顶刊推送-Journal of Financial Economics-2022-143-1

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Journal of Financial Economics

（ 2022年第1期)

The Journal of Financial Economics (JFE) is a leading peer-reviewed academic journal covering theoretical and empirical topics in financial economics. It provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.可点击阅读原文，进入JFE网站。

catalog

1. Risk-free interest rates

Jules H. van Binsbergen, William F. Diamond, Marco Grotteria

2. Consumer-lending discrimination in the FinTech Era

Robert Bartlett, Adair Morse, Richard Stanton, Nancy Wallace

3. Treasury inconvenience yields during the COVID-19 crisis

Zhiguo He, Stefan Nagel, Zhaogang Song

4. Betting against betting against beta

Robert Novy-Marx, Mihail Velikov

5. Who creates new firms when local opportunities arise?

Shai Bernstein, Emanuele Colonnelli, Davide Malacrino, Tim McQuade

6. Venture capital contracts

Michael Ewens, Alexander Gorbenko, Arthur Korteweg

7. The level, slope, and curve factor model for stocks

Charles Clarke

8. Portfolio choice with sustainable spending: A model of reaching for yield

John Y. Campbell, Roman Sigalov

9．Disappearing and reappearing dividends

Roni Michaely, Amani Moin

10. The dynamics of concealment

Jeremy Bertomeu, Iván Marinovic, Stephen J. Terry, Felipe Varas

11. The cross section of the monetary policy announcement premium

Hengjie Ai, Leyla Jianyu Han, Xuhui Nick Pan, Lai Xu

12. Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market

Hao Jiang, Yi Li, Zheng Sun, Ashley Wang

13. Government policy approval and exchange rates

Yang Liu, Ivan Shaliastovich

14. Epidemic disease and financial development

Jiafu An, Wenxuan Hou, Chen Lin

15. Investing outside the box: Evidence from alternative vehicles in private equity

Josh Lerner, Jason Mao, Antoinette Schoar, Nan R. Zhang

16. Measuring the ex-ante incentive effects of creditor control rights during bankruptcy reorganization

Ashwini Agrawal, Juanita González-Uribe, Jimmy Martínez-Correa

17. Stocks for the long run? Evidence from a broad sample of developed markets

Aizhan Anarkulova, Scott Cederburg, Michael S. O’Doherty

18. Social learning and analyst behavior

Alok Kumar, Ville Rantala, Rosy Xu

19. Does customer-base structure influence managerial risk-taking incentives?

Jie Chen, Xunhua Su, Xuan Tian, Bin Xu

20. Equity tail risk and currency risk premiums

Zhenzhen Fan, Juan M. Londono, Xiao Xiao

21. Peak-Bust rental spreads

Marco Giacoletti, Christopher A. Parsons

22.Learning, slowly unfolding disasters, and asset prices

Mohammad Ghaderi, Mete Kilic, Sang Byung Seo

23.Financial development and labor market outcomes: Evidence from Brazil

Julia Fonseca, Bernardus Van Doornik

24.Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark

Fábio Cereda, Fernando Chague, Rodrigo De-Losso, Alan Genaro, Bruno Giovannetti

25.Trade credit and profitability in production networks

Michael Gofman, Youchang Wu

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 Abstract

1.Risk-free interest rates

Jules H.van Binsbergen

Wharton School of the University of Pennsylvania, 3620 Locust Walk, Philadelphia, PA 19104, United States

William F.Diamond

Wharton School of the University of Pennsylvania, 3620 Locust Walk, Philadelphia, PA 19104, United States

MarcoGrotteria

London Business School, Regent’s Park, Sussex Place, London NW1 4SA, United Kingdom

Abstract：We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain interest rates and implied convenience yields with maturities up to three years at a minutely frequency. Our estimated convenience yield on Treasuries equals about 40 basis points, is larger below three months maturity, and quadruples during the financial crisis. In high-frequency event studies, conventional and unconventional monetary stimulus reduces our rates more than the corresponding Treasury yields, thus broadly affecting rates even outside the narrow confines of the fixed-income market.

