2024年5月10日至11日，第30届金融理论会议（Finance Theory Group Meeting, FTG Spring 2024 Meeting）在多伦多大学隆重召开。本次会议由Ing-Haw Cheng、Nicolas Inostroza、Anton Tsoy和Liyan Yang组织，吸引了来自全球顶尖学术机构的金融理论研究者。
Ing-Haw Cheng
Associate Professor
Rotman School of Management
University of Toronto
Nicolas Inostroza
Assistant Professor of Finance
Rotman School of Management
University of Toronto
Anton Tsoy
Assistant Professor
University of Toronto
Liyan Yang
Professor of Finance
Peter L. Mitchelson
SIT Investment Associates Foundation Chair in Investment Strategy
University of Toronto
Finance Theory Group （FTG）由Itay Goldstein和Gustavo Manso于2009年秋季创立，目的是促进和推进金融经济学，特别是公司金融、金融机构和金融市场领域的理论研究。FTG每年举行两次定期会议，首届会议由两位创始人在麻省理工学院举行，随后每次定期会议由小组两到三名不同的成员轮流组织。每次会议仅限受邀者参与。FTG的成员和研究员来自领先的研究机构，主要从事公司金融、金融机构和金融市场的理论研究。
在此次会议中，数字经济和金融科技话题成为焦点。例如，Borrowing from a Bigtech Platform探讨了大科技平台作为借贷平台的兴起及其对传统金融机构的影响；Automated Exchange Economies分析了自动化交易系统对市场动态和效率的影响；Specialized Lending when Big Data Hardens Soft Information研究了大数据技术在金融行业的应用如何改变贷款决策中的信息处理过程；以及Payments, Reserves, and Financial Fragility研究了支付系统和储备管理对金融系统脆弱性的影响。
此次会议为金融理论研究者提供了一个重要的平台，展示了最新的研究成果，并促进了学术交流和合作。期待未来的会议能够继续推动金融理论的发展和创新。
Program:
Friday, May 10th, 2024 [Max Gluskin House]
2pm – 3pm Parallel Session A
01.Market for Manipulable Information
可操纵信息市场
Hui Chen
Jian Sun
We study how investors, firms, and information sellers interact in a market with manipulable information. To better predict the firm characteristics they care about, investors can buy a score from a monopolistic information seller, which aggregates signals that are subject to firm manipulation. The average degree of signal manipulability has no effect on the equilibrium, while the uncertainty about manipulability becomes a new source of noise. Its contribution depends on firms’ incentive to manipulate the signals, which in turn depends on the equilibrium price sensitivity to the score. The optimal design of the score weighs signal precision against the endogenous uncertainty due to manipulation. The introduction of mandate investors, who care about the scores on the characteristics and not the characteristics themselves, generates an incentive for information sellers to inflate the scores. When applied to green investing, our model implies that the effectiveness of impact investing on the cost of capital could actually decline as the fraction of green investors or the strength of the mandate keeps rising, because they generate stronger incentives for manipulation.
本文研究了在一个可操纵信息市场中，投资者、公司和信息卖家之间的互动。为了更好地预测他们关心的公司特征，投资者可以从垄断的信息卖家那里购买一个评分，这个评分汇总了公司可能操纵的信息信号。信号可操纵性的平均程度对均衡没有影响，而关于可操纵性的不确定性则成为新的噪声来源。其贡献取决于公司操纵信号的动机，而这又取决于均衡价格对评分的敏感性。评分的最优设计在信号精确性与因操纵产生的内生不确定性之间权衡。当引入只关心特征评分而不是特征本身的委托投资者时，会为信息卖家提供一个提高评分的动机。应用于绿色投资时，我们的模型表明，随着绿色投资者比例或委托强度的不断增加，影响投资对资本成本的有效性实际上可能会下降，因为这会产生更强的操纵动机。
02.The Welfare Implication of Information Disclosure Frequency
信息披露频率的福利影响
Wen Chen
Yajun Wang
We study how the frequency of information disclosure affects the welfare of market participants in different market conditions. In competitive markets, we show that both informed and uninformed traders benefit when firms gradually disclose information, as opposed to releasing it all at once. Gradual disclosure reduces uncertainty over time, enhancing risk-sharing and improving welfare for all traders. This suggests that, in competitive markets, firms should release information as it becomes available, rather than infrequently. Conversely, in non-competitive markets where informed traders possess market power, increasing the frequency of information disclosure continues to benefit uninformed traders but may negatively impact informed traders who trade for both private information and liquidity shocks. This is because increased frequency of information disclosure may increase the cumulative costs associated with hedging. Our paper suggests that, firms might opt for less frequent information disclosure if their decisions are influenced by institutional traders with monopoly power.
