目录

• Risk-free interest rates

• Consumer-lending discrimination in the FinTech Era

• Treasury inconvenience yields during the COVID-19 crisis

• Betting against betting against beta

• Who creates new firms when local opportunities arise?

• Venture capital contracts

• The level, slope, and curve factor model for stocks

• Portfolio choice with sustainable spending: A model of reaching for yield

• Disappearing and reappearing dividends

• The dynamics of concealment

• The cross section of the monetary policy announcement premium

• Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market

• Government policy approval and exchange rates

• Epidemic disease and financial development

• Investing outside the box: Evidence from alternative vehicles in private equity

• Measuring the ex-ante incentive effects of creditor control rights during bankruptcy reorganization

• Stocks for the long run? Evidence from a broad sample of developed markets

• Social learning and analyst behavior

• Does customer-base structure influence managerial risk-taking incentives?

• Equity tail risk and currency risk premiums

• Peak-Bust rental spreads

• Learning, slowly unfolding disasters, and asset prices

• Financial development and labor market outcomes: Evidence from Brazil

• Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark

• Trade credit and profitability in production networks

 

1

Risk-free interest rates

原刊和作者：

Journal of Financial Economics 2022年1月

Jules van Binsbergen (University of Pennsylvania) 

William Diamond (University of Pennsylvania)

Marco Grotteria (London Business School)

 

Abstract

We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain interest rates and implied convenience yields with maturities up to three years at a minutely frequency. Our estimated convenience yield on Treasuries equals about 40 basis points, is larger below three months maturity, and quadruples during the financial crisis. In high-frequency event studies, conventional and unconventional monetary stimulus reduces our rates more than the corresponding Treasury yields, thus broadly affecting rates even outside the narrow confines of the fixed-income market.

 

2

Consumer-lending discrimination in the FinTech Era

原刊和作者：

Journal of Financial Economics 2022年1月

Robert Bartlett (U.C. Berkeley) 

Adair Morse (U.C. Berkeley and Department of the Treasury) 

Richard Stanton (U.C. Berkeley) 

Nancy Wallace (U.C. Berkeley) 

 

Abstract

U.S. fair-lending law prohibits lenders from making credit determinations that disparately affect minority borrowers if those determinations are based on characteristics unrelated to creditworthiness. Using an identification under this rule, we show risk-equivalent Latinx/Black borrowers pay significantly higher interest rates on GSE-securitized and FHA-insured loans, particularly in high-minority-share neighborhoods. We estimate these rate differences cost minority borrowers over $450 million yearly. FinTech lenders’ rate disparities were similar to those of non-Fintech lenders for GSE mortgages, but lower for FHA mortgages issued in 2009–2015 and for FHA refi mortgages issued in 2018–2019.

 

3

Treasury inconvenience yields during the COVID-19 crisis

原刊和作者：

Journal of Financial Economics 2022年1月

Zhiguo He (University of Chicago and NBER) 

Stefan Nagel (University of Chicago and NBER) 

Zhaogang Song (Johns Hopkins University) 

 

Abstract

In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status of US Treasuries may be eroding. We document large shifts in Treasury ownership and temporary accumulation of Treasury and reverse repo positions on dealer balance sheets during this period. We build a dynamic equilibrium asset pricing model in which dealers subject to regulatory balance sheet constraints intermediate demand/supply shocks from habitat agents and provide repo financing to levered investors. The model predicts that Treasury inconvenience yields, measured as the spread between Treasuries and overnight-index swap rates (OIS), as well as spreads between dealers’ reverse repo and repo rates, should be highly positive during the COVID-19 crisis, as is confirmed in the data. The same model framework, adapted to the institutional setting in 2007–2009, can also explain the negative Treasury-OIS spread observed during the Great Recession.

 

4

Betting against betting against beta

原刊和作者：

Journal of Financial Economics 2022年1月

Robert Novy-Marx (University of Rochester) 

Mihail Velikov (Pennsylvania State University) 

 

Abstract

Frazzini and Pedersen’s (2014) Betting Against Beta (BAB) factor is based on the same basic idea as Blacks’(1972) beta-arbitrage, but its astonishing performance has generated academic interest and made it highly influential with practitioners. This performance is driven by non-standard procedures used in its construction that effectively, but non-transparently, equal weight stock returns. For each dollar invested in BAB, the strategy commits on average $1.05 to stocks in the bottom 1% of total market capitalization. BAB earns positive returns after accounting for transaction costs, but earns these by tilting toward profitability and investment. Predictable biases resulting from Frazzini and Pedersen’s non-standard beta estimation procedure drive results presented as evidence supporting BAB’s underlying theory.

