【頂級期刊目錄】JFE 2020年12月目錄摘要

這是「金融學前沿論文速遞」第1010篇推送

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CoCo issuance and bank fragilityAsset pricing: A tale of night and dayFinancial intermediation and capital reallocationBank net worth and frustrated monetary policyThe price effects of liquidity shocks: A study of the SEC’s tick size experimentDealers』 insurance, market structure, and liquidityCollateral constraints and asset pricesThe effect of minority veto rights on controller pay tunnelingTime-varying demand for lottery: Speculation ahead of earnings announcementsPersuasion in relationship financePolicy uncertainty and corporate credit spreadsDo people feel less at risk? Evidence from disaster experience

CoCo issuance and bank fragility

原刊和作者：

Journal of Financial Economics 2020年12月

Stefan Avdjiev (Bank for International Settlement)

Bilyana Bogdanova (Bank for International Settlements)

Patrick Bolton (Columbia Univeristy and Imperial College)

Wei Jiang (Columbia University)

Anastasia Kartasheva (University of St Gallen and University of Pennsylvania)

The promise of contingent convertible capital securities (CoCos) as a 」bail-in」 solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. We undertake the first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling $521 billion. Four main findings emerge: (1) the propensity to issue a CoCo is higher for larger and better capitalized banks; (2) CoCo issues result in a statistically significant decline in issuers』 CDS spread, indicating that they generate risk-reduction benefits and lower costs of debt (this is especially true for CoCos that convert into equity, have mechanical triggers, and are classified as Additional Tier 1 instruments); (3) CoCos with only discretionary triggers do not have a significant impact on CDS spreads; and (4) CoCo issues have no statistically significant impact on stock prices, except for principal write-down CoCos with a high trigger level, which have a positive effect.

原刊和作者：

Journal of Financial Economics 2020年12月

Ľuboš Pástor (University of Chicago, NBER, CEPR and National Bank of Slovakia)

Robert Stambaugh (University of Pennsylvania and NBER)

Lucian Taylor (University of Pennsylvania)

We study tradeoffs among active mutual funds』 characteristics. In both our equilibrium model and the data, funds with larger size, lower expense ratio, and higher turnover hold more-liquid portfolios. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the portfolio’s holdings but also on the portfolio’s diversification. We also confirm other model-predicted tradeoffs. Larger funds are cheaper. Larger and cheaper funds are less active, based on our new measure of activeness. Better-diversified funds hold less-liquid stocks; they are also larger and cheaper, and they trade more. These tradeoffs provide novel evidence of diseconomies of scale in active management.

Asset pricing: A tale of night and dayJournal of Financial Economics 2020年12月Terrence Hendershott (University of California, Berkeley)Dmitry Livdan (University of California, Berkeley)Dominik Rösch (State University of New York at Buffalo)

The capital asset pricing model (CAPM) performs poorly overall, as market risk (beta) is weakly related to 24-h returns. This is because stock prices behave very differently with respect to their sensitivity to beta when markets are open for trading versus when they are closed. Stock returns are positively related to beta overnight, whereas returns are negatively related to beta during the trading day. These day-night relations hold for beta-sorted portfolios and individual stocks in the US and internationally as well as for industry and book-to-market portfolios and cash flow and discount rate beta-sorted portfolios. In addition to the change in slope of returns with respect to beta, the implied risk-free rate differs significantly between night and day. Consistent with this, returns on US Treasury futures differ significantly between night and day.

Financial intermediation and capital reallocation

原刊和作者：

Journal of Financial Economics 2020年12月

Hengjie Ai (University of Minnesota)

Kai Li (HKUST Business School)

Fang Yang (Louisiana State University)

To understand the link between financial intermediation activities and the real economy, we build a general equilibrium model in which agency frictions in the financial sector affect the efficiency of capital reallocation across firms and generate aggregate economic fluctuations. We develop a recursive policy iteration approach to fully characterize the nonlinear equilibrium dynamics and the off-steady-state crisis behavior. In our model, adverse shocks to agency frictions exacerbate capital misallocation and manifest themselves as variations in total factor productivity at the aggregate level. Our model endogenously generates countercyclical volatility in the aggregate time series and countercyclical dispersion in the marginal product of capital and asset returns in the cross-section.

