Journal of Financial Economics? 2023年第2期

Volume 147, Issue 2，F(xiàn)ebruary 2023

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——更多動態(tài)，請持續(xù)關(guān)注gzh：理想主義的百年孤獨

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1.Automation and the displacement of labor by capital: Asset pricing theory and empirical evidence

自動化和資本替代勞動力:資產(chǎn)定價理論和經(jīng)驗證據(jù)

Ji?í Knesl

I examine the asset pricing implications of technological innovations that allow capital to displace labor: automation. I develop a theory in which firms with displaceable labor are negatively exposed to such technology shocks. In the model, firms optimally adopt technology to gain competitive advantage but in equilibrium competition erodes profits and decreases firm value. Empirically, I find that firms with high share of displaceable labor have negative exposure to technology shocks. A long-short portfolio sorted on this variable mimics macroeconomic measures of technology shocks. Negatively exposed firms earn a 4% annual return premium consistent with displacement risk from technological progress.

我研究了允許資本取代勞動力的技術(shù)創(chuàng)新對資產(chǎn)定價的影響:自動化。我提出了一種理論，認(rèn)為擁有可替代勞動力的公司會受到這種技術(shù)沖擊的負(fù)面影響。在模型中，企業(yè)最優(yōu)地采用技術(shù)來獲得競爭優(yōu)勢，但在均衡競爭中，競爭會侵蝕利潤，降低企業(yè)價值。實證研究發(fā)現(xiàn)，可替代勞動力占比高的企業(yè)受到的技術(shù)沖擊是負(fù)向的。根據(jù)這一變量排序的多空投資組合模擬了對技術(shù)沖擊的宏觀經(jīng)濟指標(biāo)。負(fù)敞口公司的年回報率溢價為4%，與技術(shù)進步帶來的替代風(fēng)險一致。

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2.The distributional effects of student loan forgiveness

學(xué)生貸款減免的分配效應(yīng)

Sylvain Catherine, Constantine Yannelis

We study the distributional consequences of student debt forgiveness in present value terms, accounting for differences in repayment behavior across the earnings distribution. Full or partial forgiveness is regressive because high earners took larger loans, but also because, for low earners, balances greatly overstate the benefits of debt cancellation. Consequently, forgiveness would benefit the top decile as much as the bottom three deciles combined. Enrolling households who would benefit from income-driven repayment is less expensive and distributes more funds to lower-income households.

我們研究了學(xué)生債務(wù)減免的現(xiàn)值分配后果，考慮了不同收入分配的還款行為的差異。全額或部分減免具有累退性，因為高收入者獲得了更多的貸款，但也因為對低收入者來說，余額大大夸大了取消債務(wù)的好處。因此，寬恕對上十分位的好處和對下三個十分位的好處加起來一樣多。將受益于收入驅(qū)動還款的家庭納入其中的成本較低，并將更多的資金分配給低收入家庭。

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3.Refusing the best price?

拒絕最優(yōu)價格?

Sida Li, Mao Ye, Miles Zheng

The Regulation National Market System (Reg NMS) links fragmented stock exchanges by routing orders to the National Best Bid and Offer (NBBO). As the NBBO ignores exchange fees, 62% of routings lead to worse net prices. An increase in fee differences increases the market share captured by orders that refuse Reg NMS routings, particularly for stocks whose fees account for a large portion of transaction costs. Heterogeneous opportunity costs rationalize routing choices: non-routable orders entail lower non-execution costs than routable orders. Our results indicate that fees and clientele segmentation drive the proliferation of order types in the Reg NMS era.

監(jiān)管國家市場系統(tǒng)(Reg NMS)通過將訂單路由到國家最佳出價和報價(NBBO)將分散的證券交易所聯(lián)系起來。由于NBBO忽略了交易費用，62%的路由導(dǎo)致了更糟糕的凈價格。費用差異的增加增加了拒絕Reg NMS路由的訂單所占的市場份額，特別是對于費用占交易成本很大一部分的股票來說。異構(gòu)的機會成本使路由選擇合理化:不可路由的訂單比可路由的訂單產(chǎn)生更低的非執(zhí)行成本。我們的研究結(jié)果表明，在Reg NMS時代，費用和客戶細(xì)分推動了訂單類型的激增。

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4.Empirical evaluation of overspecified asset pricing models

過度指定資產(chǎn)定價模型的實證評估

Elena Manresa, Francisco Pe?aranda, Enrique Sentana

Empirical asset pricing models with possibly unnecessary risk factors are increasingly common. Unfortunately, they can yield misleading statistical inferences. Unlike previous studies, we estimate the identified set of SDFs and risk prices compatible with a given model’s asset pricing restrictions. We also propose tests that detect problematic situations with economically meaningless SDFs unrelated to the test assets. Empirically, we estimate linear subspaces of SDFs compatible with popular extensions of the traditional and consumption versions of the CAPM, which are typically two-dimensional. Moreover, we often find that all the SDFs in those linear spaces are uncorrelated with the test assets’ returns.

