金融类顶级期刊目录推送|The Review of Financial Studies 34卷9期

• 这是“金融预测”第326期推送

• 编辑:罗楠(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———

The Review of Financial Studies

目录

contents

• The Economics of the Fed Put

• Kicking the Can Down the Road: Government Interventions in the European Banking Sector

• Bank Cleanups, Capitalization, and Lending: Evidence from India

• Demand Effects in the FX Forward Market: Micro Evidence from Banks’ Dollar Hedging

• How is Liquidity Priced in Global Markets?

• Funding Constraints and Informational Efficiency

• Learning about the Neighborhood

• Does Collateral Value Affect Asset Prices? Evidence from a Natural Experiment in Texas

• How Much Information Is Incorporated into Financial Asset Prices? Experimental Evidence

• Experience Does Not Eliminate Bubbles: Experimental Evidence

• User Interface and Firsthand Experience in Retail Investing

• Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

1

The Economics of the Fed Put

Anna Cieslak:Fuqua School of Business, Duke University, NBER and CEPR;

Annette Vissing-Jorgensen:Haas School of Business, University of California, Berkeley, NBER.

Abstract

Since the mid-1990s, negative stock returns comove with downgrades to the Fed’s growth expectations and predict policy accommodations. Textual analysis of FOMC documents reveals that policy makers pay attention to the stock market. The primary mechanism is their concern with the consumption wealth effect, with a secondary role for the market predicting the economy. We find little evidence of the Fed overreacting to the market in an ex post sense (reacting beyond the market’s effect on growth expectations). Although policy makers are aware that the Fed put could induce risk-taking, moral hazard considerations appear not to significantly affect their decision-making ex ante.

2

Kicking the Can Down the Road: Government Interventions in the European Banking Sector

Viral V Acharya:Stern School of Business, New York University;

Lea Borchert:University of Mannheim;

Maximilian Jager:University of Mannheim;

Sascha Steffen:Frankfurt School of Finance & Management.

Abstract

We analyze government interventions in the eurozone banking sector during the 2008–2009 financial crisis. Using a novel data set, we document that fiscally constrained governments “kicked the can down the road” by providing banks with guarantees instead of fully-fledged recapitalizations. We econometrically address the endogeneity associated with bailout decisions in identifying their consequences. We find that forbearance prompted undercapitalized banks to shift their assets from loans to risky sovereign debt and engage in zombie lending, resulting in weaker credit supply, elevated risk in the banking sector, and, eventually, a greater reliance on liquidity support from the European Central Bank.

3

Bank Cleanups, Capitalization, and Lending: Evidence from India

Yakshup Chopra:Olin Business School, Washington University in St. Louis;

Krishnamurthy Subramanian:Indian School of Business;

Prasanna L Tantri:Indian School of Business.

Abstract

We examine the Indian bank asset quality review, which doubled the declared loan delinquency rate. Relative economic stability during the exercise and the absence of a capital backstop together make it unique. We find that the expected reduction in information asymmetry does not automatically lead to the recapitalization of banks by markets. The consequent undercapitalization leads to underinvestment and risk-shifting through zombie lending. The impact flows to the real economy through borrowers, including shadow banks, and adversely impacts growth. These findings show that bank cleanup exercises not accompanied by policies aimed at recapitalization may be insufficient even during normal times.

4

Demand Effects in the FX Forward Market: Micro Evidence from Banks’ Dollar Hedging

Abbassi Puriya:Deutsche Bundesbank;

Falk Bräuning:Federal Reserve Bank of Boston.

Abstract

Using contract-level supervisory data, we show that dollar forward sales by non-U.S. banks that are initiated at the end of a quarter and mature shortly after it concludes trade at higher prices and higher volumes. These effects are driven by banks with large net on-balance-sheet dollar assets that they can hedge around quarter ends by selling dollars forward (increasing off-balance-sheet short positions), which suggests regulatory arbitrage to reduce capital charges for open foreign exchange (FX) exposure. Our results indicate that demand effects related to banks’ management of FX exposure are an important driver of deviations from covered interest rate parity.

5

How is Liquidity Priced in Global Markets?

Ines Chaieb:University of Geneva and Swiss Finance Institute;

Vihang Errunza:McGill University；

Hugues Langlois:HEC Paris.

Abstract

We develop a new global asset pricing model to study how illiquidity interacts with market segmentation and investability constraints in 42 markets. Noninvestable stocks that can only be held by foreign investors earn higher expected returns compared to freely investable stocks due to limited risk sharing and higher illiquidity. In addition to the world market premium, on average, developed and emerging market noninvestables earn an annual unspanned local market risk premium of |$1.17\%$| and |$9.04\%$|⁠, and a liquidity level premium of |$1.06\%$| and |$2.39\%$|⁠, respectively. These results obtained in a conditional setup are robust to the choice of liquidity measure.

6

Funding Constraints and Informational Efficiency

Sergei Glebkin:INSEAD;

Naveen Gondhi:INSEAD;

John Chi-Fong Kuong:INSEAD.