Keywords: Demand for safe assets；Convenience yield；Quantitative easing；Monetary policy

2.Consumer-lending discrimination in the FinTech Era

RobertBartlett、AdairMorse、RichardStanton、NancyWallace

Corresponding author at: Haas School of Business, U.C. Berkeley, 545 Student Services #1900, Berkeley, CA 94720, United States.

Haas School of Business, U.C. Berkeley, 545 Student Services #1900, Berkeley, CA 94720

Abstract：U.S. fair-lending law prohibits lenders from making credit determinations that disparately affect minority borrowers if those determinations are based on characteristics unrelated to creditworthiness. Using an identification under this rule, we show risk-equivalent Latinx/Black borrowers pay significantly higher interest rates on GSE-securitized and FHA-insured loans, particularly in high-minority-share neighborhoods. We estimate these rate differences cost minority borrowers over $450 million yearly. FinTech lenders’ rate disparities were similar to those of non-Fintech lenders for GSE mortgages, but lower for FHA mortgages issued in 2009–2015 and for FHA refi mortgages issued in 2018–2019.

Keywords:Discrimination；FinTech；GSE mortgages；Credit scoring；Algorithmic underwriting；Big-data lending；Platform loans；Statistical discrimination；Legitimate business necessity

3.Treasury inconvenience yields during the COVID-19 crisis

ZhiguoHe、StefanNagel

Booth School of Business, University of Chicago, 5807 S Woodlawn Ave, Chicago, IL 60637, United States

National Bureau of Economic Research, 1050 Massachusetts Avenue, Cambridge, MA 02138, United States

ZhaogangSong

Johns Hopkins University Carey Business School, 100 International Drive, Baltimore, MD 21202, United States

Abstract：In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status of US Treasuries may be eroding. We document large shifts in Treasury ownership and temporary accumulation of Treasury and reverse repo positions on dealer balance sheets during this period. We build a dynamic equilibrium asset pricing model in which dealers subject to regulatory balance sheet constraints intermediate demand/supply shocks from habitat agents and provide repo financing to levered investors. The model predicts that Treasury inconvenience yields, measured as the spread between Treasuries and overnight-index swap rates (OIS), as well as spreads between dealers’ reverse repo and repo rates, should be highly positive during the COVID-19 crisis, as is confirmed in the data. The same model framework, adapted to the institutional setting in 2007–2009, can also explain the negative Treasury-OIS spread observed during the Great Recession.

Keywords: Habitat agents；Primary dealers；RepoSafe asset；Treasury yield

4.Betting against betting against beta

RobertNovy-Marx

Simon Business School, University of Rochester, 500 Joseph C. Wilson Blvd., Rochester, Box 270100, NY 14627, USA

MihailVelikov

Smeal College of Business, Pennsylvania State University, 366 Business Building, University Park, PA 16803, USA

Abstract：Frazzini and Pedersen’s (2014) Betting Against Beta (BAB) factor is based on the same basic idea as Blacks’(1972) beta-arbitrage, but its astonishing performance has generated academic interest and made it highly influential with practitioners. This performance is driven by non-standard procedures used in its construction that effectively, but non-transparently, equal weight stock returns. For each dollar invested in BAB, the strategy commits on average $1.05 to stocks in the bottom 1% of total market capitalization. BAB earns positive returns after accounting for transaction costs, but earns these by tilting toward profitability and investment. Predictable biases resulting from Frazzini and Pedersen’s non-standard beta estimation procedure drive results presented as evidence supporting BAB’s underlying theory.

Keywords: Factor models；Beta-arbitrage；Defensive equity；Non-standard methods；Asset pricing

5.Who creates new firms when local opportunities arise?

ShaiBernstein

Bernstein is with Harvard Business School, National Bureau of Economic Research (NBER), United States

EmanueleColonnelli

Colonnelli is with University of Chicago, Booth School of Business, United States

DavideMalacrino

Malacrino is with the International Monetary Fund, United States

TimMcQuade

McQuade is with University of Colorado Boulder, United States

Abstract：We examine the characteristics of the individuals who become entrepreneurs when local opportunities arise. We identify local demand shocks by linking fluctuations in global commodity prices to municipality-level agricultural endowments in Brazil. We find that the firm creation response is mostly driven by young and skilled individuals. The characteristics of these responsive entrepreneurs are significantly different from those of average entrepreneurs in the economy. By structurally estimating a novel two-sector model of a local economy, we highlight how the demographic composition of the local population can significantly affect the entrepreneurial responsiveness of the economy.

