The Journal of Finance 2023年第1期

Volume 78: Issue 1 (February 2023)

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

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1.Optimal Financial Transaction Taxes

最優(yōu)金融交易稅

EDUARDO DáVILA

This paper characterizes the optimal transaction tax in an equilibrium model of financial markets. If investors hold heterogeneous beliefs unrelated to their fundamental trading motives and the planner calculates welfare using any single belief, a positive tax is optimal, regardless of the magnitude of fundamental trading. Under some conditions, the optimal tax is independent of the planner's belief. The optimal tax can be implemented by adjusting its value until total volume equals fundamental volume. Knowledge of (i) the share of nonfundamental trading volume and (ii) the semielasticity of trading volume to tax changes is sufficient to quantify the optimal?tax.

本文刻畫了金融市場均衡模型下的最優(yōu)交易稅。如果投資者持有與其基本交易動機(jī)無關(guān)的異質(zhì)信念，而規(guī)劃師使用任何單一信念計(jì)算福利，那么正稅收是最優(yōu)的，無論基本交易的規(guī)模如何。在一定條件下，最優(yōu)稅收與規(guī)劃者的信念無關(guān)。最優(yōu)稅收可以通過調(diào)整其價(jià)值，直到總量等于基本總量來實(shí)現(xiàn)。了解(i)非基本面交易量的份額和(ii)交易量對稅收變化的半彈性足以量化最優(yōu)稅收。

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2.Less Mainstream Credit, More Payday Borrowing? Evidence from Debt Collection Restrictions

減少主流信貸，增加發(fā)薪日借貸?債務(wù)催收限制的證據(jù)

JULIA FONSECA

Governments regulate debt collectors to protect consumers from predatory practices. These restrictions may lower repayment, reducing the supply of mainstream credit and increasing demand for alternative credit. Using individual credit record data and a difference‐in‐differences design comparing consumers in states that tighten restrictions on debt collection to those in neighboring states that do not, I find that restricting collections reduces access to mainstream credit and increases payday borrowing. These findings provide new evidence of substitution between alternative and mainstream credit and point to a trade‐off between shielding consumers from certain collection practices and pushing them into higher cost payday lending?markets.

政府對收債人進(jìn)行監(jiān)管，以保護(hù)消費(fèi)者免受掠奪性行為的影響。這些限制可能會降低還款，減少主流信貸的供應(yīng)，增加對替代信貸的需求。通過使用個人信用記錄數(shù)據(jù)和差別化設(shè)計(jì)，將收緊債務(wù)催收限制的州的消費(fèi)者與不收緊債務(wù)催收限制的鄰近州的消費(fèi)者進(jìn)行比較，我發(fā)現(xiàn)，限制催收限制減少了獲得主流信貸的機(jī)會，增加了發(fā)薪日借款。這些發(fā)現(xiàn)為替代性信貸和主流信貸之間的替代提供了新的證據(jù)，并指出了保護(hù)消費(fèi)者免受某些催收做法的影響和推動他們進(jìn)入成本更高的發(fā)薪日貸款市場之間的權(quán)衡。

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3.Disruption and Credit Markets

混亂和信貸市場

BO BECKER, VICTORIA IVASHINA

We show that over the past half‐century, innovative disruptions were central to understanding corporate defaults. In a given year, industries experiencing abnormally high venture capital or initial public offering activity subsequently see higher default rates, higher segment exits by conglomerates, and higher yields on bonds issued by the firms in these industries. Overall, we find that disruption is a broad phenomenon, negatively affecting incumbent firms across the spectrum of age, valuation, and levers, with the exception of very large and low‐leverage firms, in line with our central hypothesis.

