本文汇总了金融学国际顶级期刊《Journal of Finance》近期发表的最新论文成果，提供金融研究领域最新学术动态。
目录
1）Loan Terms and Collateral: Evidence from the Bilateral Repo Market
2）Import Competition and Household Debt
3）The Two-Pillar Policy for the RMB
4）Attention-Induced Trading and Returns: Evidence from Robinhood Users
5）Belief Disagreement and Portfolio Choice
6）Asset Pricing with Cohort-Based Trading in MBS Markets
7）The Price of Higher Order Catastrophe Insurance: The Case of VIX Options
8）Financial Crises and Political Radicalization: How Failing Banks Paved Hitler's Path to Power
9）Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy
01
Loan Terms and Collateral: Evidence from the Bilateral Repo Market
作者：
Jun Kyung Auh
(Yonsei University)
Mattia Landoni
(Federal Reserve Bank of Boston)
摘要：文章利用一个专有的、贷款层面的双边回购协议数据库来研究担保贷款合同，该数据库包含了一笔证券化下面由多层分级支持的多组同期贷款。文章表明，低质量的贷款（即由低评级抵押品支持的贷款）具有更高的保证金和利差。本文使用抵押品资产价格校准了一个模型，发现低质量的贷款虽然具有更高的保证金，但它们的风险更高，另外它们对借款人而言却更便宜。这一发现与贷款人的乐观情绪和对收益的追求是一致的。文章还表明，低质量的贷款有更长的期限，这与信息不对称的展期考虑模型一致。
Abstract：We study secured lending contracts using a proprietary, loan-level database of bilateral repurchase agreements containing groups of simultaneous loans backed by multiple tranches within a securitization. We show that lower-quality loans (i.e., loans backed by lower-rated collateral) have higher margins and spreads. We calibrate a model using collateral asset prices and find that lower-quality loans are riskier despite the higher margins, yet cheaper for the borrower. This finding is consistent with a combination of lender optimism and reaching for yield. We also show that lower-quality loans have longer maturity, consistent with models of rollover concerns with asymmetric information.
02
Import Competition and Household Debt
作者：
Jean-Noël Barrot
(HEC Paris School of Management)
Erik Loualiche
(University of Minnesota, Carlson School of Management)
Matthew Plosser
(Federal Reserve Bank of New York)
Julien Sauvagnat
(Bocconi University)
摘要：文章利用消费金融的个体数据分析了进口竞争对家庭资产负债表的影响。文章利用当地产业对外国竞争的暴露变化来研究家庭对中国加入世界贸易组织所引发的收入冲击的反应。文章表明，在制造业对进口竞争暴露更大的地区，家庭债务显著增加。这种影响是由房屋净值抽取（home equity extraction）所驱动的，并且集中在房价增长强劲的地区。本文的结果强调了抵押贷款市场在吸收全球化所引发的搬迁冲击（displacement shocks）方面所发挥的作用。
Abstract： We analyze the effect of import competition on household balance sheets using individual data on consumer finances. We exploit variation in local industry exposure to foreign competition to study households' response to the income shock triggered by China's accession to the World Trade Organization. We show that household debt increases significantly in regions where manufacturing industries are more exposed to import competition. The effects are driven by home equity extraction and are concentrated in areas with strong house price growth. Our results highlight the role played by mortgage markets in absorbing displacement shocks triggered by globalization.
03
The Two-Pillar Policy for the RMB
作者：
Urban J. Jermann
(Wharton School of University of Pensylvania and NBER)
Bin Wei
(Federal Reserve Bank of Atlanta)
Vivian Z. Yue
(Emory University, the Federal Reserve Bank of Atlanta, NBER, and CEPR)
摘要：本文研究了中国近期的人民币汇率政策。本文的实证证据表明了双支柱政策（two-pillar policy）的存在，即通过市场和篮子支柱（market and basket pillars）来平衡汇率灵活性和人民币指数稳定性。文章进一步扩展并验证了包含所谓反周期因子的表述。在理论上，本文构建了一个人民币的灵活价格货币模型，其中双支柱政策由政府最佳反应内生产生。本文用广义矩量法对该模型进行了估计，并对各种政策权衡进行了定量评估。
Abstract：This paper studies China's recent exchange rate policy for the renminbi (RMB). We demonstrate empirically that a two-pillar policy is in place, aiming to balance exchange rate flexibility and RMB index stability via market and basket pillars. We further extend and validate the formulation that incorporates the so-called countercyclical factor. Theoretically, we develop a flexible-price monetary model for the RMB in which the two-pillar policy arises endogenously as an optimal response of the government. We estimate the model by generalized method of moments and quantitatively assess various policy trade-offs.