 

5

Who creates new firms when local opportunities arise?

原刊和作者：

Journal of Financial Economics 2022年1月

Shai Bernstein (Harvard Business School and NBER) 

Emanuele Colonnelli (University of Chicago) 

Davide Malacrino (International Monetary Fund) 

Tim McQuade (University of Colorado Boulder) 

 

Abstract

We examine the characteristics of the individuals who become entrepreneurs when local opportunities arise. We identify local demand shocks by linking fluctuations in global commodity prices to municipality-level agricultural endowments in Brazil. We find that the firm creation response is mostly driven by young and skilled individuals. The characteristics of these responsive entrepreneurs are significantly different from those of average entrepreneurs in the economy. By structurally estimating a novel two-sector model of a local economy, we highlight how the demographic composition of the local population can significantly affect the entrepreneurial responsiveness of the economy.

 

6

Venture capital contracts

原刊和作者：

Journal of Financial Economics 2022年1月

Michael Ewens (California Institute of Technology) 

Alexander Gorbenko (University College London) 

Arthur Korteweg (University of Southern California) 

 

Abstract

We estimate the impact of venture capital (VC) contract terms on startup outcomes and the split of value between the entrepreneur and investor, accounting for endogenous selection via a novel dynamic search-and-matching model. The estimation uses a new, large data set of first financing rounds of startup companies. Consistent with efficient contracting theories, there is an optimal equity split between agents, which maximizes the probability of success. However, venture capitalists (VCs) use their bargaining power to receive more investor-friendly terms compared to the contract that maximizes startup values. Better VCs still benefit the startup and the entrepreneur due to their positive value creation. Counterfactuals show that reducing search frictions shifts the bargaining power to VCs and benefits them at the expense of entrepreneurs. The results show that the selection of agents into deals is a first-order factor to take into account in studies of contracting.

 

7

The level, slope, and curve factor model for stocks

原刊和作者：

Journal of Financial Economics 2022年1月

Charles Clarke (University of Kentucky) 

 

Abstract

I develop a method to extract only the priced factors from stock returns. The first step estimates expected returns based on firm characteristics. The second step uses the estimated expected returns to form portfolios. The last step uses principal component analysis to extract factors from the portfolio returns. The procedure isolates and emphasizes the comovement across assets that is related to expected returns as opposed to firm characteristics. It produces three factors–level, slope, and curve–which perform as well or better than other leading models. The methodology performs well in out-of-sample tests. The new factors have macroeconomic risk interpretations.

 

8

Portfolio choice with sustainable spending: A model of reaching for yield

原刊和作者：

Journal of Financial Economics 2022年1月

John Campbell (Harvard University and NBER) 

Roman Sigalov (Harvard University） 

 

 

Abstract

We show that reaching for yield—a tendency to take more risk when the real interest rate declines while the risk premium remains constant—results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When the interest rate is initially low, reaching for yield intensifies. The sustainable spending constraint also affects the response of risk-taking to a change in the risk premium, which can even change sign. In a variant of the model where the sustainable spending constraint is formulated in nominal terms, low inflation also encourages risk-taking.

 

9

Disappearing and reappearing dividends

原刊和作者：

Journal of Financial Economics 2022年1月

Roni Michaely (University of Hong Kong and ECGI) 

Amani Moin (Commodity Futures Trading Commission) 

 

Abstract

We decompose the decrease (1970s–2000) and subsequent recovery (2000–2018) in the fraction of dividend-paying firms. Changes in firm characteristics and proclivity to pay (probability of paying dividends conditional on characteristics) each drive half of the dividend disappearance. A higher proclivity drives 82% of the dividend reappearance. The remaining 18% is driven by a single characteristic: reduced earnings volatility. Changing characteristics are associated with low-profitability, high-earnings-volatility firms. Changing proclivity is associated with stable, profitable firms. Rather than dividend initiations or omissions, newly listed and delisted firms drive trends. Finally, the magnitude and duration of disappearing total payout is substantially smaller than that of dividends, indicating some substitution between dividends and repurchases.

