学术快报 | The Review of Financial Studies-2020年第2期

The Review of Financial Studies

Volume 33, Issue 2

（February 2020）

本期目录

[1].Financial Frictions and the Great Productivity Slowdown

Romain Duval, Gee Hee Hong, Yannick Timmer

[2].Banks’ Balance Sheets and Liquidation Values: Evidence from Real Estate Collateral

Rodney Ramcharan

[3].The Limits of Lending? Banks and Technology Adoption across Russia

Çağatay Bircan, Ralph De Haas

[4].Government as Customer of Last Resort: The Stabilizing Effects of Government Purchases on Firms

Jim Goldman

[5].Employment Protection, Investment, and Firm Growth

John (Jianqiu) Bai, Douglas Fairhurst, Matthew Serfling

[6].Flights to Safety

Lieven Baele, Geert Bekaert, Koen Inghelbrecht, Min Wei

[7].Resiliency and Stock Returns

Jian Hua, Lin Peng, Robert A Schwartz, Nazli Sila Alan

[8].Career Risk and Market Discipline in Asset Management

Andrew Ellul, Marco Pagano, Annalisa Scognamiglio

[9].Dynamic Asset Sales with a Feedback Effect

Sivan Frenkel

[10].Over-the-Counter versus Limit-Order Markets: The Role of Traders’ Expertise

Vincent Glode, Christian C Opp

[11].Financial Illiteracy and Pension Contribu- tions: A Field Experiment on Compound Interest in China

Changcheng Song

[12].Financial Literacy Externalities

Michael Haliassos, Thomas Jansson, Yigitcan Karabulut

1

Financial Frictions and the Great Productivity Slowdown

Romain Duval

International Monetary Fund (IMF) 

Gee Hee Hong

International Monetary Fund (IMF) 

Yannick Timmer

International Monetary Fund (IMF) - Research Department; International Monetary Fund (IMF) - Financial Studies Division

Abstract: We study the role of financial frictions in explaining the sharp and persistent productivity growthslowdown in advanced economies after the 2008 global financial crisis. Using a rich cross-country,firm-level data set and exploiting quasi-experimental variation in firm-level exposure to the crisis,we find that the combination of pre-existing firm-level financial fragilities and tightening creditconditions made an important contribution to the post-crisis productivity slowdown. Specifically:(i) firms that entered the crisis with weaker balance sheets experienced decline in total factorproductivity growth relative to their less vulnerable counterparts after the crisis; (ii) this declinewas larger for firms located in countries where credit conditions tightened more; (iii) financiallyfragile firms cut back on intangible capital investment compared to more resilient firms, which isone plausible way through which financial frictions undermined productivity. All of these effectsare highly persistent and quantitatively large-possibly accounting on average for about a third ofthe post-crisis slowdown in within-firm total factor productivity growth. Furthermore, our resultsare not driven by more vulnerable firms being less productive or having experienced slowerproductivity growth before the crisis, or differing from less vulnerable firms along otherdimensions.

Keywords: Productivity, Financial Friction, Financial Vulnerability, Global Financial Crisis, Intangible Investment, Endogenous Growth, Financial Markets and the Macroeconomy, General, General

2

Bank Balance Sheets and Liquidation Values: Evidence from Real Estate Collateral

Rodney Ramcharan

University of Southern California, Marshall School of Business

Abstract:This paper finds that a decline in bank equity or liquidity reduces liquidation values of bank-owned real estate and accelerates the pace of asset sales. Buyers of these assets earn significant returns for providing liquidity to banks, as prices tend to rebound sharply after sales by illiquid banks. Lower liquidation values also depress the prices of nearby real estate transactions. Policy interventions such as equity injections and central bank asset purchases increase liquidation values by providing institutions with the balance sheet capacity to slow asset sales. This evidence suggests that balance sheet adjustments at financial institutions can explain real asset price dynamics.