我們表明，在過去的半個世紀(jì)中，創(chuàng)新干擾是理解企業(yè)違約的核心。在特定的一年里，經(jīng)歷了異常高的風(fēng)險(xiǎn)資本或首次公開發(fā)行活動的行業(yè)隨后出現(xiàn)了更高的違約率，企業(yè)集團(tuán)的分部退出率更高，以及這些行業(yè)的公司發(fā)行的債券的收益率更高?？傮w而言，我們發(fā)現(xiàn)顛覆是一個廣泛的現(xiàn)象，對年齡、估值和杠桿水平的在位公司產(chǎn)生了負(fù)面影響，但非常大和低杠桿水平的公司除外，這與我們的中心假設(shè)一致。

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4.How Risky Are U.S. Corporate Assets?

美國公司資產(chǎn)的風(fēng)險(xiǎn)有多大?

TETIANA DAVYDIUK, SCOTT RICHARD, IVAN SHALIASTOVICH, AMIR YARON

We use market data on corporate bonds and equities to measure the value of U.S. corporate assets and their payouts to investors. In contrast to equity dividends, total corporate payouts are highly volatile, turn negative when corporations raise capital, and are acyclical. At the same time, corporate asset returns are similar to returns on equity, and both are exposed to fluctuations in economic growth. To reconcile this evidence, we argue that acyclical but volatile net repurchases mask the exposure of total payouts' cash components to economic growth risks. We develop an asset pricing framework to quantitatively illustrate this economic?channel.

我們使用公司債券和股票的市場數(shù)據(jù)來衡量美國公司資產(chǎn)的價(jià)值及其對投資者的支付。與股票股息相比，公司的總派息高度波動，在公司籌集資本時變?yōu)樨?fù)值，而且是非周期性的。同時，企業(yè)資產(chǎn)收益率與凈資產(chǎn)收益率相似，兩者都受到經(jīng)濟(jì)增長波動的影響。為了調(diào)和這一證據(jù)，我們認(rèn)為，無周期性但波動的凈回購掩蓋了總支付的現(xiàn)金組成部分對經(jīng)濟(jì)增長風(fēng)險(xiǎn)的敞口。我們開發(fā)了一個資產(chǎn)定價(jià)框架來定量說明這一經(jīng)濟(jì)渠道。

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5.International Yield Curves and Currency Puzzles

國際收益率曲線和貨幣難題

MIKHAIL CHERNOV, DREW CREAL

The currency depreciation rate is often computed as the ratio of foreign to domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. This happens because of the FX bond disconnect, the inability of bonds to span exchange rates. Incorporating innovations to the pricing kernel that affect exchange rates but not bonds helps resolve the puzzles. This approach also allows one to relate news about cross‐country differences between international yields to news about currency risk?premiums.

貨幣貶值率通常以國外定價(jià)內(nèi)核與國內(nèi)定價(jià)內(nèi)核的比率來計(jì)算。單獨(dú)使用債券價(jià)格來估計(jì)這些核心會導(dǎo)致貨幣難題:模型無法匹配未揭示的利率平價(jià)的違反和匯率的波動。這是因?yàn)橥鈪R債券脫節(jié)，即債券無法跨越匯率。將影響匯率但不影響債券的創(chuàng)新納入定價(jià)核心，有助于解決這些難題。這種方法還允許人們將國際收益率的跨國差異與貨幣風(fēng)險(xiǎn)溢價(jià)的消息聯(lián)系起來。

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6.Decentralization through Tokenization

通過標(biāo)記化去中心化

MICHAEL SOCKIN, WEI XIONG

We examine decentralization of digital platforms through tokenization as an innovation to resolve the conflict between platforms and users. By delegating control to users, tokenization through utility tokens acts as a commitment device that prevents a platform from exploiting users. This commitment comes at the cost of not having an owner with an equity stake who, in conventional platforms, would subsidize participation to maximize the platform's network effect. This trade‐off makes utility tokens a more appealing funding scheme than equity for platforms with weak fundamentals. The conflict reappears when nonusers, such as token investors and validators, participate on the?platform.