 

10

The dynamics of concealment

原刊和作者：

Journal of Financial Economics 2022年1月

Jeremy Bertomeu (Washington University) 

Iván Marinovic (Stanford University) 

Stephen Terry (Boston University and NBER) 

Felipe Varas (Duke University) 

 

Abstract

Firm managers likely have more information than outsiders. If managers strategically conceal information, market uncertainty will increase. We develop a dynamic corporate disclosure model, estimating the model using the management earnings forecasts of US public companies. The model, based on the buildup of reputations by managers over time, matches key facts about forecast dynamics. We find that 80% of firms strategically manage information, that managers have superior information around half of the time, and that firms conceal information about 40% of the time. Concealment increases market uncertainty by just under 8%, a sizable information loss.

 

11

 

The cross section of the monetary policy announcement premium

原刊和作者：

Journal of Financial Economics 2022年1月

Hengjie Ai (University of Minnesota and University of Wisconsin) 

Leyla Jianyu Han (Boston University) 

Xuhui Nick Pan (University of Oklahoma) 

Lai Xu (Syracuse University) 

 

Abstract

Using the expected option-implied variance reduction to measure the sensitivity of stock returns to monetary policy announcement surprises, this paper shows monetary policy announcements require significant risk compensation in the cross section of equity returns. We develop a parsimonious equilibrium model in which FOMC announcements reveal the Federal Reserve’s private information about its interest-rate target, which affects the private sector’s expectation about the long-run growth-rate of the economy. Our model accounts for the dynamics of implied variances and the cross section of the monetary policy announcement premium realized around FOMC announcement days.

 

12

Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market

原刊和作者：

Journal of Financial Economics 2022年1月

Hao Jiang (Michigan State University) 

Yi Li (Board of Governors of the Federal Reserve System) 

Zheng Sun (University of California) 

Ashley Wang (Board of Governors of the Federal Reserve System) 

 

Abstract

Open-end corporate bond mutual funds invest in illiquid assets while providing liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel bond-level latent fragility measure based on asset illiquidity of mutual funds holding the bond. We find that corporate bonds bearing higher fragility subsequently experience higher return volatility and more outflows-induced mutual fund selling over the period of 2006–2019. Using the COVID-19 crisis as a natural experiment, we find that bonds with higher precrisis fragility experienced more negative returns and larger reversals around March 2020.

 

13

Government policy approval and exchange rates

原刊和作者：

Journal of Financial Economics 2022年1月

Yang Liu (University of Hong Kong) 

Ivan Shaliastovich (University of Wisconsin-Madison) 

 

Abstract

Measures of US government policy approval are strongly related to persistent fluctuations in the dollar value. Contemporaneous correlations between approval ratings and the dollar approach 50% against advanced economy currencies. High approval ratings further forecast a decline in the dollar risk premium several years ahead and are associated with a persistent increase in economic growth and a reduction in economic volatility. We provide an illustrative model to interpret our empirical evidence. In the model, policy valuations (approvals) are forward-looking and increase at times of high expected policy-related growth and low policy-related uncertainty, which are times of a strong dollar and low dollar risk premium.

 

14

Epidemic disease and financial development

原刊和作者：

Journal of Financial Economics 2022年1月

Jiafu An (University of Aberdeen and University of Portsmouth) 

Wenxuan Hou (Shanghai Lixin University and University of Edinburgh) 

Chen Lin (University of Hong Kong) 

 

Abstract

We study the impact of an epidemic disease on modern financial development by exploiting geographic variations in the precolonial survival conditions of the TseTse fly, which transmits an epidemic disease that is harmful to humans and fatal to livestock in Africa. Using newly georeferenced data, we discover that firms and households in regions historically more exposed to the epidemic disease have less access to external financing today. Exploring the channels, we find that people in historically infested regions are less likely to trust others and financial institutions, to share credit information and to learn and adopt new financial technologies.

 

15

Investing outside the box: Evidence from alternative vehicles in private equity

原刊和作者：

Journal of Financial Economics 2022年1月

Josh Lerner (Harvard Business School and NBER) 

Jason Mao (State Street Financial Center) 

Antoinette Schoar (MIT Sloan, NBER and CEPR) 

Nan Zhang (State Street Financial Center) 

 

Abstract

Using previously unexplored custodial data, we examine alternative investment vehicles (AVs) in private equity (PE) funds over the last four decades. By 2017, AVs reached 40% of all PE commitments. Average AV performance matches the PE market, but underperforms the main funds of the partnerships sponsoring the AVs. Limited partners (LPs) with better past performance invest in AVs with better average performance, even after conditioning on the general partners’ (GPs’) past records. This result is largely driven by preferential access of top LPs to top AVs. Returns in PE increasingly depend on the match between GPs and LPs and both parties’ outside options.