帶有可能不必要風(fēng)險因素的經(jīng)驗資產(chǎn)定價模型越來越普遍。不幸的是，它們可能產(chǎn)生誤導(dǎo)性的統(tǒng)計推斷。與以前的研究不同，我們估計了與給定模型的資產(chǎn)定價限制相容的已確定的sdf和風(fēng)險價格集合。我們還建議使用與測試資產(chǎn)無關(guān)的經(jīng)濟上無意義的sdf來檢測有問題的情況。根據(jù)經(jīng)驗，我們估計了與傳統(tǒng)CAPM的流行擴展和消費版本兼容的sdf的線性子空間，它們通常是二維的。此外，我們經(jīng)常發(fā)現(xiàn)這些線性空間中的所有sdf都與測試資產(chǎn)的回報不相關(guān)。

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5.Institutional investors, heterogeneous benchmarks and the comovement of asset prices

機構(gòu)投資者、異質(zhì)基準(zhǔn)與資產(chǎn)價格的聯(lián)動

Andrea M. Buffa, Idan Hodor

We study the equilibrium implications of a multi-asset economy in which asset managers performance is tied to different benchmarks, reflecting heterogeneity in their investment mandates. Fluctuations in the capital asset managers invest for benchmarking purposes, scaled by the size of the economy, induce price pressure that results in negative spillovers across assets. We characterize a rich structure of asset price comovement within and across benchmarks by analyzing shock elasticities and cross-elasticities of price-dividend ratios. Evidence on the heterogeneity of mutual fund mandates and the benchmarking-induced return comovement across cap-style and industry-sector portfolios corroborates the model assumptions and predictions.

我們研究了多資產(chǎn)經(jīng)濟的均衡含義，在多資產(chǎn)經(jīng)濟中，資產(chǎn)管理公司的業(yè)績與不同的基準(zhǔn)掛鉤，反映了他們投資任務(wù)的異質(zhì)性。資本資產(chǎn)管理公司為基準(zhǔn)目的而投資的波動，按經(jīng)濟規(guī)模計算，會引發(fā)價格壓力，導(dǎo)致資產(chǎn)之間的負(fù)溢出效應(yīng)。我們通過分析價格股利比率的沖擊彈性和交叉彈性，刻畫了基準(zhǔn)內(nèi)和基準(zhǔn)間資產(chǎn)價格聯(lián)動的豐富結(jié)構(gòu)。關(guān)于共同基金授權(quán)的異質(zhì)性和基準(zhǔn)誘導(dǎo)的資本風(fēng)格和行業(yè)部門投資組合的回報聯(lián)動的證據(jù)證實了模型假設(shè)和預(yù)測。

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6.The fundamental-to-market ratio and the value premium decline

基本面對市場比率和價值溢價下降

Andrei S. Gon?alves, Gregory Leonard

Recent evidence indicates the value premium declined over time. We argue this decline happened because book equity,?BE, is no longer a good proxy for fundamental equity,?FE, defined as the present value of cash flows under a common discount rate across firms. Specifically, we estimate?FE?for public US firms over time and find that the premium associated with the fundamental-to-market ratio,?FE/ME, subsumes the?BE/ME?premium and has been relatively stable while the cross-sectional correlation between?FE/ME?and?BE/ME?decreased over time, inducing an apparent decline in the value premium. We also show that?FE/ME?captures the value premium better than several alternative value signals beyond?BE/ME.

最近的證據(jù)表明，價值溢價隨著時間的推移而下降。我們認(rèn)為，之所以出現(xiàn)這種下降，是因為賬面股本BE不再是基本股本FE的良好代表，FE的定義是在跨公司的共同貼現(xiàn)率下現(xiàn)金流的現(xiàn)值。具體而言，我們估計了美國上市公司在一段時間內(nèi)的估值，發(fā)現(xiàn)與基本面對市場比率相關(guān)的溢價FE/ME包含了BE/ME溢價，并且相對穩(wěn)定，而FE/ME和BE/ME之間的橫截面相關(guān)性隨著時間的推移而下降，導(dǎo)致價值溢價明顯下降。我們還表明，FE/ME比BE/ME以外的其他幾種價值信號更好地捕捉了價值溢價。

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7.Dynamic asset (mis)pricing: Build-up versus resolution anomalies

動態(tài)資產(chǎn)(錯誤)定價:積累與解決異常

Jules H. van Binsbergen, Martijn Boons, Christian C. Opp, Andrea Tamoni

We classify asset pricing anomalies into those exacerbating mispricing (build-up anomalies) and those resolving it (resolution anomalies). We estimate the dynamics of price wedges for well-known anomaly portfolios and map them to firm-level mispricings. We find that several prominent anomalies like momentum and profitability further dislocate prices. Multi-factor models designed to eliminate one-month alphas still produce large price wedges. Our estimates yield a novel decomposition of Tobin’s?q, revealing that?q’s mispricing component has substantial explanatory power for firm investment. Overall, our results suggest that financial intermediaries chasing build-up anomalies negatively affect price efficiency and associated real capital allocation.

