金融类顶级期刊目录推送|Journal of Finance76卷5期

• 这是“金融预测”第324期推送

• 编辑:夏正兰(西南交通大学数学学院)
  

• 审稿:郭杨莉(西南交通大学经济管理学院)

• 仅用于学术交流，原本版权归原作者和原发刊所有

金融类顶级期刊系列推送———

Journal of Finance

目录

contents

• The Cross Section of MBS Returns

• Reinvestment Risk and the Equity Term Structure

• Inventory Management, Dealers' Connections, and Prices in Over-the-Counter Markets

• Tracking Retail Investor Activity

• Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets

• The Misallocation of Finance

• Property Rights to Client Relationships and Financial Advisor Incentives

• The Limits of p-Hacking:Some Thought Experiments

• Do Physiological and Spiritual Factors Affect Economic Decisions?

• Structuring Mortgages for Macroeconomic Stability

• Out-of-Town Home Buyers and City Welfare

• Prospect Theory and Stock Market Anomalies

1

The Cross Section of MBS Returns

PETER DIEP:AQR;

ANDREA L. EISFELDT:UCLA Anderson School of Management and NBER;

SCOTT RICHARDSON:AQR and London Business School.

Abstract

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate risk loadings using prepayment forecasts versus realizations. Estimated loadings on prepayment risk decrease monotonically in securities' coupons relative to the par coupon, consistent with the predicted effect of prepayment on bond value. Prepayment risk appears to be priced by specialized MBS investors. The price of prepayment risk changes sign over time with the sign of a representative MBS investor's exposure to prepayment shocks.

2

Reinvestment Risk and the Equity Term Structure

ANDREI S. GONÇALVES: Kenan-Flagler Business School, University of North Carolina.

Abstract

The equity term structure is downward sloping at long maturities. I estimate an Intertemporal Capital Asset Pricing Model (ICAPM) to show that the trade-off between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly exposed to market risk, they are good hedges for reinvestment risk because dividend prices rise as expected returns decline, and longer-term claims are more sensitive to discount rates. In the estimated ICAPM, reinvestment risk dominates at long maturities, inducing relatively low risk premia on long-term dividend claims. The model is also consistent with the equity term structure cyclicality and the upward-sloping bond term structure.

3

Inventory Management, Dealers' Connections, and Prices in Over-the-Counter Markets

JEAN-EDOUARD COLLIARD:HEC Paris;

THIERRY FOUCAULT:HEC Paris;

PETER HOFFMANN:European Central Bank.

Abstract

We propose a new model of trading in over-the-counter markets. Dealers accumulate inventories by trading with end-investors and trade among each other to reduce their inventory holding costs. Core dealers use a more efficient trading technology than peripheral dealers, who are heterogeneously connected to core dealers and trade with each other bilaterally. Connectedness affects prices and allocations if and only if the peripheral dealers' aggregate inventory position differs from zero. Price dispersion increases in the size of this position. The model generates new predictions about the effects of dealers' connectedness and dealers' aggregate inventories on prices.

4

Tracking Retail Investor Activity

EKKEHART BOEHMER:Singapore Management University, LKC School of Business;

CHARLES M. JONES:Columbia Business School;

XIAOYAN ZHANG:Tsinghua University, PBC School of Finance;

XINRAN ZHANG:Central University of Finance and Economics, School of Finance.

Abstract

We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week. Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or public news sentiment. There is suggestive, but only suggestive, evidence that retail marketable orders might contain firm-level information that is not yet incorporated into prices.

5

Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets

KELLY SHUE:Yale University and NBERS;

RICHARD R. TOWNSEND:University of California San Diego and NBERS.

Abstract

We hypothesize that investors partially think about stock price changes in dollar rather than percentage units, leading to more extreme return responses to news for lower-priced stocks. Consistent with such non-proportional thinking, we find a doubling in price is associated with a 20% to 30% decline in volatility and beta (controlling for size/liquidity). To identify a causal price effect, we show that volatility jumps following stock splits and drops following reverse splits. Lower-priced stocks also respond more strongly to firm-specific news. Non-proportional thinking helps explain asset pricing patterns such as the size-volatility/beta relation, the leverage effect puzzle, and return drift and reversals.

6

The Misallocation of Finance

TONI M. WHITED:University of Michigan and the NBER;

JAKE ZHAO:Peking University HSBC Business School.

Abstract

We estimate real losses arising from the cross-sectional misallocation of financial liabilities. Extending a production-based framework of misallocation measurement to the liabilities side of the balance sheet and using manufacturing firm data from the United States and China, we find significant misallocation of debt and equity in China but not the United States. Reallocating liabilities of firms in China to mimic U.S. efficiency would produce gains of 51% to 69% in real value-added, with only 17% to 21% stemming from inefficient debt-equity combinations. For Chinese firms that are large or in developed cities, we estimate lower distortionary financing costs.

