刊名：Journal of Finance
刊号：第76卷 第4辑 2021年8月
仅翻译用于学术交流，版权归作者和期刊所有
原网页：
https://onlinelibrary.wiley.com/toc/15406261/2021/76/4
金融学顶级期刊摘要包括:
1. Journal of Finance 金融学杂志
2. Journal of Financial Economics 金融经济学杂志
3. Review of Financial Studies 金融研究评论
HIGHLIGHTS
03. 基金的优秀相对表现只是可能因为他们被分到了错误的组。
04. 极寒天气会冲击公司现金流。
07. 标的公司发起并购的理论。标的公司可以通过提供现金和股权组合的支付选项来获得所有盈余。
08. 自然实验发现银行卡可以增加储蓄。
1
Presidential Address: How Much “Rationality” Is There in Bond-Market Risk Premiums?
债券市场溢价有多少合理性？(AFA主席演说)
作者：
Kenneth J. Singleton (Stanford University and NBER)
摘要：
Beliefs of professional forecasters are benchmarked against those of a Bayesian econometrician ℬℰ who is learning about the unknown dynamics of the bond risk factors. Consistent with rational Bayesian learning, the forecast errors of individual professionals and ℬℰ are comparably predictable over the business cycle. The secular and cyclical patterns of professionals' forecasts relative to those of ℬℰ are explored in depth. Inconsistent with many models with belief dispersion, the relationship between professionals' yield disagreement and their matched disagreements about macroeconomic fundamentals is very weak.
2
What Explains Differences in Finance Research Productivity during the Pandemic?
什么因素解释了新冠肺炎流行期间金融研究生产力的差异？
作者：
Brad M. Barber (UC Davis)
Wei Jiang (Columbia Business School, NBER, and ECGI)
Adair Morse (University of California—Berkeley and U.S. Department of the Treasury)
Manju Puri (Duke University, NBER, and ECGI)
Heather Tookes (Yale University)
Ingrid M. Werner (Ohio State University and CEPR)
摘要：
Based on a survey of American Finance Association members, we analyze how demographics, time allocation, production mechanisms, and institutional factors affect research production during the pandemic. Consistent with the literature, research productivity falls more for women and faculty with young children. Independently, and novel, extra time spent on teaching (much more likely for women) negatively affects research productivity. Also novel, concerns about feedback, isolation, and health have large negative research effects, which disproportionately affect junior faculty and PhD students. Finally, faculty who express greater concerns about employers’ finances report larger negative research effects and more concerns about feedback, isolation, and health.
基于对AFA会员的问卷调查，我们分析了Covid-19大流行期间人口学、时间分配、生产机制和制度因素等如何影响金融研究的产出。与文献一致，女性和有小孩的教师的研究产出下降得更多。另外，有趣的是，额外教学时间（更有可能由女性承担）会对研究产出产生负面影响。同样有趣的是，对反馈、隔离和健康的担忧会对研究产生很大的负面影响，对年轻教师和博士生的影响尤其大。最后，对雇主财务状况表现出更大担忧的教职员工报告称，其感受的负面影响更大，并且更担心反馈、隔离和健康。
3
Don't Take Their Word for It: The Misclassification of Bond Mutual Funds
别信他们的鬼话：债券共同基金的错误分类
作者：
Huaizhi Chen (University of Notre Dame)
Lauren Cohen (Harvard Business School)
Umit G. Gurun (University of Texas at Dallas)
摘要：
We provide evidence that bond fund managers misclassify their holdings, and that these misclassifications have a real and significant impact on investor capital flows. The problem is widespread, resulting in up to 31.4% of funds being misclassified with safer profiles, compared to their true, publicly reported holdings. “Misclassified funds”—those that hold risky bonds but claim to hold safer bonds—appear to on-average outperform lower risk funds in their peer groups. Within category groups, misclassified funds receive more Morningstar stars and higher investor flows. However, when we correctly classify them based on actual risk, these funds are mediocre performers.