04
Attention-Induced Trading and Returns: Evidence from Robinhood Users
作者：
Brad M. Barber
(Graduate School of Management, UC Davis)
Xing Huang
(Olin Business School, Washington University in St. Louis)
Terrance Odean
(Haas School of Business, UC Berkeley)
Christopher Schwarz
(Merage School of Business, UC Irvine)
摘要：文章研究了金融科技券商公司的金融创新对个人投资者交易和股票价格的影响。利用Robinhood的数据，本文发现Robinhood的投资者会比其他散户投资者进行更多的关注度诱导交易（attention-induced trading）。例如，Robinhood的故障不成比例地减少了高关注度股票的交易。虽然这一证据与Robinhood会吸引相对缺乏经验的投资者一致，但本文表明这一证据也部分由应用程序的独特功能导致。与关注度诱导交易模型一致，Robinhood用户的大量购买预测负的股票收益。每天购买最多的股票平均20天异常回报率为-4.7%。
Abstract：We study the influence of financial innovation by fintech brokerages on individual investors’ trading and stock prices. Using data from Robinhood, we find that Robinhood investors engage in more attention-induced trading than other retail investors. For example, Robinhood outages disproportionately reduce trading in high-attention stocks. While this evidence is consistent with Robinhood attracting relatively inexperienced investors, we show that it is also driven in part by the app's unique features. Consistent with models of attention-induced trading, intense buying by Robinhood users forecasts negative returns. Average 20-day abnormal returns are -4.7% for the top stocks purchased each day.
05
Belief Disagreement and Portfolio Choice
作者：
Maarten Meeuwis
(Washington University in St. Louis)
Jonathan A. Parker
(MIT and NBER)
Antoinette Schoar
(MIT and NBER)
Duncan Simester
(MIT)
摘要：利用数百万家庭的专有金融数据，本文表明在2016年总统选举之后，潜在共和党人增加了他们投资组合中的股票份额和市场beta，而潜在民主党人则向安全资产再平衡。文章提供的证据表明，这种行为是由投资者根据不同的世界模型解释公共信息所驱动的。文章利用详细的变量控制排除了如收入对冲需求、偏好和当地经济暴露等主要的非信念驱动渠道。这些发现是由一小部分投资者做出大的改变导致，并且在事前交易更多的投资者中更为显著。
Abstract：Using proprietary financial data on millions of households, we show that likely-Republicans increased the equity share and market beta of their portfolios following the 2016 presidential election, while likely-Democrats rebalanced into safe assets. We provide evidence that this behavior was driven by investors interpreting public information based on different models of the world. We use detailed controls to rule out the main nonbelief-based channels such as income hedging needs, preferences, and local economic exposures. These findings are driven by a small share of investors making big changes, and are stronger among investors who trade more ex ante.
06
Asset Pricing with Cohort-Based Trading in MBS Markets
作者：
Nicola Fusari
(Johns Hopkins Carey Business School)
Wei Li
(Johns Hopkins Carey Business School)
Haoyang Liu
(Federal Reserve Bank of Dallas)
Zhaogang Song
(Johns Hopkins Carey Business School)
摘要：具有不同特征的机构住房抵押贷款支持证券（MBS）通过个性化的特定资产池（SP）合约和具有交付灵活性的标准化待宣布（TBA）合约平行进行交易。这种平行交易的环境对MBS的定价和交易产生了独特的影响：(1)尽管TBA交易中存在最便宜交付（CTD）的问题，而在SP交易中不存在此问题，但与CTD折扣相关的MBS异质性会正向影响SP收益率，并且这种影响对低价值SP更大；(2)高卖出压力放大了MBS异质性对SP收益率的影响；(3)MBS异质性的加强抑制了SP和TBA交易活动，但增加了它们的比率。
Abstract：Agency mortgage-backed securities (MBSs) with diverse characteristics are traded in parallel through individualized specified pool (SP) contracts and standardized to-be-announced (TBA) contracts with delivery flexibility. This parallel trading environment generates distinctive effects on MBS pricing and trading: (i) Although cheapest-to-deliver (CTD) issues are present in TBA trading and absent from SP trading by design, MBS heterogeneity associated with CTD discounts affects SP yields positively, with the effect stronger for lower-value SPs; (ii) high selling pressure amplifies the effects of MBS heterogeneity on SP yields; and (iii) greater MBS heterogeneity dampens SP and TBA trading activities but increases their ratio.
