Journal of Financial Economics 2025年 第10期 10月刊
Volume 172，October 2025
《Journal of Financial Economics》（月刊，UTD24,FT50,ABS4）是一本国际知名的顶级金融学术期刊，创刊于1974年，由Elsevier出版。该期刊专注于金融领域的前沿研究，涵盖资产定价、公司金融、金融市场、投资策略、金融中介等多个重要主题，致力于发表高质量的理论与实证研究成果，其严格的审稿标准和高学术水平使其成为金融学术界的重要参考资源，对推动金融理论发展和实践应用具有深远影响
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Too Levered for Pigou: Carbon pricing, financial constraints, and leverage regulation
对庇古而言杠杆化程度太高：碳定价、金融约束和杠杆监管
Robin Döttling, Magdalena Rola-Janicka
We analyze optimal carbon pricing under financial constraints and endogenous climate-related transition and physical costs. The socially optimal emissions tax may be above or below a Pigouvian benchmark, depending on the strength of physical climate impacts on pledgeable resources. We derive necessary conditions for emissions taxes alone to implement a constrained-efficient allocation, and show a cap-and-trade system may dominate emissions taxes because it can be designed to have a less adverse effect on financial constraints. We also assess how capital structure, carbon price hedging markets, and socially responsible investors interact with emissions pricing, and evaluate other commonly used policy tools.
本研究分析了在财务约束及内生性气候转型成本与实体成本下的最优碳定价机制。研究发现，社会最优排放税可能高于或低于庇古基准水平，具体取决于气候实体效应对可质押资产的影响强度。我们推导出单独采用排放税实现约束有效配置的必要条件，并证明碳限额与交易制度可能优于排放税——因其可通过制度设计减轻对财务约束的负面影响。同时，本文评估了资本结构、碳定价对冲市场和社会责任投资者与排放定价的交互效应，并对其他常用政策工具进行了比较分析。
Why do portfolio choice models predict inelastic demand?
为什么投资组合选择模型可以预测非弹性需求？
Carter Davis, Mahyar Kargar, Jiacui Li
Classical asset pricing models predict that optimizing investors exhibit extremely high demand elasticities, while empirical estimates are significantly lower—by three orders of magnitude. To reconcile this disparity, we introduce a novel decomposition of investor demand elasticity into two key components: “price pass-through”, which captures how price movements forecast returns, and “unspanned returns”, reflecting a stock’s lack of perfect substitutes. In a factor model framework, we show that unspanned returns become significant when models include “weak factors”. Classical models overestimate demand elasticity by assuming both very low unspanned returns and high price pass-throughs, assumptions that are inconsistent with empirical evidence.
经典资产定价模型预测，追求最优化的投资者会表现出极高的需求弹性，但实证估计值却显著偏低——相差约三个数量级（约1000倍）。为解释这一差异，我们创新性地将投资者需求弹性分解为两个关键要素："价格传导效应"（反映价格变动对收益的预测能力）和"不可分散回报"（体现股票缺乏完全替代品的特性）。在因子模型框架下，我们发现当模型纳入"弱因子"时，不可分散回报的影响将变得显著。经典模型之所以高估需求弹性，是因为其同时假设了极低的不可分散回报和极高的价格传导效应——这些假设与实证证据相矛盾。
Diversification driven demand for large stock
多元化驱动的大盘股需求
Huaizhi Chen
I show that as a portfolio’s value concentration increases, actively managed portfolios predictably trim large positions, maintaining a level of practical diversification. This rebalancing channel is concentrated at thresholds implied by regulatory guidelines and by a fund’s own risk management histories. Since larger stocks are typically held widely and in large weights, they experience a coordinated contrarian trading demand that originates from this form of risk management. Diversification driven demand captures a novel return-reversal pattern in the large stock portfolios. Compensating this source of demand accentuates momentum returns during the modern sample period (1990 to 2022).
