顶级财务期刊-RFS-2020年第3-4期目录及摘要

Review of Financial Studies

Volume 33, Issue 3-4

The Review of Financial Studies is a major forum for the promotion and wide dissemination of significant new research in financial economics. As reflected by its broadly based editorial board, the Review balances theoretical and empirical contributions. The primary criteria for publishing a paper are its quality and importance to the field of finance, without undue regard to its technical difficulty. Finance is interpreted broadly to include the interface between finance and economics. The Review is sponsored by The Society for Financial Studies. The editors of the Review and officers of the Society are elected for limited terms.

The Review of Financial Studies

Volume 33, Issue 3

目录

[1].Pricing Uncertainty Induced by Climate Change

Michael Barnett, William Brock, Lars Peter Hansen

[2].The Importance of Climate Risks for Institutional Investors

Philipp Krueger, Zacharias Sautner, Laura T Starks

[3].Attention to Global Warming

Darwin Choi, Zhenyu Gao, Wenxi Jiang

[4].Do Fund Managers Misestimate Climatic Disaster Risk

Shashwat Alok, Nitin Kumar, Russ Wermers

[5].Hedging Climate Change News

Robert F Engle, Stefano Giglio, Bryan Kelly, Heebum Lee, Johannes Stroebel

[6].Is the Risk of Sea Level Rise Capitalized in Residential Real Estate?

Justin Murfin, Matthew Spiegel

[7].Does Climate Change Affect Real Estate Prices? Only If You Believe In It

Markus Baldauf, Lorenzo Garlappi, Constantine Yannelis

[8].Corporate Governance and Pollution Externalities of Public and Private Firms

Sophie A Shive, Margaret M Forster

[9].Temperature Shocks and Establishment Sales

Jawad M Addoum, David T Ng, Ariel Ortiz-Bobea

摘要

Pricing Uncertainty Induced by

Climate Change

Michael Barnett

Arizona State University (ASU) - Finance Department

William A. Brock

University of Wisconsin, Madison - Department of Economics; University of Missouri at Columbia - Department of Economics

Lars Peter Hansen

University of Chicago - Department of Economics; National Bureau of Economic Research (NBER)

Abstract:Geophysicists examine and document the repercussions for the earth's climate induced by alternative emission scenarios and model specifications. Using simplified approximations, they produce tractable characterizations of the associated uncertainty. Meanwhile, economists write highly stylized damage functions to speculate about how climate change alters macroeconomic and growth opportunities. How can we assess both climate and emissions impacts, as well as uncertainty in the broadest sense, in social decision-making? We provide a framework for answering this question by embracing recent decision theory and tools from asset pricing, and we apply this structure with its interacting components in a revealing quantitative illustration.

The Importance of Climate Risks for Institutional Investors

Philipp Krueger

University of Geneva - Geneva Finance Research Institute (GFRI); Swiss Finance Institute

Zacharias Sautner

Frankfurt School of Finance & Management gemeinnützige GmbH; European Corporate Governance Institute (ECGI)

Laura T. Starks

University of Texas at Austin - Department of Finance

Abstract:Geophysicists examine and document the repercussions for the earth's climate induced by alternative emission scenarios and model specifications. Using simplified approximations, they produce tractable characterizations of the associated uncertainty. Meanwhile, economists write highly stylized damage functions to speculate about how climate change alters macroeconomic and growth opportunities. How can we assess both climate and emissions impacts, as well as uncertainty in the broadest sense, in social decision-making? We provide a framework for answering this question by embracing recent decision theory and tools from asset pricing, and we apply this structure with its interacting components in a revealing quantitative illustration.

Keywords:Climate Risks, ESG, Institutional Investors

Attention to Global Warming

Darwin Choi

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Zhenyu Gao

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Wenxi Jiang

CUHK Business School, The Chinese University of Hong Kong

Abstract:We find that people revise their beliefs about climate change upward when experiencing warmer than usual temperatures in their area. Using international data, we show that attention to climate change, as proxied by Google search volume, increases when the local temperature is abnormally high. In financial markets, stocks of carbon-intensive firms underperform firms with low carbon emissions in abnormally warm weather. Retail investors (not institutional investors) sell carbon-intensive firms in such weather, and return patterns are unlikely to be driven by changes in fundamentals. Our study sheds light on peoples' collective beliefs and actions about global warming.

Keywords:Climate Change, Investor Attention, Belief Update, Retail Investors

Do Fund Managers Misestimate Climatic Disaster Risk?

