Journal of Financial Economics??2023年第148卷

Volume 148, Issue1、2、?3

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

The Modern Mutual Fund Family

現(xiàn)代共同基金家族

Caitlin D. Dannhauser, Harold D. Spilker

Modern mutual fund families include more than active mutual funds (AMFs). AMFs in families with greater index mutual fund (IMF) presence generate higher category-adjusted gross returns. Performance is positively related to the levels of passive and active fees, suggesting moral hazard. Intrafamily competition from IMFs in the same Morningstar category incentivizes managers to exert effort. Financial resources do not contribute to the performance effect. Cross-trading with IMFs occurs with some positive effect on performance. ETFs have no impact on performance. IMFs reduce flow-performance sensitivity and flow volatility of AMFs in the family. IMFs and ETFs uniquely contribute to expense pressure.

現(xiàn)代共同基金家族不僅包括主動共同基金(amf)。擁有更多指數(shù)共同基金(IMF)的家庭的資產(chǎn)管理基金產(chǎn)生更高的類別調(diào)整總回報。業(yè)績與被動收費和主動收費水平呈正相關(guān)，表明存在道德風(fēng)險。來自國際貨幣基金組織(imf)同一晨星(Morningstar)類別的家族內(nèi)部競爭，會激勵管理者付出努力。財政資源對業(yè)績效應(yīng)沒有貢獻。與國際貨幣基金組織的交叉交易對業(yè)績有一定的積極影響。etf對業(yè)績沒有影響。IMFs降低了家族中AMFs的流動性能敏感性和流動波動性。國際貨幣基金組織和交易所交易基金是造成費用壓力的唯一因素。

The global factor structure of exchange rates

匯率的全球要素結(jié)構(gòu)

Sofonias Alemu Korsaye, Fabio Trojani, Andrea Vedolin

We propose a model-free methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sectionsof international stocks, bonds, and currencies in markets with frictions. We theoretically establish a SDF decomposition into one global factor and a currency basket. We show that our global factor prices a large cross-section?of international asset returns, not just in- but also out-of-sample, across different currency denominations. Moreover, the pricing ability of the global factor is largely independent of the market structure or the size and type of market friction.

我們提出了一種無模型的方法來估計國際隨機貼現(xiàn)因子(sdf)，該因子在有摩擦的市場中共同為國際股票、債券和貨幣的橫截面定價。理論上，我們將SDF分解為一個全球因素和一籃子貨幣。我們表明，我們的全球因素定價了國際資產(chǎn)回報的一個很大的橫截面，不僅在樣本內(nèi)，而且在樣本外，跨越不同的貨幣面額。此外，全球因素的定價能力在很大程度上與市場結(jié)構(gòu)或市場摩擦的大小和類型無關(guān)。

Set it and forget it? Financing retirement in an age of defaults

設(shè)定好了就忘了?在違約時代為退休融資

Lucas Goodman, Anita Mukherjee, Shanthi Ramnath

Retirement savings abandonment is a rising concern connected to defined contribution systems and default enrollment. We use tax data on Individual Retirement Accounts (IRAs) to establish that for a recent cohort, 0.4% of retirement-age individuals abandoned an aggregate of $66 million, proxied by a failure to claim over ten years after a legal requirement to do so. Analysis of state unclaimed property databases suggests that workplace defined contribution plans are abandoned at a higher rate than IRAs. Finally, regression discontinuity estimates show that certain accounts created by default enrollment are at higher risk of abandonment by passive savers.

退休儲蓄放棄是一個日益令人擔(dān)憂的問題，與固定繳款制度和違約登記有關(guān)。我們使用個人退休賬戶(IRAs)的稅務(wù)數(shù)據(jù)來確定，在最近的一個隊列中，0.4%的退休年齡個人放棄了總計6600萬美元的資金，原因是在法律規(guī)定的十多年后仍未申報。對國家無人認領(lǐng)財產(chǎn)數(shù)據(jù)庫的分析表明，工作場所固定繳款計劃被放棄的比例高于個人退休賬戶。最后，回歸不連續(xù)估計表明，通過默認登記創(chuàng)建的某些帳戶被被動儲蓄者放棄的風(fēng)險更高。

Barking up the wrong tree: Return-chasing in 401(k) plans

找錯了對象:追求401(k)計劃的回報

Anh Tran, Pingle Wang

This paper examines investors’ retirement savings allocation using a hand-collected dataset on 401(k) plans. We find that 83% of investors in our sample hold only 39% of total assets and follow a return-chasing strategy. In contrast, the remaining 17% of wealthy investors with relatively higher financial literacy follow CAPM alpha. This difference between the two investor groups explains why fund flows respond to returns at the plan level but to CAPM alpha at the aggregated fund level. Return-chasing by unwealthy investors is not optimal, as it significantly underperforms a strategy that passively invests in the existing funds in their plans.