我們將資產(chǎn)定價異常分為加劇錯誤定價(累積異常)和解決錯誤定價(解析異常)。我們估計了眾所周知的異常投資組合的價格楔形動態(tài)，并將其映射到公司層面的錯誤定價。我們發(fā)現(xiàn)，一些突出的異常現(xiàn)象，如勢頭和盈利能力，進一步擾亂了價格。旨在消除一個月alpha的多因素模型仍然產(chǎn)生了巨大的價格楔子。我們的估計得到了一個新的托賓q分解，表明q的錯誤定價成分對企業(yè)投資有很大的解釋力。總體而言，我們的研究結(jié)果表明，金融中介機構(gòu)追逐累積異常會對價格效率和相關(guān)的實際資本配置產(chǎn)生負(fù)向影響。

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8.Pirates without borders: The propagation of cyberattacks through firms’ supply chains

無國界海盜:網(wǎng)絡(luò)攻擊通過公司的供應(yīng)鏈傳播

Matteo Crosignani, Marco Macchiavelli, André F. Silva

This paper examines the supply chain effects of the most damaging cyberattack in history so far. The attack propagated from the directly hit firms to their customers, causing a four-fold amplification of the initial drop in profits. These losses were larger for affected customers with fewer alternative suppliers. Internal liquidity buffers and increased borrowing, mainly through bank credit lines, helped firms navigate the shock. Nonetheless, the cyberattack led to persistent adjustments to the supply chain network, with affected customers terminating trading relations with directly hit firms and forming new ones with alternative suppliers with a stronger cybersecurity posture.

本文研究了迄今為止歷史上最具破壞性的網(wǎng)絡(luò)攻擊對供應(yīng)鏈的影響。攻擊從直接受到打擊的公司蔓延到他們的客戶，導(dǎo)致最初利潤下降的四倍擴大。對于替代供應(yīng)商較少的受影響客戶來說，這些損失更大。內(nèi)部流動性緩沖和增加借貸(主要通過銀行信貸額度)幫助企業(yè)應(yīng)對了沖擊。盡管如此，網(wǎng)絡(luò)攻擊導(dǎo)致供應(yīng)鏈網(wǎng)絡(luò)持續(xù)調(diào)整，受影響的客戶終止了與直接受到打擊的公司的貿(mào)易關(guān)系，并與網(wǎng)絡(luò)安全態(tài)勢更強的替代供應(yīng)商建立了新的關(guān)系。

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9.Open banking: Credit market competition when borrowers own the data

開放銀行:當(dāng)借款人擁有數(shù)據(jù)時的信貸市場競爭

Zhiguo He, Jing Huang, Jidong Zhou

Open banking facilitates data sharing consented to by customers who generate the data, with the regulatory goal of promoting competition between traditional banks and challenger fintech entrants. We study lending market competition when sharing banks’ customer transaction data enables better borrower screening for fintechs. Open banking promotes competition if it helps level the playing field for all lenders in screening borrowers; however, if it over-empowers fintechs, it can also hinder competition and leave all borrowers worse off. Due to the credit quality inference from borrowers’ sign-up decisions, this remains true even if borrowers have the control of whether to share their banking data. We also study extensions with fintech affinities and data sharing on borrower preferences.

開放銀行促進生成數(shù)據(jù)的客戶同意的數(shù)據(jù)共享，監(jiān)管目標(biāo)是促進傳統(tǒng)銀行和挑戰(zhàn)者金融科技進入者之間的競爭。當(dāng)共享銀行的客戶交易數(shù)據(jù)能夠更好地篩選金融科技公司的借款人時，我們研究了貸款市場競爭。如果開放銀行有助于為所有貸款人在篩選借款人時創(chuàng)造公平的競爭環(huán)境，它就會促進競爭;然而，如果它過度授權(quán)金融科技公司，它也可能阻礙競爭，讓所有借款人變得更糟。由于從借款人的注冊決定中得出的信用質(zhì)量推斷，即使借款人可以控制是否共享他們的銀行數(shù)據(jù)，這也是正確的。我們還研究了金融科技親和力和數(shù)據(jù)共享對借款人偏好的擴展。

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