Bank net worth and frustrated monetary policy

原刊和作者：

Journal of Financial Economics 2020年12月

Alexander Zentefis (Yale School of Management)

I present a model in which bank net worth determines both loan market competition and monetary transmission to firm borrowing rates. In the model, banks are local monopolists for borrowers near them. When they are flush with equity, banks expand their lending, compete for customers at the edges of their markets, and pass through changes in the monetary policy rate to their loan rates. When they lose substantial equity, banks consolidate, retreat from rivalry, and frustrate monetary transmission. The model explains why interest rate pass-through weakens after financial crises. Its predictions are consistent with several facts about bank-to-firm lending.

The price effects of liquidity shocks: A study of the SEC’s tick size experiment

原刊和作者：

Journal of Financial Economics 2020年12月

Rui Albuquerque (Boston College，European Corporate Governance Institute and Centre for Economic Policy Research) 

Shiyun Song (Vanguard Group)

Chen Yao (The Chinese University of Hong Kong)

Do stock prices of publicly listed companies respond to changes in transaction costs? Using the SEC’s pilot program that increased the tick size for approximately 1,200 randomly chosen stocks, we find a stock price decrease between 1.75% and 3.2% for small spread stocks affected by the larger tick size relative to a control group. We find that the increase in the present value of transaction costs accounts for a small percentage of the price decrease. We study channels of price variation due to changes in expected returns: information risk, investor horizon, and liquidity risk. The evidence suggests that trading frictions affect the cost of capital.

Dealers』 insurance, market structure, and liquidity

原刊和作者：

Journal of Financial Economics 2020年12月

Francesca Carapella (Federal Reserve Board of Governors)

Cyril Monnet (Bank for International Settlements,Study Center Gerzensee and University of Bern)

We develop a parsimonious model to study the effect of regulations aimed at reducing counterparty risk on the structure of over-the-counter securities markets. We find that such regulations promote entry of dealers, thus fostering competition and lowering spreads. Greater competition, however, has an indirect negative effect on market-making profitability. General equilibrium effects imply that more competition can distort incentives of all dealers to invest in efficient technologies ex ante and so can cause a social welfare loss. Our results are consistent with empirical findings on the effects of post-crisis regulations and with the opposition of some market participants to those regulations.

Collateral constraints and asset prices

原刊和作者：

Journal of Financial Economics 2020年12月

Georgy Chabakauri (London School of Economics)

Brandon Han (University of Maryland)

We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and beliefs. We show that these constraints inflate stock prices and generate spikes and crashes in price-dividend ratios and volatilities, clustering of volatilities, and leverage cycles. They also lead to substantial decreases in interest rates and increases in Sharpe ratios when investors are anxious about hitting constraints due to production crises in the economy. Furthermore, stock prices have large collateral premiums over nonpledgeable incomes. We derive asset prices and stationary distributions of the investors』 consumption shares in closed form.The effect of minority veto rights on controller pay tunneling

原刊和作者：

Journal of Financial Economics 2020年12月

Jesse Fried (Harvard Law School and ECGI) 

Ehud Kamar (Tel Aviv University and ECGI)

Yishay Yafeh (The Hebrew University, ECGI and CEPR)

A central challenge in the regulation of controlled firms is curbing rent extraction by controllers. As independent directors and fiduciary duties are often insufficient, some jurisdictions give minority shareholders veto rights over related-party transactions. To assess these rights』 effectiveness, we exploit a 2011 Israeli reform that gave minority shareholders veto rights over related-party transactions, including the pay of controllers and their relatives (「controller executives」). We find that the reform curbed controller-executive pay and led some controller executives to resign or go with little or no pay in circumstances suggesting their pay would be rejected. These findings suggest that minority veto rights can be an effective corporate governance tool.