我们提供的证据表明，债券基金经理对其持有的资产进行了错误分类，并且这些错误分类对投资者资本流动产生了重大的经济影响。这个问题很普遍，导致高达 31.4%的基金被错误分类为更安全的种类，与其真实的、公开报告的持有量相比，这种分类是错误的。“错误分类的基金”——那些持有风险债券但声称持有更安全债券的基金——似乎平均表现优于同行群体中的低风险基金。在组内，错误分类的基金获得更好的晨星明星排名和更高的投资者流量。然而，当我们根据实际风险对它们进行正确分类时，这些基金实际上表现平平。
4
Weathering Cash Flow Shocks
天气造成的现金流冲击
作者：
James R. Brown (Iowa State University)
Matthew T. Gustafson (Penn State University)
Ivan T. Ivanov (Federal Reserve Board)
摘要：
Unexpectedly severe winter weather, which is arguably exogenous to firm and bank fundamentals, represents a significant cash flow shock for bank-borrowing firms. Firms respond to these shocks by drawing on and increasing the size of their credit lines. Banks charge borrowers for this liquidity via increased interest rates and less borrower-friendly loan provisions. Credit line adjustments occur within one calendar quarter of the shock and persist for at least nine months. Overall, we provide evidence that bank credit lines are an important tool for managing the nonfundamental component of cash flow volatility, especially for solvent, small bank borrowers.
出乎意料的严冬天气，可以说是公司和银行基本面的外生因素，对依靠银行借款的公司来说是重大的现金流冲击。公司通过利用和增加信贷额度来应对这些冲击。银行通过提高利率和减少对借款人有利的条款向借款人收取这种流动性费用。信贷额度调整发生在冲击的一个日历季度内，并持续至少九个月。总体而言，我们提供的证据表明，银行信贷额度是管理现金流波动的非基本部分的重要工具，尤其是对有偿付能力的小型借款人而言。
(Why weather could affect cash flow? P1738
Ample anecdotal evidence suggests that abnormally severe weather may negatively impact firm cash flows, even at the annual level. Consider the abnormally cold winters in the Northeast United States during 2014 and 2015. A CNBC report in February 2014 on the manufacturing sector details the impact of severe winter weather on a long list of companies. For example, Fabricated Metal Products stated that poor weather impacted their outbound and inbound shipments, and Plastics & Rubber Products stated that they experienced many late deliveries due to truck lines being shut down.12 No shortage of anecdotes exists in other industries as well. For example, Todd Smith, VP of Sales at a mid-sized trucking company, Leonard’s Express, states that “a midsized trucking company can easily see a financial hit in the tens of thousands of dollars per day” due to factors such as fuel and equipment expenses, snow removal, and accident costs.
Weather data:
We obtain data on winter weather at the county level from the National Oceanic and Atmospheric Administration (NOAA).)
5
Are CEOs Different?
CEO有什么不一样？
作者：
Steven N. Kaplan (University of Chicago, NBER, and CEPR)
Morten Sorensen (Copenhagen Business School, and CEPR)
摘要：
Using 2,603 executive assessments, we study how CEO candidates differ from candidates for other top management positions, particularly CFOs. More than half of the variation in the 30 assessed characteristics is explained by four factors that we interpret as general ability, execution (vs. interpersonal), charisma (vs. analytical), and strategic (vs. managerial). CEO candidates have more extreme factor scores that differ significantly from those of CFO candidates. Conditional on being considered, candidates with greater general ability and interpersonal skills are more likely to be hired. These and our previous results on CEO success suggest that boards overweight interpersonal skills in hiring CEOs.
我们使用 2,603 份高管评估，研究 CEO 候选人与其他高管（尤其是 CFO）候选人的不同之处。在 30 项评估特征中的区别中，超过一半是由四个因素来解释的，我们将这些因素解释为一般能力、执行力（VS. 人际交往）、魅力（VS. 分析能力）和战略性（VS. 管理能力）。CEO 候选人在这四项上都具有更加极端的得分，使他们与CFO候选人区别开来。在被考虑的情况下，一般能力和人际交往能力更强的候选人更有可能被录用。这些结果以及我们之前关于 CEO 成功的结果表明，董事会在雇用 CEO 时非常重视人际交往能力。
(Data: In this paper, we study 2,603 personality assessments of candidates for top management positions. The assessments were performed by ghSMART as part of actual hiring or retention processes.)