本文研究了信息披露频率在不同市场条件下对市场参与者福利的影响。在竞争性市场中，本文发现无论是有信息的交易者还是无信息的交易者，都能在公司逐步披露信息时受益，而不是一次性披露所有信息。逐步披露信息随着时间的推移减少了不确定性，增强了风险分担，提高了所有交易者的福利。这表明，在竞争性市场中，公司应在信息可用时立即披露，而不是不频繁地披露。相反，在非竞争性市场中，拥有市场影响力的知情交易者情况下，增加信息披露频率虽然持续有利于无信息交易者，但可能对那些利用私人信息和流动性冲击进行交易的知情交易者产生负面影响。这是因为增加的信息披露频率可能增加与对冲相关的累积成本。我们的研究表明，如果公司的决策受到拥有垄断权的机构交易者的影响，它们可能会选择较少频率的信息披露。
03.Divestment, Run, and Impact
撤资、挤兑及影响
Zihao Li
Chaojun Wang
This paper proposes a novel channel through which divestment impacts social welfare. Divestment lowers the run risk of green projects due to the environmental value and shared beliefs among socially responsible investors (SRIs). Conversely, brown projects face higher run risk as SRIs exit. While divestment might decrease financial welfare due to lower financial returns from green projects, it can enhance social welfare through their higher social returns, which encompass both financial and environmental benefits. This research complements existing literature on the cost-of-capital and activism channels by focusing on how investor behavior impacts run risk and social welfare in the context of divestment.
本文提出了一个新的渠道，通过该渠道撤资影响社会福利。由于环境价值和社会责任投资者（SRIs）之间的共同信念，撤资降低了绿色项目的挤兑风险。相反，当社会责任投资者退出时，棕色项目面临更高的挤兑风险。虽然撤资可能由于绿色项目的较低金融回报而减少金融福利，但它可以通过绿色项目的较高社会回报来提高社会福利，这些社会回报包括金融和环境效益。这项研究通过关注投资者行为在撤资背景下如何影响挤兑风险和社会福利，补充了关于资本成本和激进主义渠道的现有文献。
04.Specialized Lending when Big Data Hardens Soft Information
当大数据使软信息变硬时的专门化贷款
Zhiguo He
Jing Huang
Cecilia Parlatore
We study the effects of hardening soft information on credit market competition with specialized lending. Our framework considers multi-dimensional information and distinguishes between the breadth (information span) and quality (signal precision) of data, capturing the emerging trend in fintech lending where traditionally subjective (“soft”) information becomes more objective and concrete (“hard”). In the model, two banks equipped with similar data processing systems possess hard signals about the borrower’s quality, and the specialized bank further interacts with the borrower, allowing it to access soft signals. Hardening soft information levels the playing field by reducing the winner’s curse for the non-specialized bank from the soft signal. In contrast, increasing the precision or correlation of hard information strengthens the informational advantage of the specialized bank.
