【顶刊速递】Journal of Finance《金融学期刊》：2024年10月期刊目录及摘要

The Journal of Finance publishes leading research across all the major fields of financial research. It is one of the most widely cited academic journal on finance and one of the most widely cited journals in all of economics as well. Each issue of the journal reaches over 8,000 academics, finance professionals, libraries, government and financial institutions around the world. Published six times a year, the journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.

《金融学期刊（JoF）》发表金融研究所有主要领域的领先研究。它是引用最广泛的金融学术期刊之一，也是所有经济学中引用最广泛的期刊之一。该期刊每年出版六期，是美国金融协会的官方出版物，已经成为金融学领域的顶级期刊（Field Top）。点击文末“阅读原文”可跳转JoF期刊官网。

注：中文摘要为机翻内容，未完全校对。

文章目录

1.Did Banks Pay Fair Returns to Taxpayers on TARP?  银行是否就 TARP 向纳税人支付了合理回报？
THOMAS FLANAGAN,  AMIYATOSH PURNANANDAM

2.Liquidity, Liquidity Everywhere, Not a Drop to Use: Why Flooding Banks with Central Bank Reserves May Not Expand Liquidity  流动性，到处都是流动性，却一滴也用不上：为什么向银行充斥中央银行储备未必能扩大流动性
VIRAL V. ACHARYA,  RAGHURAM RAJAN

3.Bailout Stigma  救市污名
YEON-KOO CHE,  CHONGWOO CHOE,  KEEYOUNG RHEE

4.The SOE Premium and Government Support in China's Credit Market  中国信贷市场中的国企溢价和政府支持
ZHE GENG,  JUN PAN

5.Business News and Business Cycles  商业新闻和商业周期
LELAND BYBEE,  BRYAN KELLY,  ASAF MANELA,  DACHENG XIU

6.The Mortgage-Cash Premium Puzzle  抵押贷款与现金溢价之谜
MICHAEL REHER,  ROSSEN VALKANOV

7.Unobserved Performance of Hedge Funds  对冲基金的非观测绩效
VIKAS AGARWAL,  STEFAN RUENZI,  FLORIAN WEIGERT

8.Do Women Receive Worse Financial Advice?  女性获得的理财建议更糟糕吗？
UTPAL BHATTACHARYA,  AMIT KUMAR,  SUJATA VISARIA,  JING ZHAO

9.FinTech Credit and Entrepreneurial Growth  金融科技信贷与企业家成长
HARALD HAU,  YI HUANG,  CHEN LIN,  HONGZHE SHAN,  ZIXIA SHENG,  LAI WEI

10.Founder-CEO Compensation and Selection into Venture Capital-Backed Entrepreneurship  风险资本支持的创业企业创始人-CEO 薪酬与选拔
MICHAEL EWENS,  RAMANA NANDA,  CHRISTOPHER STANTON

11.Capital Commitment  资本承诺
ELISE GOURIER,  LUDOVIC PHALIPPOU,  MARK M. WESTERFIELD

12.The Portfolio-Driven Disposition Effect  投资组合驱动的处置效应
LI AN,  JOSEPH ENGELBERG,  MATTHEW HENRIKSSON,  BAOLIAN WANG,  JARED WILLIAMS

13.Firm Performance Pay as Insurance against Promotion Risk  企业绩效薪酬是晋升风险的保险
ALVIN CHEN

14.Anomaly Time  异常时间
BOONE BOWLES,  ADAM V. REED,  MATTHEW C. RINGGENBERG,  JACOB R. THORNOCK

15.Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium  噪音非常大的期权价格与波动性风险溢价推断
JEFFERSON DUARTE,  CHRISTOPHER S. JONES,  JUNBO L. WANG

16.On the Magnification of Small Biases in Hiring  论招聘中微小偏见的放大
SHAUN WILLIAM DAVIES,  EDWARD D. VAN WESEP,  BRIAN WATERS

中英摘要

ABSTRACT：Financial institutions received investments under the Troubled Asset Relief Program in a bad state of the world but repaid them in a relatively good state. We show that the recipients paid considerably lower returns to taxpayers compared to private-market securities with similar risk over the same investment horizon, resulting in a subsidy of over $50 billion on the preferred equity investment by the government. Ex-post renegotiation of contract terms limited the upside gains received by taxpayers in good times and contributed to the subsidy. These findings have important implications for the design and implementation of future bailouts. Our simple methodology for calculating the subsidy can be applied to evaluate the financial costs of other bailouts.

