Journal of Financial Economics??2023年第2期

Volume 147, Issue 3，March 2023

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

Common ownership and innovation efficiency

公有制和創(chuàng)新效率

Xuelin Li, Tong Liu, Lucian A. Taylor

How does common ownership affect innovation? We study this question using project-level data on pharmaceutical startups and their venture capital (VC) investors. We find that common ownership leads VCs to hold back projects, withhold funding, and redirect innovation at lagging startups. Effects are stronger where R&D costs are larger, consistent with common owners aiming to cut duplicate costs. Effects are also stronger where technological similarity is greater and preexisting competition is lower, consistent with common owners seeking market power for their surviving projects. Overall, common VC ownership appears to generate social benefits, via improved innovation efficiency, but also social costs.

共同所有權(quán)如何影響創(chuàng)新?我們使用制藥初創(chuàng)公司及其風(fēng)險投資(VC)投資者的項目級數(shù)據(jù)來研究這個問題。我們發(fā)現(xiàn)，共同所有權(quán)導(dǎo)致風(fēng)投公司推遲項目，扣留資金，并在落后的初創(chuàng)公司重新定向創(chuàng)新。在研發(fā)成本較高的地方，效果更強，這與共同所有者削減重復(fù)成本的目標一致。在技術(shù)相似度較高、先前存在的競爭較低的地方，影響也更強，這與共同所有者為其幸存的項目尋求市場力量是一致的。總體而言，共同的風(fēng)險投資所有權(quán)似乎通過提高創(chuàng)新效率產(chǎn)生了社會效益，但也產(chǎn)生了社會成本。

Mortgage prepayment, race, and monetary policy

抵押貸款提前支付，種族和貨幣政策

Kristopher Gerardi, Paul S. Willen, David Hao Zhang

Black and Hispanic homeowners pay significantly higher mortgage interest rates than white and Asian homeowners. We show that the main reason is that white and Asian borrowers are much more likely to exploit periods of falling interest rates by refinancing their mortgages or moving. Black and Hispanic borrowers face challenges refinancing because, on average, they have lower credit scores, equity and income. But even holding those factors constant, Black and Hispanic borrowers refinance less, suggesting that other factors are at play. Because they are more likely to exploit lower interest rates, white borrowers benefit more from monetary expansions. Policies that reduce barriers to refinancing for minority borrowers and alternative mortgage contract designs can reduce racial mortgage pricing inequality.

黑人和西班牙裔房主支付的抵押貸款利率明顯高于白人和亞裔房主。我們表明，主要原因是白人和亞裔借款人更有可能利用利率下降的時期，為抵押貸款再融資或搬家。黑人和西班牙裔借款人面臨著再融資的挑戰(zhàn)，因為他們的平均信用評分、股權(quán)和收入都較低。但即使保持這些因素不變，黑人和西班牙裔借款人的再融資也減少了，這表明還有其他因素在起作用。因為白人更有可能利用較低的利率，他們從貨幣擴張中獲益更多。減少少數(shù)族裔借款人再融資障礙的政策和替代抵押貸款合同設(shè)計可以減少種族抵押貸款定價不平等。

The colour of finance words

金融詞匯的色彩

Diego García, Xiaowen Hu, Maximilian Rohrer

Our paper relies on stock price reactions to colour words, in order to provide new dictionaries of positive and negative words in a finance context. We extend the machine learning algorithm of Taddy (2013), adding a cross-validation layer to avoid over-fitting. In head-to-head comparisons, our dictionaries outperform the standard bag-of-words approach (Loughran and McDonald, 2011) when predicting stock price movements out-of-sample. By comparing their composition, word-by-word, our method refines and expands the sentiment dictionaries in the literature. The breadth of our dictionaries and their ability to disambiguate words using bigrams both help to colour finance discourse better.