我们研究了软信息硬化对专门化贷款信贷市场竞争的影响。我们的框架考虑了多维信息，并区分了数据的广度（信息跨度）和质量（信号精确度），捕捉到了金融科技贷款中传统上主观（“软”）信息变得更加客观和具体（“硬”）的新兴趋势。在模型中，两个银行配备了类似的数据处理系统，拥有关于借款人质量的硬信号，而专门化银行则进一步与借款人互动，从而获得软信号。软信息硬化通过减少非专门化银行因软信号带来的赢家诅咒，使竞争环境更加公平。相反，增加硬信息的精度或相关性则加强了专门化银行的信息优势。
3:15pm – 4:15pm Parallel Session B
01.Automated Exchange Economies
自动化交易经济
Brian Routledge
Yikang Shen
Ariel Zetlin-Jones
The canonical mechanism for financial asset exchange is the limit-order book. In decentralized blockchain ledgers (DeFi), costs and delays in appending new blocks to the ledger render a limit-order book impractical. Instead, a “pricing curve” is specified (e.g., the "constant product pricing function") and implemented using smart contracts deployed to the ledger. We develop a framework to study the equilibrium properties of such markets. Our framework provides new insights into how informational frictions distort liquidity provision in DeFi markets.
金融资产交易的经典机制是限价单簿。在去中心化区块链账本（DeFi）中，附加新区块的成本和延迟使限价单簿变得不切实际。取而代之的是使用智能合约部署到账本上的“定价曲线”（例如，“恒定乘积定价函数”）。我们开发了一个框架来研究此类市场的均衡特性。我们的框架提供了关于信息摩擦如何扭曲DeFi市场中的流动性供应的新见解。
02.Exploiting Non-Fundamental Flows
利用非基本面资金流
Brian Waters
Xingtan Zhang
Wei Zhou
Shrihari Santosh
Non-fundamental trading motives (e.g., sentiment or retail trading) drive significant and persistent flows in financial markets. This paper examines how an informed trader (e.g., hedge fund) exploits information related to these non-fundamental flows in an infinite-horizon asset pricing model. The informed trader is endogenously informed about future non-fundamental flows, shaping her trading behavior, which comprises two time-varying components. The first component stabilizes current prices by partially absorbing contemporaneous flows, while the second manipulates other market participants’ beliefs about future flows further away from the truth. When the second component dominates, she incurs short-term losses by trading in the same direction as non-fundamental flows today. In these states, she exacerbates rather than mitigates mispricing, magnifying return reversals.
非基本面交易动机（如情绪或散户交易）驱动了金融市场中显著且持久的资金流动。本文在一个无限期资产定价模型中，研究了一名知情交易者（如对冲基金）如何利用与这些非基本面资金流动相关的信息。知情交易者对未来的非基本面资金流动有内生的了解，这影响了她的交易行为，这种行为由两个随时间变化的组成部分构成。第一个组成部分通过部分吸收当期资金流动来稳定当前价格，而第二个组成部分则将其他市场参与者对未来资金流动的预期引导得离事实更远。当第二个组成部分占主导地位时，她通过与今天的非基本面资金流动同方向交易来承担短期损失。在这些状态下，她加剧了而不是缓解了错误定价，放大了回报逆转。
03.Stability-Equivalence of Bailouts and Bailins with Welfare consequences
拯救与救济的稳定性等价及福利影响
Linda Schilling
In a global game, I show that creditor bailins, when well-designed, can attain the exact same level of bank stability as costly creditor bailouts. This result holds for both risk-averse and risk-neutral creditors. Because bailouts are costly but do not necessarily provide a stability advantage, a “stability-equivalent” bailin can yield higher welfare than a bailout either if the bank is small in the economy or if the bank is large and the ex ante stability level of the bank is high. This holds even though impatient creditor types exist that have to consume early and suffer from a bailin.