金融机构在世界形势不好的情况下接受了问题资产救助计划的投资，但在形势相对较好的情况下偿还了投资。我们的研究表明，在相同的投资期限内，与具有类似风险的私人市场证券相比，接受投资的金融机构向纳税人支付的回报要低得多，这导致政府对优先股权投资的补贴超过 500 亿美元。合同条款的事后重新谈判限制了纳税人在顺境中获得的上行收益，也是造成补贴的原因之一。这些发现对未来救助措施的设计和实施具有重要意义。我们计算补贴的简单方法可用于评估其他救助措施的财务成本。

ABSTRACT：Central bank balance sheet expansion, through actions like quantitative easing, is run through commercial banks. While this increases liquid central bank reserves held on commercial bank balance sheets, demandable uninsured deposits issued to finance the reserves also increase. Subsequent shrinkage in the central bank balance sheet may entail shrinkage in bank-held reserves without a commensurate reduction in deposit claims. Furthermore, during episodes of liquidity stress, when many claims on liquidity are called, surplus banks may hoard reserves. As a result, central bank balance sheet expansion may create less additional liquidity than typically thought, and indeed, may increase the probability and severity of episodes of liquidity stress.

中央银行通过量化宽松等行动扩大资产负债表，并通过商业银行运作。虽然这增加了商业银行资产负债表上持有的流动性中央银行储备，但为储备融资而发行的活期无担保存款也增加了。中央银行资产负债表随后的缩水可能会导致银行持有的储备缩水，而存款债权却不会相应减少。此外，在流动性紧张的情况下，当许多流动性债权被催收时，盈余银行可能会囤积准备金。因此，中央银行资产负债表的扩张所创造的额外流动性可能比通常想象的要少，事实上，可能会增加流动性紧张事件的发生概率和严重程度。

ABSTRACT：We develop a model of bailout stigma in which accepting a bailout signals a firm's balance-sheet weakness and reduces its funding prospects. To avoid stigma, high-quality firms withdraw from subsequent financing after receiving bailouts or refuse bailouts altogether to send a favorable signal. The former leads to a short-lived stimulation followed by a market freeze even worse than if there were no bailout. The latter revives the funding market, albeit with delay, to the level achievable without any stigma and implements a constrained optimal outcome. A menu of multiple bailout programs compounds bailout stigma and exacerbates the market freeze.

我们建立了一个救助污名化模型，在该模型中，接受救助意味着公司的资产负债表疲软，并会降低其融资前景。为了避免污名化，优质企业在接受救助后会退出后续融资，或完全拒绝救助以发出有利信号。前者会导致短暂的刺激，随后市场冻结，甚至比没有救助的情况更糟。后者则会使融资市场恢复到在没有任何污名的情况下可达到的水平，尽管会有所延迟，但却能实现受限的最佳结果。多种救市方案的菜单加重了救市的耻辱感，加剧了市场冻结。

ABSTRACT：Studying China's credit market using a structural default model that integrates credit risk, liquidity, and bailout, we document improved price discovery and a deepening divide between state-owned enterprises (SOEs) and non-SOEs. Amidst liquidity deterioration, the presence of government bailout helps alleviate the heightened liquidity-driven default, making SOE bonds more valuable and widening the SOE premium. Meanwhile, the increased importance of government support makes SOEs more sensitive to bailout, while the heightened default risk increases non-SOEs' sensitivity to credit quality. Examining the real impact, we find severe performance deteriorations of non-SOEs relative to SOEs, reversing the long-standing trend of non-SOEs outperforming SOEs.