Shashwat Alok

Indian School of Business (ISB), Hyderabad

Nitin Kumar

Indian School of Business (ISB), Hyderabad

Russ Wermers

University of Maryland - Robert H. Smith School of Business

Abstract:We examine whether professional money managers overreact to large climatic disasters. We find that managers within a major disaster region underweight disaster zone stocks to a much greater degree than distant managers and that this aversion to disaster zone stocks is related to a salience bias that decreases over time and distance from the disaster, rather than to superior information possessed by close managers. This overreaction can be costly to fund investors for some especially salient disasters like hurricanes and tornadoes: a long-short strategy that exploits the overreaction generates a significant DGTW-adjusted return over the following 2 years.

Keywords:Climate finance, climate risks, mutual funds

Hedging Climate Change News

Robert F. Engle

New York University - Leonard N. Stern School of Business - Department of Economics; New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

Stefano Giglio

Yale School of Management; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Heebum Lee

New York University (NYU) - Department of Finance

Bryan T. Kelly

Yale SOM; AQR Capital Management, LLC; National Bureau of Economic Research (NBER)

Johannes Stroebel

New York University (NYU) - Leonard N. Stern School of Business; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Abstract:We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract innovations in climate news series that we construct through textual analysis of high-dimensional data on newspaper coverage of climate change. We then use a mimicking-portfolio approach to build climate change hedge portfolios using a large panel of equity returns. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging innovations in climate news both in sample and out of sample. The resulting hedge portfolios outperform alternative hedging strategies based primarily on industry tilts. We discuss multiple directions for future research on financial approaches to managing climate risk.

Keywords:Climate Risk, Hedge Portfolio

Is the Risk of Sea Level Rise Capitalized in Residential Real Estate?

Justin Murfin

 Matthew Spiegel

Abstract:Using a comprehensive database of coastal home sales merged with data on elevation relative to local tides, we compare prices for houses based on their inundation threshold under projections of sea level rise. The analysis separates the sensitivity of housing to rising seas from other confounding characteristics by exploiting cross-sectional differences in relative sea level rise due to vertical land motion. This provides variation in the expected time to inundation for properties of similar elevation and distance from the coast. In a variety of specifications and test settings, we find precisely estimated null results suggesting limited price effects.

Does Climate Change Affect Real Estate Prices? Only If You Believe in It

Markus Baldauf

University of British Columbia (UBC) - Division of Finance

Lorenzo Garlappi

University of British Columbia (UBC) - Sauder School of Business

Constantine Yannelis

New York University Leonard N. Stern School of Business; University of Chicago Booth School of Business

Abstract:This paper studies whether house prices reflect belief differences about climate change. We show that in an equilibrium model of housing choice in which agents derive utility from ownership in a neighborhood of similar agents, prices exhibit different elasticities to climate risk. We use comprehensive transaction data to relate prices to inundation projections of individual homes and measures of beliefs about climate change. We find that houses projected to be underwater in believer neighborhoods sell at a discount compared to houses in denier neighborhoods. Our results suggest that house prices reflect heterogeneity in beliefs about long-run climate change risks.

Keywords: Heterogeneous beliefs, climate change, real estate prices

Corporate Governance and Pollution Externalities of Public and Private Firms

Sophie Shive

University of Notre Dame - Department of Finance

Margaret Forster

University of Notre Dame

Abstract:The number of U.S. publicly traded firms has halved in 20 years. How will this shift in ownership structure affect the economy's externalities? Using comprehensive data on greenhouse gas emissions from 2007-2016, we find that independent private firms are less likely to pollute and incur EPA penalties than are public firms, and we find no differences between private sponsor-backed firms and public firms, controlling for industry, time, location and a host of firm characteristics. Within public firms, we find a negative association between emissions and mutual fund ownership and board size, suggesting that increased oversight may decrease externalities.

Keywords: carbon emissions, climate change, private firms, corporate governance, mutual fund ownership, board size

Temperature Shocks and

Establishment Sales

Jawad M. Addoum

Cornell University

David T. Ng

Johnson College of Business

Ariel Ortiz-Bobea

Cornell University

Abstract:Combining granular daily data on temperatures across the continental U.S. with detailed establishment data from 1990 to 2015, we study the causal impact of temperature shocks on establishment sales and productivity. Using a large sample yielding precise estimates, we find no evidence that temperature exposures significantly affect establishment-level sales or productivity, including among industries traditionally classified as heat-sensitive. At the firm-level, we also find that temperature exposures aggregated across firm establishments are generally unrelated to sales, productivity, and measures of profitability. Our results are consistent with findings of a tenuous relation between temperature and aggregate economic growth in rich countries.

