Journal of Financial Economics? 2023年第1期

Volume 147, Issue 2，F(xiàn)ebruary 2023

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——更多動態(tài)，請持續(xù)關注gzh：理想主義的百年孤獨

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1.Origins of international factor structures

國際要素結構的起源

Zhengyang Jiang, Robert J. Richmond

We show that exchange rate correlations tend to be explained by the global trade network while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain these findings using a model of the global trade network with market segmentation. Interdependent global production generates international comovements, while market segmentation disconnects the drivers of exchange rate correlations from the drivers of consumption correlations. Moreover, we show that the trade network generates common factors found in exchange rates. Our findings offer a trade-based account of the origins of international comovements and shed light on important frictions in international markets.

研究表明，匯率相關性可以用全球貿(mào)易網(wǎng)絡來解釋，而消費相關性可以用生產(chǎn)率相關性來解釋。與其他國家建立共同的貿(mào)易聯(lián)系會增加雙邊聯(lián)系之外的匯率相關性。我們使用一個帶有市場分割的全球貿(mào)易網(wǎng)絡模型來解釋這些發(fā)現(xiàn)。相互依存的全球生產(chǎn)產(chǎn)生了國際聯(lián)動，而市場分割則將匯率相關性的驅動因素與消費相關性的驅動因素分離開來。此外，我們還發(fā)現(xiàn)，貿(mào)易網(wǎng)絡產(chǎn)生了匯率中的共同因素。我們的發(fā)現(xiàn)提供了一個以貿(mào)易為基礎的帳戶的起源的國際變化，并闡明了在國際市場上的重要摩擦。

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2.What do outside CEOs really do? Evidence from plant-level data

外部的ceo都做些什么?來自工廠層面數(shù)據(jù)的證據(jù)

John (Jianqiu) Bai, Anahit Mkrtchyan

Using rich plant-level data, we analyze the relative performance of firms with inside and outside CEOs. We show that firms with outside CEOs achieve greater productivity improvements compared to firms with inside CEOs. Contrary to conventional wisdom, the relation is stronger in well-performing, rather than poorly performing, firms. Although part of the productivity growth differential comes from divesting low-performing, peripheral, low-tech, and unionized plants, most productivity improvements arise from streamlining continuing plants. Here, productivity is increased by consolidating products, changing the composition of investments toward newer capital, shifting to more capital-intensive production, adopting structured management practices, and improving labor productivity.

利用豐富的工廠級數(shù)據(jù)，我們分析了擁有內(nèi)部和外部首席執(zhí)行官的公司的相對績效。我們發(fā)現(xiàn)，與擁有內(nèi)部首席執(zhí)行官的公司相比，擁有外部首席執(zhí)行官的公司實現(xiàn)了更大的生產(chǎn)率提高。與傳統(tǒng)觀點相反，這種關系在表現(xiàn)良好的公司中比表現(xiàn)不佳的公司更強。盡管生產(chǎn)率增長的部分差異來自于剝離業(yè)績不佳、邊緣、低技術和工會化的工廠，但大多數(shù)生產(chǎn)率提高來自于精簡持續(xù)經(jīng)營的工廠。在這種情況下，生產(chǎn)率的提高是通過整合產(chǎn)品、將投資成分轉向較新的資本、轉向資本密集型生產(chǎn)、采用結構化管理實踐和提高勞動生產(chǎn)率來實現(xiàn)的。

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3.Small and vulnerable: SME productivity in the great productivity slowdown

小而脆弱:中小企業(yè)生產(chǎn)率在大生產(chǎn)率中放緩

Sophia Chen, Do Lee

We show that the TFP growth of European micro, small, and medium-sized firms (SMEs) diverged from large firms after the global financial crisis. The average postcrisis TFP growth of medium-sized, small, and micro firms was, respectively, 1.1, 2.9, and 5.4 percentage points lower than that of large firms. This SME productivity gap is larger for firms with more severe credit supply shocks. The gap is partially attributable to a larger postcrisis reduction in intangible capital at SMEs than at large firms. Horseraces suggest that SME indicators are more robust and more powerful predictors of postcrisis TFP growth than other indicators.

研究發(fā)現(xiàn)，全球金融危機后，歐洲中小微企業(yè)的TFP增長與大企業(yè)的TFP增長出現(xiàn)了差異。危機后中小微企業(yè)的TFP平均增速分別比大企業(yè)低1.1、2.9和5.4個百分點。信貸供給沖擊越嚴重的企業(yè)，中小企業(yè)生產(chǎn)率差距越大。這一差距的部分原因是，危機后中小企業(yè)的無形資本減少幅度大于大型企業(yè)。賽馬數(shù)據(jù)表明，與其他指標相比，中小企業(yè)指標對危機后TFP增長的預測更為穩(wěn)健和有力。

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4.Do firms with specialized M&A staff make better acquisitions?

擁有專業(yè)并購人員的公司能更好地進行收購嗎?