 

16

Measuring the ex-ante incentive effects of creditor control rights during bankruptcy reorganization

原刊和作者：

Journal of Financial Economics 2022年1月

Ashwini Agrawal (London School of Economics and Political Science) 

Juanita González-Uribe (London School of Economics and Political Science) 

Jimmy Martínez-Correa (Copenhagen Business School and Danish Finance Institute) 

 

Abstract

A large theoretical literature studies the effects of creditor control during bankruptcy proceedings on firm outcomes. Empirical work in this area mainly examines reforms to creditor control rights during liquidation. In this paper, we use administrative microdata and exploit a legal reform in Denmark to provide the first causal estimates of creditor empowerment in reorganization-the complementary bankruptcy procedure to liquidation. We find that the Danish reform led to a sharp decline in liquidations. Although few insolvent firms make use of the new reorganization procedures, we show that solvent firms improved their financial management and increased employment and investment. The findings illustrate the empirical importance of reorganization rules on the incentives of stakeholders outside of bankruptcy.

 

17

Stocks for the long run? Evidence from a broad sample of developed markets

原刊和作者：

Journal of Financial Economics 2022年1月

Aizhan Anarkulova (University of Arizona) 

Scott Cederburg (University of Arizona) 

Michael O’Doherty (University of Missouri) 

 

Abstract

We characterize the distribution of long-term equity returns based on the historical record of stock market performance in a broad cross section of 39 developed countries over the period from 1841 to 2019. Our comprehensive sample mitigates concerns over survivor and easy data biases that plague other work in this area. A bootstrap simulation analysis implies substantial uncertainty about long-horizon stock market outcomes, and we estimate a 12% chance that a diversified investor with a 30-year investment horizon will lose relative to inflation. The results contradict the conventional advice that stocks are safe investments over long holding periods.

 

18

Social learning and analyst behavior

原刊和作者：

Journal of Financial Economics 2022年1月

Alok Kumar (University of Miami) 

Ville Rantala (University of Miami) 

Rosy Xu (The Chinese University of Hong Kong) 

 

Abstract

This study examines whether sell-side equity analysts engage in “social learning” in which their earnings forecasts for certain firms are influenced by the forecasts and outcomes of “peer” analysts associated with other firms in their respective portfolios. We find that analyst optimism is negatively correlated with recent forecast errors, by peers, on other firms in the analyst's portfolio. An analyst is also more likely to issue “bold” forecasts when peers recently issued similar forecasts for other portfolio firms. Analysts learn more from peers with similar personal characteristics. Overall, social learning benefits analysts and improves their forecast accuracy.

 

19

Does customer-base structure influence managerial risk-taking incentives?

原刊和作者：

Journal of Financial Economics 2022年1月

Jie Chen (University of Leeds) 

Xunhua Su (Norwegian School of Economics) 

Xuan Tian (Tsinghua University) 

Bin Xu (University of Leeds) 

 

Abstract

We find strong evidence that when a firm's customer base is more concentrated, the firm's CEO receives more risk-taking incentives in her compensation package. This finding is robust to numerous alternative measures, alternative specifications, alternative subsamples, and different attempts that mitigate endogeneity concerns. Further, the positive effect of customer concentration on CEO risk-taking incentive provision is more prominent when the CEO is more reluctant to take risks, when the firm has more investment opportunities, and when the firm is more prone to the costs of losing large customers. These findings are consistent with the notion that boards provide additional risk-taking incentives to offset the CEO's aversion to the risk of non-diversified revenue streams, thereby preventing excessive managerial conservatism at the expense of value maximization.

 

20

Equity tail risk and currency risk premiums

原刊和作者：

Journal of Financial Economics 2022年1月

Zhenzhen Fan (University of Manitoba) 

Juan Londono (the Federal Reserve Board of Governors) 

Xiao Xiao (University of Amsterdam) 

 

Abstract

We find that an option-based equity tail risk factor is priced in the cross section of currency returns; more exposed currencies offer a low risk premium because they hedge against equity tail risk. A portfolio that buys currencies with high equity tail beta and shorts those with low beta extracts the global component in the tail factor. The estimated price of risk of this novel global factor is consistently negative in currency carry and momentum portfolios, and in portfolios of other asset classes, suggesting that excess returns of these strategies can be partially understood as compensations for global tail risk.

