文章目录

1. 1.Bank Funding Risk, Reference Rates, and Credit Supply  
   银行融资风险、参考利率与信贷供应
   HARRY COOPERMAN, DARRELL DUFFIE, STEPHAN LUCK, ZACHRY WANG, YILIN (DAVID) YANG
2. 2. Intermediary Leverage Shocks and Funding Conditions  
   中介杠杆冲击与融资条件
   JEAN-SÉBASTIEN FONTAINE, RENÉ GARCIA, SERMIN GUNGOR
3. 3. The Global Credit Spread Puzzle  
   全球信用利差之谜
   JING-ZHI HUANG, YOSHIO NOZAWA, ZHAN SHI
4. 4. Private Equity and Financial Stability: Evidence from Failed-Bank Resolution in the Crisis  
   私募股权与金融稳定：危机中失败银行处置的证据
   EMILY JOHNSTON-ROSS, SONG MA, MANJU PURI
5. 5. Equilibrium Data Mining and Data Abundance
   均衡数据挖掘与数据丰富性
   JÉRÔME DUGAST, THIERRY FOUCAULT
6. 6. Test Assets and Weak Factors  
   测试资产与弱因子
   STEFANO GIGLIO, DACHENG XIU, DAKE ZHANG
7. 7. Decentralized Exchange: The Uniswap Automated Market Maker  
   去中心化交易所：Uniswap自动化做市商
   ALFRED LEHAR, CHRISTINE PARLOUR
8. 8.Does Floor Trading Matter?  
   场内交易是否重要？
   JONATHAN BROGAARD, MATTHEW C. RINGGENBERG, DOMINIK ROESCH
9. 9. Scope, Scale, and Concentration: The 21st-Century Firm  
   范围、规模与集中度：21世纪的企业
   GERARD HOBERG, GORDON M. PHILLIPS
10. 10. Sending Out an SMS: Automatic Enrollment Experiments for Overdraft Alerts  
    发送短信提醒：透支警报的自动注册实验
    MICHAEL D. GRUBB, DARRAGH KELLY, JEROEN NIEBOER, MATTHEW OSBORNE, JONATHAN SHAW
11. 11. Personal Communication in an Automated World: Evidence from Loan Repayments  
    自动化世界中的人际沟通：来自贷款还款的证据
    CHRISTINE LAUDENBACH, STEPHAN SIEGEL
12. 12. Dynamic Competition in Negotiated Price Markets  
    协商定价市场的动态竞争
    JASON ALLEN, SHAOTENG LI
13. 13.Carbon Returns across the Globe  
    全球碳收益
    SHAOJUN ZHANG

文章摘要

Bank Funding Risk, Reference Rates, and Credit Supply  
银行融资风险、参考利率与信贷供应

HARRY COOPERMAN, DARRELL DUFFIE, STEPHAN LUCK, ZACHRY WANG, YILIN (DAVID) YANG

Corporate credit lines are drawn more heavily when funding markets are stressed. This elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the interest paid on lines to a credit-sensitive reference rate like the London interbank offered rate (LIBOR). We show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit supply is offset if drawdowns are expected to be deposited at the same bank, which happened at some of the largest banks during the global financial crisis and COVID recession.

当资金市场出现压力时，企业会更频繁地动用信用额度，这会提高银行预期的资金成本。研究表明，与银行股东相关的债务负担成本会抑制信贷供应。在2022年之前，将信用额度的利息与信用敏感的参考利率（如伦敦银行间拆借利率LIBOR）挂钩可以减少这种影响。研究表明，转向无风险参考利率可能会加剧这种摩擦。如果预计动用的信贷资金将存入同一家银行，则可以抵消对信贷供应的不利影响，这种情况在2008年全球金融危机和新冠疫情衰退期间一些大型银行中确实发生过。

Intermediary Leverage Shocks and Funding Conditions  
中介杠杆冲击与融资条件

JEAN-SÉBASTIEN FONTAINE, RENÉ GARCIA, SERMIN GUNGOR

The aggregate leverage of broker-dealers responds to demand and supply disturbances that have opposite effects on financial markets. Specifically, leverage supply shocks that relax broker-dealers' funding constraints increase leverage, liquidity, and returns and carry a positive price of risk, while leverage demand shocks also increase leverage but reduce liquidity and returns and carry a negative price of risk. Disentangling demand- and supply-like shocks resolves existing puzzles around the price of leverage risk and yields consistent evidence across many markets of a central role for intermediation frictions and dealers' aggregate leverage in asset pricing.