在一个全球博弈中，我展示了精心设计的债权人救济（bailins）可以实现与昂贵的债权人拯救（bailouts）完全相同的银行稳定性。这个结果适用于风险厌恶和风险中性的债权人。由于拯救成本高昂但并不一定提供稳定性优势，“稳定性等价”的救济可以在两种情况下比拯救产生更高的福利：如果银行在经济中规模较小，或如果银行规模较大且事前稳定性水平较高。这一结论即使在存在需要提前消费而在救济中受损的急迫债权人类型的情况下仍然成立。
04.A New Theory of Credit Lines
信用额度的新理论
Jason Roderick Donaldson
Naz Koont
Giorgia Piacentino
Victoria Vanasco
We develop a model that suggests a heretofore unexplored role of credit lines: To mitigate debt dilution. The results give a new perspective on the literature on leverage ratchet effects, suggesting they can be curbed by (latent) credit lines, and on latent contracts, suggesting collusive outcomes are unlikely to arise in dynamic environments. The model explains numerous facts, including why credit lines are pervasive but rarely drawn down and why they are bundled with loans, especially for riskier borrowers. We find that the risk of credit line revocation increases borrower leverage and riskiness, suggesting that limited bank commitment can contribute to corporate distress. We find empirical support for this prediction.
我们开发了一个模型，提出了信用额度的一个尚未被探索的作用：缓解债务稀释。结果为杠杆棘轮效应的文献提供了一个新的视角，表明它们可以通过（潜在的）信用额度得到遏制，并对潜在合同提出了新的见解，表明在动态环境中不太可能出现合谋结果。该模型解释了许多现象，包括为什么信用额度无处不在但很少被提取，以及为什么它们与贷款捆绑在一起，特别是对于风险较高的借款人。我们发现，信用额度撤销的风险增加了借款人的杠杆和风险性，表明银行承诺的有限性可能导致企业困境。我们发现了对这一预测的实证支持。
4:30pm – 5pm Parallel Session C
01.Borrowing from a Bigtech Platform
从大科技平台借款
Jian Li
We model competition between banks and a bigtech platform that lend to a merchant with private information and subject to moral hazard. By controlling access to a valuable marketplace for the merchant, the platform enforces partial loan repayments, thus alleviating financing frictions, reducing the risk of strategic default, and contributing to welfare positively. Credit markets become partially segmented, with the platform targeting merchants of low and medium perceived credit quality. However, conditional on observables, the platform lends to better borrowers than banks because bad borrowers self-select into bank loans to avoid the platform’s enforcement, causing negative welfare effects in equilibrium.
我们建模了银行和大科技平台之间的竞争，这些平台向拥有私密信息且存在道德风险的商家提供贷款。通过控制商家进入有价值的市场，平台强制部分还款，从而缓解融资摩擦，降低战略性违约风险，并对福利产生积极影响。信贷市场变得部分分割，平台主要针对信用质量被认为较低和中等的商家。然而，在可观察条件下，平台比银行更倾向于向更好的借款人放贷，因为不良借款人会自我选择进入银行贷款以避免平台的强制执行，从而在均衡中导致负面的福利影响。
02.Creditor-on-Creditor Violence and Secured Debt Dynamics
债权人之间的暴力与有担保债务动态
Samuel Antill
Zhaoli Jiang
Neng Wang
Anticipating a borrower’s default, secured lenders have recently used aggressive legal tactics to extract value from other secured lenders. We model the implications of this new “creditor-on-creditor violence” trend. In our novel continuous-time capital structure model, secured debt enjoys higher priority in default. However, secured lenders take harmful actions to ensure their full recovery: they inefficiently push to prematurely sell assets and strip competing lenders of their priority. We show this creates a tradeoff between secured and unsecured debt that matches recent empirical evidence. While the creditor-conflict trend endogenously leads to higher secured credit spreads, it nonetheless increases investment and ex-ante firm value — creditor conflict enables ex-post debt reductions in states of the world with high expected default costs.
