本文汇总了金融学国际顶级期刊《Review of Financial Studies》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）Does Career Risk Deter Potential Entrepreneurs?
2）Countercyclical Labor Income Risk and Portfolio Choices over the Life Cycle
3）An Analytic Framework for Interpreting Investment Regressions in the Presence of Financial Constraints
4）Group-Managed Real Options
5）Can Corporate Debt Foster Innovation and Growth?
6）The Geography of Value Creation
7）Product Life Cycles in Corporate Finance
8）Competition Links and Stock Returns
9）What Moves Stock Prices? The Roles of News, Noise, and Information
10）Beyond Home Bias: International Portfolio Holdings and Information Heterogeneity
01
Does Career Risk Deter Potential Entrepreneurs?
作者：
Joshua D Gottlieb
(University of Chicago and NBER)
Richard R Townsend
(University of California San Diego and NBER)
Ting Xu
(University of Virginia)
摘要：潜在的企业家是否会因为担心一旦创业失败自己将面临更糟糕的就业机会，而继续从事受薪工作?根据加拿大将在某一日期后生育的妇女工作保护休假延长至一年的一项改革，本文研究了在拥有可以重返以前工作的选择下，创业是否会增加。断点回归结果显示，较长的工作保护休假会使得创业提高1.9%。这些企业家通常会在进入前试验成本低并有高收益前景的行业，创办雇佣员工的注册企业。
Abstract：Do potential entrepreneurs remain in wage employment because of concerns that they will face worse job opportunities should their entrepreneurial ventures fail? Using a Canadian reform that extends job-protected leave to one year for women giving birth after a cutoff date, we study whether the option to return to a previous job increases entrepreneurship. A regression discontinuity design reveals that a longer job-protected leave increases entrepreneurship by 1.9 percentage points. These entrepreneurs start incorporated businesses that hire employees, in industries in which experimentation before entry has low costs and high benefits.
02
Countercyclical Labor Income Risk and Portfolio Choices over the Life Cycle
作者：
Sylvain Catherine
(The Wharton School, University of Pennsylvania)
摘要：本文估计了一个纳入市场回报和特质收入冲击偏度之间关系的投资组合选择生命周期模型。偏度的周期性可以解释(a)年轻家庭的股票市场参与度低，(b)为什么市场参与者持有的股权份额直到退休前（一直）略有增加，(c)为什么租房者比拥有房产的人更少投资股票。在相对风险厌恶系数为6和每年参与成本为250美元的假设条件下，该模型可以匹配生命周期过程中财富、参与程度和条件股权持有份额的变化。然而，周期性偏度最多仅能使股权风险溢价增加0.5%。
Abstract：I estimate a life cycle model of portfolio choices that incorporates the relationship between market returns and the skewness of idiosyncratic income shocks. The cyclicality of skewness can explain (a) low stock market participation among young households, (b) why the equity share of participants slightly increases until retirement, and (c) why renters invest less in stocks than do homeowners. With a relative risk aversion of 6 and yearly participation cost of $250, the model matches the evolution of wealth, participation, and conditional equity shares over the life cycle. Nevertheless, cyclical skewness increases the equity premium by at most 0.5 percentage points.
03
An Analytic Framework for Interpreting Investment Regressions in the Presence of Financial Constraints
作者：
Andrew B Abel
(Wharton School, University of Pennsylvania and National Bureau of Economic Research)
Stavros Panageas
(Anderson School, UCLA and National Bureau of Economic Research)
摘要：本文给出了融资受限企业的估值、最优投资和最优支付的解析解。在不存在融资约束的情况下边际q和平均q相等，而在存在融资约束的情况下二者不同。本文利用解析解表征了投资对平均q和现金流回归的性质。现金流的回归系数为正，但并没有分离融资约束的影响，因为它也部分反映了持续盈利能力的影响。平均q的回归系数低估了持续盈利能力的影响。
Abstract：We derive analytic solutions for the valuation, optimal investment, and optimal payout of a financially constrained firm. While marginal q and average q would be identically equal in the absence of financial constraints, they differ when financial constraints bind. We use analytic solutions to characterize the properties of regressions of investment on average q and cash flow. The coefficient on cash flow is positive, but does not isolate the impact of the financial constraint, since it also partially reflects the impact of persistent profitability. The coefficient on average q understates the impact of persistent profitability.