Keywords: Firms；Entrepreneurs；Brazil；Demand shocks

6.Venture capital contracts

MichaelEwens

California Institute of Technology, 1200 E. California Blvd., MC 228-77, Pasadena, CA 91125, USA

AlexanderGorbenko

University College London, School of Management, Level 38, One Canada Square, Canary Wharf, London E14 5AA, United Kingdom

ArthurKorteweg

University of Southern California, Marshall School of Business, 3670 Trousdale Parkway, Los Angeles, CA 90089, USA

Abstract：We estimate the impact of venture capital (VC) contract terms on startup outcomes and the split of value between the entrepreneur and investor, accounting for endogenous selection via a novel dynamic search-and-matching model. The estimation uses a new, large data set of first financing rounds of startup companies. Consistent with efficient contracting theories, there is an optimal equity split between agents, which maximizes the probability of success. However, venture capitalists (VCs) use their bargaining power to receive more investor-friendly terms compared to the contract that maximizes startup values. Better VCs still benefit the startup and the entrepreneur due to their positive value creation. Counterfactuals show that reducing search frictions shifts the bargaining power to VCs and benefits them at the expense of entrepreneurs. The results show that the selection of agents into deals is a first-order factor to take into account in studies of contracting.

Keywords: Venture capital；Contracts；Entrepreneurship；Matching；Structural

7.The level, slope, and curve factor model for stocks

CharlesClarke

Department of Finance and Quantitative Methods, Gatton School of Business, University of Kentucky, Lexington, KY 40506, United States

Abstract：I develop a method to extract only the priced factors from stock returns. The first step estimates expected returns based on firm characteristics. The second step uses the estimated expected returns to form portfolios. The last step uses principal component analysis to extract factors from the portfolio returns. The procedure isolates and emphasizes the comovement across assets that is related to expected returns as opposed to firm characteristics. It produces three factors–level, slope, and curve–which perform as well or better than other leading models. The methodology performs well in out-of-sample tests. The new factors have macroeconomic risk interpretations.

8.Portfolio choice with sustainable spending: A model of reaching for yield

John Y.Campbell

Department of Economics, Harvard University, 1805 Cambridge St, Cambridge, MA 02138, USA

National Bureau of Economic Research, USA

RomanSigalov

Department of Economics, Harvard University, 1805 Cambridge St, Cambridge, MA 02138, USA

Abstract：We show that reaching for yield—a tendency to take more risk when the real interest rate declines while the risk premium remains constant—results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When the interest rate is initially low, reaching for yield intensifies. The sustainable spending constraint also affects the response of risk-taking to a change in the risk premium, which can even change sign. In a variant of the model where the sustainable spending constraint is formulated in nominal terms, low inflation also encourages risk-taking.

9.Disappearing and reappearing dividends

RoniMichaely

University of Hong Kong, ECGI, Hong Kong

AmaniMoin

Commodity Futures Trading Commission, USA

Abstract：We decompose the decrease (1970s–2000) and subsequent recovery (2000–2018) in the fraction of dividend-paying firms. Changes in firm characteristics and proclivity to pay (probability of paying dividends conditional on characteristics) each drive half of the dividend disappearance. A higher proclivity drives 82% of the dividend reappearance. The remaining 18% is driven by a single characteristic: reduced earnings volatility. Changing characteristics are associated with low-profitability, high-earnings-volatility firms. Changing proclivity is associated with stable, profitable firms. Rather than dividend initiations or omissions, newly listed and delisted firms drive trends. Finally, the magnitude and duration of disappearing total payout is substantially smaller than that of dividends, indicating some substitution between dividends and repurchases.