本文研究表明，随着投资组合的价值集中度上升，主动管理型基金往往会系统性减持大额持仓，以维持实际分散化水平。这种再平衡行为集中出现在监管指引和基金自身风险管理历史所隐含的阈值附近。由于大盘股通常被广泛持有且配置权重较高，它们会因此类风险管理行为而面临协调一致的逆向交易需求。多元化驱动的需求揭示了大盘股投资组合中一种新的收益反转模式。在现代样本期（1990-2022年），对这一需求来源的补偿效应会进一步放大动量收益。
Show me the receipts: B2B payment timeliness and expected returns
显示收据：B2B付款及时性和预期回报
Paul Lieberman, Atanas Mihov, Andy Naranjo, Mihail Velikov
Trade credit is an important source of firm financing, yet its rich informational content pertaining to payment timeliness is under-explored in asset pricing. Using an extensive data set from a leading private information exchange on business payment performance, we study the effects of trade credit payment timeliness on stock returns. We document two distinct channels through which trade credit payment behavior impacts future stock returns — slow diffusion of information and risk stemming from a customer firm’s vertical bargaining power position in the supply chain. Consistent with our first channel, a sudden delay in a firm’s payment to its suppliers predicts significantly lower future returns for its stock. Consistent with our second channel, firms that pay their bills moderately late on a consistent basis relative to terms earn significantly higher stock returns.
商业信用是企业融资的重要来源，然而其在付款及时性方面蕴含的丰富信息内容在资产定价领域尚未得到充分探索。基于某领先商业支付行为私营信息交换平台的大规模数据集，我们研究了商业信用付款及时性对股票收益的影响。研究发现付款行为通过两个独特渠道影响未来股票收益：一是信息缓慢扩散效应，二是客户企业在供应链中纵向议价地位衍生的风险效应。与第一个渠道一致，企业突然延迟向供应商付款可显著预测其股票未来收益下跌；与第二个渠道一致，相对于约定账期持续适度延迟付款的企业反而能获得显著更高的股票收益。
Equity duration and predictability
净值久期和可预测性
Benjamin Golez, Peter Koudijs
After 1945, expected returns have started to dominate the variation in equity price movements, leaving little room for expected dividend growth. An increase in equity duration can help explain this change. Expected returns vary more for payouts further into the future. Furthermore, because expected returns are more persistent than growth rates, they are more important for longer-duration assets. We provide empirical support for this explanation across three datasets: dividend strips, the long time series for the aggregate market, and the cross-section of stocks. A simple present value model with time-varying duration can largely explain the post-1945 dominance of expected returns.
1945年后，预期收益逐渐主导股票价格变动，而预期股息增长的影响则日渐式微。股权久期的上升可有效解释这一转变。对于远期现金流，预期收益的波动更为显著；此外由于预期收益比增长率更具持续性，其对长期资产的定价影响更为关键。我们通过三大数据集为这一解释提供了实证支持：股息剥离证券、市场整体的长期时间序列数据以及股票横截面数据。一个包含时变久期的简易现值模型，基本可以解释1945年后预期收益占据主导地位的现象。
Price regulation in two-sided markets: Empirical evidence from debit cards
双边市场的价格监管——来自借记卡的实证证据
Vladimir Mukharlyamov, Natasha Sarin
This paper provides empirical evidence of a well-known theoretical concern that market failures in two-sided markets are hard to identify and correct. We study the reactions of banks, merchants, and consumers to Dodd-Frank’s Durbin Amendment that lowered interchange fees on debit card transactions. Banks recouped a significant portion of their losses by charging consumers for products that they previously provided for free on the subsidized side of the two-sided market. The accelerated adoption of credit cards with higher interchange fees likely diminished—if not eliminated—merchants’ savings. These effects impede the regulation’s stated objective of enhancing consumers’ welfare through lower retail prices.