预见到借款人违约，有担保的贷款人最近采用了激进的法律策略从其他有担保的贷款人中提取价值。我们对这一新的“债权人对债权人的暴力”趋势进行了建模。在我们新颖的连续时间资本结构模型中，有担保债务在违约中享有更高的优先权。然而，有担保的贷款人采取有害的行动来确保其完全回收：他们低效地推动过早出售资产，并剥夺竞争贷款人的优先权。我们展示了这在有担保和无担保债务之间创造了一个权衡，这与最近的实证证据相匹配。虽然债权人冲突趋势内生地导致了更高的有担保信用利差，但它仍然增加了投资和事前的企业价值——债权人冲突在预期违约成本高的情况下，促进了事后的债务减少。
Saturday, May 11th, 2024 [Desautels Hall at Rotman School]
01.An Axiomatic Approach to Informed Order Flow
知情订单流动的公理化方法
Yu An
Zeyu Zheng
We propose an axiomatic approach to study how informed order flows impact asset prices. Using axiomatic restrictions that govern market makers’ learning from flows, we characterize belief evolution from prior to posterior distributions. This approach avoids the limitations of specific equilibria or parametric assumptions, while accommodating various Bayesian and behavioral learning methods. Applying this approach, we derive a model wherein flows impact prices via factors. The model improves upon the textbook approach for characterizing learning across multiple correlated assets. Moreover, the model flexibly captures the learning about the variance of payoff distributions, generating fire sales and rational inattention phenomena.
我们提出了一种公理化方法来研究知情订单流动如何影响资产价格。利用支配做市商从订单流中学习的公理约束，我们描绘了从先验到后验分布的信念演变。这种方法避免了特定均衡或参数假设的限制，同时适应各种贝叶斯和行为学习方法。应用这种方法，我们推导出一个模型，其中订单流通过因素影响价格。该模型改进了教科书中描述跨多个相关资产学习的方法。此外，该模型灵活地捕捉了对收益分布方差的学习，产生了抛售和理性忽视现象。
02.The Optimal Structure of Securities under Coordination Frictions
协调摩擦下证券的最优结构
Dan Luo
Ming Yang
We study multi-agent security design in the presence of coordination frictions. A principal intends to develop a project whose value increases with an unknown state and the level of agents’ participation. To motivate the participation of ex ante homogeneous agents, the principal offers them multiple monotone securities backed by the project value. More participation results in a higher project value and thus higher security payment to participating agents, making participation decisions strategic complements. Miscoordination arises because agents cannot precisely infer others’ decisions from noisy signals about the state. We identify two objects in security design—"payoff sensitivity" and "perception of participation"—that determine the impact of miscoordination. To mitigate the adverse impact of miscoordination, the two objects should be matched assortatively over agents. This mechanism implies a multi-tranche security structure in which senior-tranche holders are more robust to potential miscoordination and participate more aggressively, helping alleviate the junior-tranche holders’ fear of miscoordination. We find that the principal’s ability to differentiate agents in security format is crucial to whether differentiation is desirable.
我们研究了在存在协调摩擦情况下的多代理证券设计。一个委托人打算开发一个项目，该项目的价值随着未知状态和代理人参与水平的增加而增加。为了激励事前同质的代理人参与，委托人向他们提供了多种由项目价值支持的单调证券。更多的参与会导致更高的项目价值，从而使参与代理人获得更高的证券支付，使参与决策成为战略互补。由于代理人无法从关于状态的噪声信号中准确推断其他人的决策，因此会出现协调不当的情况。我们在证券设计中识别了两个对象——“支付敏感性”和“参与感知”，它们决定了协调不当的影响。为了减轻协调不当的不利影响，这两个对象应在代理人之间进行分配匹配。这一机制意味着多层证券结构，其中高级证券持有人对潜在的协调不当更具韧性，并更积极地参与，从而帮助缓解低级证券持有人对协调不当的担忧。我们发现，委托人在证券格式上区分代理人的能力对于差异化是否可取至关重要。
03.Demand-System Asset Pricing: Theoretical Foundations
需求系统资产定价：理论基础
William Fuchs
Satoshi Fukuda
Daniel Neuhann
Recent approaches to asset pricing involve the estimation of asset demand systems in which investors may have non-pecuniary tastes (or dogmatic beliefs) over asset characteristics. We investigate the theoretical foundations of demand-system asset pricing by incorporating tastes into canonical models of portfolio choice. Our analysis raises several conceptual issues, including the definition of no arbitrage, the pricing of “redundant” assets, and the appropriate measurement of demand complementarities across assets. Imperfectly accounting for cross-asset spillovers can lead to low measured demand elasticities even when true elasticities are near infinite. We also discuss the identification of structural parameters required for counterfactual analyses.