通过使用一个综合了信用风险、流动性和救助的结构性违约模型来研究中国的信贷市场，我们记录了价格发现的改善以及国有企业和非国有企业之间日益加深的鸿沟。在流动性恶化的情况下，政府救助的存在有助于缓解流动性驱动违约的加剧，使国有企业债券更有价值，并扩大了国有企业溢价。同时，政府支持的重要性增加使得国有企业对救助更加敏感，而违约风险的增加则提高了非国有企业对信用质量的敏感性。在考察实际影响时，我们发现非国有企业相对于国有企业的表现严重恶化，扭转了长期以来非国有企业表现优于国有企业的趋势。

ABSTRACT：We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984 to 2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of news attention allocated to each theme over time. News attention closely tracks a wide range of economic activities and can forecast aggregate stock market returns. A text-augmented vector autoregression demonstrates the large incremental role of news text in forecasting macroeconomic dynamics. We retrieve the narratives that underlie these improvements in market and business cycle forecasts.

我们提出了一种通过商业新闻文本分析来衡量经济状况的方法。我们从《华尔街日报》1984 年至 2017 年的 80 万篇文章全文中估算出一个主题模型，该模型将商业新闻概括为可解释的主题，并量化了随着时间推移分配给每个主题的新闻关注比例。新闻关注密切跟踪各种经济活动，并能预测股市的总体回报。文本增强向量自回归证明了新闻文本在预测宏观经济动态方面的巨大增量作用。我们检索了市场和商业周期预测得以改善的原因。

ABSTRACT：All-cash homebuyers account for one-third of U.S. home purchases between 1980 and 2017. We use multiple data sets and research designs to robustly estimate that mortgaged buyers pay an 11% premium over all-cash buyers to compensate home sellers for mortgage transaction frictions. A dynamic, representative-seller model implies only a 3% premium, which would suggest an 8% puzzle. Accounting for heterogeneity in selling conditions explains half of this difference, but a puzzle holds in conditions with high transaction risk. An experimental survey of U.S. homeowners replicates these patterns and suggests that belief distortions can explain the puzzle in these high-risk states.

1980 年至 2017 年间，全现金购房者占美国购房人数的三分之一。我们利用多种数据集和研究设计稳健地估计，抵押贷款购房者比全款购房者支付了 11% 的溢价，以补偿卖房者的抵押贷款交易摩擦。一个动态的、具有代表性的卖方模型只意味着 3% 的溢价，这意味着 8% 的谜团。考虑到销售条件的异质性，可以解释这一差异的一半，但在交易风险较高的条件下，谜团依然存在。一项针对美国房主的实验调查复制了这些模式，并表明信念扭曲可以解释这些高风险状态下的谜题。

ABSTRACT：We investigate hedge fund firms’ unobserved performance (UP), measured as the risk-adjusted return difference between a firm's reported gross return and its portfolio return inferred from its disclosed long-equity holdings. Firms with high UP outperform those with low UP by 6.36% per annum on a risk-adjusted basis. UP is negatively associated with a firm's trading costs and positively associated with intraquarter trading in equity positions, derivatives usage, short selling, and confidential holdings. We show that limited investor attention can delay investors’ response to UP and lead to longer lived predictability of fund firm performance.

我们研究了对冲基金公司的非观察绩效（UP），其衡量标准是公司报告的总回报与根据其披露的长期股权持有情况推断的投资组合回报之间的风险调整后回报差异。经风险调整后，UP 高的公司每年比 UP 低的公司高出 6.36%。UP与公司的交易成本呈负相关，与季度内股票仓位交易、衍生品使用、卖空和机密持股呈正相关。我们的研究表明，有限的投资者关注会延迟投资者对 UP 的反应，并导致基金公司业绩的可预测性更持久。

ABSTRACT：We arranged for trained undercover men and women to pose as potential clients and visit all 65 local financial advisory firms in Hong Kong. At financial planning firms, but not at securities firms, women were more likely than men to receive advice to buy only individual or only local securities. Female clients who signaled high confidence, high risk tolerance, or a domestic outlook were especially likely to receive this suboptimal advice. Our theoretical model explains these patterns as a result of statistical discrimination interacting with advisors’ incentives. Taste-based discrimination is unlikely to explain the results.

