, we find that equity portfolio vega, the sensitivity of executives’ equity portfolio value to their firms’ stock return volatility, leads to systemic risk that manifests during subsequent economic contractions but not expansions. We further find that vega encourages systemically risky policies, including maintaining lower common equity Tier 1 capital ratios, relying on more run-prone debt financing, and making more procyclical investments. Collectively, our evidence suggests that executives’ incentive-compensation contracts promote systemic risk-taking through banks’ lending, investing, and financing practices.

12

The international propagation of economic downturns through multinational companies: The real economy channel

作者：

Jan Bena

(University of British Columbia)

Serdar Dinc

(Rutgers University)

Isil Erel

(The Ohio State University, NBER, and ECGI)

摘要：我们研究了非金融类跨国公司如何将经济衰退从其位于经历经济衰退国家的子公司传播到未经经济衰退国家的子公司。我们发现，如果母公司在经济衰退国家有子公司，那么这类母公司的子公司投资会较行业国家相同的子公司（这些子公司的母公司总部位于同一地点但并不具有位于经济衰退国家子公司）低18%。受影响的子公司就业增长率为零或负数，而未受影响的母公司的子公司就业增长率则为1.4%，受到影响的子公司所在国家或地区的行业总销售额和就业人数也受到了负面影响。

Abstract：We study how non-financial multinational companies propagate economic declines from their subsidiaries located in countries experiencing an economic downturn to subsidiaries in countries not experiencing one. We find that investment is 18% lower in subsidiaries of these parents relative to the same-industry, same-country subsidiaries of parents that are headquartered in the same parent country but do not have a subsidiary in a country experiencing an economic downturn. The employment growth rate in the affected subsidiaries is zero or negative while it is 1.4% in the subsidiaries of unaffected parents. The aggregate industry-level sales and employment are also negatively impacted in the countries of the affected subsidiaries.

13

Millionaires speak：What drives their personal investment decisions?

作者：

NSvetlana Bender

(Guidewell)

James J. Choi

(Yale School of Management and National Bureau of Economic Researchs)

Danielle Dyson

(UBS)

Adriana Z. Robertson

(Faculty of Law, University of Toronto)

摘要：我们对2484名拥有至少100万美元可投资资产的美国人展开调查，以了解领先学术理论对他们的金融信念和个人投资决策描述相符程度。富人对金融市场和经济的看法与美国平均家庭惊人地相似，但富人更少受到市场不适感、财务限制和劳动收入因素的影响。投资组合中的股票份额受专家建议、离退休时间、个人经验、罕见灾难风险和健康风险的影响最大。集中持有股票最多受到股票风险调整后表现优异的信念驱动。关于预期收益如何随股票特征变化的看法经常与历史关系不同，并且更高的风险并不总是与更高的预期收益相关。主动型股票基金投资最受专家建议和更高平均回报的预期推动。Berk 和 Green (2004) 通过假设过去的回报揭示管理技能，但主动管理规模回报递减，从而合理化了基金业绩不具持续性情况下追逐回报的行为。42%的受访者同意第一个假设，33%同意第二个假设，19%同意两者。

Abstract：We survey 2484 U.S. individuals with at least $1 million of investable assets about how well leading academic theories describe their financial beliefs and personal investment decisions. The wealthy’s beliefs about financial markets and the economy are surprisingly similar to those of the average U.S. household, but the wealthy are less driven by discomfort with the market, financial constraints, and labor income considerations. Portfolio equity share is most affected by professional advice, time until retirement, personal experiences, rare disaster risk, and health risk. Concentrated equity holding is most often motivated by belief that the stock has superior risk-adjusted returns. Beliefs about how expected returns vary with stock characteristics frequently differ from historical relationships, and more risk is not always associated with higher expected returns. Active equity fund investment is most motivated by professional advice and the expectation of higher average returns. Berk and Green (2004) rationalize return chasing in the absence of fund performance persistence by positing that past returns reveal managerial skill but there are diminishing returns to scale in active management. Forty-two percent of respondents agree with the first assumption, 33% with the second, and 19% with both.

14

Young firms, old capital

作者：

Song Ma

(Yale University and NBER)

Justin Murfin

(Cornell University)

Ryan Pratt

(Brigham Young University)

摘要：我们揭示了一系列设备类型和行业中，本地资本从老公司向年轻公司重新分配的模式。初创公司会过高比例地购买以前由更成熟的公司所拥有的旧有形资本。这些证据与财务约束推动了对旧资本的不同需求相一致。当地的旧资本供应影响着初创企业进入、就业创造、投资选择和增长，特别是在资本不流动的情况下。同时，作为旧资本的提供者，现有企业在年轻公司存在的情况下加速了资本置换。本文证据揭示了以往未被记载的新、老公司同地办公优势。

Abstract：Across a broad range of equipment types and industries, we document a pattern of local capital reallocation from older firms to younger firms. Start-ups purchase a disproportionate share of old physical capital previously owned by more mature firms. The evidence is consistent with financial constraints driving differential demand for vintage capital. The local supply of used capital influences start-up entry, job creation, investment choices, and growth, particularly when capital is immobile. Meanwhile, as suppliers of used capital, incumbents accelerate capital replacement in the presence of younger firms. The evidence suggests previously undocumented benefits to co-location between old and young firms.

再婚与前婚财产关系梳理：离婚后的经济影响和规划

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国际金融研究杂志(国际金融研究 杂志)
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