我們的論文依賴于股票價格對顏色詞的反應(yīng)，以便在金融背景下提供積極和消極詞匯的新詞典。我們擴展了Taddy(2013)的機器學(xué)習(xí)算法，增加了一個交叉驗證層以避免過度擬合。在正面比較中，我們的詞典在預(yù)測樣本外股價波動時優(yōu)于標準的詞袋方法(Loughran和McDonald, 2011)。通過逐字比較它們的構(gòu)成，我們的方法對文獻中的情感詞典進行了提煉和擴充。我們的詞典的廣度和它們使用雙引號消除單詞歧義的能力都有助于更好地為金融話語增添色彩。

Volatility and informativeness

波動性和信息性

Eduardo Dávila, Cecilia Parlatore

This paper studies the relation between volatility and informativeness in financial markets. We identify two channels (noise-reduction and equilibrium-learning) that determine the volatility-informativeness relation. When informativeness is sufficiently high (low), volatility and informativeness positively (negatively) comove in equilibrium. We identify conditions on primitives that guarantee that volatility and informativeness comove positively or negatively. We introduce the comovement score, a statistic that measures the distance of a given asset to the positive/negative comovement regions. Empirically, comovement scores (i) have trended downwards over the last decades, (ii) are positively related to value and idiosyncratic volatility and negatively to size and institutional ownership.

本文研究了金融市場波動率與信息量之間的關(guān)系。我們確定了確定波動性-信息量關(guān)系的兩個通道(降噪和均衡學(xué)習(xí))。當信息性足夠高(低)時，波動性和信息性正(負)平衡。我們確定了保證波動性和信息性正向或負向變化的原語條件。我們引入了運動分數(shù)，這是一種測量給定資產(chǎn)到正/負運動區(qū)域的距離的統(tǒng)計數(shù)據(jù)。從經(jīng)驗上看，在過去的幾十年里，移動得分(i)呈下降趨勢，(ii)與價值和特質(zhì)波動性呈正相關(guān)，與規(guī)模和機構(gòu)所有權(quán)呈負相關(guān)。

From patriarchy to partnership: Gender equality and household finance

從父權(quán)制到伙伴關(guān)系:性別平等與家庭財務(wù)

Luigi Guiso, Luana Zaccaria

We obtain a model-driven measure of gender norms on intra-household financial decision making by leveraging dramatic variation across Italian cohorts and regions in the gender of the household head. We use these estimates to identify the effects of gender parity on household financial decisions. More egalitarian norms increase household participation in financial markets, equity holdings, asset diversification, and returns on investments. This evidence suggests that gender roles can have large economic costs. Consistent with this view, we show that patriarchal norms began receding in the early 1990s, when a pension reform made it too costly to comply with traditional roles.

我們通過利用意大利各群體和地區(qū)在戶主性別方面的巨大差異，獲得了一個模型驅(qū)動的家庭內(nèi)部財務(wù)決策性別規(guī)范的衡量標準。我們使用這些估計來確定性別平等對家庭財務(wù)決策的影響。更平等的規(guī)范增加了家庭對金融市場、股權(quán)持有、資產(chǎn)多樣化和投資回報的參與。這一證據(jù)表明，性別角色可能會帶來巨大的經(jīng)濟成本。與這一觀點一致，我們表明，父權(quán)規(guī)范在20世紀90年代初開始消退，當時養(yǎng)老金改革使得遵守傳統(tǒng)角色的成本過高。

Financial markets and unemployment

金融市場與失業(yè)

Tommaso Monacelli, Vincenzo Quadrini, Antonella Trigari

We study the importance of financial markets for (un)employment fluctuations in a model with matching frictions where firms borrow under limited enforcement. Borrowing affects employment through a ‘debt bargaining channel’: higher debt improves the bargaining position of employers with workers and increases the incentive to hire. We estimate the model structurally and find that the debt bargaining channel accounts for 26 percent of unemployment fluctuations. We find empirical support for the channel at the micro level using firm level data from Compustat.