Time-varying demand for lottery: Speculation ahead of earnings announcements

原刊和作者：

Journal of Financial Economics 2020年12月

Bibo Liu (Tsinghua University)

Huijun Wang (University of Melbourne and Auburn University)

Bibo Liu (Tsinghua University)

Shen Zhao (Chinese University of Hong Kong (Shenzhen))

Investor preferences for holding speculative assets are likely to be more pronounced ahead of firms』 earnings announcements, probably because of lower inventory costs and immediate payoffs or because of enhanced investor attention. We show that the demand for lottery-like stocks is stronger ahead of earnings announcements, leading to a price run-up for these stocks. In sharp contrast to the standard underperformance of lottery-like stocks, lottery-like stocks outperform non-lottery stocks by about 52 basis points in the 5-day window ahead of earnings announcements. However, this return spread is reversed by 80 basis points in the 5-day window after the announcements. Moreover, this inverted-V-shaped pattern on cumulative return spreads is more pronounced among firms with a greater retail order imbalance, among firms with low institutional ownership, and in regions with a stronger gambling propensity, and it is also robust after controlling for past 12-month returns and various proxies for investor attention.

Persuasion in relationship finance

原刊和作者：

Journal of Financial Economics 2020年12月

Ehsan Azarmsa (University of Chicago)

Lin Cong (Cornell University)

After initial investments, relationship financiers routinely observe interim information about projects before continuing financing them. Meanwhile, entrepreneurs produce information endogenously and issue securities to incumbent insider and competitive outsider investors. In such persuasion games with differentially informed receivers and contingent transfers, entrepreneurs』 endogenous experimentation reduces insiders』 information monopoly but impedes relationship formation through an 「information production hold-up.」 Insiders』 information production and interim competition mitigate this hold-up and jointly explain empirical links between competition and relationship lending. Optimal contracts restore first-best outcomes using convertible securities for insiders and residuals for outsiders. Our findings are robust under various extensions and alternative specifications.

Policy uncertainty and corporate credit spreads

原刊和作者：

Journal of Financial Economics 2020年12月

Mahsa Kaviani (University of Delaware)

Lawrence Kryzanowski (Concordia University)

Hosein Maleki (Florida State University)

Pavel Savor (DePaul University)

We find a significant positive relation between changes in policy uncertainty and changes in credit spreads. Macroeconomic conditions, including general uncertainty, do not explain this result, which also holds when we use instrumental variables to address endogeneity issues. The impact of policy uncertainty is greater for firms that operate in regulation-intensive industries, face high tax rates, or are dependent on government spending. It is also stronger for firms that engage in political activities or rely on external financing. We conclude that policy uncertainty has a significant effect on firms』 borrowing costs, with exposure to government policies representing an important channel.

Do people feel less at risk? Evidence from disaster experience

原刊和作者：

Journal of Financial Economics 2020年12月

Ming Gao (Peking University)

Yu-Jane Liu (Peking University)

Yushui Shi (University of California)

Past studies typically have focused on whether people perceive more rare risk after experiencing catastrophic disasters. We show that people can also feel less risk with unexpected lucky disaster experience. By exploring a novel identification strategy based on households』 expectations, we find that households perceive less (more) risk when they experience disasters that have lower (higher) fatalities than what was expected. This opposite experience effect of rare disasters is substantial. A one standard deviation increase in the negative (positive) experience shock is associated with a 1.71% decrease (a 1.31% increase) in the life insurance-to-portfolio ratio. We discuss three possible mechanisms to account for our empirical findings: incomplete information learning, salience theory, and change in risk preferences.https://www.sciencedirect.com/journal/journal-of-financial-economics/vol/138/issue/3

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