Keywords: Extreme temperature, weather shocks, economic establishments, revenues, earnings

★学术板块荣誉出品★

整理：马林  东北财经大学本科生

编辑：程慧煜  西安财经大学研究生

审核：孙玥  宁夏大学研究生

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

The Review of Financial Studies

Volume 33, Issue 4

目录

[1]. Informing the Market: The Effect of Modern Information Technologies on Information Production

Meng Gao, Jiekun Huang

[2]. Contracting on Credit Ratings: Adding Value to Public Information

Christine A Parlour, Uday Rajan

[3]. Investor Information Acquisition and Money Market Fund Risk Rebalancing during the 2011–2012 Eurozone Crisis

Emily A Gallagher, Lawrence D W Schmidt, Allan Timmermann, Russ Wermers

[4]. Back-Running: Seeking and Hiding Fundamental Information in Order Flows

Liyan Yang, Haoxiang Zhu

[5]. Order Cancellations, Fees, and Execution Quality in U.S. Equity Options

Todd G Griffith, Robert A Van Ness

[6]. A Bound on Expected Stock Returns

Ohad Kadan, Xiaoxiao Tang

[7]. Ambiguity, Volatility, and Credit Risk

Patrick Augustin, Yehuda Izhakian

[8]. Short- and Long-Horizon Behavioral Factors

Kent Daniel, David Hirshleifer, Lin Sun

[9]. Global Political Uncertainty and Asset Prices

Jonathan Brogaard, Lili Dai, Phong T H Ngo, Bohui Zhang

[10]. Do CEOs Affect Employees’ Political Choices?

Ilona Babenko, Viktar Fedaseyeu, Song Zhang

[11]. How Much Do Directors Influence Firm Value?

Aaron Burt, Christopher Hrdlicka, Jarrad Harford

[12]. The Strategic Effects of Trademark Protection

Davidson Heath, Christopher Mace

题目、作者、作者单位、关键词

零零零壹

Informing the Market: The Effect of Modern Information Technologies on Information Production

Meng Gao,

Gies College of Business, University of Illinois at Urbana-Champaign

Jiekun Huang

Gies College of Business, University of Illinois at Urbana-Champaign

Abstract：Modern information technologies have fundamentally changed how information is disseminated in financial markets. Using the staggered implementation of the EDGAR system from 1993 to 1996 as a shock to information dissemination technologies, we find evidence that internet dissemination of corporate disclosures increases information production by corporate outsiders. Trades by individual investors, especially those with access to the internet, become more informative about future stock returns following the EDGAR implementation. The amount and accuracy of information produced by sell-side analysts increase after the implementation. These results suggest that greater and broader information dissemination facilitated by modern information technologies improves information production.

Key Words: Information production, internet, informational efficiency, individual investors, financial analysts

零零零贰

Contracting on Credit Ratings: Adding Value to Public Information

Christine A Parlour,

Haas School of Business, University of California–Berkeley

Uday Rajan 

Stephen M. Ross School of Business, University of Michigan

Abstract：We consider the role of credit ratings when contracts between investors and portfolio managers are incomplete. In our model, a credit rating and a price on a risky bond both provide verifiable signals about a non-contractible state. We allow the investor to both impose ex ante restrictions on the manager’s action and provide outcome-based compensation. The optimal contract is a prohibitive one when the rating and price indicate a high likelihood of a low state, and relies on wages when the low state is less likely. We provide some observable implications of our contracting approach to ratings.

Key Words: credit rating, incomplete contract

零零零叁

Investor Information Acquisition and Money Market Fund Risk Rebalancing during the 2011–2012 Eurozone Crisis

Emily A Gallagher,

University of Colorado at Boulder

 Lawrence D W Schmidt,

Massachusetts Institute of Technology

Allan Timmermann,

University of California, San Diego

Russ Wermers 

University of Maryland at College Park

Abstract：We study investor redemptions and portfolio rebalancing decisions of prime money market mutual funds (MMFs) during the Eurozone crisis. We find that sophisticated investors selectively acquire information about MMFs’ risk exposures to Europe, which leads managers to withdraw funding from information-sensitive European issuers. That is, MMF managers, particularly those serving the most sophisticated investors, selectively adjust their portfolio risk exposures to avoid information-sensitive European risks, while maintaining or increasing risk exposures to other regions. This mechanism helps to explain the occurrence of selective “dry-ups” in debt markets where delegation is common and returns to information production are usually low.

