顶刊推送《The Review of Financial Studies》2022-35-1

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The Review of Financial Studies

Volume 35,Issue 1

（January 2022）

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catalog

1.Swing Pricing and Fragility in Open-End Mutual Funds

2.The Unintended Consequences of Corporate Bond ETFs: Evidence from the Taper Tantrum

3.Do Index Funds Monitor?

4.Peer Effects in Corporate Governance Practices: Evidence from Universal Demand Laws

5.How Should Performance Signals Affect Contracts?

6.Competing for Talent: Firms, Managers, and Social Networks

7.Buy-Side Competition and Momentum Profits

8.Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

9. Reconsidering Returns

10.Can Cross-Border Funding Frictions Explain Financial Integration Reversals?

11. Cross-Border Bank Flows and Monetary Policy

12. Regressive Mortgage Credit Redistribution in the Post-Crisis Era

Abstract

1.Swing Pricing and Fragility in Open-End Mutual Funds

Dunhong Jin

HKU Business School

Marcin Kacperczyk

Imperial College London and CEPR

Bige Kahraman

University of Oxford and CEPR

Felix Suntheim

International Monetary Fund

Abstract：How can fragility be averted in open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor-level transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces outflows during market stress. Swing pricing also reduces concavity in the flow-performance relationship and dilution in fund performance.

2.The Unintended Consequences of Corporate Bond ETFs: Evidence from the Taper Tantrum

Caitlin Dannhauser

Villanova University

Saeid Hoseinzade

Suffolk University

Abstract：This paper examines whether ETFs are a unique source of corporate bond fragility. Relative to mutual funds, ETFs cater to high-liquidity-demand investors, facilitate positive feedback strategies, and transmit outflows to corporate bonds via near-proportional trading. Comparing yield spread changes of bonds from the same issuer, we show that ETFs create flow-induced pressure during the Taper Tantrum, a period of market turmoil. Redemptions used to maintain the relative price efficiency of the largest and most liquid ETFs lead to significantly higher yield spreads for 4 months before reverting. The pattern indicates ETFs amplify the effects of negative fundamental shocks.

3.Do Index Funds Monitor?

Davidson Heath

University of Utah

Daniele Macciocchi

University of Miami

Roni Michaely

University of Hong Kong and ECGI

Matthew Ringgenberg

University of Utah

Abstract：Passively managed index funds now hold over 30% of U.S. equity fund assets; this shift raises fundamental questions about monitoring and governance. We show that, relative to active funds, index funds are less effective monitors: (a) they are less likely to vote against firm management on contentious governance issues; (b) there is no evidence they engage effectively publicly or privately; and (c) they promote less board independence and worse pay-performance sensitivity at their portfolio companies. Overall, the rise of index funds decreases the alignment of incentives between beneficial owners and firm management and shifts control from investors to managers.

4.Peer Effects in Corporate Governance Practices: Evidence from Universal Demand Laws

Pouyan Foroughi

York University

Alan Marcus

Boston College

Vinh Nguyen

The University of Hong Kong

Hassan Tehranian

Boston College

Abstract：Firms in the same networks tend to have similar corporate governance practices. However, disentangling peer effects, where governance practices propagate from one firm to another, from selection effects, where firms with similar preferences self-select into linked groups, is difficult to do. Studying board-interlocked firms, we utilize the staggered adoption of universal demand laws across states to identify and estimate causal peer effects in governance policies. We find support for the existence of peer effects in the adoption of antitakeover provisions. The impact of universal demand laws on the governance experience of interlocking directors likely explains these effects.

5.How Should Performance Signals Affect Contracts?

Pierre Chaigneau

Queen’s University

Alex Edmans

LBS, CEPR, and ECGI

Daniel Gottlieb

LSE

Abstract：The informativeness principle states that a contract should depend on informative signals. This paper studies how it should do so. Signals indicating that the output distribution has shifted to the left (e.g., weak industry performance) reduce the threshold for the manager to be paid; those indicating that output is a precise measure of effort (e.g., low volatility) decrease high thresholds and increase low thresholds. Surprisingly, “good” signals of performance need not reduce the threshold. Applying our model to performance-based vesting, we show that performance measures should affect the strike price, rather than the number of vesting options, contrary to practice.

6.Competing for Talent: Firms, Managers, and Social Networks

Isaac Hacamo

Indiana University

Kristoph Kleiner

Indiana University

Abstract：Do social networks help firms recruit talented managers? In our setting, firms are randomly connected to prospective young managers through former employees. Under a discrete choice model, we find networks increase the likelihood firms hire high-ability managers, while having no effect on the hiring rate of low-ability managers. Effects are greatest for nonlocal firms, strong ties, and peers living in the same neighborhood. Survey evidence suggests social networks promote recruitment by providing information about firm fundamentals to potential applicants. Our results help rationalize why the majority of managers hold prior connections to the firm.

