无奇异风险的金融

Pedro Bordalo, Nicola Gennaioli, Rafael La Porta, and Andrei Shleifer #33004

Abstract: We address the joint hypothesis problem in cross-sectional asset pricing by using measured analyst expectations of earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and revisions and shuts down any cross-sectional differences in required returns. We obtain three results. First, variation in EBRs accounts for a large chunk of cross-sectional return spreads in value, investment, size, and momentum factors. Second, time variation in these spreads is predictable, and proxied by predictable time variation in EBRs. This result holds even controlling for scaled price variables, which may capture time varying required return differentials. Third, firm characteristics typically viewed as capturing risk predict disappointment of expectations (and of EBRs). Overall, return spreads typically attributed to exotic risk factors are explained by predictable movements in non-rational expectations of firms’ earnings growth.

摘要：我们通过使用分析师对收益增长的预期来解决横截面资产定价中的联合假设问题。我们构建了一个基于预期回报率（Expectations Based Returns, EBRs）的公司层级度量，该度量使用分析师的预测误差和修正，消除了横截面上对回报要求的差异。我们得出了三个结果。首先，EBRs的变化能够解释价值、投资、规模和动量因素中很大一部分横截面回报差异。其次，这些差异的时间变化是可预测的，并且可以通过EBRs的可预测时间变化来替代，即便控制了可能捕捉时间变动的回报要求差异的比例价格变量，这一结果依然成立。第三，通常被认为反映风险的公司特征可以预测对预期（及EBRs）的失望。总体而言，通常归因于奇异风险因素的回报差异，可以通过对公司非理性预期的可预测波动来解释。

APT 还是“AIPT”？大规模因子模型的意外主导地位

Antoine Didisheim, Shikun (Barry) Ke, Bryan T. Kelly, and Semyon Malamud #33012

Abstract: We introduce artificial intelligence pricing theory (AIPT). In contrast with the APT’s foundational assumption of a low dimensional factor structure in returns, the AIPT conjectures that returns are driven by a large number of factors. We first verify this conjecture empirically and show that nonlinear models with an exorbitant number of factors (many more than the number of training observations or base assets) are far more successful in describing the out-of-sample behavior of asset returns than simpler standard models. We then theoretically characterize the behavior of large factor pricing models, from which we show that the AIPT’s “many factors” conjecture faithfully explains our empirical findings, while the APT’s “few factors” conjecture is contradicted by the data.

摘要：我们引入了人工智能定价理论（AIPT）。与APT（套利定价理论）基于收益的低维因子结构的基础假设不同，AIPT推测收益由大量因子驱动。我们首先通过实证验证了这一推测，并表明具有大量因子的非线性模型（因子的数量远超训练观察或基础资产的数量）在描述资产收益的样本外行为方面，比简单的标准模型要成功得多。随后，我们从理论上刻画了大规模因子定价模型的行为，并表明AIPT的“多因子”假设能够准确解释我们的实证结果，而APT的“少数因子”假设则与数据相矛盾。。

精英大学是否支付给其教师过高的薪酬？

Cesar Luis Garro-Marin, Shulamit Kahn, and Kevin Lang #33005

Abstract: Do elite universities overpay their faculty? Not if you believe the AKM model. However, although the AKM model fits well, it is unlikely to be the right interpretation in this case.

摘要：精英大学是否支付给其教师过高的薪酬？如果你相信AKM模型，那么答案是否定的。然而，尽管AKM模型与数据契合良好，它在这种情况下可能不是正确的解释。

恐惧与梦想：理解领导者战略的非制度性来源

Maria Angélica Bautista, Juan Sebastián Galán, James A. Robinson, Rafael F. Torres, and Ragnar Torvik #33011

Abstract: Political leaders make policy choices which are often hard to explain via institutions. We use the behavior of Colombian paramilitary groups as an environment to study non-institutional sources of variation in how public good provision and violence are combined to control populations. We hypothesize that a significant source of variation stems from the social preferences of the paramilitary commanders. Reciprocators adopt a strategy of offering public goods in exchange for support, but also use violence to punish those who do not reciprocate back. Reciprocity, developed via childhood socialization, is a characteristic of rural “peasants”. We develop a model which generates these hypotheses and test them using a unique dataset compiled from transitional justice documents.