Sinan Gokkaya, Xi Liu, René M. Stulz

We open the black box of the M&A decision process by examining whether specialized M&A staff, who perform a wide range of acquisition-related functions, improve acquisition performance. We find that the presence and the quality of specialized M&A staff is one of the most economically important determinants of acquisition performance. We explore mechanisms through which specialized M&A staff improve acquisition performance and investigate why only less than half of US firms employ such staff. Agency costs are a first-order determinant for specialized M&A staff's value-creation role. Such staff do not improve acquisition performance in firms with heightened agency conflicts.

本文通過考察專業(yè)的并購人員是否能夠提升并購績效，打開了并購決策過程的黑箱。我們發(fā)現(xiàn)，專業(yè)并購人員的存在和質量是并購績效最重要的經(jīng)濟決定因素之一。我們探索了專業(yè)并購人員提高并購績效的機制，并調查了為什么只有不到一半的美國公司雇傭了這類人員。代理成本是專業(yè)并購人員發(fā)揮價值創(chuàng)造作用的一階決定因素。在代理沖突加劇的企業(yè)中，這類員工并不能提高并購績效。

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5.Presidential economic approval rating and the cross-section of stock returns

總統(tǒng)經(jīng)濟支持率和股票回報的橫截面

Zilin Chen, Zhi Da, Dashan Huang, Liyao Wang

We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president’s handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR beta dynamically reveals a firm’s perceived alignment to the incumbent president’s economic policies and investors seem to misprice such an alignment.

我們通過對總統(tǒng)在各種全國民調中處理經(jīng)濟的平均評級，構建了1981年至2019年每月的總統(tǒng)經(jīng)濟支持率(PEAR)指數(shù)。在橫截面上，在風險調整的基礎上，對梨指數(shù)變化的高貝塔指數(shù)的股票在未來每月的表現(xiàn)顯著低于低貝塔指數(shù)的1.00%。低梨beta溢價持續(xù)長達一年，并存在于各種子樣本，甚至在其他G7國家。PEAR beta動態(tài)地揭示了一家公司被認為與現(xiàn)任總統(tǒng)的經(jīng)濟政策一致，而投資者似乎對這種一致定價錯誤。

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6.Mutual fund performance at long horizons

長期共同基金的表現(xiàn)

Hendrik Bessembinder, Michael J. Cooper, Feng Zhang

The percentage of U.S. equity mutual funds that outperform the SPY ETF over the last 30 years decreases substantially as the horizon over which returns are measured is increased. Further, some funds with positive monthly alpha estimates have negative long-horizon abnormal returns. These results reflect positive skewness in the distribution of fund returns that increases with horizon, and highlight the limitations of conditional arithmetic means of short-horizon returns (e.g., alpha) for long-horizon investors. We tabulate an aggregate wealth loss of $1.02 trillion to mutual fund investors over our 30-year sample, when opportunity costs are based on beta-adjusted SPY returns.

在過去30年中，隨著衡量回報的范圍的增加，表現(xiàn)優(yōu)于SPY ETF的美國股票共同基金的百分比大幅下降。此外，一些月度alpha估計為正的基金的長期超額收益為負。這些結果反映了基金收益隨視距增加的正偏態(tài)分布，并突出了短期收益(如alpha)條件算術平均值對長期投資者的局限性。在我們的30年樣本中，當機會成本基于beta調整后的間諜回報時，我們列出了共同基金投資者總計1.02萬億美元的財富損失。

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7.Collateral quality and intervention traps

抵押品質量和干預陷阱

Michael Junho Lee, Daniel Neuhann

What determines the supply of good collateral? We study a dynamic model in which borrowers must exert effort to maintain collateral quality and markets become illiquid when average quality is too low. Average quality grows quickly when it is high initially, but deteriorates or grows slowly otherwise. As such, even long-run market conditions are sensitive to a wide array of fundamental and non-fundamental shocks. Recoveries from illiquidity can occur, but only if funding is inefficiently rationed for some time. Policymakers without commitment may fall into?intervention traps?in which ex-post efficient liquidity injections cause permanent declines in collateral quality.

是什么決定了優(yōu)質抵押品的供應?我們研究了一個動態(tài)模型，在該模型中，借款人必須努力保持抵押品質量，當平均質量過低時，市場變得缺乏流動性。當初始質量很高時，平均質量增長很快，但反之則惡化或增長緩慢。因此，即使是長期市場狀況也對廣泛的基本面和非基本面沖擊敏感。從流動性不足中復蘇是可以實現(xiàn)的，但前提是在一段時間內(nèi)資金缺乏效率。沒有承諾的政策制定者可能會陷入干預陷阱，在這種陷阱中，事后有效的流動性注入會導致抵押品質量永久性下降。

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8.Sovereign risk premia and global macroeconomic conditions

Sandro C. Andrade, Adelphe Ekponon, Alexandre Jeanneret

We study how shifting global macroeconomic conditions affect sovereign bond prices. Bondholders earn premia for two sources of systematic risk: exposure to low-frequency changes in the state of the economy, as captured by expected macroeconomic growth and volatility, and exposure to higher-frequency macroeconomic shocks. Our model predicts that the first source, labeled long-run macro risk, is the primary driver of the level and the cross-sectional variation in sovereign bond premia. We find support for this prediction using sovereign bond return data for 43 countries over the 1994–2018 period. A long-short portfolio based on long-run macro risk earns 8.11% per year in our sample.

