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）The Anatomy of the Transmission of Macroprudential Policies
2）The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts
3）Commodity Financialization and Information Transmission
4）When Should Bankruptcy Law Be Creditor- or Debtor-Friendly? Theory and Evidence
5）Rare Disasters, Financial Development, and Sovereign Debt
6）Common Ownership Does Not Have Anticompetitive Effects in the Airline Industry
7）Rising Intangible Capital, Shrinking Debt Capacity, and the U.S. Corporate Savings Glut
8）A Theory of Equivalent Expectation Measures for Contingent Claim Returns
9）The Golden Mean: The Risk-Mitigating Effect of Combining Tournament Rewards with High-Powered Incentives
10）CEO Political Leanings and Store-Level Economic Activity during the COVID-19 Crisis: Effects on Shareholder Value and Public Health
01
The Anatomy of the Transmission of Macroprudential Policies
作者：
Viral V. Acharya
(NYU Stern, NBER, and CEPR)
Katharina Bergant
(IMF)
Matteo Crosignani
(New York Fed)
Tim Eisert
(Erasmus University Rotterdam and CEPR)
Fergal McCann
(Central Bank of Ireland)
摘要：文章分析了对家庭杠杆的监管限制——以贷款-收入和贷款-价值限制的形式——如何影响住宅抵押贷款、房价和不被监管限制直接针对的其他资产类别。贷款层面的数据表明，抵押贷款经历了从低收入借款人到高收入借款人，从城市到农村的重新分配。这种重新分配削弱了信贷和房价之间的反馈（循环），减缓了“热门”住房市场房价的增长。对家庭贷款受监管约束影响更大的银行推动了这种重新分配，但也将它们的风险承担替代为持有证券和公司信贷。
Abstract：We analyze how regulatory constraints on household leverage—in the form of loan-to-income and loan-to-value limits—affect residential mortgage credit and house prices as well as other asset classes not directly targeted by the limits. Loan-level data suggest that mortgage credit is reallocated from low- to high-income borrowers and from urban to rural counties. This reallocation weakens the feedback between credit and house prices and slows house price growth in “hot” housing markets. Banks whose lending to households is more affected by the regulatory constraint drive this reallocation, but also substitute their risk-taking into holdings of securities and corporate credit.
02
The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts
作者：
Jens Dick-Nielsen
(Copenhagen Business School and Danish Finance Institute)
Jacob Gyntelberg
(European Banking Authority)
Christoffer Thimsen
(Aarhus University and Danish Finance Institute)
摘要：文章利用分析师的盈利预测来提取银行的资本成本指标，并且发现这些指标是无偏的。文章发现股权成本和债务成本在一级比率中下降，而总资本成本与一级比率不相关。这些发现表明，投资者会根据Modigliani–Miller风险守恒理论来调整他们对银行回报的预期。因此，根据市场定价违反风险守恒的看法，增加的资本需求并不会让社会成本增加。但是由于补贴的减少，股权对银行来说仍然是有私人成本的。
Abstract： We extract cost of capital measures for banks using analyst earnings forecasts, which we show are unbiased. We find that the cost of equity and the cost of debt decrease in the Tier 1 ratio, whereas total cost of capital is uncorrelated with the Tier 1 ratio. These findings suggest that investors adjust their return expectations for banks in accordance with the Modigliani–Miller conservation-of-risk principle. Hence, increased capital requirements are not made socially costly based on a notion that market pricing violates risk conservation. Equity can nevertheless still be privately costly for banks because of reduced subsidies.
03
Commodity Financialization and Information Transmission
作者：
Itay Goldstein
(Wharton School, University of Pennsylvania)
Liyan Yang
(Joseph L. Rotman School of Management, University of Toronto and Guanghua School of Management, Peking University)
摘要：文章构建了一个模型来理解商品期货金融化对各种市场变量的影响。文章区分了金融投机者和金融套期保值者，并研究了他们对期货价格的信息性、期货价格的偏差、期货价格与其他市场的联动以及金融交易的预测性的单独的和综合的影响。文章通过现货价格和生产决策来捕捉商品期货金融化和实体经济之间的相互作用。一个动态扩展说明了在金融化加剧的时期，关键变量是如何按照与观测到的实证趋势一致的方式随时间变化的。
Abstract：We provide a model to understand the effects of commodity futures financialization on various market variables. We distinguish between financial speculators and financial hedgers and study their separate and combined effects on the informativeness of futures prices, the futures price bias, the comovement of futures prices with other markets, and the predictiveness of financial trading. We capture the interactions between commodity futures financialization and the real economy through spot prices and production decisions. A dynamic extension illustrates how key variables change over time in a period of acute financialization in a way that is consistent with observed empirical patterns.