10.The dynamics of concealment

JeremyBertomeu

Washington University Olin School of Business, United States

IvánMarinovic

Stanford Graduate School of Business, United States

Stephen J.Terry

Boston University and National Bureau of Economic Research, United States

FelipeVaras

Duke Fuqua School of Business, United States

Abstract：Firm managers likely have more information than outsiders. If managers strategically conceal information, market uncertainty will increase. We develop a dynamic corporate disclosure model, estimating the model using the management earnings forecasts of US public companies. The model, based on the buildup of reputations by managers over time, matches key facts about forecast dynamics. We find that 80% of firms strategically manage information, that managers have superior information around half of the time, and that firms conceal information about 40% of the time. Concealment increases market uncertainty by just under 8%, a sizable information loss.

11.The cross section of the monetary policy announcement premium

HengjieAi

Carson School of Management, University of Minnesota, 312 19th Ave S., Minneapolis, MN 55455, USA

University of Wisconsin School of Business, 975 University Avenue, Madison, WI 53706, USA

Leyla JianyuHan

Questrom School of Business, Boston University, 595 Commonwealth Avenue, Boston, MA 02215, USA

Xuhui NickPan

Price College of Business, University of Oklahoma, 307 West Brooks, Norman, OK 73019, USA

LaiXu

Whitman School of Management, Syracuse University, 721 University Avenue, Syracuse, NY 13244, USA

Abstract：Using the expected option-implied variance reduction to measure the sensitivity of stock returns to monetary policy announcement surprises, this paper shows monetary policy announcements require significant risk compensation in the cross section of equity returns. We develop a parsimonious equilibrium model in which FOMC announcements reveal the Federal Reserve’s private information about its interest-rate target, which affects the private sector’s expectation about the long-run growth-rate of the economy. Our model accounts for the dynamics of implied variances and the cross section of the monetary policy announcement premium realized around FOMC announcement days.

12.Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market

HaoJiang

Broad College of Business, Michigan State University, Eppley Center, 667 N. Shaw Lane, Room 320, East Lansing, MI 48824, USA

YiLi

Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue N.W., Washington, DC 20551, USA

Zheng Sun

The Paul Merage School of Business, University of California, Irvine, Office SB2 340, Irvine, CA 92697, USA

AshleyWang

Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue N.W., Washington, DC 20551, USA

Abstract：Open-end corporate bond mutual funds invest in illiquid assets while providing liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel bond-level latent fragility measure based on asset illiquidity of mutual funds holding the bond. We find that corporate bonds bearing higher fragility subsequently experience higher return volatility and more outflows-induced mutual fund selling over the period of 2006–2019. Using the COVID-19 crisis as a natural experiment, we find that bonds with higher precrisis fragility experienced more negative returns and larger reversals around March 2020.

13.Government policy approval and exchange rates

YangLiu

HKU Business School, University of Hong Kong, Hong Kong, China

IvanShaliastovich

Wisconsin Business School, University of Wisconsin-Madison, 975 University Avenue, Madison, WI 53706, United States

Abstract：Measures of US government policy approval are strongly related to persistent fluctuations in the dollar value. Contemporaneous correlations between approval ratings and the dollar approach 50% against advanced economy currencies. High approval ratings further forecast a decline in the dollar risk premium several years ahead and are associated with a persistent increase in economic growth and a reduction in economic volatility. We provide an illustrative model to interpret our empirical evidence. In the model, policy valuations (approvals) are forward-looking and increase at times of high expected policy-related growth and low policy-related uncertainty, which are times of a strong dollar and low dollar risk premium.

14. Epidemic disease and financial development

JiafuAn

University of Aberdeen Business School, Aberdeen, United Kingdom

University of Portsmouth, Portsmouth, United Kingdom

Wenxuan Hou

Shanghai Lixin University of Accounting and Finance, Shanghai, China

University of Edinburgh Business School, Edinburgh, United Kingdom

ChenLin

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

Abstract：We study the impact of an epidemic disease on modern financial development by exploiting geographic variations in the precolonial survival conditions of the TseTse fly, which transmits an epidemic disease that is harmful to humans and fatal to livestock in Africa. Using newly georeferenced data, we discover that firms and households in regions historically more exposed to the epidemic disease have less access to external financing today. Exploring the channels, we find that people in historically infested regions are less likely to trust others and financial institutions, to share credit information and to learn and adopt new financial technologies.