本文使用手工收集的401(k)計劃數(shù)據(jù)集來檢驗投資者的退休儲蓄配置。我們發(fā)現(xiàn)樣本中83%的投資者只持有總資產(chǎn)的39%，并遵循追逐回報的策略。相比之下，其余17%的金融知識相對較高的富有投資者遵循CAPM alpha。這兩個投資者群體之間的差異解釋了為什么資金流在計劃層面響應(yīng)回報，而在總基金層面響應(yīng)CAPM alpha。不富裕的投資者追逐回報并不是最理想的，因為它的表現(xiàn)明顯不如被動投資于他們計劃中的現(xiàn)有基金的策略。

Flexibility costs of debt: Danish exporters during the cartoon crisis

債務(wù)的靈活性成本:卡通危機中的丹麥出口商

Benjamin U. Friedrich, Micha? Zator

We study how firms respond to an unexpected demand shock, exploiting the 2006 boycott of Danish products after publication of Muhammad caricatures. On average, affected firms lose the majority of their exports to Muslim countries and experience a significant decrease in total sales. However, firms with low financial leverage redirect sales to new and existing product-destination markets in non-Muslim countries, which allows them to fully offset their losses. In contrast, high-leverage firms do not enter new markets and instead actively downsize. Our results highlight the importance of financial flexibility in times of crisis, consistent with declarations of practitioners.

我們研究企業(yè)如何應(yīng)對意外的需求沖擊，利用2006年穆罕默德漫畫出版后對丹麥產(chǎn)品的抵制。平均而言，受影響的公司失去了對穆斯林國家的大部分出口，總銷售額大幅下降。然而，低財務(wù)杠桿的公司將銷售轉(zhuǎn)向非穆斯林國家的新產(chǎn)品和現(xiàn)有產(chǎn)品目的地市場，這使他們能夠完全抵消損失。相比之下，高杠桿公司不進入新市場，而是積極縮小規(guī)模。我們的研究結(jié)果強調(diào)了危機時期財務(wù)靈活性的重要性，這與從業(yè)人員的聲明是一致的。

Loan spreads and credit cycles: The role of lenders’ personal economic experiences

貸款息差和信貸周期:貸款人個人經(jīng)濟經(jīng)驗的作用

Daniel Carvalho, Janet Gao, Pengfei Ma

We provide evidence that changes in lender optimism can lead to excessive fluctuations in credit spreads across the credit cycle. Using data on the real estate properties of loan officers originating large corporate loans, we find that credit spreads overreact to sophisticated lenders’ recent local economic experiences, captured by local housing price growth. These effects are only present when borrowers own real estate assets and during times of greater uncertainty about real estate values, i.e., boom-and-bust cycles in housing prices. Our analysis suggests that recent personal experiences shape sophisticated lenders’ beliefs about real estate values, which affect their pricing decisions.

我們提供的證據(jù)表明，貸款人樂觀情緒的變化可能會導(dǎo)致整個信貸周期的信貸利差過度波動。利用發(fā)放大額企業(yè)貸款的信貸員的房地產(chǎn)數(shù)據(jù)，我們發(fā)現(xiàn)，信貸息差對復(fù)雜貸款機構(gòu)近期在當?shù)氐慕?jīng)濟經(jīng)驗(由當?shù)胤績r增長反映)反應(yīng)過度。只有當借款人擁有房地產(chǎn)資產(chǎn)時，以及房地產(chǎn)價值不確定性較大的時期，即房價的繁榮和蕭條周期，才會出現(xiàn)這些影響。我們的分析表明，最近的個人經(jīng)歷塑造了復(fù)雜的貸款人對房地產(chǎn)價值的信念，這影響了他們的定價決策。

Political ideology and international capital allocation

政治意識形態(tài)與國際資本配置

Elisabeth Kempf, Mancy Luo, Larissa Sch?fer, Margarita Tsoutsoura

Does investors’ political ideology shape international capital allocation? We provide evidence from two settings—syndicated corporate loans and equity mutual funds—to show ideological alignment with foreign governments affects the cross-border capital allocation by U.S. institutional investors. Ideological alignment on both economic and social issues plays a role. Our empirical strategy ensures direct economic effects of foreign elections or government ties between countries are not driving the result. Ideological distance between countries also explains variation in bilateral investment. Combined, our findings imply ideological alignment is an important, omitted factor in models of international capital allocation.

