学术快报 | Journal of Financial Economics 2020年第2期目录及摘要

Journalof Financial Economics

Volume 135, Issue 2

（Pages271-554 February 2020）  

             目录

[1].Shrinking the cross-sectionSerhiy Kozak, Stefan Nagel, Shrihari Santosh[2].Trading and arbitrage in cryptocurrency marketsIgor Makarov, Antoinette Schoar[3].A new perspective on post‐earnings‐announcement‐drift: Using a relative drift measureMichael Clement ,Joonho Lee ,Kevin Ow Yong[4].Show me the money: The monetary policy risk premiumAli Ozdagli, Mihail Velikov[5].Quantify the quantitative easing: Impact on bonds and corporate debt issuanceKaramfil Todorov[6].Trading out of sight: An analysis of cross-trading in mutual fund familiesAlexander Eisele, Tamara Nefedova, Gianpaolo Parise, Kim Peijnenburg[7].An ill wind? Terrorist attacks and CEO compensationYunhao Dai, P. Raghavendra Rau, Aris Stouraitis, Weiqiang Tan[8].Measuring skewness premiaHugues Langlois[9].Reputations and credit ratings: Evidence from commercial mortgage-backed securitiesRamin P. Baghai, Bo Becker[10].Financing dies in darkness? The impact of newspaper closures on public financePengjie Gao, Chang Lee, Dermot Murphy[11].An inconvenient cost: The effects of climate change on municipal bondsMarcus Painter[12].Institutional shareholders and corporate social responsibilityTao Chen, Hui Dong, Chen Lin[13].Inventor CEOsEmdad Islam, Jason Zein[14].Is information risk priced? Evidence from abnormal idiosyncratic volatilityYung Chiang Yang, Bohui Zhang, Chu Zhang

Shrinking the cross-section

Serhiy Kozaka

Universityof Maryland, 7621 Mowatt Lane, College Park, MD 20742, United States 

Stefan Nagel

Universityof Chicago, NBER, and CEPR, 5807 S Woodlawn Ave, Chicago, IL 60637, UnitedStates

Shrihari Santosh

 University of Colorado at Boulder, 995 RegentDr, Boulder, CO 80309, United States

Abstract:We construct a robust stochastic discount factor (SDF) summarizing the joint explanatorypower of a large number of cross-sectional stock return predictors. Our method achieves robust out-of-sample performance in this high-dimensional setting by imposing an economically motivated prior on SDF coefficients that shrinks contributions of lowvariance principal components of the candidate characteristics-based factors. We find that characteristics-sparse SDFs formed from a few such factors—e.g., the four- or five-factor models in the recent literature—cannot adequately summarize the cross-section of expected stock returns. However, an SDF formed from a small number of principal components performs well.
Keywords:Factor models,SDF,Cross section,Shrinkage,Machine learning

Trading and arbitrage in cryptocurrency markets

Igor Makarova

London School of Economics, Houghton Street, London WC2A 2AE, UK

 Antoinette Schoar

MIT Sloan, NBER, CEPR, 62-638, 100 Main Street, Cambridge, MA 02138, USA

Abstract:Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price deviations are much larger across than within countries, and smaller between cryptocurrencies, highlighting the importance of capital controls for the movement of arbitrage capital. Price deviations across countries co-move and open up in times of large bitcoin appreciation. Countries with higher bitcoin premia over the US bitcoin price see widening arbitrage deviations when bitcoin appreciates. Finally, we decompose signed volume on each exchange into a common and an idiosyncratic component. The common component explains 80% of bitcoin returns. The idiosyncratic components help explain arbitrage spreads between exchanges.

Keywords:Cryptocurrencies,Bitcoin,Arbitrage,Price impact,Capital controls

Show me the money: The monetary policy risk premium

Ali Ozdagli

Federal Reserve Bank of Boston, 600 Atlantic Avenue, Boston, MA 02210, United States

Mihail Velikov

Federal Reserve Bank of Richmond, 502 S Sharp St, Baltimore, MD 21201, United States

Abstract:We create a parsimonious monetary policy exposure (MPE) index based on observable firm characteristics that previous studies link to how stocks react to monetary policy. Our index successfully captures stocks’ responses to both conventional and unconventional monetary policy. Stocks whose prices react more positively to expansionary monetary policy (highMPE stocks) earn lower average returns. This result is consistent with the notion that highMPE stocks provide a hedge against bad economic shocks, to which the Federal Reserve responds with expansionary monetary policy. A long-short trading strategy designed to exploit this effect achieves an annualized Sharpe Ratio of 0.77.
Keywords:Monetary policy,Asset pricing,Risk factors

Quantify the quantitative easing: Impact on bonds and corporate debt issuance

Karamfil Todorov

Finance Department, The London School of Economics and Political Science, Houghton Street, London WC2A 2AE, United Kingdom