15.Investing outside the box: Evidence from alternative vehicles in private equity

JoshLerner

Harvard Business School, NBER, Soldiers Field, Boston, MA 02163, United Kingdom

JasonMao

State Street Financial Center, One Lincoln Street, Boston, MA 02111, United Kingdom

AntoinetteSchoar

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

Nan R.Zhang

State Street Financial Center, One Lincoln Street, Boston, MA 02111, United Kingdom

Abstract：Using previously unexplored custodial data, we examine alternative investment vehicles (AVs) in private equity (PE) funds over the last four decades. By 2017, AVs reached 40% of all PE commitments. Average AV performance matches the PE market, but underperforms the main funds of the partnerships sponsoring the AVs. Limited partners (LPs) with better past performance invest in AVs with better average performance, even after conditioning on the general partners’ (GPs’) past records. This result is largely driven by preferential access of top LPs to top AVs. Returns in PE increasingly depend on the match between GPs and LPs and both parties’ outside options.

16.Measuring the ex-ante incentive effects of creditor control rights during bankruptcy reorganization

AshwiniAgrawal

London School of Economics and Political Science, United Kingdom

JuanitaGonzález-Uribe

London School of Economics and Political Science, United Kingdom

JimmyMartínez-Correa

Copenhagen Business School and Danish Finance Institute, Denmark

Abstract：A large theoretical literature studies the effects of creditor control during bankruptcy proceedings on firm outcomes. Empirical work in this area mainly examines reforms to creditor control rights during liquidation. In this paper, we use administrative microdata and exploit a legal reform in Denmark to provide the first causal estimates of creditor empowerment in reorganization-the complementary bankruptcy procedure to liquidation. We find that the Danish reform led to a sharp decline in liquidations. Although few insolvent firms make use of the new reorganization procedures, we show that solvent firms improved their financial management and increased employment and investment. The findings illustrate the empirical importance of reorganization rules on the incentives of stakeholders outside of bankruptcy.

17.Stocks for the long run? Evidence from a broad sample of developed markets

AizhanAnarkulova

Eller College of Management, University of Arizona, McClelland Hall, Room 315R, Tucson, AZ 85721, USA

ScottCederburg

Eller College of Management, University of Arizona, McClelland Hall, Room 315R, Tucson, AZ 85721, USA

Michael S.O’Doherty

Trulaske College of Business, University of Missouri, 401C Cornell Hall, Columbia, MO 65211, USA

Abstract：We characterize the distribution of long-term equity returns based on the historical record of stock market performance in a broad cross section of 39 developed countries over the period from 1841 to 2019. Our comprehensive sample mitigates concerns over survivor and easy data biases that plague other work in this area. A bootstrap simulation analysis implies substantial uncertainty about long-horizon stock market outcomes, and we estimate a 12% chance that a diversified investor with a 30-year investment horizon will lose relative to inflation. The results contradict the conventional advice that stocks are safe investments over long holding periods.

18.Social learning and analyst behavior

AlokKumar

Miami Herbert Business School, University of Miami, 5250 University Drive, Coral Gables, FL 33146, USA

VilleRantala

Miami Herbert Business School, University of Miami, 5250 University Drive, Coral Gables, FL 33146, USA

RosyXu

CUHK Business School, The Chinese University of Hong Kong, 12 Chak Cheung Street, Shatin, N.T., Hong Kong

Abstract：This study examines whether sell-side equity analysts engage in “social learning” in which their earnings forecasts for certain firms are influenced by the forecasts and outcomes of “peer” analysts associated with other firms in their respective portfolios. We find that analyst optimism is negatively correlated with recent forecast errors, by peers, on other firms in the analyst's portfolio. An analyst is also more likely to issue “bold” forecasts when peers recently issued similar forecasts for other portfolio firms. Analysts learn more from peers with similar personal characteristics. Overall, social learning benefits analysts and improves their forecast accuracy.

19.Does customer-base structure influence managerial risk-taking incentives?