07
The Price of Higher Order Catastrophe Insurance: The Case of VIX Options
作者：
Bjørn Eraker
(Wisconsin School of Business)
Aoxiang Yang
(Peking University HSBC Business School)
摘要：文章建立了一个基于仿射跳跃-扩散状态动态化（affine jump-diffusive state dynamics）和具有Duffie-Epstein递归偏好的代理人的易于处理的均衡定价模型，以解释从股票收益、VIX期货、标普500期权和VIX期权数据中所观察到的特征。文章的校准模型复现了消费、股息和资产市场数据，包括VIX期货收益、SPX和VIX期权的平均隐含波动率，以及VIX期权收益的一阶和高阶矩。文章记录了模型所捕捉到的VIX期权隐含波动率形状的时间序列变化以及VIX与SPX期权之间的时变对冲关系。
Abstract：We develop a tractable equilibrium pricing model to explain observed characteristics in equity returns, VIX futures, S&P 500 options, and VIX options data based on affine jump-diffusive state dynamics and representative agents endowed with Duffie-Epstein recursive preferences. Our calibrated model replicates consumption, dividends, and asset market data, including VIX futures returns, the average implied volatilities in SPX and VIX options, and first- and higher-order moments of VIX options returns. We document a time variation in the shape of VIX-option-implied volatility and a time-varying hedging relationship between VIX and SPX options that our model both captures.
08
Financial Crises and Political Radicalization: How Failing Banks Paved Hitler's Path to Power
作者：
Sebastian Doerr
(Bank for International Settlements)
Stefan Gissler
(Board of Governors of the Federal Reserve)
José-Luis Peydró
(Imperial College London and ICREA-Universitat Pompeu Fabra, BSE, and CREI)
Hans-Joachim Voth
(University of Zurich)
摘要：金融危机是否会使选民变得激进？文章收集了关于银行分支机构和公司-银行联系的新数据以研究德国1931年的银行危机。本文利用对处于危机中心银行的危机前暴露的截面变化，表明纳粹的选票在受其失败影响更大的地方激增。对该冲击的反应激进化现象在存在反犹太主义历史的城市更加严重。纳粹夺取政权后，在受银行危机影响的地方，大屠杀和驱逐都更加频繁。本文的研究结果表明，财务困境和文化倾向之间存在着重要的协同效应，且具有深远的影响。
Abstract：Do financial crises radicalize voters? We study Germany's 1931 banking crisis, collecting new data on bank branches and firm-bank connections. Exploiting cross-sectional variation in precrisis exposure to the bank at the center of the crisis, we show that Nazi votes surged in locations more affected by its failure. Radicalization in response to the shock was exacerbated in cities with a history of anti-Semitism. After the Nazis seized power, both pogroms and deportations were more frequent in places affected by the banking crisis. Our results suggest an important synergy between financial distress and cultural predispositions, with far-reaching consequences.
09
Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy
作者：
Julian Di Giovanni
(Federal Reserve Bank of New York and CEPR)
Galina Hale
(U.C. Santa Cruz, Federal Reserve Bank of San Francisco, CEPR, and NBER)
摘要：文章量化分析了全球生产联系在解释美国货币政策冲击对国家股票收益溢出效应中的作用。本文估计了一个符合开放经济生产网络框架的结构空间自回归（SAR）模型。文章利用SAR模型，将美国货币政策对全球股票收益的影响分解为直接影响和网络效应。总影响中的近70%部分是由全球生产联系的网络影响造成。实证的反事实表明，全球生产联系的消失会使美国货币政策冲击的影响减半。
Abstract：We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks on country-sector stock returns. We estimate a structural spatial autoregression (SAR) model that is consistent with an open-economy production network framework. Using the SAR model, we decompose the total impact of U.S. monetary policy on global stock returns into direct and network effects. Nearly 70% of the total impact is due to the network effect of global production linkages. Empirical counterfactuals show that shutting down global production linkages halves the total impact of U.S. monetary policy shocks.