经纪交易商的总体杠杆率对需求和供给的干扰做出反应，这些干扰对金融市场有相反的影响。具体而言，放松经纪交易商资金约束的杠杆供给冲击会增加杠杆率、流动性和回报率，并带有正的风险价格，而杠杆需求冲击也会增加杠杆率，但会降低流动性和回报率，并带有负的风险价格。区分需求和供给冲击可以解决围绕杠杆风险价格的现有谜题，并在许多市场中一致地证明中介摩擦和经纪交易商的总体杠杆率在资产定价中的核心作用。

The Global Credit Spread Puzzle  
全球信用利差之谜

JING-ZHI HUANG, YOSHIO NOZAWA, ZHAN SHI

We examine the ability of structural models to predict credit spreads using global default data and security-level credit spread data in eight developed economies. We find that two representative, pure default-risk models tend to underpredict the average credit spreads on investment-grade (IG) bonds, especially their spreads over government bonds, thereby providing evidence for a “global credit spread puzzle.” However, a model incorporating endogenous liquidity in the secondary debt market helps mitigate the puzzle. Furthermore, the model captures certain determinants of corporate bond market frictions across the eight economies and substantially improves the cross-sectional fit of individual IG credit spreads.

本文使用全球违约数据和八个发达经济体的证券层面信用利差数据，检验结构化模型对信用利差的预测能力。研究发现，两个代表性的纯违约风险模型倾向于低估投资级（IG）债券的平均信用利差，尤其是其与政府债券的利差，从而为“全球信用利差之谜”提供了证据。然而，一个包含二级债务市场内生流动性的模型有助于缓解这一谜题。此外，该模型捕捉了八个经济体中公司债券市场摩擦的某些决定因素，并显著提高了个体IG信用利差的横截面拟合度。

Private Equity and Financial Stability: Evidence from Failed-Bank Resolution in the Crisis  
私募股权与金融稳定：危机中失败银行处置的证据

EMILY JOHNSTON-ROSS, SONG MA, MANJU PURI

This paper investigates the role of private equity (PE) in failed-bank resolutions after the 2008 financial crisis, using proprietary Federal Deposit Insurance Corporation failed-bank acquisition data. PE investors made substantial investments in underperforming and riskier failed banks, particularly in geographies where local banks were also distressed, filling the gap created by a weak, undercapitalized banking sector. Using a quasi-random empirical design based on detailed bidding information, we show that PE-acquired banks performed better ex post, with positive real effects for the local economy. Overall, PE investors played a positive role in stabilizing the financial system through their involvement in failed-bank resolution.

本文利用联邦存款保险公司（FDIC）的失败银行收购数据，研究2008年金融危机后私募股权（PE）在失败银行处置中的作用。PE投资者在表现不佳且风险较高的失败银行中进行了大量投资，特别是在当地银行也陷入困境的地区，填补了因银行业疲软和资本不足而产生的空白。基于详细的投标信息，采用准随机实证设计，研究表明，PE收购的银行事后表现更好，对当地经济产生了积极的实际影响。总体而言，PE投资者通过参与失败银行处置，在稳定金融体系方面发挥了积极作用。

Equilibrium Data Mining and Data Abundance  
均衡数据挖掘与数据丰富性

JÉRÔME DUGAST, THIERRY FOUCAULT

We study theoretically how the proliferation of new data (“data abundance”) affects the allocation of capital between quantitative and nonquantitative asset managers (“data miners” and “experts”), their performance, and price informativeness. Data miners search for predictors of asset payoffs and select those with a sufficiently high precision. Data abundance raises the precision of the best predictors, but it can induce data miners to search less intensively for high-precision signals. In this case, their performance becomes more dispersed and they receive less capital. Nevertheless, data abundance always raises price informativeness and can therefore reduce asset managers' average performance.