6
A Theory of Zombie Lending
僵尸贷款的一种理论
作者：
Yunzhi Hu (UNC Chapel Hill)
Felipe Varas (Duke University)
摘要：
An entrepreneur borrows from a relationship bank or the market. The bank has a higher cost of capital but produces private information over time. While the entrepreneur accumulates reputation as the lending relationship continues, asymmetric information is also developed between the bank/entrepreneur and the market. In this setting, zombie lending is inevitable: Once the entrepreneur becomes sufficiently reputable, the bank will roll over loans even after learning bad news, for the prospect of future market financing. Zombie lending is mitigated when the entrepreneur faces financial constraints. Finally, the bank stops producing information too early if information production is costly.
企业家从关联银行或市场借款。银行的资本成本较高，但随着时间的推移会产生私人信息。随着贷款关系的持续，企业家积累了信誉，但银行/企业家与市场之间也累积了信息不对称。在这种设定下，僵尸贷款是不可避免的：一旦企业家变得足够有信誉，银行即使在得知坏消息后也会展期贷款，为未来市场融资的前景。当企业家面临财务约束时，僵尸贷款就会减少。最后，如果信息生产成本高昂，银行会过早停止生产信息。
(Zombie firms: firms whose operating cash flows persistently fall below their interest payments)
7
Rent Extraction with Securities Plus Cash
通过证券+现金来抽租
作者：
刘挺军 (香港大学)
Dan Bernhardt (University of Illinois and University of Warwick)
摘要：
In our target-initiated theory of takeovers, a target approaches potential acquirers that privately know their standalone values and merger synergies, where higher synergy acquirers tend to have larger standalone values. Despite their information disadvantage, targets can extract all surplus when synergies and standalone values are concavely related by offering payment choices that are combinations of cash and equity. Targets exploit the reluctance of high-valuation acquirers to cede equity claims, inducing them to bid more cash. When synergies and standalone values are not concavely related, sellers can gain by combining cash with securities that are more information sensitive than equities.
在我们的“标的公司发起收购”理论中，标的公司会接触私下知晓其独立价值和具备合并协同效应的潜在收购方，其中协同效应越高的收购方往往具备更大的独立价值。尽管存在信息劣势，但当协同效应和独立价值呈凸 相关时，标的公司可以通过提供现金和股权组合的支付选项来获得所有盈余。标的公司利用高估值收购方不愿放弃股权要求，诱使他们支付更多现金。当协同效应和独立价值不是凸 相关时，卖方可以通过将现金与比股票更信息敏感的证券相结合来获利。
8
How Debit Cards Enable the Poor to Save More
借记卡如何使得穷人更节约
作者：
Pierre Bachas (World Bank)
Paul Gertler (UC Berkeley)
Sean Higgins (Northwestern University)
Enrique Seira (ITAM)
摘要：
We study an at-scale natural experiment in which debit cards were given to cash transfer recipients who already had a bank account. Using administrative account data and household surveys, we find that beneficiaries accumulated a savings stock equal to 2% of annual income after two years with the card. The increase in formal savings represents an increase in overall savings, financed by a reduction in current consumption. There are two mechanisms. First, debit cards reduce transaction costs of accessing money. Second, they reduce monitoring costs, which led beneficiaries to check their account balances frequently and build trust in the bank.