Abstract:This paper studies the impact of the European Central Bank’s (ECB) Corporate Sector Purchase Programme (CSPP) announcement on prices, liquidity, and debt issuance in the European corporate bond market using a data set on bond transactions from Euroclear. I find that the quantitative easing (QE) programme increased prices and liquidity of bonds eligible to be purchased substantially. Bond yields dropped on average by 30 basis points (bps) (8%) after the CSPP announcement. Tri-party repo turnover rose by 8.15 million USD (29%), and bilateral turnover went up by 7.05 million USD (72%). Bid-ask spreads also showed significant liquidity improvement in eligible bonds. QE was successful in boosting corporate debt issuance. Firms issued 2.19 billion EUR (25%) more in QE-eligible debt after the CSPP announcement, compared to other types of debt. Surprisingly, corporates used the attracted funds mostly to increase dividends. These effects were more pronounced for longer-maturity, lower-rated bonds, and for more credit-constrained, lower-rated firms.
Keywords:Quantitative easing,Corporate Sector Purchase Programme,ECB,Bond market Corporate debt issuance  

Trading out of sight: An analysis of cross-trading in mutual fund families

Alexander Eiselea

UBS Asset Management, Stockerstrasse 64, Zurich 8098, Switzerland

Tamara Nefedova

Université Paris-Dauphine, Place du Maréchal de Lattre de Tassigny, Paris 75775, France

Gianpaolo Parisec

EDHEC Business School, 393 Promenade des Anglais, Nice 06200, France

Kim Peijnenburgc

CEPR

Abstract:This paper explores how mutual fund groups set the price of in-house transactions among affiliated funds. We collect a data set of four million equity transactions and compare the pricing of trades crossed internally (cross-trades) with that of twin trades executed with external  counterparties. While cross-trades should reduce transaction costs for both trading parties, we find that the price of cross-trades is set strategically to reallocate performance among sibling funds. Furthermore, we provide evidence that a large number of cross-trades are backdated. We discuss the implications for the literature on fund performance and the current regulatory debate.
Keywords:Mutual fund families,Cross-trades,Monitoring,Backdating,Transfer pricing

An ill wind? Terrorist attacks and CEO compensation

Yunhao Dai

Huazhong University of Science and Technology, People’s Republic of China

P.Raghavendra Rau

Cambridge Judge Business School, University of Cambridge, Trumpington Street, Cambridge CB2 1AG, United Kingdom

Aris Stouraitis

Hong Kong Baptist University, Hong Kong SAR, People’s Republic of China

Weiqiang Tanc

Hong Kong Baptist University, Hong Kong SAR, People’s Republic of China

Abstract:Using multiple measures of attack proximity, we show that CEOs employed at firms located near terrorist attacks earn an average pay increase of 12% after the attack relative to CEOs at firms located far from attacks. CEOs at terrorist attack-proximate firms prefer cash-based compensation increases (e.g., salary and bonus) over equity-based compensation (e.g., options and stocks granted). The effect is causal and it is larger when the bargaining power of the CEO is high. Other executives and workers do not receive a terrorist attack premium
Keywords:Terrorist attacks,Executive compensation,Compensation structure,CEO labor market,Nonmonetary compensation

Measuring skewness premia

Hugues Langlois

HEC Paris, 1 rue de la Libération, Jouy-en-Josas 78350, France

Abstract:We provide a new methodology to empirically investigate the respective roles of systematic and idiosyncratic skewness in explaining expected stock returns. Using a large number of predictors, we forecast the cross-sectional ranks of systematic and idiosyncratic skewness, which are easier to predict than their actual values. Compared to other measures of ex ante systematic skewness, our forecasts create a significant spread in ex post systematic skewness. A predicted systematic skewness risk factor carries a significant and robust risk premium that ranges from 6% to 12% per year. In contrast, the role of idiosyncratic skewness in pricing stocks is less robust.
Keywords:Systematic skewness,Coskewness,Idiosyncratic skewness,Large panel regression,Forecasting

Reputations and credit ratings: Evidence from commercial mortgage-backed securities

Ramin P. Baghai

Department of Finance, Stockholm School of Economics, Box 6501, 11383 Stockholm, Sweden

 Bo Becker

Abstract:How do changes in a rating agency’s reputation affect the ratings market? We study the dynamics of credit ratings after Standard & Poor’s (S&P) was shut out of a large segment of the commercial mortgage-backed securities (CMBS) ratings market following a procedural mistake. Exploiting the fact that most CMBS have ratings from multiple agencies, we show that S&P subsequently eased its standards compared to other raters. This coincided with a partial recovery in the number of deals S&P was hired to rate. Our findings suggest that an agency can regain market share after suffering reputational damage by issuing optimistic ratings.
Keywords:Credit ratings,Reputation,Competition,Information quality,Commercial mortgage-backed securities

Financing dies in darkness? The impact of newspaper closures on public finance

Pengjie Gao

Department of Finance, University of Notre Dame, 246 Mendoza College of Business, Notre Dame, IN 46556, USA