本文从理论上研究数据的大量涌现（“数据丰富”）如何影响资本在量化和非量化资产管理者（“数据挖掘者”和“专家”）之间的分配、他们的表现以及价格信息性。数据挖掘者寻找资产收益的预测因子，并选择那些精度足够高的因子。数据丰富提高了最佳预测因子的精度，但它可能会导致数据挖掘者对高精度信号的搜索强度降低。在这种情况下，他们的表现变得更加分散，获得的资本也更少。然而，数据丰富总是会提高价格信息性，因此可以降低资产管理者的平均表现。

Test Assets and Weak Factors  
测试资产与弱因子

STEFANO GIGLIO, DACHENG XIU, DAKE ZHANG

We show that two important issues in empirical asset pricing—the presence of weak factors and the selection of test assets—are deeply connected. Since weak factors are those to which test assets have limited exposure, an appropriate selection of test assets can improve the strength of factors. Building on this insight, we introduce supervised principal component analysis (SPCA), a methodology that iterates supervised selection, principal-component estimation, and factor projection. It enables risk premia estimation and factor model diagnosis even when weak factors are present and not all factors are observed. We establish SPCA's asymptotic properties and showcase its empirical applications.

本文表明，实证资产定价中的两个重要问题——弱因子的存在和测试资产的选择——是密切相关的。由于弱因子是测试资产暴露有限的因子，因此适当选择测试资产可以增强因子的强度。基于这一见解，本文引入了监督主成分分析（SPCA），这是一种迭代监督选择、主成分估计和因子投影的方法。即使存在弱因子且并非所有因子都被观察到，它也能实现风险溢价估计和因子模型诊断。本文建立了SPCA的渐近性质，并展示了其在实证应用中的效果。

Decentralized Exchange: The Uniswap Automated Market Maker  
去中心化交易所：Uniswap自动化做市商

ALFRED LEHAR, CHRISTINE PARLOUR

Uniswap is a system of smart contracts on the Ethereum blockchain and is the largest decentralized exchange with a liquidity balance worth up to 4 billion USD and daily trading volume of up to 7 billion USD. It is a new model of liquidity provision, so-called automated market making. For this new market form, we characterize equilibrium in the liquidity pools. We collect all 95.8 million Uniswap interactions and compare this automated market maker (AMM) to a centralized limit order book. We document absence of long-lived arbitrage opportunities, and show conditions under which the AMM dominates a limit order market.

Uniswap是以太坊区块链上的智能合约系统，是最大的去中心化交易所，其流动性余额高达40亿美元，日交易量高达70亿美元。这是一种新的流动性提供模式，即所谓的自动化做市商（AMM）。对于这种新的市场形式，本文描述了流动性池中的均衡。本文收集了所有9580万次Uniswap交易，并将这种AMM与集中式限价订单簿进行了比较。本文记录了不存在长期套利机会，并展示了AMM在何种条件下优于限价订单市场的条件。

Does Floor Trading Matter?  
场内交易是否重要？

JONATHAN BROGAARD, MATTHEW C. RINGGENBERG, DOMINIK ROESCH

Although algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID-19. Using a difference-in-differences analysis around the closure of the floor, we find that floor traders are important contributors to market quality. The suspension of floor trading leads to higher spreads and larger pricing errors for treated stocks relative to control stocks. To explore the mechanism, we exploit two partial floor reopenings that have different characteristics. Our finding suggests that in-person human interaction facilitates the transfer of valuable information that algorithms lack.

尽管算法交易现在主导了金融市场，但一些交易所仍然使用人工场内交易员。2020年3月23日，纽约证券交易所因新冠疫情暂停了场内交易。本文围绕场内交易关闭，采用差异分析法，发现场内交易员是市场质量的重要贡献者。暂停场内交易导致受处理股票相对于控制股票的价差更高、定价误差更大。为了探索机制，本文利用了两次具有不同特征的部分场内重新开放。研究发现，面对面的人际互动有助于传递算法所缺乏的有价值信息。

Scope, Scale, and Concentration: The 21st-Century Firm  
范围、规模与集中度：21世纪的企业

GERARD HOBERG, GORDON M. PHILLIPS

We provide evidence using firm 10-Ks that over the past 30 years, U.S. firms have expanded their scope of operations. Increases in scope were achieved largely without increasing traditional operating segments. Scope expansion significantly increases valuation and is realized primarily through acquisitions and investment in R&D, but not through capital expenditures. Traditional concentration ratios do not capture this expansion of scope. Our findings point to a new type of firm that increases scope through related expansion, which is highly valued by the market.