摘要：政治领导人做出的政策选择往往难以通过制度解释。我们以哥伦比亚准军事组织的行为作为研究环境，探讨如何将公共物品提供和暴力结合起来控制人口的非制度性来源。我们假设，差异的重要来源是准军事指挥官的社会偏好。那些具有互惠倾向的指挥官采取了一种以提供公共物品换取支持的战略，但也会对不回报的人使用暴力进行惩罚。互惠性通过童年时期的社会化形成，是农村“农民”的特征。我们开发了一个生成这些假设的模型，并使用从过渡司法文件中汇编的独特数据集进行验证。

儿童惩罚与父母角色模型：课堂中的接触效应

Henrik Kleven, Giulia Olivero, and Eleonora Patacchini #33002

Abstract: This paper investigates whether the effects of children on the labor market outcomes of women relative to men — child penalties — are shaped by the work behavior of peers’ parents during adolescence. Leveraging quasi-random variation in the fraction of peers with working parents across cohorts within schools, we find that greater exposure to working mothers during adolescence substantially reduces the child penalty in employment later in life. Conversely, we find that greater exposure to working fathers increases the penalty. Our findings suggest that parental role models during adolescence are critical for shaping child-related gender gaps in the labor market.

摘要：本文研究了儿童对女性相对于男性在劳动力市场结果的影响——即儿童惩罚——是否受到同龄人父母在青少年时期的工作行为的影响。通过利用学校内不同年级中有工作父母的同龄人比例的准随机变化，我们发现，青少年时期更多接触有工作的母亲，能够显著减少未来就业中的儿童惩罚。相反，更多接触有工作的父亲则会增加这一惩罚。我们的研究表明，青少年时期的父母角色模型对于塑造劳动力市场中与儿童相关的性别差距至关重要。

择优录取教师的意外后果：来自哥伦比亚大规模改革的证据

Matias Busso, Sebastián Montaño, Juan S. Muñoz-Morales, and Nolan G. Pope #33008

Abstract: Teacher quality is a key factor in improving student academic achievement. As such, educational policymakers strive to design systems to hire the most effective teachers. This paper examines the effects of a national policy reform in Colombia that established a merit-based teacher-hiring system intended to enhance teacher quality and improve student learning. Implemented in 2005 for all public schools, the policy ties teacher-hiring decisions to candidates’ performance on an exam evaluating subject-specific knowledge and teaching aptitude. The implementation of the policy led to many experienced contract teachers being replaced by high exam-performing novice teachers. We find that though the policy sharply increased pre-college test scores of teachers, it also decreased the overall stock of teacher experience and led to sharp decreases in students’ exam performance and educational attainment. Using a difference-in-differences strategy to compare the outcomes of students from public and private schools over two decades, we show that the hiring reform decreased students’ performance on high school exit exams by 8 percent of a standard deviation, and reduced the likelihood that students enroll in and graduate from college by more than 10 percent. The results underscore that relying exclusively on specific ex ante measures of teacher quality to screen candidates, particularly at the expense of teacher experience, may unintentionally reduce students’ learning gains.

摘要：教师质量是提升学生学业成绩的关键因素。因此，教育政策制定者努力设计系统以招聘最有效的教师。本文探讨了哥伦比亚一项全国性政策改革的影响，该政策建立了一个基于择优录用的教师聘用系统，旨在提高教师质量并改善学生学习。该政策于2005年在所有公立学校实施，将教师聘用决策与候选人在考试中表现的学科知识和教学能力评估挂钩。政策的实施导致许多有经验的合同教师被高考表现优异的新人教师取代。我们发现，尽管该政策大幅提高了教师的入职考试成绩，但也减少了教师的整体经验储备，导致学生考试成绩和教育成就大幅下降。通过使用差异中的差异策略，比较了过去二十年中公立和私立学校学生的结果，我们发现这一聘用改革使学生在高中毕业考试中的成绩下降了0.08个标准差，降低了学生入读和毕业于大学的可能性，下降幅度超过10%。这些结果表明，仅依赖教师质量的特定预先指标来筛选候选人，特别是以牺牲教师经验为代价，可能会意外地降低学生的学习效果。

工作时长与终生收入不平等

Alexander Bick, Adam Blandin, and Richard Rogerson #32997

Abstract: We document large differences in lifetime hours of work using data from the NLSY79 and argue that these differences are an important source of inequality in lifetime earnings. To establish this we develop and calibrate a rich heterogeneous agent model of labor supply and human capital accumulation that allows for heterogeneity in preferences for work, initial human capital and learning ability, as well as idiosyncratic shocks to human capital throughout the life-cycle. Our calibrated model implies that almost 20 percent of the variance in lifetime earnings is accounted for by differences in lifetime hours of work, with 90 percent of this effect due to heterogeneity in preferences. Higher lifetime hours contribute to lifetime earnings via two channels: a direct channel (more hours spent in production at given productivity) and a human capital channel (more hours spent investing in human capital, which increases future productivity). Between a third and a half of the effect of lifetime hours on lifetime earnings is due to the human capital channel. Our model implies that policies that limit long hours have important effects on both the mean and variance of lifetime earnings.