投資者的政治意識形態(tài)會影響國際資本配置嗎?本文從銀團企業(yè)貸款和股權(quán)共同基金兩種情況下的證據(jù)表明，與外國政府的意識形態(tài)一致影響了美國機構(gòu)投資者的跨境資本配置。在經(jīng)濟和社會問題上的意識形態(tài)一致發(fā)揮了作用。我們的經(jīng)驗主義戰(zhàn)略確保了外國選舉或國家間政府關(guān)系的直接經(jīng)濟影響不會推動結(jié)果。國家之間的意識形態(tài)距離也解釋了雙邊投資的差異。綜合來看，我們的研究結(jié)果表明，意識形態(tài)一致性是國際資本配置模型中一個重要的、被忽略的因素。

Heterogeneous liquidity providers and night-minus-day return predictability

異質(zhì)流動性提供者和夜間-日間回報可預(yù)測性

Zhongjin Lu, Steven Malliaris, Zhongling Qin

We present and test a model to understand the puzzling fact that characteristics-sorted stock portfolios tend to earn opposite-signed overnight and intraday expected returns. Heterogeneous arbitrageurs – “fast” arbitrageurs with informational advantages and “slow” arbitrageurs with low inventory costs – compete to determine the price of liquidity. High information asymmetry around market open allows fast arbitrageurs to demand large price deviations for absorbing order imbalances, as cream-skimming risk discourages competition from slow arbitrageurs. Despite persistent order imbalances, these deviations attenuate when cream-skimming risk subsides, leading to opposite-signed overnight and intraday returns. Our model identifies novel determinants that empirically explain substantial variations in predictable overnight-minus-intraday returns.

本文提出并檢驗了一個模型，以理解特征排序股票組合往往在隔夜和盤中獲得相反的預(yù)期收益這一令人困惑的事實。異質(zhì)性套利者——具有信息優(yōu)勢的“快速”套利者和具有低庫存成本的“緩慢”套利者——競爭決定流動性的價格。圍繞市場開放的高度信息不對稱使得快速套利者可以要求較大的價格偏差來吸收訂單失衡，因為撇脂風(fēng)險會阻礙緩慢套利者的競爭。盡管訂單持續(xù)失衡，但當撇脂風(fēng)險消退時，這些偏差會減弱，導(dǎo)致隔夜和盤中的反向收益。我們的模型確定了新的決定因素，這些決定因素在經(jīng)驗上解釋了可預(yù)測的隔夜-日內(nèi)回報的重大變化。

Insurance and portfolio decisions: Two sides of the same coin?

保險和投資組合決策:一枚硬幣的兩面?

Olivier Armantier, Jér?me Foncel, Nicolas Treich

We study insurance and portfolio decisions, two opposite risk retention tradeoffs. Using household level data, we identify the first joint determinants (e.g. subjective expectations, risk attitude) and frictions (e.g. liquidity constraints, financial literacy) in the literature. We also find key differences between the two decisions. Notably, contrary to economic intuition, risky asset holding and insurance coverage both increase with wealth. We show that this apparent puzzle is driven in part by a specific behavioral pattern (the poor invest too conservatively, while the rich over-insure), and can be explained by two factors: regret avoidance and nonperformance risk.

我們研究保險和投資組合決策，這兩種相反的風(fēng)險保留權(quán)衡。利用家庭層面的數(shù)據(jù)，我們識別了文獻中的第一個聯(lián)合決定因素(如主觀預(yù)期、風(fēng)險態(tài)度)和摩擦(如流動性約束、金融素養(yǎng))。我們還發(fā)現(xiàn)了這兩個決定之間的關(guān)鍵差異。值得注意的是，與經(jīng)濟直覺相反，風(fēng)險資產(chǎn)持有和保險覆蓋率都隨著財富的增加而增加。我們的研究表明，這一明顯的困惑在一定程度上是由一種特定的行為模式(窮人投資過于保守，而富人過度保險)驅(qū)動的，可以用兩個因素來解釋:后悔規(guī)避和不良風(fēng)險。

Asset holders’ consumption risk and tests of conditional CCAPM

資產(chǎn)持有人的消費風(fēng)險與有條件capm的測試

Redouane Elkamhi, Chanik Jo

We test the conditional consumption-CAPM using asset holders’ consumption and find that the time variation in the prices of asset holders’ consumption risk is procyclical. This puzzling time variation is at odds with the implication of existing consumption-based equilibrium asset pricing models. We show that our finding is a salient feature of the data observed in multiple asset classes (aggregate equity market, equity portfolios, bond portfolios, and commodities portfolios), using different measures of consumption (household survey data and high-frequency retail shopping data) and alternative empirical methodologies.