Keywords: Financial Crises, Asset Prices, Banks

3

The Limits of Lending: Banks and Technology Adoption Across Russia

Cagatay Bircan

European Bank for Reconstruction and Development

 Ralph De Haas

European Bank for Reconstruction and Development; Centre for Economic Policy Research (CEPR); Tilburg University - Department of Finance

Abstract:We exploit historical and contemporaneous variation in local credit markets across Russia to identify the impact of credit constraints on firm-level innovation. We find that access to bank credit helps firms to adopt existing products and production processes that are new to them. They introduce these technologies either with the help of suppliers and clients or by acquiring external know-how. We find no evidence that bank credit also stimulates firm innovation through in-house R&D. This suggests that banks can facilitate the discussion of technologies within developing countries but that their role in pushing the technological frontier is limited.

Keywords: Credit constraints; firm innovation; technological change

4

Government As Customer of Last Resort: The Stabilizing Effects of Government Purchases on Firms 

Jim Goldman

University of Toronto

Abstract:I document a beneficial effect of the government’s participation in product markets. Exploiting the 2008-09 financial crisis as a natural experiment, I show that federal procurement contracts insulate government contractors’ performance from the crisis. By 2009, government contractors had 19% higher market capitalization, 21% higher capital expenditures, and received 24% more bank credit than otherwise similar firms. This stabilizing effect, in turn, spills over onto neighboring firms. An average amount of government purchases reduces local employment losses by 35% in retail industries and by 48% in industries supplying government contractors. The spillovers are particularly strong in high economic slack areas.

Keywords: Firm risk, Crisis, Government spending, Employment

5

Employment Protection, Investment, and Firm Growth

John (Jianqiu) Bai

Northeastern University - D'Amore-McKim School of Business 

Douglas J. Fairhurst

Washington State University 

Matthew Serfling

University of Tennessee

Abstract:We exploit the adoption of U.S. state-level labor protection laws to study the effect of employment protection on corporate investment and growth. We find that, following the adoption of these laws, capital expenditures decrease, resulting in firms growing sales at a slower rate. Our findings are consistent with theories predicting that greater employment protection discourages investment by making projects more irreversible. Supporting this theoretical channel, following negative cash flow shocks, firms are less likely to downsize operations in states that have adopted these laws but more likely to downsize operations in states that have not adopted these laws.

Keywords: Employment protection, Investment, Capital expenditures, Sales growth, Labor laws, Investment irreversibility

6

Flights to Safety

Lieven Baele

Tilburg University - Department of Finance 

Geert Bekaert

Columbia Business School - Finance and Economics 

Koen Inghelbrecht

Ghent University - Department of Economics

Min Wei

Board of Governors of the Federal Reserve - Division of Monetary Affairs

Abstract:We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS represents flights to both quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market. Emerging markets, endowment funds, and hedge funds all perform poorly during FTS, while hedge funds appear to vary their systematic exposures prior to a FTS.

Keywords: Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

7

Resiliency and Stock Returns

Jian Hua

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance 

Lin Peng

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance 

Robert A. Schwartz

Baruch College - CUNY 

Nazli Sila Alan

Fairfield University

Abstract:We present resiliency as a measure of liquidity, and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency and, using it, find a significant non-resiliency premium that ranges from 33 to 57 basis points per month. The premium persists after accounting for an extensive list of other liquidity-related measures and control variables. The results are significant for both value-weighted and equal-weighted returns, when micro-cap stocks are excluded, and for a sample of large cap stocks. The premium is particularly pronounced when trading volume is high.

Keywords: Stock Returns, Resiliency, Liquidity, Price Discovery, Asset Pricing

8

Career Risk and Market Discipline in Asset Management

Andrew Ellul

Indiana University - Kelley School of Business - Department of Finance; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); University of Naples Federico II - CSEF - Center for Studies in Economics and Finance

Marco Pagano

University of Naples Federico II - Department of Economics and Statistics; Centre for Studies in Economics and Finance (CSEF); Einaudi Institute for Economics and Finance (EIEF); Research Institute of Industrial Economics (IFN); Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI) 

Annalisa Scognamiglio

CSEF; University of Naples Federico II - Department of Economic and Statistical Sciences; Research Institute of Industrial Economics (IFN)

Abstract:We establish that the labor market helps discipline asset managers via the impact of fund liquidations on their careers. Using hand-collected data on 1,948 professionals, we find that top managers working for funds liquidated after persistently poor relative performance suffer demotion coupled with a significant loss in imputed compensation. Scarring effects are absent when liquidations are preceded by normal relative performance or involve mid-level employees. Seen through the lens of a model with moral hazard and adverse selection, these scarring effects can be ascribed to a drop in asset managers’ reputation. The findings suggest that performance-induced liquidations supplement compensation-based incentives.