我們通過標(biāo)記化來研究數(shù)字平臺的去中心化，作為一種解決平臺與用戶之間沖突的創(chuàng)新。通過將控制權(quán)委托給用戶，通過實(shí)用令牌的令牌化充當(dāng)了一種承諾設(shè)備，防止平臺利用用戶。這種承諾的代價(jià)是，在傳統(tǒng)平臺上，沒有一個擁有股權(quán)的所有者會補(bǔ)貼參與，以最大限度地發(fā)揮平臺的網(wǎng)絡(luò)效應(yīng)。對于基本面較弱的平臺來說，這種交易使公用事業(yè)代幣成為比股票更有吸引力的融資計(jì)劃。當(dāng)代幣投資者和驗(yàn)證者等非用戶參與該平臺時，沖突會再次出現(xiàn)。

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7.Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price

流動性需求和一價(jià)定律的偏離

TODD M. HAZELKORN, TOBIAS J. MOSKOWITZ, KAUSHIK VASUDEVAN

Deviations from the law of one price between futures and spot prices—the futures‐cash basis—capture information about liquidity demand for equity market exposure in global markets. We show that the basis comoves with dealer and investor futures positions, is contemporaneously positively correlated with futures and spot market returns, and negatively predicts futures and spot returns. These findings are consistent with the futures‐cash basis reflecting liquidity demand that is common to futures and cash equity markets. We find persistent supply‐demand imbalances for equity index exposure reflected in the basis, giving rise to an annual premium of 5% to 6%.

期貨和現(xiàn)貨價(jià)格之間偏離一價(jià)定律(期貨-現(xiàn)金基)的情況捕捉了全球市場中股票市場敞口的流動性需求信息。我們發(fā)現(xiàn)，該基與交易商和投資者期貨頭寸一致，與期貨和現(xiàn)貨市場收益同時正相關(guān)，并負(fù)向預(yù)測期貨和現(xiàn)貨市場收益。這些發(fā)現(xiàn)與期貨-現(xiàn)金基差一致，反映了期貨和現(xiàn)金股票市場普遍存在的流動性需求。我們發(fā)現(xiàn)，股票指數(shù)投資的持續(xù)供需失衡反映在基準(zhǔn)上，導(dǎo)致每年5%至6%的溢價(jià)。

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8.Principal Portfolios

主要投資組合

BRYAN KELLY, SEMYON MALAMUD, LASSE HEJE PEDERSEN

We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own‐signal predictability, assuming equal strength across securities, our framework includes cross‐predictability—leading to three main results. First, we derive the optimal strategy in closed form. It consists of eigenvectors of a “prediction matrix,” which we call “principal portfolios.” Second, we decompose the problem into alpha and beta, yielding optimal strategies with, respectively, zero and positive factor exposure. Third, we provide a new test of asset pricing models. Empirically, principal portfolios deliver significant out‐of‐sample alphas to standard factors in several data?sets.

我們提出了一個新的資產(chǎn)定價(jià)框架，其中所有證券的信號預(yù)測每個個體的收益。雖然文獻(xiàn)關(guān)注證券自身信號的可預(yù)測性，假設(shè)各證券的強(qiáng)度相等，但我們的框架包括交叉可預(yù)測性，從而導(dǎo)致三個主要結(jié)果。首先，我們以封閉形式推導(dǎo)出最優(yōu)策略。它由“預(yù)測矩陣”的特征向量組成，我們稱之為“主要投資組合”。其次，我們將問題分解為α和β，分別給出零和積極因素暴露的最佳策略。第三，我們對資產(chǎn)定價(jià)模型進(jìn)行了新的測試。根據(jù)經(jīng)驗(yàn)，在幾個數(shù)據(jù)集中，主要投資組合對標(biāo)準(zhǔn)因子提供了顯著的樣本外阿爾法。

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9.Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market

小企業(yè)股權(quán)回報(bào):來自商業(yè)信用卡證券化市場的經(jīng)驗(yàn)證據(jù)

MATTHIAS FLECKENSTEIN, FRANCIS A. LONGSTAFF

We present a new approach for estimating small business equity returns. This approach applies the Merton (1974) credit model to the returns on entrepreneurial business credit card debt securitizations and solves for the implied equity returns for the small businesses owned by the cardholders. The estimated small business equity premium is 10.74%. The standard deviation of small business equity returns is 56.37%. We validate the methodology by applying it to investment‐grade corporate bonds and recovering a public equity premium of 6.17%.