摘要：我们利用NLSY79数据记录了工作时长的巨大差异，并指出这些差异是终生收入不平等的一个重要来源。为证明这一点，我们开发并校准了一个详尽的异质性劳动力供给和人力资本积累模型，该模型考虑了对工作的偏好、初始人力资本和学习能力的差异，以及生命周期中人力资本的特质性冲击。我们校准的模型表明，近20%的终生收入差异可以归因于终生工作时长的不同，而其中90%的影响源自工作偏好的差异。较长的终生工作时长通过两种途径增加终生收入：直接途径（在既定生产率下工作时长增加）和人力资本途径（更多时间用于人力资本投资，进而提高未来生产率）。终生工作时长对终生收入影响的三分之一到一半来自于人力资本途径。我们的模型暗示，限制长时间工作的政策将对终生收入的均值和方差产生重要影响。

社会互动、信息与学校选择偏好：来自洛杉矶的实验证据

Christopher Campos #33010

Abstract: This paper measures parents' beliefs about school and peer quality, how information about each affects school choices, and how social interactions mediate these effects. Parents underestimate school quality and overestimate peer quality. Cross-randomized school and peer quality information combined with a spillover design shows that when parents received information, they and their neighbors' preferences shifted toward higher value-added schools, underscoring stronger tastes for school quality and the role of social interactions. Increased enrollment in effective schools improved socio-emotional outcomes. The experimental evidence shows parents value school effectiveness even conditional on peer quality and that social interactions strongly influence school choice.

摘要：本文衡量了家长对学校和同龄人质量的看法，信息如何影响学校选择，以及社会互动如何调节这些影响。家长低估了学校质量，而高估了同龄人质量。通过交叉随机化的学校和同龄人质量信息与溢出效应设计，我们发现当家长收到信息后，他们及其邻居的偏好向高增值学校转移，突显了家长对学校质量的强烈偏好以及社会互动的作用。有效学校的入学率增加改善了学生的社会情感结果。实验证据表明，即使考虑到同龄人质量的影响，家长仍重视学校的有效性，且社会互动对学校选择有显著影响。

金融建议与投资者信念：关于主动与被动策略的实验证据

Antoinette Schoar and Yang Sun #33001

Abstract: Using a randomized controlled trial we test how retail investors assess and update their priors based on different types of financial advice, which either aligns with their priors or goes against it. We compare advice that emphasizes either the benefits of passive investment strategies (such as diversification and low fees) or active strategies (such as stock picking and market timing). We find that participants rate advice significantly higher when it aligns with their priors rather than contradicts them. But people update their beliefs about investment strategies in the direction of the advice they receive, independent of their priors. At the same time, there is significant heterogeneity based on the subjects’ financial literacy. Financially more literate subjects positively update in response to seeing passive advice, but most do not update (and rate the advice negatively) when exposed to active advice. In contrast, financially less literate subjects are strongly influenced by both types of advice. Finally, subjects rate the advice lower if the advisor is perceived to have misaligned incentives compared to when they are more aligned.

摘要：我们通过随机对照试验测试了零售投资者如何根据不同类型的金融建议评估和更新他们的先验信念，这些建议要么与他们的先验一致，要么与之相悖。我们比较了强调被动投资策略（如分散投资和低费用）与主动策略（如选股和择时）的建议。研究发现，当建议与参与者的先验信念一致时，他们对建议的评价显著更高，反之则较低。然而，参与者会根据他们收到的建议方向更新对投资策略的信念，而与其先验信念无关。同时，基于受试者的金融素养，存在显著的异质性。金融素养较高的受试者在看到被动建议时会积极更新信念，但大多数人在接触主动建议时不会更新信念，且对建议评价较低。相比之下，金融素养较低的受试者受到两种类型建议的强烈影响。最后，如果建议者被认为存在不一致的激励机制，参与者对建议的评价也会低于激励机制较为一致的情况。

往期精选：

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