我们安排训练有素的男女卧底人员假扮潜在客户，走访了香港所有 65 家本地金融咨询公司。在理财规划公司，而非证券公司，女性比男性更容易接受只购买个人证券或只购买本地证券的建议。那些表现出高度自信、高风险承受能力或国内前景的女性客户尤其容易收到这种次优建议。我们的理论模型将这些模式解释为统计歧视与顾问激励相互作用的结果。基于口味的歧视不太可能解释这些结果。

ABSTRACT：Based on automated credit lines to vendors trading on Alibaba's online retail platform and a discontinuity in the credit decision algorithm, we document that a vendor's access to FinTech credit boosts its sales growth, transaction growth, and the level of customer satisfaction gauged by product, service, and consignment ratings. These effects are more pronounced for vendors characterized by greater information asymmetry about their credit risk and less collateral, which reveals the information advantage of FinTech credit over traditional credit technology.

基于对阿里巴巴在线零售平台上交易的供应商的自动信贷额度和信贷决策算法的不连续性，我们记录了供应商获得金融科技信贷会促进其销售增长、交易增长，以及通过产品、服务和寄售评级衡量的客户满意度水平。对于信用风险信息不对称程度较高、抵押物较少的供应商来说，这些影响更为明显，这揭示了金融科技信贷相对于传统信贷技术的信息优势。

ABSTRACT：We show theoretically that a critical determinant of the attractiveness of venture capital (VC)-backed entrepreneurship for high-earning potential founders is the expected time to develop a startup's initial product. This is because founder-CEOs' cash compensation increases substantially after product development, alleviating the nondiversifiable risk that founders face at startup birth. Consistent with the model's predictions of where the supply of entrepreneurial talent is likely to be most constrained, we find that technological shocks differentially altering the expected time to product across industries can explain changes in both the rate of entry and characteristics of individuals selecting into VC-backed entrepreneurship.

我们从理论上证明，风险资本（VC）支持的创业对高收入潜在创始人的吸引力的一个关键决定因素是开发初创企业初始产品的预期时间。这是因为创始人兼首席执行官的现金报酬会在产品开发后大幅增加，从而减轻创始人在初创企业诞生之初所面临的不可分散风险。与该模型预测的创业人才供应可能受到最大限制的情况一致，我们发现，技术冲击对各行业产品开发预期时间的不同改变，可以解释进入风险投资支持的创业企业的速度和个人特征的变化。

ABSTRACT: Twelve trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand. We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors' portfolios and welfare, and we quantify those effects. Investors are underallocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and limited tradability. Perhaps counterintuitively, commitment risk premiums increase with secondary market liquidity, and they do not disappear when investments are spread over many funds.

12 万亿美元被分配给私人市场基金，这些基金要求外部投资者承诺按需转移资金。我们在一个新颖的动态投资组合分配模型中表明，事前承诺对投资者的投资组合和福利有很大影响，我们对这些影响进行了量化。投资者对私募市场基金的配置不足，他们愿意为调整承诺数量支付更高的溢价，而不是为消除其他摩擦，如时间不确定性和有限的可交易性。也许与直觉相反的是，承诺风险溢价会随着二级市场流动性的增加而增加，而且当投资分散到许多基金时，承诺风险溢价也不会消失。

ABSTRACT: The disposition effect for a stock significantly weakens if the portfolio is at a gain, but is large when it is at a loss. We find this portfolio-driven disposition effect (PDDE) in four independent settings: U.S. and Chinese archival data, as well as U.S. and Chinese experiments. The PDDE is robust to a variety of controls in regression specifications and is not explained by extreme returns, portfolio rebalancing, tax considerations, or investor heterogeneity. Our evidence suggests that investors form mental frames at both the stock and the portfolio levels and that these frames combine to generate the PDDE.