04
When Should Bankruptcy Law Be Creditor- or Debtor-Friendly? Theory and Evidence
作者：
David Schoenherr
(Princeton University)
Jan Starmans
(Stockholm School of Economics)
摘要：文章研究了债权人保护如何影响具有不同水平所有者和管理者个人破产成本（PCB）的公司。从理论上来说，本文表明，具有高PCB的公司会在对债务人更有利的管理停留（management stay）制度下更多地借款和投资，而具有低PCB的公司会在对债权人更有利的管理停留制度下更多地借款和投资。直观上讲，更强的债权人保护会放松财务约束，但同时会减少信贷需求。哪种效应占主导地位取决于所有者和管理者的个人破产成本（PCB）。从实证结果上看，本文利用韩国的一项用管理停留取代接管制度的破产改革为这些预测提供了证据支持。
Abstract：We examine how creditor protection affects firms with different levels of owners' and managers' personal costs of bankruptcy (PCB). Theoretically, we show that firms with high PCB borrow and invest more under a more debtor-friendly management stay system, whereas firms with low PCB borrow and invest more under a more creditor-friendly receivership system. Intuitively, stronger creditor protection relaxes financial constraints but reduces credit demand. Which effect dominates depends on owners' and managers' PCB. Empirically, we find support for these predictions using a Korean bankruptcy reform that replaced receivership with management stay.
05
A New Test of Risk Factor Relevance
作者：
Sergio Rebelo
(Northwestern University and National Bureau of Economic Research)
Neng Wang
(Columbia University, CKGSB, National Bureau of Economic Research, and Asian Bureau of Finance and Economic Research)
Jinqiang Yang
(School of Finance, Shanghai University of Finance and Economics, and Shanghai Institute of International Finance and Economics)
摘要：文章提出了一个在各国金融发展水平不同情形下的主权债务模型，其中金融发展水平被定义为各国能够在国际资本市场上发行以本国货币计价债务的程度。文章表明，低的金融发展水平产生了困扰新兴市场的“债务不容忍”现象：它降低了整体的债务能力，增加了信贷利差，并限制了国家平滑消费的能力。
Abstract：We propose a model of sovereign debt in which countries vary in their level of financial development, defined as the extent to which they can issue debt denominated in domestic currency in international capital markets. We show that low levels of financial development generate the “debt intolerance” phenomenon that plagues emerging markets: it reduces overall debt capacity, increases credit spreads, and limits the country's ability to smooth consumption.
06
Common Ownership Does Not Have Anticompetitive Effects in the Airline Industry
作者：
Patrick Dennis
(McIntire School of Commerce University of Virginia)
Kristopher Gerardi
(Federal Reserve Bank of Atlanta)
Carola Schenone
(McIntire School of Commerce University of Virginia)
摘要：机构往往会持有在同一产品市场中竞争的多家公司的股权。以往研究表明，这些机构性质的“共同所有者”诱发了航空业中的反竞争定价行为。本文重新评估了这一证据，并表明共同所有权和机票价格之间的正相关关系源于共同所有权指标中的市场份额部分，而不是所有权和控制权部分。文章进一步表明，这些结果对投资者控制权的衡量指标以及对破产期间股权持有人的所有权和控制权的假设都很敏感。
Abstract：Institutions often own equity in multiple firms that compete in the same product market. Prior research has shown that these institutional “common owners” induce anticompetitive pricing behavior in the airline industry. This paper reevaluates this evidence and shows that the documented positive correlation between common ownership and airline ticket prices stems from the market share component of the common ownership measure, and not the ownership and control components. We further show that the results are sensitive to measures of investor control and to assumptions about equity holders' ownership and control during bankruptcy.
07
Rising Intangible Capital, Shrinking Debt Capacity, and the U.S. Corporate Savings Glut
作者：
Antonio Falato
(Federal Reserve Board of Governors)
Dalida Kadyrzhanova
(Federal Reserve Board of Governors)
Jae Sim
(Federal Reserve Board of Governors)
Roberto Steri
(University of Luxembourg)
摘要：本文探究了增加的无形资本与美国企业现金持有量的长期上升趋势之间的联系。文章用有形和无形资本这两种生产性资产校准了一个只有有形资本可以作为抵押品的动态模型。文章强调以下几点发现：(1)向无形资本的转变缩减了企业的债务能力，导致它们持有更多的现金，(2)这种影响占所观察到的平均现金比率趋势的四分之三，(3)它也解释了现金比率在小型和大型企业的横截面上和总体上的上升趋势。
Abstract：This paper explores the connection between rising intangible capital and the secular upward trend in U.S. corporate cash holdings. We calibrate a dynamic model with two productive assets—tangible and intangible capital—in which only tangible capital can serve as collateral. We highlight the following points: (i) a shift toward intangible capital shrinks firms' debt capacity and leads them to hold more cash, (ii) the effect accounts for three-quarters of the observed trend in average cash ratios, and (iii) it also accounts for the upward trend of cash ratios in the cross-section of small and large firms and in the aggregate.