Abstract

We analyze a tractable rational expectations equilibrium model with margin constraints. We argue that constraints affect and are affected by informational efficiency, leading to a novel amplification mechanism. A decline in wealth tightens constraints and reduces investors’ incentive to acquire information, lowering price informativeness. Lower informativeness, in turn, increases the risk borne by financiers who fund trades, leading them to further tighten constraints faced by investors. This information spiral leads to (a) significant increases in risk premium and return volatility in crises, when investors wealth declines, (b) complementarities in information acquisition in crises, and (c) complementarities in margin requirements.

7

Learning about the Neighborhood

Zhenyu Gao:Chinese University of Hong Kong;

Michael Sockin:University of Texas at Austin;

Wei Xiong:Princeton University, CUHK Shenzhen, and NBER.

Abstract

We develop a model to analyze information aggregation and learning in housing markets. Households enter a neighborhood by buying houses and consuming each other’s final goods. In the presence of pervasive informational frictions, housing prices serve as important signals to households and capital producers about the neighborhood’s economic strength. Our model provides a novel amplification mechanism in which noise from housing markets propagates throughout the local economy via learning because of the complementarity in households’ decisions, distorting migration into the neighborhood and the supply of capital and labor. We provide consistent evidence based on the recent U.S. housing cycle.

8

Does Collateral Value Affect Asset Prices? Evidence from a Natural Experiment in Texas

Albert Alex Zevelev:Baruch College.

Abstract

Does the ability to pledge an asset as collateral, after purchase, affect its price? This paper identifies the impact of collateral service flows on house prices, exploiting a plausibly exogenous constitutional amendment in Texas that legalized home equity loans in 1998. The law change increased Texas house prices 4 |$\%$|⁠; this is price-based evidence that households are credit-constrained and value home equity loans to facilitate consumption smoothing. Prices rose more in locations with inelastic supply, higher prelaw house prices, higher income, and lower unemployment. These estimates reveal that richer households value the option to pledge their home as collateral more strongly.

9

How Much Information Is Incorporated into Financial Asset Prices? Experimental Evidence

Lionel Page:University of Technology Sydney, Economics Discipline Group;

Christoph Siemroth:University of Essex, Department of Economics.

Abstract

We investigate the informational content of prices in financial asset markets. To do so, we use a large number of market experiments in which the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated into market prices. We find that public information is almost completely reflected in prices but that surprisingly little private information—less than 50%—is incorporated into prices. Our estimates therefore suggest that, while semistrong informational efficiency is consistent with the data, financial market prices may be very far from strong-form efficiency.

10

Experience Does Not Eliminate Bubbles: Experimental Evidence

Anita Kopányi-Peuker:CPB Netherlands Bureau for Economic Policy Analysis and Amsterdam School of Economics, University of Amsterdam;

Matthias Weber:School of Finance, University of St. Gallen.

Abstract

We study the role of investor experience in the formation of asset price bubbles. We conduct a call market experiment in which participants trade assets with each other and a learning-to-forecast experiment in which participants only forecast future prices (while trade based on these forecasts is computerized). Each experiment comprises three treatments varying the information that participants receive about the fundamental value. Each experimental market is repeated three times. Throughout, we observe sizable bubbles that persist despite participant experience. Our findings in the call market experiment contrast with those in the literature. Our findings in the learning-to-forecast experiment are novel.

11

User Interface and Firsthand Experience in Retail Investing

Li Liao:Tsinghua University;

Zhengwei Wang:Tsinghua University;

Jia Xiang:Tsinghua University;

Hongjun Yan:DePaul University;

Jun Yang:Indiana University.

Abstract

Using data from a major online peer-to-peer lending platform, we document that, due to time pressure, investors appear to focus on interest rates and only partially account for credit ratings in their decisions. The effect is stronger for mobile-based investors than for PC-based ones. Our evidence suggests that this variation is caused by the difference in information content on the interfaces rather than differences in the devices’ physical attributes per se. Investors improve their decisions by slowing down and paying more attention to credit ratings after experiencing a loan default firsthand, but not after observing others experiencing defaults.

12

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Stephen G Dimmock:National University of Singapore;

Roy Kouwenberg:Mahidol University and Erasmus University Rotterdam;

Olivia S Mitchell:The Wharton School of the University of Pennsylvania and NBER;

Kim Peijnenburg:EDHEC Business School and CEPR.

Abstract

We test whether probability weighting affects household portfolio choice in a representative survey. On average, people display inverse-S-shaped probability weighting, overweighting low probability events. As theory predicts, probability weighting is positively associated with portfolio underdiversification and significant Sharpe ratio losses. Analyzing respondents’ individual stock holdings, we find higher probability weighting is associated with owning lottery-type stocks and positively skewed equity portfolios. People with higher probability weighting are less likely to own mutual funds and more likely to either avoid equities or hold individual stocks. We are the first to empirically link individuals’ elicited probability weighting and real-world decisions under risk.

原文链接/Linkage

https://academic.oup.com/rfs/issue/34/9

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