如果投资组合获利，股票的处置效应就会明显减弱，但如果投资组合亏损，处置效应就会很大。我们在四个独立的环境中发现了这种投资组合驱动的处置效应（PDDE）：我们在美国和中国的档案数据以及美国和中国的实验中发现了这种投资组合驱动的处置效应（PDDE）。PDDE 对回归规格中的各种控制措施都是稳健的，并且无法用极端回报、投资组合再平衡、税收考虑或投资者异质性来解释。我们的证据表明，投资者在股票和投资组合层面都形成了心理框架，而这些框架共同产生了 PDDE。

ABSTRACT: The prevalence of pay based on risky firm outcomes for nonexecutive workers presents a puzzling departure from conventional contract theory, which predicts insurance provision by the firm. When workers at the same firm compete against each other for promotions, the optimal contract features pay based on firm outcomes as insurance against promotion risk. The model's predictions are consistent with many observed phenomena, such as performance-based vesting and overvaluation of equity pay by nonexecutive workers. It also generates novel predictions linking a firm's hierarchy to its workers' pay structure.

非高管员工的薪酬普遍基于有风险的公司结果，这与传统的契约理论有很大不同，传统契约理论预测由公司提供保险，而非高管员工的薪酬普遍基于有风险的公司结果，这令人费解。当同一公司的员工为晋升而相互竞争时，最优合同的特点是根据公司结果支付薪酬，作为晋升风险的保险。该模型的预测与许多观察到的现象一致，如基于绩效的归属和非执行员工对股权薪酬的高估。该模型还提出了新颖的预测，将公司的等级制度与员工的薪酬结构联系起来。

ABSTRACT: We examine the timing of returns around the publication of anomaly trading signals. Using a database that captures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability because it uses stale information, which makes some anomalies appear insignificant. In contrast, we show many anomalies do predict returns if portfolios are formed immediately after information releases. Finally, we develop guidance on forming portfolios without using stale information.

我们研究了异常交易信号发布前后的回报时间。我们利用数据库捕捉信息首次公开发布的时间，结果表明，异常交易回报集中在信息发布日后的第一个月，而且这些回报很快就会衰减。我们还表明，在 6 月份形成投资组合的学术惯例低估了可预测性，因为它使用的是陈旧的信息，这使得一些异常现象显得无关紧要。与此相反，我们表明，如果在信息发布后立即组建投资组合，许多异常情况确实能预测收益。最后，我们制定了在不使用陈旧信息的情况下形成投资组合的指南。

ABSTRACT: The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out-of-the-money call options on stocks is −116 basis points per day. Second, Fama-MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of heavily traded delta-hedged at-the-money calls (puts) is −23 (−30) basis points. Fourth, the variance risk premium in stock options is negative. Our analysis highlights the importance of microstructure biases and robustness in empirical work with options.

单个股票期权不对波动率定价这一典型事实经不起推敲。首先，我们发现大量交易的深度价外股票看涨期权的平均收益率为每天-116 个基点。其次，股票期权波动性风险溢价的 Fama-MacBeth 估计值与标准普尔 500 指数看涨期权的波动性风险溢价相似。第三，大量交易的 Delta 对冲看涨（看跌）期权的平均收益率为-23（-30）个基点。第四，股票期权的方差风险溢价为负值。我们的分析强调了微观结构偏差和稳健性在期权实证研究中的重要性。

ABSTRACT: We analyze a setting in which a board must hire a chief executive officer (CEO) after exerting effort to learn about the quality of each candidate. Optimal effort is asymmetric, implying asymmetric likelihoods of each candidate being chosen. If the board has an infinitesimal bias in favor of one candidate, it allocates effort to maximize the likelihood of that candidate being chosen. Even when the board's prior is that its preferred candidate is inferior, she may still be chosen most often. A glass ceiling can also arise whereby the tendency to hire favored candidates increases as the importance of the position increases.

我们分析了这样一种情况：董事会在努力了解每位候选人的素质后，必须聘用一位首席执行官（CEO）。最佳努力是不对称的，这意味着每个候选人被选中的可能性是不对称的。如果董事会对某一候选人有无限大的偏好，它就会分配精力，使该候选人被选中的可能性最大化。即使董事会先验地认为其倾向的候选人较差，她仍可能最常被选中。玻璃天花板也可能出现，即随着职位重要性的增加，聘用受青睐候选人的倾向也会增加。

声明：推文仅代表文章原作者观点，以及推文作者的评论观点，并不代表本公众号平台的观点。

往期精选：

      重磅：学术财经•学术笔记全汇总