本文为一个经典理论担忧提供了实证证据：双边市场的市场失灵难以识别和矫正。我们研究了银行、商户和消费者对《多德-弗兰克法案》杜宾修正案的反应——该法案降低了借记卡交易的交换费。银行通过向消费者收取原先在双边市场补贴端免费提供的服务费用，挽回了大部分损失。而更高交换费的信用卡加速普及，很可能抵消（甚至完全侵蚀）商户本应获得的成本节约。这些效应最终阻碍了监管机构通过降低零售价格来提升消费者福利的既定目标。
The trade imbalance network and currency returns
贸易失衡网络和货币回报
Ai Jun Hou, Lucio Sarno, Xiaoxia Ye
We introduce in the theory of Gabaix and Maggiori (2015) a network structure to capture the complexity of the balance sheets of financial intermediaries, using the Leontief inverse-based centrality. We use this framework in a multi-country world with imperfect financial markets to study how currency risk premia are connected to financiers’ risk bearing capacity. Guided by the theory, we construct a Centrality Based Characteristic (CBC), based on the centrality of the trade imbalance network and variance–covariance matrix of currency returns. Sorting currencies on CBC generates a high Sharpe ratio, and the resulting excess returns reflect a novel source of predictability.
我们基于Gabaix与Maggiori（2015）的理论框架，引入网络结构以刻画金融中介机构资产负债表的复杂性，该方法采用基于列昂惕夫逆矩阵的中心性测度。在一个金融市场不完全的多国经济体中，我们运用该框架研究货币风险溢价与金融中介风险承载能力之间的关联机制。根据理论推导，我们构建了基于中心性的特征指标（Centrality Based Characteristic, CBC），其计算基础包括贸易失衡网络中心性与货币收益率方差-协方差矩阵。通过CBC指标对货币进行分组检验可产生较高的夏普比率，且由此产生的超额收益反映了一种新的预测性来源。
The value of financial intermediation: Evidence from online debt crowdfunding
金融中介的价值：来自在线债务众筹的证据
Fabio Braggion, Alberto Manconi, Nicola Pavanini, Haikun Zhu
Most online marketplaces are peer-to-peer. Credit ones, however, are not and they have resurrected many features of traditional financial intermediaries. To understand why, we use online credit as a laboratory to investigate the value of financial intermediation. We develop a structural model of online debt crowdfunding and estimate it on a novel database. We find that abandoning the peer-to-peer paradigm raises lender surplus, platform profits, and credit provision, but exposes investors to liquidity risk. A counterfactual where the platform resembles a bank by bearing liquidity risk can generate larger lender surplus and credit provision when liquidity is low and lenders are risk averse.
大多数在线市场都是点对点的。然而，信贷中介机构则不然，它们复活了传统金融中介机构的许多特征。为了了解原因，我们使用在线信贷作为实验室来调查金融中介的价值。我们开发了在线债务众筹的结构模型，并在一个新颖的数据库上对其进行估计。我们发现，放弃点对点范式会增加贷方盈余、平台利润和信贷提供，但使投资者面临流动性风险。当流动性较低且贷方规避风险时，平台类似于银行，则可以通过承担流动性风险来产生更大的贷方盈余和信贷提供。
Defunding controversial industries: Can targeted credit rationing choke firms?
取消对有争议的行业的资金：有针对性的信贷配给会扼杀公司吗？
Kunal Sachdeva, André F. Silva, Pablo Slutzky, Billy Y. Xu
This paper examines the effects of targeted credit rationing by banks on firms likely to generate negative externalities. We exploit an initiative of the U.S. Department of Justice, labeled Operation Choke Point, which compelled banks to limit relationships with firms in controversial industries. Using supervisory loan-level data, we show that, as intended, targeted banks reduced lending and terminated relationships with affected firms. However, most of these firms fully substituted credit through nontargeted banks under similar terms. Overall, we find no significant shifts in the performance and investment of affected firms, suggesting that targeted credit rationing is widely ineffective in promoting change.