JieChen

University of Leeds, United Kingdom

XunhuaSu

Norwegian School of Economics, NorwayXuanTian

XuanTian

Tsinghua University, China

BinXu

University of Leeds, United Kingdom

Abstract：We find strong evidence that when a firm's customer base is more concentrated, the firm's CEO receives more risk-taking incentives in her compensation package. This finding is robust to numerous alternative measures, alternative specifications, alternative subsamples, and different attempts that mitigate endogeneity concerns. Further, the positive effect of customer concentration on CEO risk-taking incentive provision is more prominent when the CEO is more reluctant to take risks, when the firm has more investment opportunities, and when the firm is more prone to the costs of losing large customers. These findings are consistent with the notion that boards provide additional risk-taking incentives to offset the CEO's aversion to the risk of non-diversified revenue streams, thereby preventing excessive managerial conservatism at the expense of value maximization.

20.Equity tail risk and currency risk premiums

ZhenzhenFan

Asper School of Business, University of Manitoba, Canada

Juan M.Londono

Division of International Finance at the Federal Reserve Board of Governors, United States

XiaoXiao

Amsterdam Business School, University of Amsterdam, the Netherlands

Abstract：We find that an option-based equity tail risk factor is priced in the cross section of currency returns; more exposed currencies offer a low risk premium because they hedge against equity tail risk. A portfolio that buys currencies with high equity tail beta and shorts those with low beta extracts the global component in the tail factor. The estimated price of risk of this novel global factor is consistently negative in currency carry and momentum portfolios, and in portfolios of other asset classes, suggesting that excess returns of these strategies can be partially understood as compensations for global tail risk.

Keywords: Global tail risk；Option-implied equity tail risk；Currency returns；Carry trade；Currency momentum

21.Peak-Bust rental spreads

MarcoGiacoletti

University of Southern California, United States

Christopher A.Parsons

University of Southern California, United States

Abstract：Landlords appear to use stale information when setting rents. Among over 43,000 California rental houses in 2018–2019, those last purchased during 2005–2007 (the peak) rent for 2–3% more than those purchased during 2008–2010 (bust). Neither house nor landlord characteristics explain this “peak-bust rental spread.” To clarify the mechanism, we test cross-sectional predictions from a simple theory of rent-setting. We find empirical support for both reference dependence and distorted beliefs. In the first, monthly payments establish (recurring) reference points, against which gains or losses are measured. In the second, past sales prices distort landlords’ current estimates of house values/rents.

22.Learning, slowly unfolding disasters, and asset prices

MohammadGhaderi

School of Business, University of Kansas, 1654 Naismith Drive, Lawrence, KS 66045, USA

MeteKilic

Marshall School of Business, University of Southern California, 3670 Trousdale Pkwy, Los Angeles, CA 90089, USA

Sang ByungSeo

Wisconsin School of Business, University of Wisconsin-Madison, 975 University Avenue, Madison, WI 53706, USA

Abstract：We develop a model that generates slowly unfolding disasters not only in the macroeconomy but also in financial markets. In our model, investors cannot exactly distinguish whether the economy is experiencing a mild/temporary downturn or is on the verge of a severe/prolonged disaster. Due to imperfect information, disaster periods are not fully identified by investors ex ante. Bayesian learning induces equity prices to gradually react to persistent consumption declines, which plays a critical role in explaining the VIX, variance risk premium, and put-protected portfolio returns. We show that our model can rationalize the market patterns of recent major crises, such as the dot-com bubble burst, Great Recession, and COVID-19 crisis, through investors' belief channel.

23.Financial development and labor market outcomes: Evidence from Brazil

JuliaFonseca

Gies College of Business, University of Illinois at Urbana-Champaign, 1206 S 6th St, Champaign, IL 61820, United States

BernardusVan Doornik

Central Bank of Brazil, Setor Bancario Sul Q.3 BL B Asa Sul, Brasilia, DF 70074, Brazil

Abstract：We estimate the effect of increased access to bank credit on the employment and wages of high- and low-skilled workers. To do so, we consider a bankruptcy reform that led to an expansion of bank credit to Brazilian firms. We use administrative data and exploit cross-sectional variation in the enforcement of the new legislation arising from differences in the congestion of civil courts. We find that the credit expansion led to an increase in the skill intensity of firms and in within-firm returns to skill and to a reallocation of skilled labor from financially unconstrained firms to constrained firms. To rationalize these findings, we design a model in which heterogeneous producers face constraints in their ability to borrow and have production functions featuring capital-skill complementarity. We use this framework to generate an industry-level measure of capital-skill complementarity, which we use to provide direct evidence that the effect of access to credit on skill utilization and the skill premium is driven by a relative complementarity between capital and skilled labor.

