金融学top期刊（金融学顶刊RFS最新论文）

金融学top期刊（金融学顶刊RFS最新论文）6）The Momentum Gap and Return Predictability5）Comomentum: Inferring Arbitrage Activity from Return Correlations2）Markets versus Mechanisms3）The Equilibrium Consequences of Indexing4）crowded Trades and Tail Risk

本文汇总了金融学国际顶级期刊《Review of Financial Studies》近期发表的最新论文成果，提供金融研究领域最新学术动态。

文 | 中诚信指数 股票研究团队整理

目录

1）Where Has All the Data Gone?

2）Markets versus Mechanisms

3）The Equilibrium Consequences of Indexing

4）crowded Trades and Tail Risk

5）Comomentum: Inferring Arbitrage Activity from Return Correlations

6）The Momentum Gap and Return Predictability

7）How Global Is Your Mutual Fund? International Diversification from Multinationals

8）Corporate ESG Profiles and Banking Relationships

9）The Relationship Dilemma: Why Do Banks Differ in the Pace at Which They Adopt New Technology?

10）Short-Termism Spillovers from the Financial Industry

01

Where Has All the Data Gone?

作者：

Maryam Farboodi

(MIT Sloan School of Management)

Adrien Matray

(Princeton University)

Laura Veldkamp

(Columbia University)

Venky Venkateswaran

(Stern School of Business New York University)

摘要：由于金融行业正在向数据行业转型，故衡量投资者拥有的各种资产数据的数量非常重要。根据结构模型，本文设计了一个截面度量。本文展示了该度量方法如何不同于价格信息，并使用它记录一个新的事实: 跟其他公司的数据相比，大型高增长公司的数据正变得越来越丰富。我们的结构模型为这种数据差异提供了解释:大型高增长公司的数据变得更有价值，因为大公司变得更大，增长放大了这些规模变化的影响。

Abstract：Since the finance industry is transforming into a data industry measuring the quantity of data investors have about various assets is important. Informed by a structural model we develop such a cross-sectional measure. We show how our measure differs from price informativeness and use it to document a new fact: data about large high-growth firms is becoming increasingly abundant relative to data about other firms. Our structural model offers an explanation for this data divergence: large high-growth firms’ data became more valuable as big firms got bigger and growth magnified the effect of these changes in size.

02

Markets versus Mechanisms

作者：

Raphael Boleslavsky

(University of Miami)

Christopher A Hennessy

(London Business School)

David L Kelly

(University of Miami)

摘要：本文认为在证券市场中寻求决策相关信息的公司使用直接披露机制(DRMs)是存在弊端的。在这种环境下，DRM增加了知情代理的外部选择：如果代理拒绝DRM，他就会让市场相信他是不知情的，他可以以低价格冲击积极交易，从而产生巨大的(非平衡)交易收益。这种内源性的外部选项可能使使用DRM来筛选不知情的代理成为不可能。当筛选是可能的，如果外部选择的增加足够大，完全依靠市场信息是最优的。

Abstract：We establish limitations to the usage of direct revelation mechanisms (DRMs) by corporations seeking decision-relevant information in economies with securities markets. In this environment posting a DRM increases the informed agent’s outside option: if the agent rejects the DRM he convinces the market he is uninformed and he can aggressively trade with low price impact thereby generating large (off-equilibrium) trading gains. This endogenous outside option may make using a DRM to screen uninformed agents impossible. When screening is possible solely relying on the market for information is optimal if the increase in outside option is sufficiently large.

03

The Equilibrium Consequences

of Indexing

作者：

PHilip Bond

(University of Washington)

摘要：本文通过基准模型发现指数投资是在标准理性预期下的均衡结果。个人投资者参与金融市场会产生成本，而那些采用指数方式投资的个人成本较低。指数化投资成本的下降直接促进指数化投资的参与程度，从而进一步降低了指数化投资的费率。在均衡状态下，这些价格效率的变化反过来又会进一步增加指数，并提高非知情交易者的福利。对于消息灵通的交易员来说，与选股交易相比，市场时机选择交易带来的交易收益占比更高。

Abstract：We develop a benchmark model to study the equilibrium consequences of indexing in a standard rational expectations setting. Individuals incur costs to participate in financial markets and these costs are lower for individuals who restrict themselves to indexing. A decline in indexing costs directly increases the prevalence of indexing thereby reducing the price efficiency of the index and augmenting relative price efficiency. In equilibrium these changes in price efficiency in turn further increase indexing and raise the welfare of uninformed traders. For well-informed traders the share of trading gains stemming from market timing increases relative to stock selection trades.