零零零肆

Back-Running: Seeking and Hiding Fundamental Information in Order Flows

Liyan Yang,

Rotman School of Management, University of Toronto and Peking University

Haoxiang Zhu 

MIT Sloan School of Management and NBER

Abstract：We model the strategic interaction between fundamental investors and “back-runners,” whose only information is about the past order flow of fundamental investors. Back-runners partly infer fundamental investors’ information from their order flow and exploit it in subsequent trading. Fundamental investors counteract back-runners by randomizing their orders, unless back-runners’ signals are too imprecise. Surprisingly, a higher accuracy of back-runners’ order flow information can harm back-runners and benefit fundamental investors. As an application of the model, the common practice of payment for (retail) order flow reveals information about institutional order flow and enables back-runners to earn large profits.

Key Words: back-running, order flow, order anticipation, high-frequency trading, price discovery, market liquidity, payment for order flow

零零零伍

Order Cancellations, Fees, and Execution Quality in U.S. Equity Options

Todd G Griffith,

Utah State University

Robert A Van Ness 

University of Mississippi

Abstract：We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow effectively reduces the rate at which limit orders are canceled. Whereas the cancellation fee discourages the submission of nonmarketable orders, it encourages the submission of marketable orders. Consequently, nonmarketable order fill rates increase; marketable order fill speeds decrease; and bid-ask spreads widen. We also find slight increases in both dollar volume and market share.

零零零陆

A Bound on Expected Stock Returns

Ohad Kadan,

Olin Business School, Washington University in St. Louis

Xiaoxiao Tang

Naveen Jindal School of Management, the University of Texas at Dallas

Abstract：We present a sufficient condition under which the prices of options written on a particular stock can be aggregated to calculate a lower bound on the expected returns of that stock. The sufficient condition imposes a restriction on a combination of the stock’s systematic and idiosyncratic risk. The lower bound is forward-looking and can be calculated on a high-frequency basis. We estimate the bound empirically and study its cross-sectional properties. We find that the bound increases with beta and book-to-market ratio and decreases with size and momentum. The bound provides an economically meaningful signal about future stock returns.

零零零柒

Ambiguity, Volatility, and Credit Risk

Patrick Augustin,

McGill University

Yehuda Izhakian 

Zicklin School of Business, Baruch College

Abstract：We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, because CDS contracts are assets in zero net supply, the net credit risk exposure of the marginal investor determines the sign of the impact of ambiguity on CDS spreads. We find that ambiguity has an economically significant negative impact on CDS spreads, on average, suggesting that the marginal investor is a net buyer of credit protection. A 1-standard-deviation increase in ambiguity is estimated to decrease CDS spreads by approximately 6%.

Keywords: CDS, Derivatives, Heterogeneous Agents, Insurance, Knightian uncertainty, Risk aversion

零零零捌

Short- and Long-Horizon Behavioral Factors

Kent Daniel,

Columbia Business School and NBER

 David Hirshleifer,

Merage School of Business, UC Irvine and NBER

Lin Sun 

George Mason University

Abstract：We propose a theoretically motivated factor model based on investor psychology and assess its ability to explain the cross-section of U.S. equity returns. Our factor model augments the market factor with two factors that capture long- and short-horizon mispricing. The long-horizon factor exploits the information in managers’ decisions to issue or repurchase equity in response to persistent mispricing. The short-horizon earnings surprise factor, which is motivated by investor inattention and evidence of short-horizon underreaction, captures short-horizon anomalies. This 3-factor risk-and-behavioral model outperforms other proposed models in explaining a broad range of return anomalies.

Keywords: Factor Models, Anomalies, Behavioral Factors

零零零玖

Global Political Uncertainty and Asset Prices

Jonathan Brogaard,

David Eccles School of Business, University of Utah

 Lili Dai,

UNSW Business School, University of New South Wales

Phong T H Ngo,

College of Business and Economics,

Australian National University

 Bohui Zhang 

School of Management and Economics, Shenzhen Finance Institute and CUHK Business School, The Chinese University of Hong Kong, Shenzhen

Abstract：We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and sovereign bond returns increase. The effect of global political uncertainty on equity prices increases with the level of uncertainty in U.S. election outcomes and a country’s equity market exposure to foreign investors, but does not vary with the country’s international trade exposure. These findings suggest that global political uncertainty increases investors’ aggregate risk aversion, leading to a flight to safety.