最近的资产定价方法涉及对资产需求系统的估计，其中投资者可能对资产特征有非金钱性的偏好（或教条信念）。我们通过将这些偏好纳入经典的投资组合选择模型，研究了需求系统资产定价的理论基础。我们的分析提出了几个概念性问题，包括无套利定义、“冗余”资产的定价，以及跨资产需求互补性的适当测量。对跨资产溢出效应的不完美考虑可能导致需求弹性测量值偏低，即使真实弹性接近无限。我们还讨论了进行反事实分析所需的结构参数的识别。
04.Market Integration, Risk-Taking, and Income Inequality
市场整合、风险承担与收入不平等
Will Cong
Ron, Kaniel
Yizhou Xiao
A pandemic or nationalism can dial back global integration as much as advancements in IT and transportation spur it. We study a parsimonious general equilibrium model of occupational choice, risk-taking, and income inequality against the backdrop of market (dis)integration and certain services in inelastic supplies. In a decentralized, segmented environment, entrepreneurship and risk-taking are inefficiently low; in an integrated market, they can be socially excessive and entrepreneurship is non-monotone in the service supply. As transportation and information technologies improve, occupational risk-taking and total production increase, with ambiguous welfare consequences. In a dynamic setting with inter-generational inheritance, wealth inequality is exacerbated by income inequality, but faces a long-term reversal when scarce service supply is affected by total production.
疫情或民族主义可能会逆转全球整合，而信息技术和交通运输的进步则推动了全球整合。我们研究了一个简洁的一般均衡模型，分析了职业选择、风险承担和收入不平等在市场（不）整合和某些服务供给缺乏的背景下的表现。在一个去中心化、分割的环境中，创业和风险承担效率低下；而在一个整合的市场中，它们可能会过度，并且创业在服务供给中表现出非单调性。随着交通和信息技术的改善，职业风险承担和总产出增加，但对福利的影响不明确。在一个具有代际继承的动态环境中，财富不平等因收入不平等而加剧，但当稀缺服务供给受到总产出影响时，长期来看财富不平等会得到逆转。
05.Payments, Reserves, and Financial Fragility
支付、储备与金融脆弱性
Itay Goldstein
Ming Yang
Yao Zeng
We propose a theory of payments that highlights a conflict between medium of exchange and store of value, two roles of money that are traditionally viewed as complementary. We posit that payments must involve the reciprocal transfer of a scarce reserve good, which holds value for other non-payment purposes. We show that agents make payments only when reserves are abundant enough and when the conflict between payment and non-payment functions is low. Otherwise, history-dependent equilibria arise in which an agent’s payment decision depends on the payment history of other agents within an equilibrium, giving rise to fragilities. The theory explains why payments frequently encounter delays and interruptions even if the reserve is always accepted as a payment means without its value being challenged. Improving payment technologies may not eliminate such fragility when reserves remain scarce and valuable for non-payment functions. The theory helps explain the evolution of money and payment systems, encompassing metallic payments before fiat money, modern bank payments, cross-border payments, and contemporary digital payment systems.
我们提出了一种支付理论，突出了货币作为交换媒介和价值储存两种传统上被视为互补的角色之间的冲突。我们假设支付必须涉及一种稀缺储备商品的互惠转移，该商品在非支付用途上也具有价值。我们表明，当储备充足且支付与非支付功能之间的冲突较小时，代理人会进行支付。否则，会出现依赖历史的均衡，其中代理人的支付决策取决于其他代理人在均衡中的支付历史，从而导致脆弱性。该理论解释了为什么即使储备始终被接受作为支付手段且其价值不受质疑，支付仍然频繁遇到延迟和中断。即使改进支付技术，当储备仍然稀缺且在非支付功能上有价值时，这种脆弱性也无法消除。该理论有助于解释货币和支付系统的演变，包括金属支付、现代银行支付、跨境支付和当代数字支付系统的发展。