我們在一個具有匹配摩擦的模型中研究了金融市場對(非)就業(yè)波動的重要性，其中企業(yè)在有限強制下借款。借貸通過“債務(wù)討價還價渠道”影響就業(yè):較高的債務(wù)提高了雇主與工人討價還價的地位，增加了雇傭的動力。我們對模型進行了結(jié)構(gòu)估計，發(fā)現(xiàn)債務(wù)談判渠道占失業(yè)率波動的26%。我們使用來自Compustat的企業(yè)層面數(shù)據(jù)在微觀層面上找到了對渠道的實證支持。

The negativity bias and perceived return distributions: Evidence from a pandemic

消極偏見和感知回報分布:來自大流行的證據(jù)

Richard Sias, Laura T. Starks, H.J. Turtle

We hypothesize that the well-documented negativity bias, the psychological tendency to asymmetrically emphasize negative over positive aspects, can help explain several financial market phenomena: why most individuals hold strongly bearish views of both short- and long-term equity return distributions, why individuals exhibit heterogeneous beliefs, and the stock market participation puzzle. Using variation in the perceived risk of mortality from the swine flu pandemic as our primary proxy for an individual's negativity bias, we find strong support for our hypothesis even when controlling for alternative mechanisms including optimism, risk aversion, ambiguity aversion, and anxiety.

我們假設(shè)，證據(jù)充分的消極偏見，即不對稱地強調(diào)消極而非積極方面的心理傾向，可以幫助解釋幾個金融市場現(xiàn)象:為什么大多數(shù)人對短期和長期股票回報分布持強烈的看跌觀點，為什么個人表現(xiàn)出異質(zhì)的信念，以及股票市場參與之謎。使用豬流感大流行死亡感知風(fēng)險的變化作為個體消極偏見的主要代理，我們發(fā)現(xiàn)即使在控制樂觀、風(fēng)險厭惡、模糊厭惡和焦慮等替代機制時，我們的假設(shè)也得到了強有力的支持。

Supporting small firms through recessions and recoveries

支持小企業(yè)渡過衰退和復(fù)蘇

Diana Bonfim, Cláudia Custódio, Clara Raposo

We use variation in the access to a government credit certification program to estimate the financial and real effects of supporting small firms. This program was first implemented during the global financial crisis, but has remained active ever since, allowing us to analyze its effects both during recessions and recoveries. Eligible firms have access to government loan guarantees and a credit quality certification. We estimate real effects using a multidimensional regression discontinuity design. We find that eligible firms borrow more and at lower rates than non-eligible firms, allowing them to increase investment and employment during crises. Industry-level analysis shows reduced productivity heterogeneity in more exposed industries, which is consistent with improved credit allocation. However, when the economy is recovering the effects of the program are less pronounced and centered on the certification component. The cost-per-job in the recovery period is half of the one estimated for the crisis period (5784€ and 11,788€, respectively).

我們利用獲得政府信用認證計劃的機會來評估支持小企業(yè)的財務(wù)和實際影響。該計劃最初是在全球金融危機期間實施的，但此后一直保持活躍，使我們能夠分析其在衰退和復(fù)蘇期間的影響。符合條件的公司可以獲得政府貸款擔(dān)保和信用質(zhì)量認證。我們使用多維回歸不連續(xù)設(shè)計來估計實際效果。我們發(fā)現(xiàn)，符合條件的企業(yè)比不符合條件的企業(yè)借款更多，利率更低，這使它們能夠在危機期間增加投資和就業(yè)。行業(yè)層面的分析顯示，暴露程度較高的行業(yè)的生產(chǎn)率異質(zhì)性降低，這與信貸分配的改善是一致的。然而，當經(jīng)濟復(fù)蘇時，該計劃的影響就不那么明顯了，主要集中在認證部分?；謴?fù)期的每項工作費用是危機期間估計費用的一半(分別為5784歐元和11788歐元)。