16篇RFS！2021中国境内高校学者发表的RFS论文
随着中国的经济高速发展，科研环境的改善，中国境内高校学者的研究能力也逐步与国际接轨，做高质量的研究和发表高水平论文几乎成为中国境内高校学者的普遍追求。
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《Review of Financial Studies》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。
《Review of Financial Studies》（下简称“RFS”）由牛津大学出版社代表金融研究学会出版，刊登金融学领域的前沿研究。牛津大学出版社公布的最新数据显示，RFS的期刊影响因子为5.838，近5年的期刊影响因子为9.358。
RFS是国际公认的经济管理类顶级期刊，与 《Journal of Finance》和 《Journal of Financial Economics》并称为国际顶尖三大金融学期刊。该期刊被《金融时报》评为45本一流学术国际期刊之一，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《Review of Financial Studies》发表16篇论文。
说明：仅统计论文发表版本的作者署名单位有中国境内高校的文章。以下论文为手工整理，如有遗漏，欢迎后台留言补充，共同助力和传播国内外顶级刊物中的中国声音。
01. The Chinese Warrants Bubble: Evidence from Brokerage Account Records
刊发时间：2021年1月
杨之曙
清华大学经管学院
Neil D Pearson
Canadian Derivatives Institute (CDI)，University of Illinois at Urbana-Champaign
Qi Zhang
Durham University
We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based on their own past returns. The interaction of feedback trading with the precipitating event caused additional buying and price increases in a feedback loop, and estimates of the trading volume due to this mechanism explain prices and returns during the bubble.
02. Implied Stochastic Volatility Models
刊发时间：2021年1月
Yacine Ait-Sahalia
Princeton University，National Bureau of Economic Research (NBER)
李晨煦
中国人民大学商学院
李辰旭
北京大学光华管理学院
This paper proposes “implied stochastic volatility models” designed to fit option-implied volatility data and implements a new estimation method for such models. The method is based on explicitly linking observed shape characteristics of the implied volatility surface to the coefficient functions that define the stochastic volatility model. The method can be applied to estimate a fully flexible nonparametric model, or to estimate by the generalized method of moments any arbitrary parametric stochastic volatility model, affine or not. Empirical evidence based on S&P 500 index options data show that the method is stable and performs well out of sample.
03. Winners, Losers, and Regulators in a Derivatives Market Bubble
刊发时间：2021年1月
杨学伟
南京大学工程管理学院
Avanidhar Subrahmanyam
University of California at Los Angeles
李心丹
南京大学工程管理学院
We use proprietary brokerage data to study trading patterns within a well-known financial market bubble: that in the Chinese warrants market. Persistently successful investors traded very actively and exhibited characteristics of de facto market makers. Unskilled investors unprofitably trend-chased and increased holdings in out-of-the-money warrants near expiration, whereas sophisticated investors did the reverse. Regulators did not properly forecast trading frenzies, as the pre-specified price limits often excluded warrants' fundamental values.
04. Do Foreign Institutional Investors Improve Price Efficiency?
刊发时间：2021年3月
Savitar Sundaresan
Imperial College London
王天宇
清华大学经管学院
Marcin Kacperczyk
Imperial College London，Centre for Economic Policy Research (CEPR)
We study the impact of foreign institutional investors on price efficiency with firm-level international data. Using MSCI index inclusion and the U.S. Jobs and Growth Tax Relief Reconciliation Act as exogenous shocks to foreign ownership, we show that greater foreign ownership increases stock price informativeness, especially in developed economies. This increase arises from new information that foreign investors bring in, and displacement of less informed domestic retail investors. Finally, we show that foreign ownership, particularly from active investors, increases market liquidity, reduces firms' cost of equity, and increases firms' real investment growth.
05. Corporate Money Demand
刊发时间：2021年4月
张娜
复旦大学管理学院
Toni M Whited
University of Michigan at Ann Arbor，National Bureau of Economic Research (NBER)
高晓丹
中国人民大学商学院
We document a hump-shaped relation between corporate cash and both real and nominal interest rates in both aggregate and firm-level data. We rationalize this result in a model where firms finance investment with cash and risky debt. The risky rate rises endogenously with the risk-free rate, spurring precautionary cash demand. Simultaneously, foregone interest lowers cash demand. The first mechanism dominates at low interest rates, and the second at high interest rates. The model matches several data moments and reproduces a nonmonotonic cash-interest relation. This nonmonotonicity implies that interest rates are unlikely behind the recent rise in corporate cash.