本文利用資產(chǎn)持有人的消費對條件消費- capm模型進行了檢驗，發(fā)現(xiàn)資產(chǎn)持有人的消費風(fēng)險價格的時間變化是順周期的。這種令人困惑的時間變化與現(xiàn)有基于消費的均衡資產(chǎn)定價模型的含義不一致。我們使用不同的消費衡量指標(家庭調(diào)查數(shù)據(jù)和高頻零售購物數(shù)據(jù))和其他經(jīng)驗方法，在多個資產(chǎn)類別(綜合股票市場、股票投資組合、債券投資組合和大宗商品投資組合)中觀察到的數(shù)據(jù)中，我們的發(fā)現(xiàn)是一個顯著特征。

Why is dollar debt Cheaper? Evidence from Peru

為什么美元債務(wù)更便宜?來自秘魯?shù)淖C據(jù)

Bryan Gutierrez, Victoria Ivashina, Juliana Salomao

In emerging markets, a significant share of corporate loans are denominated in dollars. Using novel data that includes loan-level currency and the cost of credit, in addition to several other transaction-level characteristics, we re-examine the reasons behind dollar credit popularity. We find that a dollar-denominated loan has an interest rate that is 2 percentage points lower per year than a loan in local currency. Expectations of exchange rate movements do not explain this difference. We show that this interest rate differential for lending rates is closely matched by the differential in the deposit market. Our results suggest that the preference for dollar loans is rooted in the local depositors preference for dollar savings, and a banking sector that is strongly incentivized to closely match its foreign-currency assets and liabilities. Cross-borrower variation points to competitive pressure among banks to explain the significant pass-through of this differential.

在新興市場，很大一部分企業(yè)貸款以美元計價。利用包括貸款級貨幣和信貸成本在內(nèi)的新數(shù)據(jù)，以及其他幾個交易級特征，我們重新審視了美元信貸流行背后的原因。我們發(fā)現(xiàn)，以美元計價的貸款的年利率比以當?shù)刎泿庞媰r的貸款低2個百分點。對匯率變動的預(yù)期并不能解釋這種差異。我們發(fā)現(xiàn)，這種貸款利率的差異與存款市場的差異是緊密匹配的。我們的研究結(jié)果表明，對美元貸款的偏好根源于當?shù)貎魧γ涝獌π畹钠?，以及銀行部門受到強烈的激勵來密切匹配其外幣資產(chǎn)和負債。交叉借款人的差異表明，銀行之間存在競爭壓力，可以解釋這種差異的顯著傳遞。

Reaching for yield and the housing market: Evidence from 18th-century Amsterdam

追求收益和住房市場:來自18世紀阿姆斯特丹的證據(jù)

Matthijs Korevaar

Do investors reach for yield when interest rates are low and does this behavior affect the housing market? Using the unique setting and data of 18th-century Amsterdam, I show that reach-for-yield behavior of wealthy investors resulted in a large boom and bust in house prices and major changes in rental yields. Exploiting changes in the supply of bonds, I show that investors living off capital income shifted their portfolios towards real estate and other higher-yielding assets when bond yields were low and decreasing. This behavior exacerbated house price volatility and increased housing wealth inequality.

當利率較低時，投資者會追求收益嗎?這種行為會影響房地產(chǎn)市場嗎?利用18世紀阿姆斯特丹的獨特環(huán)境和數(shù)據(jù)，我展示了富裕投資者追求收益的行為導(dǎo)致了房價的大幅暴漲和暴跌，以及租金收益率的重大變化。我利用債券供給的變化表明，當債券收益率處于低位且不斷下降時，依靠資本收入為生的投資者將其投資組合轉(zhuǎn)向房地產(chǎn)和其他高收益資產(chǎn)。這種行為加劇了房價波動，加劇了住房財富不平等。