08
A Theory of Equivalent Expectation Measures for Contingent Claim Returns
作者：
Sanjay K. Nawalkha
(Isenberg School of Management, University of Massachusetts)
Xiaoyang Zhuo
(School of Management and Economics, Beijing Institute of Technology)
摘要：本文引入了一种用于计算有限期限内或有权益的预期未来价格（由此可得预期收益）解析解的动态测度变化方法。该新方法构建了被称为等价期望测度（EEMs）的混合概率测度，该测度提供了权益未来价格在期限日之前的物理期望，并作为期限日当天或之后的定价测度。EEM理论可用于对国债、公司债券和金融衍生品等或有权益收益的截面和期限结构的实证分析。
Abstract：This paper introduces a dynamic change of measure approach for computing analytical solutions of expected future prices (and therefore, expected returns) of contingent claims over a finite horizon. The new approach constructs hybrid probability measures called equivalent expectation measures (EEMs) that provide the physical expectation of the claim's future price before the horizon date, and serve as pricing measures on or after the horizon date. The EEM theory can be used for empirical investigations of both the cross-section and the term structure of returns of contingent claims, such as Treasury bonds, corporate bonds, and financial derivatives.
09
The Golden Mean: The Risk-Mitigating Effect of Combining Tournament Rewards with High-Powered Incentives
作者：
Dunhong Jin
(HKU Business School, The University of Hong Kong)
Thomas Noe
(Saïd Business School, University of Oxford)
摘要：财务经理获得的奖励既取决于相对业绩（例如，基于基金排名的资金流入，基于同行比较的晋升），也取决于绝对业绩（例如，达到会计目标的奖金支付，对冲基金的激励费）。相对业绩和绝对业绩的奖励都会导致风险承担。文章表明，相对业绩奖励和绝对业绩奖励这两种风险承担的来源（彼此）可以减轻另一种奖励所产生的风险承担动机。这种相互的动机减轻效应产生了一些关于管理者风险承担与相对和绝对业绩奖励结构之间关系的新预测。
Abstract：The rewards received by financial managers depend on both relative performance (e.g., fund inflows based on fund rankings, promotions based on peer comparisons) and absolute performance (e.g., bonus payments for meeting accounting targets, hedge-fund incentive fees). Both relative and absolute performance rewards engender risk-taking. In this paper, we show that these two sources of risk-taking, relative and absolute performance rewards, mitigate the risk-taking incentives produced by the other. This mutual incentive-reduction effect generates a number of novel predictions about the relationship of managerial risk-taking with the structure of relative and absolute performance rewards.
10
CEO Political Leanings and Store-Level Economic Activity during the COVID-19 Crisis: Effects on Shareholder Value and Public Health
作者：
John M. Bizjak
(Neeley School of Business, Texas Christian University)
Swaminathan L. Kalpathy
(Neeley School of Business, Texas Christian University)
Vassil T. Mihov
(Neeley School of Business, Texas Christian University)
Jue Ren
(Neeley School of Business, Texas Christian University)
摘要：在COVID-19大流行期间保持经济产出会给公司股东带来好处，但也会给公共卫生带来潜在成本。利用商店层面的数据，文章研究了CEO的政治倾向会如何影响这种权衡。本文发现，与有民主党倾向CEO的公司相比，有共和党倾向CEO的公司商店的访问量会相对增加。商店访问量的增加伴随着更高的销售额和正的异常股票回报。然而，本文也发现，在那些存在有共和党倾向CEO管理的客流量较大场所的社区，COVID-19的传播率更高，员工的安全投诉更多。
Abstract：Maintaining economic output during the COVID-19 pandemic results in benefits for firm shareholders but comes at a potential cost to public health. Using store-level data, we examine how a CEO's political leaning impacts this trade-off. We document that firms with a Republican-leaning CEO experience a relative increase in store visits compared to firms with a Democratic-leaning CEO. The increase in store visits is associated with higher sales and positive abnormal stock returns. However, we also document higher COVID-19 transmission rates and more employee safety complaints in communities where establishments with higher store traffic are managed by a Republican-leaning CEO.