06. Marketing Mutual Funds
刊发时间：2021年6月
Nikolai Roussanov
National Bureau of Economic Research (NBER)，University of Pennsylvania
阮宏勋
北京大学光华管理学院
Yanhao Wei
University of Southern California
Marketing and distribution expenses are responsible for about a third of the cost of active management in the mutual fund industry. We develop and estimate a structural model of mutual fund marketing with learning about unobserved skill and costly investor search. Our estimates suggest that marketing is nearly as important as performance and fees for determining fund size. Eliminating marketing substantially improves welfare, as capital shifts towards cheaper funds and competition decreases fees. Average alpha increases as active funds shrink, and capital allocation becomes more closely aligned with manager skill net of fees. Declining investor search costs over time imply a reduction in marketing expenses and management fees as well as a shift towards passive investing, as observed empirically.
07. Measuring Corporate Culture Using Machine Learning
刊发时间：2021年7月
Kai Li
University of British Columbia
申睿
香港中文大学（深圳），深圳高等金融研究院
Xinyan Yan
University of Dayton
Feng Mai
Stevens institute of Technology
We create a culture dictionary using one of the latest machine learning techniques—the word embedding model—and 209,480 earnings call transcripts. We score the five corporate cultural values of innovation, integrity, quality, respect, and teamwork for 62,664 firm-year observations over the period 2001–2018. We show that an innovative culture is broader than the usual measures of corporate innovation – R&D expenses and the number of patents. Moreover, we show that corporate culture correlates with business outcomes, including operational efficiency, risk-taking, earnings management, executive compensation design, firm value, and deal making, and that the culture-performance link is more pronounced in bad times. Finally, we present suggestive evidence that corporate culture is shaped by major corporate events, such as mergers and acquisitions.
08. User Interface and Firsthand Experience in Retail Investing
刊发时间：2021年9月
向佳
清华大学五道口金融学院
廖理
清华大学五道口金融学院
Hongjun Yan
DePaul University
王正位
清华大学五道口金融学院
Jun Yang
Indiana University at Bloomington
Using data from a major online peer-to-peer lending platform, we document that, due to time pressure, investors appear to focus on interest rates and only partially account for credit ratings in their decisions. The effect is stronger for mobile-based investors than for PC-based ones. Our evidence suggests that this variation is caused by the difference in information content on the interfaces rather than differences in the devices’ physical attributes per se. Investors improve their decisions by slowing down and paying more attention to credit ratings after experiencing a loan default firsthand, but not after observing others experiencing defaults.
09. Learning about the Neighborhood
刊发时间：2021年9月
Zhenyu Gao
Chinese University of Hong Kong (CUHK)
Wei Xiong
Princeton University，Chinese University of Hong Kong (CUHK)，National Bureau of Economic Research (NBER)
Michael Sockin
University of Texas at Austin
We develop a model to analyze information aggregation and learning in housing markets. In the presence of pervasive informational frictions, housing prices serve as important signals to households and capital producers about the economic strength of a neighborhood. Our model provides a novel mechanism for amplification through learning in which noise from the housing market can propagate to the local economy, distorting not only migration into the neighborhood, but also the supply of capital and labor. We provide consistent evidence of our model implications for housing price volatility and new construction using data from the recent U.S. housing cycle.
10. Financing Corporate Growth
刊发时间：2021年10月
Murray Z. Frank
上海交通大学上海高级金融学院访问研究教授，（现任）明尼苏达大学卡尔森管理学院金融学教授
Ali Sanati
American University
Considerable research tackles the aggregate impact of debt financing. We show that equity is more important for firm growth than generally understood. A dollar of equity issuance is associated with an extra $0.93 of real assets, whereas a dollar of debt issuance is associated with an extra $0.14. Firms issue equity first, then increase real assets, and, finally, issue debt while repurchasing equity. We explain this sequence using a model in which debt is tax preferred relative to equity but is subject to limited commitment. We use the estimated model to evaluate how several government policies affect corporate growth.
11. International Trade and the Propagation of Merger Waves
刊发时间：2021年10月
Eric de Bodt
California Institute of Technology ，Norwegian School of Economics (NHH)
Jarrad Harford
复旦大学泛海国际金融学院（特聘教授）
Muhammad Farooq Ahmad
Universite Cote d Azur
Cross-border merger activity is growing in importance. We map the global trade network each year from 1989 to 2016 and compare it to cross-border and domestic merger activity. Trade-weighted merger activity in trading partner countries has statistically and economically significant explanatory power for the likelihood a given country will be in a merger wave state, at both the cross-border and domestic levels, even controlling for its own lagged merger activity. The role of trade as a channel for transmitting merger waves is confirmed using import tariff cuts and trade sanctions as instruments to mitigate endogeneity. Overall, the full trade network helps our understanding of merger waves and how merger activity propagates across borders.