我們研究全球宏觀經(jīng)濟狀況的變化如何影響主權債券價格。債券持有人賺取兩種系統(tǒng)性風險來源的溢價:經(jīng)濟狀況低頻變化的風險敞口(由預期的宏觀經(jīng)濟增長和波動反映)，以及高頻宏觀經(jīng)濟沖擊的風險敞口。我們的模型預測，第一個來源，即長期宏觀風險，是主權債券溢價水平和橫截面變化的主要驅動因素。我們利用43個國家1994-2018年期間的主權債券回報數(shù)據(jù)發(fā)現(xiàn)，這一預測得到了支持。在我們的樣本中，基于長期宏觀風險的長短期投資組合的年收益為8.11%。

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9.Institutional investors, the dollar, and U.S. credit conditions

機構投資者、美元和美國信貸條件

Friederike Niepmann, Tim Schmidt-Eisenlohr

A strong dollar has been associated with lower lending to emerging markets and tighter global financial conditions. This paper documents similar patterns for credit in the U.S. economy: when the U.S. broad dollar index appreciates by 1 percent, U.S. banks’ corporate loan originations fall by 4.5 percent, with banks tightening credit standards and lending to safer borrowers. This negative correlation, which we term the U.S. dollar credit channel, is at least in part driven by institutional investors, who reduce their demand for risky loans on the secondary loan market when the dollar appreciates. As it becomes harder to sell loans to these investors, banks lend less.

美元走強一直與新興市場貸款減少和全球金融環(huán)境收緊有關。本文記錄了美國經(jīng)濟中類似的信貸模式:當美國廣義美元指數(shù)升值1%時，美國銀行的企業(yè)貸款發(fā)放量下降4.5%，銀行收緊信貸標準，向更安全的借款人發(fā)放貸款。這種負相關關系，我們稱之為美元信貸渠道，至少在一定程度上是由機構投資者驅動的，當美元升值時，機構投資者減少了在二級貸款市場上對風險貸款的需求。隨著向這些投資者出售貸款變得越來越困難，銀行發(fā)放的貸款也越來越少。

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10.What are the events that shake our world? Measuring and hedging global COVOL

什么事件震撼了我們的世界?衡量和對沖全球COVOL

Robert F. Engle, Susana Campos-Martins

Some events impact volatilities of most assets, asset classes, sectors and countries, causing serious damage to investment portfolios. The magnitude of such shocks is defined as global COVOL which is an abbreviation for global common volatility, a broad measure of all types of global financial risk. This paper introduces a statistical formulation of such events as common volatility innovations in both a multivariate volatility and an asset pricing context. Simulations verify the statistical performance of a simple but novel estimator and of a test to detect global COVOL. Two empirical examples show the events that have had the biggest impact on financial markets. The results are useful for portfolio optimization and risk forecasting.

一些事件會影響大部分資產(chǎn)、資產(chǎn)類別、行業(yè)和國家的波動，對投資組合造成嚴重損害。這種沖擊的強度被定義為全球COVOL，這是全球共同波動率的縮寫，是對所有類型全球金融風險的廣泛衡量。本文介紹了在多元波動率和資產(chǎn)定價背景下，常見波動率創(chuàng)新事件的統(tǒng)計公式。仿真驗證了一個簡單但新穎的估計器和檢測全局COVOL的測試的統(tǒng)計性能。兩個經(jīng)驗例子顯示了對金融市場影響最大的事件。研究結果對投資組合優(yōu)化和風險預測具有重要意義。

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11.Industry asset revaluations around public and private acquisitions

圍繞公共和私人收購進行行業(yè)資產(chǎn)重估

Fran?ois Derrien, Laurent Frésard, Victoria Slabik, Philip Valta

Revaluations of industry peers around horizontal acquisitions are negative when targets are private, but positive when they are public. We posit this “revaluation spread” arises because acquiring managers favor private targets when public firms are overvalued. Targets’ ownership status thus conveys information about industry assets’ misvaluation and triggers predictable revaluations. Supporting this idea, private acquisitions occur when private targets appear “cheaper” than public firms based on valuation multiples or the trading activity of industry insiders. The revaluation spread varies with overall market misvaluation, predicts future industry returns, and is unrelated to peers’ and industries’ fundamentals.

當目標是私人公司時，圍繞橫向收購的行業(yè)同行的重估是負面的，但當目標是公開時，重估是正面的。我們假設，這種“重估價差”的出現(xiàn)，是因為當上市公司估值過高時，收購經(jīng)理更青睞私人目標公司。因此，目標公司的所有權狀況傳達了有關行業(yè)資產(chǎn)錯誤估值的信息，并觸發(fā)了可預測的重估。支持這一觀點的是，根據(jù)估值倍數(shù)或業(yè)內(nèi)人士的交易活動，當私人目標公司看起來比上市公司”更便宜”時，就會發(fā)生私人收購。重估利差隨市場整體錯誤估值而變化，預測未來行業(yè)回報，與同業(yè)及行業(yè)基本面無關。

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