7

Property Rights to Client Relationships and Financial Advisor Incentives

CHRISTOPHER P. CLIFFORD:Kentucky University;

WILLIAM C. GERKEN:Kentucky University.

Abstract

We study the effect of a change in property rights on employee behavior in the financial advice industry. Our identification comes from staggered firm-level entry into the Protocol for Broker Recruiting, which waived nonsolicitation clauses for advisor transitions among member firms, effectively transferring ownership of client relationships from the firm to the advisor. After the shock, advisors appear to tend to client relationships more by investing in client-facing industry licenses, shifting to fee-based advising, and reducing customer complaints. Our findings support property rights based investment theories of the firm and document offsetting costs to restricting labor mobility.

8

The Limits of p-Hacking: Some Thought Experiments

ANDREW Y. CHEN:the Federal Reserve Board.

Abstract

Suppose that the 300+ published asset pricing factors are all spurious. How much p-hacking is required to produce these factors? If 10,000 researchers generate eight factors every day, it takes hundreds of years. This is because dozens of published t-statistics exceed 6.0, while the corresponding p-value is infinitesimal, implying an astronomical amount of p-hacking in a general model. More structure implies that p-hacking cannot address ≈100 published t-statistics that exceed 4.0, as they require an implausibly nonlinear preference for t-statistics or even more p-hacking. These results imply that mispricing, risk, and/or frictions have a key role in stock returns.

9

Do Physiological and Spiritual Factors Affect Economic Decisions?

CEM DEMIROGLU:Koç University;

OGUZHAN OZBAS:University of Southern California – Marshall School of Business;

RUI C. SILVA:Nova School of Business and Economics;

MEHMET FATİH ULU:Koç University.

Abstract

We examine the effects of physiology and spiritual sentiment on economic decision-making in the context of Ramadan, an entire lunar month of daily fasting and increased spiritual reflection in the Muslim faith. Using an administrative data set of bank loans originated in Turkey during 2003 to 2013, we find that small business loans originated during Ramadan are 15% more likely to default within two years of origination. Loans originated in hot Ramadans, when adverse physiological effects of fasting are greatest, and those approved by the busiest bank branches perform worse. Despite their worse performance, Ramadan loans have lower credit spreads.

10

Structuring Mortgages for Macroeconomic Stability

JOHN Y. CAMPBELL:Harvard University and NBER;

NUNO CLARA:Duke University;

JOÃO F. COCCO:London Business School and CEPR.

Abstract

We study mortgage design features aimed at stabilizing the macroeconomy. We model overlapping generations of borrowers and an infinitely lived risk-averse representative lender. Mortgages are priced using an equilibrium pricing kernel derived from the lender's endogenous consumption. We consider an adjustable-rate mortgage with an option that during recessions allows borrowers to pay only interest on their loan and extend its maturity. The option stabilizes consumption growth over the business cycle, shifts defaults to expansions, and enhances welfare. The cyclical properties of the contract are attractive to a risk-averse lender so that the mortgage can be provided at a relatively low cost.

11

Out-of-Town Home Buyers and City Welfare

JACK FAVILUKIS:Sauder School of Business, University of British Columbia;

STIJN VAN NIEUWERBURGH:Columbia University, NBER and CEPR.

Abstract

Many cities have attracted a flurry of out-of-town (OOT) home buyers. Such capital inflows affect house prices, rents, construction, labor income, wealth, and ultimately welfare. We develop an equilibrium model to quantify the welfare effects of OOT home buyers for the typical U.S. metropolitan area. When OOT investors buy 10% of the housing in the city center and 5% in the suburbs, welfare among residents falls by 0.61% in consumption-equivalent units. House prices and rents rise substantially, resulting in welfare gains for owners and losses for renters. Policies that tax OOT buyers or mandate renting out vacant property mitigate welfare losses.

12

Prospect Theory and Stock Market Anomalies

NICHOLAS BARBERIS:Yale University;

LAWRENCE J. JIN:the California Institute of Technology;

BAOLIAN WANG:University of Florida.

Abstract

We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its ability to explain 23 prominent stock market anomalies. The model incorporates all of the elements of prospect theory, accounts for investors' prior gains and losses, and makes quantitative predictions about an asset's average return based on empirical estimates of the asset's return volatility, return skewness, and past capital gain. We find that the model can help explain a majority of the 23 anomalies.

原文链接/Linkage

https://onlinelibrary.wiley.com/toc/15406261/2021/76/5

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