本文研究了银行有针对性的信贷配给对可能产生负外部性的企业的影响。我们利用了美国司法部的一项名为“阻塞点行动”的倡议，该倡议迫使银行限制与有争议行业的公司的关系。使用监管贷款层面的数据，我们表明，正如预期的那样，目标银行减少了贷款并终止了与受影响公司的关系。然而，这些公司中的大多数以类似的条款完全替代了通过非目标银行提供的信贷。总体而言，我们发现受影响公司的业绩和投资没有显着变化，这表明有针对性的信贷配给在促进变革方面普遍无效。
Mergers and acquisitions, technological change, and inequality
并购、技术变革和不平等
Wenting Ma, Paige Ouimet, Elena Simintzi
Mergers and acquisitions (M&As) are an important mechanism through which technology is adopted by firms. Firms with greater technological skill acquire less tech-savvy firms and, subsequently, increase technology investment at the target. This has important implications for labor reallocation following M&As. We show that target establishments become less routine intensive post-M&A, especially when a target had greater routine occupational employment, compared to its acquirer, ex-ante. We also provide evidence consistent with targets investing in information technology which tends to displace more office routine occupations. Such labor reallocation impacts wages, resulting in higher pay inequality within target establishments.
并购（M&A） 是企业采用技术的重要机制。技术技能较高的公司收购技术水平较低的公司，随后增加目标技术投资。这对并购后的劳动力重新分配具有重要意义。我们表明，目标机构在并购后变得不那么常规密集，特别是当目标公司比其收购者事前拥有更多的常规职业就业时。我们还提供了与投资于信息技术的目标一致的证据，这些目标往往会取代更多的办公室常规职业。这种劳动力重新分配会影响工资，导致目标机构内的薪酬不平等加剧。
Macroeconomic drivers and the pricing of uncertainty, inflation, and bonds
宏观经济驱动因素以及不确定性、通货膨胀和债券的定价
Brandyn Bok, Thomas M. Mertens, John C. Williams
The correlation between uncertainty shocks, as measured by changes in the VIX, and changes in break-even inflation rates declined and turned negative after the Great Recession. This estimated time-varying correlation is shown to be consistent with the predictions of a standard New Keynesian model with a lower bound on interest rates and a trend decline in the natural rate of interest. In one equilibrium of the model, higher uncertainty raises the probability of large shocks that leave the central bank constrained by the lower bound and unable to offset negative shocks. Resulting inflation shortfalls lower average inflation rates.
以 VIX 变化衡量的不确定性冲击与盈亏平衡通胀率变化之间的相关性在大萧条后下降并转为负值。这种估计的时变相关性被证明与标准新凯恩斯主义模型的预测一致，该模型具有利率下限和自然利率趋势下降。在模型的一个均衡中，较高的不确定性会增加发生重大冲击的可能性，使央行受到下限的约束，无法抵消负面冲击。由此产生的通货膨胀缺口降低了平均通货膨胀率。
Machine learning from a “Universe” of signals: The role of feature engineering
来自信号“宇宙”的机器学习：特征工程的作用
Bin Li, Alberto G. Rossi, Xuemin (Sterling) Yan, Lingling Zheng
We construct real-time machine learning strategies based on a “universe” of fundamental signals. The out-of-sample performance of these strategies is economically meaningful and statistically significant, but considerably weaker than those documented by prior studies that use curated sets of signals as predictors. Strategies based on a simple recursive ranking of each signal’s past performance also yield substantially better out-of-sample performance. We find qualitatively similar results when examining past-return-based signals. Our results underscore the key role of feature engineering and, more broadly, inductive biases in enhancing the economic benefits of machine learning investment strategies.
我们基于基本信号的“宇宙”构建实时机器学习策略。这些策略的样本外性能具有经济意义和统计学意义，但比先前使用精选信号集作为预测因子的研究记录的性能要弱得多。基于每个信号过去性能的简单递归排名的策略也会产生更好的样本外性能。在检查基于过去回报的信号时，我们发现了定性相似的结果。我们的研究结果强调了特征工程以及更广泛的归纳偏差在提高机器学习投资策略的经济效益方面的关键作用。
Climbing and falling off the ladder: Asset pricing implications of labor market event risk
爬梯和跌落：劳动力市场事件风险对资产定价的影响
Lawrence D.W. Schmidt
Administrative earnings data reveal that households are exposed to large, countercyclical idiosyncratic tail risks in labor earnings. I illustrate how these risks affect asset prices within an asset pricing framework with recursive preferences, heterogeneous agents and incomplete markets. Quantitatively, a model in which agents face a time-varying probability of experiencing a rare, idiosyncratic disaster, with parameters disciplined by data, matches the level and dynamics of the equity premium. Stock returns are highly informative about labor market event risk, and, consistent with model predictions, initial claims for unemployment, a proxy for labor market uncertainty, is a highly robust predictor of returns.