我們提出了一種估計(jì)小企業(yè)股權(quán)回報(bào)的新方法。該方法將Merton(1974)信用模型應(yīng)用于創(chuàng)業(yè)型企業(yè)信用卡債務(wù)證券化的回報(bào)，并求解持卡人擁有的小型企業(yè)的隱含股權(quán)回報(bào)。小企業(yè)股權(quán)溢價(jià)估計(jì)為10.74%。小企業(yè)股權(quán)回報(bào)率的標(biāo)準(zhǔn)差為56.37%。我們通過將該方法應(yīng)用于投資級公司債券并獲得6.17%的公開股權(quán)溢價(jià)來驗(yàn)證該方法。

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10.Beliefs Aggregation and Return Predictability

信念聚合和回報(bào)可預(yù)測性

ALBERT S. KYLE, ANNA A. OBIZHAEVA, YAJUN WANG

We study return predictability using a model of speculative trading among competitive traders who agree to disagree about the precision of private information. Although traders apply Bayes' Law consistently, returns are predictable. In addition to trading on long‐term fundamental value, traders also trade on perceived short‐term opportunities arising from foreseen future disagreement, as in a Keynesian beauty contest. Contradicting conventional wisdom, this short‐term speculation dampens price fluctuations and generates time‐series momentum. Model calibration shows quantitatively realistic patterns of return dynamics. Consistent with empirical evidence, our model predicts more pronounced momentum for stocks with higher trading?volume.

我們使用競爭性交易者之間的投機(jī)交易模型來研究回報(bào)的可預(yù)測性，這些交易者同意對私人信息的準(zhǔn)確性持不同意見。盡管交易者始終應(yīng)用貝葉斯定律，但回報(bào)是可預(yù)測的。除了基于長期基本價(jià)值進(jìn)行交易外，交易員還會根據(jù)可預(yù)見的未來分歧所產(chǎn)生的短期機(jī)會進(jìn)行交易，就像凱恩斯主義的選美比賽一樣。與傳統(tǒng)觀點(diǎn)相反，這種短期投機(jī)行為抑制了價(jià)格波動，并產(chǎn)生了時間序列動力。模型校準(zhǔn)在定量上顯示了回歸動態(tài)的真實(shí)模式。與經(jīng)驗(yàn)證據(jù)一致，我們的模型預(yù)測交易量越大的股票增長勢頭越明顯。

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11.Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

因子簇的貝葉斯解決方案:我們剛剛運(yùn)行了2千萬億個模型

SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD

We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high‐dimensional problems. For a (potentially misspecified) stand‐alone model, it provides reliable price of risk estimates for both tradable and nontradable factors, and detects those weakly identified. For competing factors and (possibly nonnested) models, the method automatically selects the best specification—if a dominant one exists—or provides a Bayesian model averaging–stochastic discount factor (BMA‐SDF), if there is no clear winner. We analyze 2.25 quadrillion models generated by a large set of factors and find that the BMA‐SDF outperforms existing models in‐ and?out‐of‐sample.

我們提出了一個分析線性資產(chǎn)定價(jià)模型的新框架:簡單，穩(wěn)健，適用于高維問題。對于一個(可能被錯誤指定的)獨(dú)立模型，它為可交易的和不可交易的因素提供了可靠的風(fēng)險(xiǎn)估計(jì)價(jià)格，并檢測出那些識別較弱的因素。對于競爭因素和(可能是非嵌套的)模型，該方法自動選擇最佳規(guī)格(如果存在主導(dǎo)規(guī)格)或提供貝葉斯模型平均-隨機(jī)折扣因子(BMA‐SDF)，如果沒有明確的贏家。我們分析了由大量因素生成的2.25千萬億模型，發(fā)現(xiàn)BMA‐SDF優(yōu)于現(xiàn)有的樣本內(nèi)和樣本外模型。

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