 

21

Peak-Bust rental spreads

原刊和作者：

Journal of Financial Economics 2022年1月

Marco Giacoletti (University of Southern California) 

Christopher Parsons (University of Southern California) 

 

Abstract

Landlords appear to use stale information when setting rents. Among over 43,000 California rental houses in 2018–2019, those last purchased during 2005–2007 (the peak) rent for 2–3% more than those purchased during 2008–2010 (bust). Neither house nor landlord characteristics explain this “peak-bust rental spread.” To clarify the mechanism, we test cross-sectional predictions from a simple theory of rent-setting. We find empirical support for both reference dependence and distorted beliefs. In the first, monthly payments establish (recurring) reference points, against which gains or losses are measured. In the second, past sales prices distort landlords’ current estimates of house values/rents.

 

22

Learning, slowly unfolding disasters, and asset prices

原刊和作者：

Journal of Financial Economics 2022年1月

Mohammad Ghaderi (University of Kansas) 

Mete Kilic (University of Southern California) 

Sang Byung Seo (University of Wisconsin-Madison) 

 

Abstract

We develop a model that generates slowly unfolding disasters not only in the macroeconomy but also in financial markets. In our model, investors cannot exactly distinguish whether the economy is experiencing a mild/temporary downturn or is on the verge of a severe/prolonged disaster. Due to imperfect information, disaster periods are not fully identified by investors ex ante. Bayesian learning induces equity prices to gradually react to persistent consumption declines, which plays a critical role in explaining the VIX, variance risk premium, and put-protected portfolio returns. We show that our model can rationalize the market patterns of recent major crises, such as the dot-com bubble burst, Great Recession, and COVID-19 crisis, through investors' belief channel.

 

23

Financial development and labor market outcomes: Evidence from Brazil

原刊和作者：

Journal of Financial Economics 2022年1月

Julia Fonseca (University of Illinois at Urbana-Champaign) 

Bernardus Van Doornik (Central Bank of Brazil) 

 

Abstract

We estimate the effect of increased access to bank credit on the employment and wages of high- and low-skilled workers. To do so, we consider a bankruptcy reform that led to an expansion of bank credit to Brazilian firms. We use administrative data and exploit cross-sectional variation in the enforcement of the new legislation arising from differences in the congestion of civil courts. We find that the credit expansion led to an increase in the skill intensity of firms and in within-firm returns to skill and to a reallocation of skilled labor from financially unconstrained firms to constrained firms. To rationalize these findings, we design a model in which heterogeneous producers face constraints in their ability to borrow and have production functions featuring capital-skill complementarity. We use this framework to generate an industry-level measure of capital-skill complementarity, which we use to provide direct evidence that the effect of access to credit on skill utilization and the skill premium is driven by a relative complementarity between capital and skilled labor.

 

24

Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark

原刊和作者：

Journal of Financial Economics 2022年1月

Fábio Cereda (University of Sao Paulo) 

Fernando Chague (Sao Paulo School of Economics) 

Rodrigo De-Losso (University of Sao Paulo) 

Alan Genaro (Sao Paulo School of Business Administration) 

Bruno Giovannetti (Sao Paulo School of Economics) 

 

Abstract

We study the effects of a price transparency shock in the Brazilian equity lending market, an over-the-counter market. Previously, the available loan fee benchmark was the mean loan fee of the past 15 trading days. On March 1, 2011, this interval was reduced to three days, significantly improving short-sellers’ ability to predict current loan fees. We find that after the benchmark change, loan fees fell, lending volume increased, total lending revenue remained stable, high-cost lenders lost market share, and price efficiency increased. Our results suggest implementing price benchmarks in OTC markets can improve market quality.

 

25

Trade credit and profitability in production networks

原刊和作者：

Journal of Financial Economics 2022年1月

Michael Gofman (University of Rochester) 

Youchang Wu (University of Oregon) 

 

Abstract

We construct a sample of over 200,000 supply chains between 2003 and 2018 to conduct a chain-based analysis of trade credit. Our study uncovers novel stylized facts about trade credit both within and across supply chains. More upstream firms borrow more from suppliers, lend more to customers, and hold more net trade credit. This upstreamness effect in trade credit is weaker for more profitable firms and for longer chains. Firms in more central or more profitable chains provide more net trade credit. Our results are generally consistent with the recursive moral hazard theory of trade credit. Evidence for the financing advantage theory is mixed.