《Review of Financial Studies》11月刊目录及摘要

我们提供了一个系统的经验评估的明斯基假说，商业波动源自非理性的期望摆动。使用可预测的企业级预测误差，我们构建了一个非理性预期的总指数，并使用它来提供三组结果。首先，我们表明我们的指数预测总的信贷周期。接下来，我们表明，这些可预测的信贷周期驱动周期的企业级债务发行和投资，以及类似的周期之间的财务约束和无约束的公司，如明斯基预测。最后，我们展示了具有以下特征的企业在企业层面的融资和投资中更明显的周期:事先更乐观的预期。(JEL G31, G32, G40, E32, E44)

04.The Technical Default Spread

Emilio Bisetti

Kai Li, Jun Yu

摘要

We study the quantitative impact of lender control rights on corporate investment, asset prices, and the aggregate economy. We build a general equilibrium model in which the breaching of a loan covenant (technical default) entails a switch in investment control rights from borrowers to lenders. Lenders optimally choose low-risk projects, thus mitigating borrowers’ risk-taking incentives and lowering the cost of equity. This mechanism generates strong macroeconomic effects and mitigates the financial accelerator. Consistent with our model, proximity to technical default in the data is associated with 4.12% lower returns and lower exposure to systematic risk.

我们研究了贷款人控制权对企业投资、资产价格和总体经济的定量影响。我们建立了一个一般均衡模型，在这个模型中，违反贷款契约（ 技术违约 ）意味着投资控制权从借款人转移到贷款人。贷款人最优选择低风险项目，从而减轻借款人的冒险动机，降低股权成本。这种机制产生了强大的宏观经济效应，减缓了金融加速器。与我们的模型相一致，数据中接近技术违约的程度与较低的回报率和较低的系统风险暴露相关。

05.Heterogeneous Real Estate Agents and the Housing Cycle

Sonia Gilbukh

Paul Goldsmith-Pinkham

摘要

The real estate market is highly intermediated, with 90% of buyers and sellers hiring an agent. However, low barriers to entry and fixed commission rates result in large market share for inexperienced intermediaries. Using micro-level data on 8.5 million listings and a novel research design, we show that house listings by inexperienced agents have a lower probability of selling, and this effect is strongest during the housing bust. We estimate that 3.7% more listings would have been sold in a flexible commission equilibrium. Eighty percent of this improvement comes from competition and the remainder from commission variation across experience.

房地产市场高度中介化，90%的买家和卖家都雇佣了经纪人。然而，较低的准入门槛和固定的佣金率导致经验不足的中介占据了较大的市场份额。利用850万条房源的微观数据和新颖的研究设计，我们发现，由经验不足的中介发布的房源出售概率较低，这种效应在房地产市场低迷时期最为明显。我们估计，在灵活的佣金均衡状态下，会有3.7%的更多房源被售出，其中80%的改善来自竞争，其余来自不同经验水平的佣金差异。

06.A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction 

Amit Goyal

Ivo Welch

Athanasse Zafirov

摘要

Our paper reexamines whether 29 variables from 26 papers published after Goyal and Welch 2008, as well as the original 17 variables, were useful in predicting the equity premium in-sample and out-of-sample as of the end of 2021. Our samples include the original periods in which these variables were identified, but end later. More than one-third of these new variables no longer have empirical significance even in-sample. Of those that do, half have poor out-of-sample performance. A small number of variables still perform reasonably well both in-sample and out-of-sample.

戈亚尔和韦尔奇之后发表的 26 篇论文中的 29 个变量2008 年，以及最初的 17 个变量，对预测 2021 年底样本内和样本外的股权溢价是有用的。我们的样本包括这些变量被识别的最初时期，但随后结束。超过三分之一的新变量不再具有经验意义，即使是在样本中。其中，半数的样本在样本外的表现很差。少数变量在样本内和样本外仍然表现得相当好。

07.Computational Reproducibility in Finance: Evidence from 1,000 Tests

Christophe Pérignon

Olivier Akmansoy

Christophe Hurlin

Anna Dreber

Felix Holzmeister

Jürgen Huber

Magnus Johannesson

Michael Kirchler

Albert J Menkveld

Michael Razen

Utz Weitzel

摘要

We analyze the computational reproducibility of more than 1,000 empirical answers to 6 research questions in finance provided by 168 research teams. Running the researchers’ code on the same raw data regenerates exactly the same results only 52% of the time. Reproducibility is higher for researchers with better coding skills and those exerting more effort. It is lower for more technical research questions, more complex code, and results lying in the tails of the distribution. Researchers exhibit overconfidence when assessing the reproducibility of their own research. We provide guidelines for finance researchers and discuss implementable reproducibility policies for academic journals.

我们分析了168个研究团队对6个金融研究问题的1000多个经验答案的计算重现性。在相同的原始数据上运行研究人员的代码，只有52%的时间重现完全相同的结果。对于编码技能更好的研究人员和那些付出更多努力的人，重现性更高。对于更技术性的研究问题，更复杂的代码，以及位于分布尾部的结果，重现率更低。研究人员在评估他们自己的研究的重现性时表现出过度自信。我们为金融研究人员提供指导，并讨论可实施的学术期刊重现性政策。