行政收入数据显示，家庭在劳动力收入方面面临巨大的、逆周期的特殊尾部风险。我说明了这些风险如何在具有递归偏好、异构代理和不完整市场的资产定价框架内影响资产价格。从定量上讲，一个模型，其中代理面临经历罕见的、特殊灾难的时变概率，其参数受数据约束，与股权溢价的水平和动态相匹配。股票回报率对劳动力市场事件风险提供了大量信息，并且与模型预测一致，首次申请失业救济人数是劳动力市场不确定性的代表，是回报的高度稳健预测指标。
Information-based pricing in specialized lending
专业贷款中基于信息的定价
Kristian Blickle, Zhiguo He, Jing Huang, Cecilia Parlatore
We study how competition between asymmetrically informed banks, one specialized and one nonspecialized, affects loan prices. Both banks possess “general” signals regarding the borrower’s quality, which they use to screen loans. The specialized bank also has access to a “specialized” signal on which it bases its loan pricing. This private information-based pricing makes the specialized bank bid more aggressively, mitigating the informational rent effect that gives it monopolistic power. Our findings explain why loans from specialized lenders feature lower interest rates and better ex post performance. Supporting empirical evidence emphasizes the role of specialized information in shaping credit market outcomes.
我们研究了信息不对称的银行（一家专业银行和一家非专业银行）之间的竞争如何影响贷款价格。两家银行都拥有有关借款人质量的“一般”信号，他们用这些信号来筛选贷款。专业银行还可以获得“专业”信号，作为其贷款定价的基础。这种基于私人信息的定价使专业银行的出价更加积极，减轻了赋予其垄断权力的信息租金效应。我们的研究结果解释了为什么专业贷方的贷款具有较低的利率和更好的事后绩效。支持经验证据强调专业信息在塑造信贷市场结果方面的作用。
Loan guarantees, bank lending and credit risk reallocation
贷款担保、银行贷款和信用风险重新分配
Carlo Altavilla, Andrew Ellul, Marco Pagano, Andrea Polo, Thomas Vlassopoulos
Do banks extending government-guaranteed loans simultaneously reduce their risk exposure to firms? Using unique euro-area credit register data and the COVID-19 guarantee programs as a laboratory, we find that 1 euro of guaranteed lending was associated with a reduction of 28 cents in non-guaranteed credit, relative to other banks lending to the same firm. Substitution was highest for riskier and smaller firms in more affected sectors and for stronger banks. Nevertheless, banks offered cheaper credit and longer maturities to guaranteed loan recipients, especially more fragile ones. This improvement in lending terms is the flipside of credit substitution.
银行提供政府担保贷款是否同时降低了企业的风险敞口？使用独特的欧元区信用登记数据和 COVID-19 担保计划作为实验室，我们发现，相对于向同一家公司放贷的其他银行，1 欧元的担保贷款与非担保信贷减少 28 美分相关。风险较高、规模较小的公司、受影响较大的行业以及实力较强的银行的替代率最高。然而，银行向有担保的贷款接受者，尤其是更脆弱的贷款接受者提供更便宜的信贷和更长的期限。贷款条件的这种改善是信贷替代的另一面。
Stakes and investor behaviors
赌注和投资者行为
Pengfei Sui, Baolian Wang
We examine how stakes affect investor behaviors. In our unique setting, investors trade stocks in real accounts using their own money and simultaneously in a simulated setting. Our real-world within-investor estimation shows that investors exhibit stronger biases and perform worse in higher-stakes real accounts than in lower-stakes simulated accounts. Investors exhibit strong biases in both types of accounts, and the biases in both are strongly positively correlated. Such behavioral consistency suggests that low-stakes experiments are informative about real-world behaviors. Using additional account-level datasets, we demonstrate external validity by documenting a stronger (reverse) disposition effect on stocks (funds) with greater portfolio weights.