24.Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark

FábioCereda

Department of Economics, University of Sao Paulo, Brazil

FernandoChague

Sao Paulo School of Economics - FGV, Rua Itapeva, 474, Sao Paulo, SP, Brazil

RodrigoDe-Losso

Department of Economics, University of Sao Paulo, Brazil

AlanGenaro

Sao Paulo School of Business Administration - FGV, Brazil

BrunoGiovannetti

Sao Paulo School of Economics - FGV, Brazil

Abstract：We study the effects of a price transparency shock in the Brazilian equity lending market, an over-the-counter market. Previously, the available loan fee benchmark was the mean loan fee of the past 15 trading days. On March 1, 2011, this interval was reduced to three days, significantly improving short-sellers’ ability to predict current loan fees. We find that after the benchmark change, loan fees fell, lending volume increased, total lending revenue remained stable, high-cost lenders lost market share, and price efficiency increased. Our results suggest implementing price benchmarks in OTC markets can improve market quality.

25.Trade credit and profitability in production networks

MichaelGofman

Simon Business School, University of Rochester, Rochester, NY 14627, United States

YouchangWu

Lundquist College of Business, University of Oregon, Eugene, OR 97403, United States

Abstract：We construct a sample of over 200,000 supply chains between 2003 and 2018 to conduct a chain-based analysis of trade credit. Our study uncovers novel stylized facts about trade credit both within and across supply chains. More upstream firms borrow more from suppliers, lend more to customers, and hold more net trade credit. This upstreamness effect in trade credit is weaker for more profitable firms and for longer chains. Firms in more central or more profitable chains provide more net trade credit. Our results are generally consistent with the recursive moral hazard theory of trade credit. Evidence for the financing advantage theory is mixed.

收集人：邢宇鑫  河南牧业经济学院

审核人：王蕊 长春工业大学

编辑：李欣颖 青海民族大学

编辑团队成员名单
指导：水皮
李欣颖 青海民族大学 会计张澳 湖南大学 大四 会计学石庚岩 信阳师范学院 研二 会计学
吴伟 浙江工商大学 会计学 研三王萃芳 东北财经大学 企业管理 博二
王俊苏 重庆理工大学 MPACC 研一




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日前，会计学术联盟社群再次重启，接受社会申请。联盟旗下的华人高端财会金融学者圈（现570余人），因其入群条件高，管理到位，氛围融洽，聚集了来自北美、欧洲、澳洲、港澳台以及大陆知名大学的会计金融学者，极大促进了海内外华人会计金融学者的交流与合作。第一微信群已满（500人），二群（70余人）现接受优秀财会.金融学者申请，加群的朋友从速！（联盟其他层次社群将有选性地开放，请大家及时关注公众号）

       
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二、加强对象：（应同时满足A和B）A、人品与学品同等重要。有人品，更有学品，做学文，也是在做人。人做好，更有助于学问做好！人做好，朋友多，更有助于学问做好！学问做好了，影响帮助更多的人做好人，做好学问！
B、活跃在会计科研一线的有缘朋友，能认同广交朋友，传正能量，热心助人成长的理念，博士或在读博士，且满足以下其一：
1）有在国外SSCI期刊发表文章；2）在国外大学任教或国外读会计金融领域博士；3）在国内《经济研究》《管理世界》《南开管理评论》《会计研究》《审计研究》《金融研究》《中国会计评论》CJAR、CAFR、CJAS有文章发表的优秀盟友！
目前已有海内外560余位学者加入，成果发表在JF、JFE、RFS、JFQA、AR、RAS、CAR、AOS、《经济研究》、《管理世界》等国内外顶级期刊。
与国内外顶端学者交流，欢迎加入华人高端会计金融学者群，可联系盟小二(微信13717527221)，加好友请注明：姓名+专业/学历/职称+单位，并提供科研成果佐证教材，符合条件的，将被邀请进群。
在读的会计或金融博士，如果条件还未达到的，欢迎联系萌小二，邀请您加入我们的中华会计金融博士群（800人余人），待条件满足后，再邀请您群高端群。
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