Chang Lee

Korea Advanced Institute of Science and Technology (KAIST), College of Business, 85 Hoegiro, Dongdaemun-gu, Seoul, 02455, Korea

Dermot Murphy

 Department of Finance, University of Illinois at Chicago, College of Business, 601 South Morgan Street, Chicago, IL 60607-7121, USA

Abstract:We examine how local newspaper closures affect public finance outcomes for local governments.Following a newspaper closure, municipal borrowing costs increase by 5–11 basis points, costing the municipality an additional $650,000 per issue. This effect is causal and not driven by underlying economic conditions. The loss of government monitoring resulting from a closure is associated with higher government wages and deficits and increased likelihoods of costly advance refundings and negotiated sales. Overall, our results indicate that local newspapers hold their governments accountable, keeping municipal borrowing costs low and ultimately saving local taxpayers money.
Keywords:Media,Monitoring,Public finance,Municipal bonds

An inconvenient cost: The effects of climate change on municipal bonds

Marcus Painter

Gatton College of Business and Economics, University of Kentucky, Lexington, KY 40506, USA

 Richard A. Chaifetz School of Business, Saint Louis University, St. Louis, MO 63108, USA

Abstract:Counties more likely to be affected by climate change pay more in underwriting fees and initial yields to issue long-term municipal bonds compared to counties unlikely to be affectedby climate change. This difference disappears when comparing short-term municipal bonds, implying the market prices climate change risks for long-term securities only. Higher issuance costs for climate risk counties are driven by bonds with lower credit ratings. Investor attention is a driving factor, as the difference in issuance costs on bonds issued by climate and nonclimate affected counties increases after the release of the 2006 Stern Review on climate change.
Keywords:Climate change,Municipal bonds,Sea level rise,Investor attention

Institutional shareholders and corporate social responsibility

Tao Chen

Nanyang Business School, Nanyang Technological University, Singapore

Hui Dong

Institute of Accounting and Finance, School of Accountancy, Shanghai University of Finance and Economics, China

Chen Lin

Faculty of Business and Economics, The University of Hong Kong, Hong Kong, China

Abstract:This study uses two distinct quasi-natural experiments to examine the effect of institutional shareholders on corporate social responsibility (CSR). We first find that an exogenousincrease in institutional holding caused by Russell Index reconstitutions improves portfolio Firms’ CSR performance. We then find that firms have lower CSR ratings when shareholders are distracted due to exogenous shocks. Moreover, the effect of institutional ownership is stronger in CSR categories that are financially material. Furthermore, we show that institutional shareholders influence CSR through CSR-related proposals. Overall, our results suggest that institutional shareholders can generate real social impact.
Keywords:Institutional ownership,Indexing,Shareholder attention,Corporate social responsibility,Random discontinuity

Inventor CEOs

Emdad Islam

Department of Banking and Finance, Monash University, Clayton, VIC 3800, Australia

 Jason Zein

UNSW Business School, UNSW Sydney, NSW, 2052, Australia

Abstract:One in five U.S. high-technology firms are led by CEOs with hands-on innovation experience as inventors. Firms led by “Inventor CEOs” are associated with higher quality innovation, especially when the CEO is a high-impact inventor. During an Inventor CEO’s tenure, firms file a greater number of patents and more valuable patents in technology classes where the CEO’s hands-on experience lies. Utilizing plausibly exogenous CEO turnovers to address the matching of CEOs to firms suggests these effects are causal. The results can be explained by an Inventor CEO’s superior ability to evaluate, select, and execute innovative investment projects related to their own hands-on experience.
Keywords:Inventor CEOs,CEO style,Innovation,Human capital

Is information risk priced? Evidence from abnormal idiosyncratic volatility

Yung Chiang Yang

 UCD School of Business, University College Dublin, Carysfort Ave, Blackrock, Co Dublin, Ireland

Bohui Zhang

School of Management and Economics, Shenzhen Finance Institute, and CUHK Business School, The Chinese University of Hong Kong,Shenzhen, 2001 Longxiang Avenue, Longgang District, Shenzhen, China

Chu Zhang

Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, China

Abstract:We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of normal levels. Using

earnings announcements as information events, we show that AIV is positively associated with informed return run-ups, abnormal insider trading, short selling, and institutional trading during pre-earnings-announcement periods. We find that stocks with high AIV earn economically and statistically larger future returns than stocks with low AIV. Taken together, our findings support the notion that information risk is priced.

Keywords:Information risk,Idiosyncratic volatility,Earnings announcement,Expected returns

★学术板块荣誉出品★
整理：马林 东北财经大学本科生
编辑：张瑾月 汕头大学研究生
审核：齐舒月 东北财经大学研究生
副主编：崔悦 东北财经大学本科生
指导：水皮/李高波 北京交通大学博士生

声明：本文综合整理自《Journal  of Financial Economics》，版权归原作者和原杂志所有。传播学术成果，见证学术力量，会计学术联盟在行动。感谢社会各界的支持与厚爱！

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