04

Crowded Trades and Tail Risk

作者：

Gregory W Brown

(University of North Carolina at Chapel Hill Kenan-Flagler Business School)

Philip Howard

(Wake Forest University’s School of Business)

Christian T Lundblad

(University of North Carolina at Chapel Hill Kenan-Flagler Business School)

摘要：对冲基金头寸是拥挤交易的重要组成部分。这些机构特别活跃，有着高度集中头寸，并且利用杠杆和卖空。使用对冲基金持有的数据库，我们衡量了个股层面的拥挤程度。高拥挤度组合与低拥挤度组合的平均收益差异较大，其收益来源也不同于其他传统风险因素。此外，对冲基金面临的拥挤往往是显著的，它们有助于解释下行的“尾部风险”，因为风险敞口较高的基金在行业困境期间经历了相对较大的下跌。

Abstract：Hedge fund positions are an important component of crowded trades. These vehicles are particularly active take highly concentrated positions and utilize leverage and short sales. Using a database of hedge fund holdings we measure the degree of security-level crowdedness. The difference between the average returns on portfolios sorted by high versus low crowdedness portfolios is sizable and the variation in the realized portfolio returns is distinct from other traditional risk factors. Further hedge fund exposures to crowdedness are often significant and they help to explain downside “tail risk ” as funds with higher exposures experience relatively larger drawdowns during periods of industry distress.

05

Comomentum: Inferring

Arbitrage Activity from Return Correlations

作者：

Dong Lou

(London School of Economics)

Christopher Polk

(London School of Economics)

摘要：我们提出了一种新的衡量套利活动的度量来检验套利者是否可以对股票市场产生不稳定的影响。我们关注股价动量，这是一个典型的正反馈策略的例子，我们的理论预测它可能会破坏稳定。我们的衡量标准被称为“协动量”（Comentum），指的是动量策略筛选的个股之间的高频异常回报的相关性。当“协动量”较低时，动量策略趋于稳定，反映了套利者纠正的反应不足现象。当“协动量”高时，动量股的回报会强劲回升，这反映了之前拥挤的动量交易的过度反应，推动价格偏离基本面。

Abstract：We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect on the stock market. We focus on stock price momentum a classic example of a positive-feedback strategy that our theory predicts can be destabilizing. Our measure dubbed coMomentum is the high-frequency abnormal return correlation among stocks on which a typical momentum strategy would speculate. When comomentum is low momentum strategies are stabilizing reflecting an underreaction phenomenon that arbitrageurs correct. When comomentum is high the returns on momentum stocks strongly revert reflecting prior overreaction from crowded momentum trading that pushes prices away from fundamentals.

06

The Momentum Gap and Return Predictability

作者：

Simon Huang

(Cox School of Business Southern Methodist University)

摘要：过去赢家和输家的形成期收益差，我们称之为动量差（Momentum Gap），是动量策略收益的负向预测指标。本文在美国股市发现了该现象，后续在21个主要国际市场发现了一致的结果。在控制了现有的预测因素后，Momentum Gap增加一个标准偏差预示着每月动量回报的减少1.25%。静态动量投资组合的这预测性可延长5年，与随时间变化的投资者的偏差一致。遵循简单的实时策略，即只在Momentum Gap低于历史80%分位数时投资动量策略，夏普比率为0.78。

Abstract：The formation period return difference between past winners and losers which I call the momentum gap negatively predicts momentum profits. I document this for the U.S. stock market and find consistent results across 21 major international markets. A one-standard-deviation increase in the momentum gap predicts a 1.25% decrease in the monthly momentum return after controlling for existing predictors. This predictability extends up to 5 years for static momentum portfolios consistent with time-varying investor biases. Following the simple real-time strategy of investing in momentum only when the momentum gap is below the 80th percentile delivers a Sharpe ratio of 0.78.

07

How Global Is Your Mutual Fund?

International Diversification from Multinationals

作者：

Irem Demirci

(Nova School of Business and Economics)

Miguel A Ferreira

(Nova School of Business and Economics)

Pedro Matos

(University of Virginia)

Clemens Sialm

(University of Texas at Austin McCombs School of Business)

摘要：本文发现全球公募基金通过在国内持有跨国公司股票，提供了大量的国际敞口。如果考虑到企业的国际多元化，国内基金的国际敞口平均增加了32个百分点。我们发现，间接国际风险敞口较高的基金在横截面和时间序列上的表现都更好。这种影响主要是由基金经理投资跨国公司的能力，而不是这些跨国公司的业绩驱动的。我们的研究结果支持跨国公司的国际多元化降低了海外投资的交易和信息成本的假设。

Abstract：We show that mutual funds worldwide provide substantial international exposure through their domestic holdings of multinationals. The international exposure of domestic funds increases on average by 32 percentage points when we consider international corporate diversification. We find that funds with higher indirect international exposure perform better in both the cross-section and the time series. This effect is primarily driven by the fund managers’ ability to invest in multinationals rather than the performance of those multinationals. Our findings support the hypothesis that international diversification from multinationals reduces the transaction and information costs of investing abroad.