我们研究了利害关系如何影响投资者行为。在我们独特的环境中，投资者使用自己的资金在真实账户中同时在模拟环境中交易股票。我们的真实投资者内部估计表明，与低风险模拟账户相比，投资者在高风险真实账户中表现出更强的偏见，表现更差。投资者在这两种类型的账户中都表现出强烈的偏见，并且两者的偏见都呈强正相关。这种行为一致性表明，低风险实验可以为现实世界的行为提供信息。使用额外的账户级数据集，我们通过记录对投资组合权重更大的股票（基金）的更强（反向）处置效应来证明外部有效性。
Overvaluing simple bets: Evidence from the options market
高估简单投注：来自期权市场的证据
Aaron Goodman, Indira Puri
We document a new anomaly that we prove standard preference models are unable to capture, regardless of functional form or parametric specification used. Analyzing trading behavior in the binary option market for retail investors, we find that market participants purchase binary options although strictly dominant bull spreads are available at lower prices: 15% of S&P index, 19% of gold, and 25% of silver trades violate no-dominance conditions consistently across three different asset classes. Buyers of dominated binaries lose on average 34% of the contract price by forgoing the dominating product. We prove that neither prospect theory nor ambiguity aversion nor other popular theoretical justifications for retail anomalies such as rational inattention and salience, can capture these results. We also test for, and reject, standard financial explanations including trading costs, liquidity, exchange fixed effects, and noise trading. We show that our results are consistent with retail investors valuing simple, easy-to-understand binary bets. Our work provides a theoretically-grounded empirical impetus for research in behavioral finance which goes beyond historically pervasive utility frameworks.
我们记录了一个新的异常，我们证明标准偏好模型无法捕获，无论使用何种功能形式或参数化规范。分析散户投资者二元期权市场的交易行为，我们发现市场参与者购买二元期权，尽管严格占主导地位的牛市价差以较低的价格提供：15% 的标准普尔指数、19% 的黄金和 25% 的白银交易在三种不同的资产类别中始终违反非主导条件。占主导地位的二元合约的买家因放弃占主导地位的产品而平均损失 34% 的合约价格。我们证明，无论是前景理论、模糊性厌恶还是其他流行的零售异常理论理由，如理性注意力不集中和显着性，都无法捕捉到这些结果。我们还测试和拒绝标准的财务解释，包括交易成本、流动性、交易所固定效应和噪声交易。我们表明，我们的结果与散户投资者重视简单、易于理解的二元押注一致。我们的工作为行为金融学的研究提供了理论基础的实证动力，超越了历史上普遍存在的效用框架。
The marginal value of public pension wealth: Evidence from border house prices
公共养老金财富的边际价值：基于边境房价的证据
Darren Aiello, Asaf Bernstein, Mahyar Kargar, Ryan Lewis, Michael Schwert
We study how state pension windfalls affect property prices near state borders, where theory suggests real estate reflects the value of additional public resources. Windfalls, representing a source of state revenue about half the size of total taxes, provide economically significant and plausibly exogenous variation in fiscal conditions. We find that each dollar of pension asset returns increases border house prices by approximately two dollars, suggesting that governments allocate additional funds towards high-value projects or tax abatement rather than wasting incremental resources. Evidence of larger effects in financially constrained municipalities highlights how fiscal resources amplify welfare effects of economic shocks.
我们研究州养老金意外收益如何影响州边境附近的房地产价格，理论上，这些地区的房价会反映额外公共资源的价值。养老金意外收益约占州税收总额的一半，为财政状况提供了经济意义显著且外生性较强的变化。研究发现，养老金资产收益每增加1美元，边境房价约上涨2美元，这表明政府倾向于将额外资金投入高价值项目或税收减免，而非浪费增量资源。在财政受限的市政区域，这种效应更为显著，突显了财政资源如何放大经济冲击的福利效应。
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