我们研究了一个大规模的自然实验（墨西哥），实验向已经拥有银行账户的现金转账收款人提供借记卡。使用行政账户数据和住户调查，我们发现实验项目受益人在持卡两年后积累了相当于年收入 2% 的储蓄存量。正式储蓄的增加也代表了总体储蓄的增加，其资金来源是当期消费的减少。 这其中有两种机制。首先，借记卡降低了取钱的交易成本。其次，借记卡降低了监控成本，这导致实验项目受益人经常检查他们的账户余额并建立对银行的信任。
9
Time Variation of the Equity Term Structure
权益期限结构的时变
作者：
Niels Joachim Gormsen (University of Chicago)
摘要：
I study the term structure of one-period expected returns on dividend claims with different maturity. I find that the slope of the term structure is countercyclical. The countercyclical variation is consistent with theories of long-run risk and habit, but these theories cannot explain the average downward slope. At the same time, the cyclical variation is inconsistent with recent models constructed to match the average downward slope. More generally, the average and cyclicality of the slope are hard to reconcile with models with a single risk factor. I introduce a model with two priced factors to solve the puzzle.
我研究了不同期限的股利要求的单期预期回报的期限结构。我发现期限结构的斜率是反周期的。逆周期变化与长期风险和习惯理论是一致的，但这些理论不能解释斜率的平均下降。同时，周期性变化与最近为匹配平均下降斜率而构建的模型不一致。更一般来说，斜率的平均值和周期性很难与具有单一风险因素的模型相协调。我引入了一个具有两个定价因素的模型来解决这个难题。
10
Sentiment Trading and Hedge Fund Returns
情绪交易和对冲基金回报
作者：
Yong Chen (Texas A&M University)
Bing Han (University of Toronto)
Jing Pan (Southern Methodist University)
摘要：
In the presence of sentiment fluctuations, arbitrageurs may engage in different strategies leading to dispersed sentiment exposures. We find that hedge funds in the top decile ranked by sentiment beta outperform those in the bottom decile by 0.59% per month on a risk-adjusted basis, with the spread being larger among skilled funds. We also find that about 10% of hedge funds have sentiment timing skill that positively correlates with fund sentiment beta and contributes to fund performance. Our findings show that skilled hedge funds can earn high returns by predicting and exploiting sentiment changes rather than betting against mispricing.
在情绪波动的情况下，套利者可能会采用不同的策略，导致分散的情绪风险敞口。我们发现，在风险调整的基础上，情绪贝塔排名前十分之一的对冲基金的表现比底部十分之一的对冲基金高 0.59%，而老练的基金之间的这种回报差异更大。我们还发现，大约 10% 的对冲基金具有与基金情绪贝塔呈正相关并有助于基金业绩的情绪择时技巧。我们的研究结果表明，老练的对冲基金可以通过预测和利用情绪变化而不是押注错误定价来获得高回报。
("Sentiment beta", by Denys Glushkov, working paper:
http://gyanresearch.wdfiles.com/local--files/alpha/SSRN-id862444.pdf
This paper develops a novel stock-by-stock measure of investor sentiment which I call sentiment beta. It is defined as a sensitivity of stock returns to sentiment changes.)
11
Asset Managers: Institutional Performance and Factor Exposures
资产管理人：机构业绩和因子暴露
作者：
Joseph Gerakos (Dartmouth College)
Juhani T. Linnainmaa (Dartmouth College and NBER)
Adair Morse (University of California Berkeley and NBER)
摘要：
Using data on $18 trillion of assets under management, we show that actively managed institutional accounts outperformed strategy benchmarks by 75 (31) bps on a gross (net) basis during the period 2000 to 2012. Estimates from a Sharpe model imply that asset managers' outperformance came from factor exposures. If institutions had instead implemented mean-variance efficient portfolios using index and institutional mutual funds available during the sample period, they would not have earned higher Sharpe ratios. Our results are consistent with the average asset manager having skill, managers competing for institutional capital, and institutions engaging in costly search to identify skilled managers.
我们使用 18 万亿美元管理资产的数据表明，在 2000 年至 2012 年期间，主动管理的机构账户在总（净）基础上比策略基准高出 75 (31) 个基点。夏普模型的估计意味着资产管理公司的优异表现来自因子暴露。如果机构转而使用样本期间可用的指数和机构共同基金产生均值-方差有效组合，它们就不会获得更高的夏普比率。我们的结果与以下的论点一致：平均而言资产管理人具备特殊技能、资产管理人竞争管理机构资本的机会以及机构会参与到寻找有技能的经理这一昂贵的过程。
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