12. Capital Flows, Real Estate, and Local Cycles: Evidence from German Cities, Banks, and Firms
刊发时间：2021年10月
Alessandro Rebucci
Johns Hopkins University，Centre for Economic Policy Research (CEPR)，National Bureau of Economic Research (NBER)
Peter Bednarek
Deutsche Bundesbank
Daniel Marcel te Kaat
University of Groningen
马畅
复旦大学泛海国际金融学院
We study how an aggregate bank flow shock impacts German cities' GDP growth depending on the state of their local real estate markets. Identification exploits a policy framework assigning refugees to cities on a quasi-random basis and variation in non-developable area for the construction of a measure of exposure to local real estate market tightness. We estimate that the German cities most exposed to real estate market pressure grew 2.5-5.0 percentage points more than the least exposed ones, cumulatively, during the 2009-2014 period. Bank flow shocks shift credit to firms with more collateral. More collateral also leads firms to hire and invest more in response to these shocks.
13. Corporate Bond Liquidity during the COVID-19 Crisis
刊发时间：2021年11月
Diego Zuniga
University of California at Los Angeles
Benjamin Lester
Federal Reserve Bank of Philadelphia
David Lindsay
University of California at Los Angeles
Mahyar Kargar
University of Illinois at Urbana-Champaign
Pierre-Olivier Weill
National Bureau of Economic Research (NBER)， University of California at Los Angeles，Centre for Economic Policy Research (CEPR)
刘硕
清华大学经管学院
We study liquidity conditions in the corporate bond market during the COVID-19 pandemic. We document that the cost of trading immediately via risky-principal trades dramatically increased at the height of the sell-off, forcing customers to shift toward slower agency trades. Exploiting eligibility requirements, we show that the Federal Reserve’s corporate credit facilities have had a positive effect on market liquidity. A structural estimation reveals that customers’ willingness to pay for immediacy increased by about 200 bps per dollar of transaction, but quickly subsided after the Fed announced its interventions. Dealers’ marginal cost also increased substantially but did not fully subside.
14. Implications of Stochastic Transmission Rates for Managing Pandemic Risks
刊发时间：2021年11月
Harrison Hong
Columbia University ，National Bureau of Economic Research (NBER)
Neng Wang
Columbia University，National Bureau of Economic Research (NBER)
杨金强
上海财经大学金融学院
We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an epidemic model and link valuations to infections via an asset-pricing framework with vaccines. Infections lower earnings growth but firms can mitigate damages. We estimate a large reproduction number R0 and transmission volatility for COVID-19. Using these estimates, we assess the accuracy of deterministic approximations based on R0. Our model generates predictions consistent with data: unexpected infection resurgence, non-monotonic mitigation policies, and higher price-to-earnings ratios during a pandemic. Valuations would be significantly lower absent mitigation and a high vaccine arrival rate.
15. Portfolio Liquidity and Security Design with Private Information
刊发时间：2021年12月
Peter M DeMarzo
Stanford University
David M Frankel
University of Melbourne
金煜
上海财经大学
A privately informed seller seeks to liquidate a portfolio to raise cash. Each asset’s liquidity thus depends on the impact of its sale on the value of the entire portfolio. We demonstrate the importance of cross-signaling and derive sufficient conditions for a liquidity “pecking order” that determines the order of sale. For assets backed by a common pool, liquidity naturally aligns with seniority. Finally, we extend the portfolio liquidation game to consider security design and demonstrate the optimality of pooling securities and selling senior tranches or debt secured by the pool, with retention increasing in asset quality or informational asymmetry.
16. The Whack-a-Mole Game: Tobin Taxes and Trading Frenzy
刊发时间：2021年12月
Wenxi Jiang
Chinese University of Hong Kong (CUHK)
Wei Xiong
Princeton University， Chinese University of Hong Kong (CUHK)，National Bureau of Economic Research (NBER)
Jinghan Cai
University of Scranton
何基报
深圳证券交易所
To dampen trading frenzy in the stock market, the Chinese government tripled the stamp tax for stock trading on May 30, 2007. The greatly increased trading cost triggered a migration of the trading frenzy from the stock market to the warrant market, which was not subject to the stamp tax. This migration exacerbated a price bubble in the warrant market. Our analysis of investor account data uncovers not only large inflows of new investors to the warrant market but also greatly intensified trading by existing warrant investors. This episode exemplifies the so-called “whack-a-mole” game in financial regulations.
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