Keywords: Careers, hedge funds, asset managers, market discipline, scarring effects

9

Dynamic Asset Sales with a Feedback Effect

Sivan Frenkel

Tel Aviv University - Coller School of Management

Abstract:I analyze a dynamic model of over-the-counter asset sales in which a manager receives stock-sensitive compensation and a transaction conveys information about the firm's value. I examine how market response to an asset sale feeds back to the manager's decision on the timing and the price of the sale, and analyze the unique pattern of stock prices before and after the sale. The implications of bargaining power, inventories, gains from trade, and the introduction of a vesting period are discussed. The model sheds light on observed properties of corporate sell-offs, as well as explains market dry-ups during downturn periods.

Keywords: asset sales, information externalities, asset prices, information disclosure

10

Over-the-Counter vs. Limit-Order Markets: The Role of Traders' Expertise

Vincent Glode

University of Pennsylvania - The Wharton School 

Christian C. Opp

University of Rochester - Simon Business School

Abstract:Over-the-counter (OTC) markets attract substantial trading volume despite exhibiting frictions absent in centralized limit-order markets. We compare the efficiency of OTC and limit-order markets when traders' expertise is endogenous. We show that asymmetric access to counterparties in OTC markets yields increased rents to expertise acquisition for a few well-connected core traders. When the existence of gains to trade is uncertain, traders' higher expertise in OTC markets can improve allocative efficiency. In contrast, when expertise primarily causes adverse selection, competitive limit-order markets tend to dominate. Our model provides guidance for policymakers and empiricists evaluating the efficiency of market structures.

Keywords: Asymmetric Information, OTC Trading, Centralized Markets, Rent-seeking, Market Power

11

Financial Illiteracy and Pension Contributions: A Field Experiment on Compound Interest in China 

Changcheng Song

National University of Singapore (NUS)

Abstract:We design a field experiment to study the relationship between neglect of compound interest and pension contributions in rural China. We randomly assigned some households to a financial education treatment, emphasizing the concept of compound interest. This treatment increased the pension contribution by roughly 40%. To pinpoint mechanisms, we elicited financial literacy after the intervention, and added a third group in which we explain the pension benefit in general. We find that the neglect of compound interest is correlated with low contributions to the pension plans in the control group, and that financial education about compound interest does help households partially correct their erroneous understanding of compound interest. Moreover, explaining compound interest increases their ability to translate benefits into their own situations.

Keywords: Pension, Retirement savings, Financial Education, Exponential Growth Bias

12

Financial Literacy Externalities

Michael Haliassos

Goethe University Frankfurt - House of Finance; Goethe University Frankfurt - Faculty of Economics and Business Administration; CEPR; NETSPAR

Thomas Jansson

Sveriges Riksbank - Research Division

Yigitcan Karabulut

Frankfurt School of Finance & Management; CEPR

Abstract:This paper uses unique administrative data and a quasi-field experiment of exogenous allocation in Sweden to estimate medium- and longer-run effects on financial behavior from exposure to financially literate neighbors. It contributes evidence of causal impact of exposure and of a social multiplier of financial knowledge, but also of unfavorable distributional aspects of externalities. Exposure promotes saving in private retirement accounts and stockholding, especially when neighbors have economics or business education, but only for educated households and when interaction possibilities are substantial. Findings point to transfer of knowledge rather than mere imitation or effects through labor, education, or mobility channels.

Keywords: household finance, financial literacy, social interactions, refugees

学术板块荣誉出品

整理：马林 东北财经大学本科生

编辑：李瑞嘉 东北财经大学本科生

审核：王晶 甘肃政法大学研究生

副主编：张瑾月 汕头大学研究生

指导：水皮/李高波 北京交通大学博士生

END

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