本文利用公司10-K报告的证据表明，在过去30年中，美国公司的经营范围有所扩大。范围的增加主要是在不增加传统经营部门的情况下实现的。范围扩张显著提高了公司估值，主要通过收购和研发投资实现，而不是通过资本支出。传统的集中度比率未能捕捉到这种范围扩张。本文的发现指出了市场高度评价的一种新型公司，这种公司通过相关扩张增加范围。

Sending Out an SMS: Automatic Enrollment Experiments for Overdraft Alerts  
发送短信提醒：透支警报的自动注册实验

MICHAEL D. GRUBB, DARRAGH KELLY, JEROEN NIEBOER, MATTHEW OSBORNE, JONATHAN SHAW

At-scale field experiments at major U.K. banks show that automatic enrollment into “just-in-time” text alerts reduces unarranged overdraft and unpaid item charges 17% to 19% and arranged overdraft charges 4% to 8%, implying annual market-wide savings of £170 million to £240 million. Incremental benefits from “early-warning” alerts are statistically insignificant, although economically significant effects are not ruled out. Prior to the experiments, over half of overdrafts could have been avoided by using lower-cost liquidity available in savings and credit card accounts. Alerts help consumers achieve less than half of these potential savings.

在英国主要银行进行的大规模实地实验表明，自动注册“及时”短信提醒可以将未安排透支和未付款项费用降低17%至19%，将安排透支费用降低4%至8%，这意味着市场范围内的年节省额为1.7亿至2.4亿英镑。从统计上看，“预警”提醒的额外好处并不显著，尽管不能排除其在经济上具有重要意义的可能性。在实验之前，超过一半的透支本可以通过使用储蓄账户和信用卡中低成本的流动性来避免。提醒帮助消费者实现了这些潜在节省的一半不到。

Personal Communication in an Automated World: Evidence from Loan Repayments  
自动化世界中的人际沟通：来自贷款还款的证据

CHRISTINE LAUDENBACH, STEPHAN SIEGEL

We examine the effect of personal, two-way communication on the payment behavior of delinquent borrowers. Borrowers who speak with a randomly assigned bank agent are significantly more likely to successfully resolve the delinquency relative to borrowers who do not speak with a bank agent. Call characteristics related to the human touch of the call, such as the likeability of the agent's voice, significantly affect payment behavior. Borrowers who speak with a bank agent are also significantly less likely to become delinquent again. Our findings highlight the value of a human element in interactions between financial institutions and their customers.

本文研究了个人双向沟通对逾期借款人的支付行为的影响。与银行代理进行交谈的借款人相对于未与银行代理交谈的借款人，成功解决逾期的可能性显著更高。与“人情味”相关的通话特征，如代理声音的亲和力，显著影响支付行为。与银行代理交谈的借款人再次逾期的可能性也显著降低。本文的发现突显了金融机构与客户之间互动中人类元素的价值。

Dynamic Competition in Negotiated Price Markets  
协商定价市场的动态竞争

JASON ALLEN, SHAOTENG LI

Using contract-level data for the Canadian mortgage market, this paper provides evidence of an “invest-and-harvest” pricing pattern. We build a dynamic model of price negotiation with search and switching frictions to capture key market features. We estimate the model and use it to investigate the effects of market frictions and the resulting dynamic competition on borrowers' and banks' payoffs. We show that dynamic pricing and the presence of search and switching costs have important implications for public policies.

本文利用加拿大抵押贷款市场的合同层面数据，提供了“投资-收获”定价模式的证据。本文构建了一个动态价格谈判模型，包含搜索和转换摩擦，以捕捉关键市场特征。本文估计了该模型，并利用它研究市场摩擦和由此产生的动态竞争对借款人和银行收益的影响。研究表明，动态定价以及搜索和转换成本的存在对公共政策具有重要启示。

Carbon Returns across the Globe  
全球碳收益

SHAOJUN ZHANG

The pricing of carbon transition risk is central to the debate on climate-aware investments. Emissions are tightly linked to sales and are available to investors only with significant lags. The positive carbon return, or brown-minus-green return differential, documented in previous studies arises from forward-looking firm performance information contained in emissions rather than a risk premium in ex ante expected returns. After accounting for the data release lag, carbon returns turn negative in the United States and insignificant globally. Developed markets experience lower carbon returns due to intense climate concern shocks, while countries with stringent climate policies exhibit higher carbon returns.

碳转型风险的定价是气候意识投资辩论的核心。排放与销售密切相关，但投资者只能在显著滞后的情况下获得这些数据。以往研究中记录的正碳回报（即棕色减去绿色回报差异）源于排放中包含的前瞻性公司绩效信息，而不是事前预期回报中的风险溢价。在考虑数据发布时间滞后之后，美国的碳回报变为负值，全球范围内则不显著。发达市场由于强烈的气候关注冲击而经历了较低的碳回报，而拥有严格气候政策的国家则表现出较高的碳回报。