本文梳理了2021年中国大陆学者发表（print publication，不含接受和在线发表）在《The Journal of Finance》上的论文，为致力于发表国际顶级期刊的学者和学生们提供借鉴，共同繁荣中国学术。
《The Journal of Finance》 (JF)创刊于1946年, 是美国金融协会的官方学术刊物，刊登金融学所有主要领域的最前沿研究。根据2019年 “期刊引用报告” ，该期刊的影响因子为6.813，在SSCI商业金融类学术期刊中排名第一，是国际学术界公认的顶级商业和金融学期刊。该期刊被《金融时报》列为商学院研究评估的45本顶级期刊之一，也是德州大学达拉斯分校(UTD)用于全球商学院学术排名的24本顶级期刊之一。
2021年中国大陆学者总共在《The Journal of Finance》发表4篇论文，其中清华大学3篇，北京大学1篇。
01. The Economics of Hedge Fund Startups: Theory and Empirical Evidence
Texas Christian University
Pennsylvania State University
This paper examines how market frictions influence the managerial incentives and organizational structure of new hedge funds. We develop a stylized model in which new managers search for accredited investors and have stronger incentives to acquire managerial skill when encountering low investor demand. Fund families endogenously arise to mitigate frictions and weaken the performance incentives of affiliated new funds. Empirically, based on a TASS-HFR-BarclayHedge merged database, we find that ex ante identified cold inceptions facing low investor demand outperform existing hedge funds and hot inceptions facing high demand and that cold stand-alone inceptions outperform all types of family-affiliated inceptions.
02. Tracking Retail Investor Activity
Singapore Management University
We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week. Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or public news sentiment. There is suggestive, but only suggestive, evidence that retail marketable orders might contain firm-level information that is not yet incorporated into prices.
03. The Misallocation of Finance
Toni M Whited
University of Michigan at Ann Arbor ，National Bureau of Economic Research (NBER)
We estimate real losses arising from the cross-sectional misallocation of financial liabilities. Extending a production-based framework of misallocation measurement to the liabilities side of the balance sheet and using manufacturing firm data from the United States and China, we find significant misallocation of debt and equity in China but not the United States. Reallocating liabilities of firms in China to mimic U.S. efficiency would produce gains of 51% to 69% in real value-added, with only 17% to 21% stemming from inefficient debt-equity combinations. For Chinese firms that are large or in developed cities, we estimate lower distortionary financing costs.
04. Currency Mispricing and Dealer Balance Sheets
Pasquale Della Corte
Centre for Economic Policy Research (CEPR)， Imperial College London
We find dealer-level evidence that recent regulation on the leverage ratio requirement causes deviations from covered interest parity. Our analysis uses a unique dataset of currency derivatives with disclosed counterparty identities together with exogenous variation introduced by the UK leverage ratio framework. Dealers that are affected by the regulatory shock charge an additional premium of about 20 basis points per annum for synthetic dollar funding relative to unaffected dealers. This finding holds even after controlling for changes in clients' demand. Also, some clients increase their trading activity with unaffected dealers with whom they already had a pre-existing relationship.