08

Corporate ESG Profiles and Banking Relationships

作者：

Joel F Houston

(University of Florida)

Hongyu Shan

(Fordham University)

摘要：本文表明，银行关系促进了企业环境、社会和治理(ESG)政策。具体而言，银行更有可能向ESG政策与自己相似的借款人发放贷款，并对借款人随后的ESG表现产生积极影响。当银行的ESG评级显著高于借款人，以及借款人是银行依赖者时，它们的影响更明显。我们利用贷款人之间的并购作为贷款人ESG标准外生变异的来源，以缓解对内生性的担忧。总的来说，我们的研究首次证明了负责任的银行贷款和借款人ESG行为之间的相互作用。

Abstract：We show that banking relationships promote corporate environmental social and governance (ESG) policies. Specifically banks are more likely to grant loans to borrowers with ESG profiles similar to their own and positively influence the borrower’s subsequent ESG performance. Their influence is more pronounced when (1) banks have significantly better ESG ratings than borrowers and (2) borrowers are bank dependent. We exploit M&A among lenders as a source of quasi-exogenous variation in the lender’s ESG standard to alleviate endogeneity concerns. Overall our study presents the first evidence on the interplay between responsible bank lending and borrowers’ ESG behavior.

09

The Relationship Dilemma:

Why Do Banks Differ in the Pace at Which They Adopt New Technology?

作者：

Prachi Mishra

(IMF Research Department)

Nagpurnanand Prabhala

(Booth School of Business University of Chicago)

Raghuram G Rajan

(The Johns Hopkins Carey Business School）

摘要：印度在2007年引入了信用评分技术。我们研究了两种在那里运营的银行：新私人银行(NPBs)和国有公共部门银行(PSBs)。在这项技术引入后不久，NPBs开始在放贷前检查大多数借款人的信用评分。PSBs很快对新借款人使用同样的方式，但对以前的客户信用评分检查实行的很慢，尽管不检查分数的贷款更有可能会违约。我们指出，信用评分技术的采用率差异的一个重要因素是过去银行结构和管理实践的粘性。过去的实践阻碍了今天更好的实践。

Abstract：India introduced credit scoring technology in 2007. We study its adoption by the two main types of banks operating there: new private banks (NPBs) and state-owned public sector banks (PSBs). Soon after the technology is introduced NPBs start checking the credit scores of most borrowers before lending. PSBs do so equally quickly for new borrowers but very slowly for prior clients although lending without checking scores is reliably associated with more delinquencies. We show that an important factor explaining the difference in adoption rates is the stickiness of past bank structures and managerial practices. Past practices inhibit better practices today.

10

Short-Termism Spillovers from the Financial Industry

作者：

Irem Demirci

(Nova School of Business and Economics)

Miguel A Ferreira

(Nova School of Business and Economics)

Pedro Matos

(University of Virginia)

Clemens Sialm

(University of Texas at Austin McCombs School of Business)

摘要：为了达到短期基准，贷款机构可能会改变他们的监管行为，为短期主义溢出到企业部门提供一个渠道。我们发现，短期主义的贷款人明显更有可能对违约采取更严苛的措施。这种行为在业绩基准明确、经理对薪酬绩效高度敏感时表现明显，但在他们面对强有力的股东治理时则不明显。受影响的借款人更有可能更换贷款机构，为重新谈判的贷款支付更高的息差，并减少投资。我们的研究结果表明，银行经理在契约执行过程中，为了满足收益基准，会以关系资本换取提高收入的费用和期限变更。

Abstract：To meet short-term benchmarks lenders may alter their monitoring behavior providing a channel for short-termism to spill over to their borrowers. We find that short-termist lenders are significantly more likely to enforce covenant breaches. This behavior is pronounced when performance benchmarks are precise or salient and when managers have high pay-performance sensitivity but not when they face strong shareholder governance. Affected borrowers are more likely to switch lenders pay higher spreads on renegotiated loans and reduce investment. Our findings suggest that bank managers trade off relationship capital for income-boosting fees and term changes from covenant enforcement to meet earnings benchmarks.

Link: https://academic.oup.com/rfs/issue/35/7