Keywords: Political uncertainty, asset prices, risk-aversion, flight-to-safety, international finance

零零零拾

Do CEOs Affect Employees’ Political Choices?

Ilona Babenko,

W. P. Carey School of Business, Arizona State University

 Viktar Fedaseyeu,

Bocconi University and Belarusian Economic Research and Outreach Center (BEROC)

Song Zhang

Carroll School of Management, Boston College

Abstract：We study the relation between CEO and employee campaign contributions and find that CEO-supported political candidates receive 3 times more money from employees than candidates not supported by the CEO. This relation holds around CEO departures, including plausibly exogenous departures due to retirement or death. Equity returns are significantly higher when CEO-supported candidates win elections than when employee-supported candidates win, suggesting that CEOs’ campaign contributions are more aligned with the interests of shareholders than are employee contributions. Finally, employees whose donations are misaligned with their CEOs’ political preferences are more likely to leave their employer.

Keywords: campaign contribution, elections, voting, CEOs, political activism, PACs, political candidates, voter turnout

零零拾壹

How Much Do Directors Influence Firm Value?

Aaron Burt,

University of Oklahoma

Christopher Hrdlicka,

University of Washington

Jarrad Harford

University of Washington

Abstract：The value a director provides to a firm is empirically difficult to establish. We estimate that value by exploiting the commonality in idiosyncratic returns of firms linked by a director and show that, on average, a director’s influence causes variation in firm value of almost 1% per year. The return commonality is not due to industry or other observable economic links. Variation in the availability of information on shared directors and a placebo test exploiting the timing of shared directors provide further identification. The results also imply that the directorial labor market does not fully assess directors in real time.

Keywords: director influence, connected boards, price discovery, economic links, return predictability, information diffusion, market efficiency, investor inattention, limits to arbitrage, lead-lag effect, networks, boards of directors

零零拾贰

The Strategic Effects of Trademark Protection

Davidson Heath,

David Eccles School of Business, University of Utah

 Christopher Mace

David Eccles School of Business, University of Utah

Abstract：We study the effects of trademark protection on firms’ profits and strategy using the 1996 Federal Trademark Dilution Act, which granted additional legal protection to selected trademarks. We find that the FTDA raised treated firms’ operating profits and was followed by a spike in trademark lawsuits and lower entry and exit in affected product markets. Treated firms reduced R&D spending, produced fewer patents and new products, and recalled a higher number of unsafe products. Our results suggest that stronger trademark protection negatively affected innovation and product quality.

Keywords: trademarks, intellectual property, product market strategy, product quality, innovation

学术板块荣誉出品

整理：吕泉州 重庆理工大学编辑：高佳欣 郑州大学审核：雷国鹏 吕梁学院副主编：雷国鹏 吕梁学院指导：水皮 北京交通大学博士生

声明：本文资料来源：EBSCO、SSRN，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！

以上就是本期“学术快报”栏目分享的主要内容。会计学术联盟，全球超过11万会计金融学者在关注，不忘初心：因缘分相聚，因互助成长，因智慧光华；牢记使命：传播会计前辈思想，引领青年一代成长。

会计学术联盟.新闻记者/考核管理

志愿者实习生招募通知

一、实习或锻炼目标（一）新闻记者
1.以联盟平台为案例，培养“新闻采编”能力；2.锻炼人际交往能力，信息收集、统计分析能力；3.开阔研究视野，结识会计学术联盟圈内优秀盟友，为自己职业发展助力； （二）考核管理

1.以联盟平台为案例，培养“考核管理”能力；

2.锻炼人际交往能力，信息收集、统计分析能力；

3.开阔研究视野，结识会计学术联盟圈内优秀盟友，为自己职业发展助力；

二、岗位招募人数

1.新闻采编记者5人（优秀本科或研一，执行力强）

2.办公室日常考核统计管理5人（优秀本科或研一，执行力强）三、招募基本要求要求：新闻记者要求：文笔好，有新闻稿写作经验者优先，为人靠谱，时间管理能力强，沟通能力强，做事有激情和主动性，每天学习.实习时间约30分钟，

三个月实习期满，考核通过，仍然可以直接转成正式志愿者。在实习期间，资料收集，可享受平台发表署名，仍可以以较大折扣学习联盟制作的资源。实习优秀，工作突出者，开具实习证明。报名联系微信：zm435521768，注明：姓名+专业+学历+单位+应聘岗位报名截止时间：5月28日下午18点 会计学术联盟—办公室2020年5月28日

会计思享慧

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