7.Buy-Side Competition and Momentum Profits

Gerard Hoberg

University of Southern California

Nitin Kumar

Indian School of Business

Nagpurnanand Prabhala

Johns Hopkins University

Abstract：We show that a new measure of buy-side competition explains momentum profits. The momentum quintile spread is 1.11% when competition is low and negligible when competition is high. Better alphas are attained with superior Sharpe and Sortino ratios, with no negative skewness, and in more investible strategies featuring value-weighted portfolios and large capitalization stocks. Stock characteristics traditionally related to momentum do not explain our results. Tests based on long-term reversals, the trading patterns of funds, their style peers, distant funds, and retail investors suggest that slow information diffusion explains the large momentum spreads and momentum reversals in low competition markets.

8.Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

Erik Stafford

Abstract：The contributions of asset selection and incremental leverage to buyout investment performance are more important than typically assumed or estimated to be. Buyout funds select small firms with distinct value characteristics. Public equities with these characteristics have high risk-adjusted returns relative to common factors. Adding incremental leverage to a publicly traded stock portfolio increases both risks and mean returns in this sample. Direct investments in private equity funds earn lower mean returns than a replicating strategy designed to mimic these key economic features of their investment process with public equities and brokerage loans.

9.Reconsidering Returns

Samuel Hartzmark

University of Chicago and NBER

David Solomon

Boston College

Abstract：Investors’ perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, thereby underreporting market performance. Newspapers are more pessimistic on ex-dividend days, consistent with mistaking the index for returns. Market betas should track returns, but track prices more than dividends, creating predictable returns. Mutual funds receive inflows for “beating the S&P 500” price index based on net asset value (also not a return). Investors extrapolate market indices, not returns, when forming annual performance expectations. Displaying returns by default would ameliorate these issues, which arise despite high attention and agreement on the appropriate measure.

10.Can Cross-Border Funding Frictions Explain Financial Integration Reversals?

Amir Akbari

Ontario Tech University

Francesca Carrieri

McGill University

Aytek Malkhozov

Federal Reserve Board

Abstract：We show that constraints on using leverage for foreign positions can act as an international investment barrier. Guided by an international CAPM with leverage constraints, we use observed stock prices to measure the variation in the magnitude and the implicit cost of such cross-border funding barriers. Our measure helps explain the dynamics of global market integration and, in particular, its reversals documented in the literature, but not explained by other international investment barriers. We confirm our results using alternative financial integration measures, international capital flows, and institutional portfolio holdings.

11.Cross-Border Bank Flows and Monetary Policy

Ricardo Correa

Federal Reserve Board

Teodora Paligorova

Federal Reserve Board

Horacio Sapriza

Federal Reserve Board

Andrei Zlate

Federal Reserve Board

Abstract：We analyze the impact of monetary policy on cross-border bank flows for a large sample of countries over two decades. We find evidence in favor of a cross-border risk-taking channel, as the monetary policy stance of source countries is an important determinant of cross-border bank flows. A relatively tighter monetary policy in source countries prompts banks to reallocate their lending toward safer foreign counterparties. The cross-border reallocation of credit is more pronounced for source countries with lower-capitalized banks. Also, the reallocation is directed toward foreign borrowers in relatively safer destinations, such as advanced economies or economies with investment-grade sovereign ratings.

12. Regressive Mortgage Credit Redistribution in the Post-Crisis Era

Francesco D’Acunto

Boston College

Alberto Rossi

Georgetown University

Abstract：We document four secular trends about U.S. mortgage origination by traditional and FinTech lenders after the 2008-2009 financial crisis. First, since 2011, the overall number, size, and approval rate of small and medium-sized loans have been decreasing over time, relative to large loans. Second, the largest lenders redistribute their lending the most. Third, this loan-size redistribution of credit increases in the size of the lender. Fourth, the effects are stronger for mortgages further away from the conforming loan limit(s) in both directions. We argue that the supply of credit drives these secular trends, and we assess several potential economic mechanisms.

本/期/人/员

Participants in this period

跟踪：赵怡雪

审核：王蕊

编辑：石庚岩

来源：RFS官网

收集：赵怡雪兰州理工大学硕士

审核：王蕊长春工业大学本科

编辑：石庚岩信阳师范学院硕士研究生

编辑团队成员：

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