04
Group-Managed Real Options
作者：
Lorenzo Garlappi
(University of British Columbia)
Ron Giammarino
(University of British Columbia)
Ali Lazrak
(University of British Columbia)
摘要：本文研究了一个标准化的实物期权问题：一群持有不同信念的成员通过投票做出连续决策。本文的研究表明，当同时面临进入投资和放弃投资的时机决策时，群体行为不能通过观察特定代表性的“中位数”成员推断总结。因此，成员之间的分歧会产生惰性（即相对单一代理人而言群体会延迟投资）和投资不足（即群体会拒绝大部分人在自给自足政策下支持的投资项目）。这些协调摩擦在任何规模的群体、通常的投票协议中都存在，同时会被信念分化程度加剧。
Abstract：We study a standard real-option problem in which sequential decisions are made through voting by a group of members with heterogeneous beliefs. We show that, when facing both investment and abandonment timing decisions, the group behavior cannot be replicated by that of a representative “median” member. As a result, members’ disagreement generates inertia—the group delays investment relative to a single-agent case—and underinvestment—the group rejects projects that are supported by a majority of members, acting in autarky. These coordination frictions hold in groups of any size, for general voting protocols, and are exacerbated by belief polarization.
05
Can Corporate Debt Foster Innovation and Growth?
作者：
Thomas Geelen
(Copenhagen Business School and Danish Finance Institute)
Jakub Hajda
(HEC Montréal)
Erwan Morellec
(EPF Lausanne, Swiss Finance Institute, and CEPR)
摘要：近期的实证研究表明，创新型企业严重依赖债务融资。债务积压意味着债务阻碍了现存企业的创新程度，但债务的第二种效应是其会刺激行业新进入者的创新。利用一个包含内生研发和融资选择的熊彼特增长模型，本文发现债务（对进入者）的第二种效应始终占据主导地位，因此整体而言债务促进了行业创新和增长。我们的分析表明，债务与投资之间的关系比过去研究发现更复杂，在衡量债务对投资影响的实证研究中，如果仅关注现存企业（忽略进入者）可能具有局限性。
Abstract：Recent empirical studies have shown that innovative firms heavily rely on debt financing. Debt overhang implies that debt hampers innovation by incumbents. A second effect of debt is that it stimulates innovation by entrants. Using a Schumpeterian growth model with endogenous R&D and financing choices, we demonstrate that this second effect always dominates, so that debt fosters innovation and growth at the aggregate level. Our analysis suggests that the relation between debt and investment is more complex than previously acknowledged and highlights potential limitations of empirical work that solely focuses on incumbents when measuring the effects of debt on investment.
06
The Geography of Value Creation
作者：
Adlai Fisher
(University of British Columbia)
Charles Martineau
(University of Toronto)
Jinfei Sheng
(University of California)
摘要：在过去20年里，股票市场（证据）表明价值创造高度集中在几个总部城市。但与此同时，由于工资和租金大幅上涨，创造价值城市中的企业盈利能力有所下降。本文强调了以流量为基础(如营业利润)和以存量为基础(如证券价格)衡量当地生产率指标之间的差异性。像教育水平和天气这些衡量一个城市对高附加值工人吸引力的传统指标均与股市估值正向相关，但却与近期经营业绩负向相关。
Abstract：Over the last 20 years, the stock market indicates that value creation has become heavily concentrated in a few headquarter cities. At the same time, firms in value-creating cities have experienced declines in their profitability, because of large increases in wages and rents. Our findings thus highlight the difference between flow-based (e.g., operating profits) and stock-based (e.g., securities prices) indicators of local productivity. Conventional proxies for a city’s appeal to high value-added workers, such as education rates and weather, are positively related to stock market valuations, but negatively related to near-term operating performance.
07
Product Life Cycles in Corporate Finance
作者：
Gerard Hoberg
(Marshall School of Business, University of Southern California)
Vojislav Maksimovic
(Smith School of Business, University of Maryland)
摘要：我们提出了一个新的基于10-K文本的产品生命周期模型，并研究了公司的投资政策。考虑生命周期的条件信息显著提高了q对投资的解释能力，并且显露出整个生命周期中投资的自然顺序。在周期早期，研发和CAPX敏感性很高；随着产品的成熟，收购出现；随着产品的衰退，剥离和产品延伸投资出现。生命周期条件（信息）下q敏感性与传统敏感性的偏离幅度可达400%。生命周期框架进一步揭示了竞争、投资和企业利润之间丰富的关系。
Abstract：We develop a novel 10-K text-based model of product life cycles and examine firm investment policies. Conditioning on the life cycle substantially improves the power of q to explain investment and reveals a natural ordering of investments over the life cycle. While R&D and CAPX sensitivity are high early in the cycle, acquisitions arise as products mature, and divestitures and product extension investments arise as products decline. q-sensitivities that condition on the life cycle can vary by as much as 400% from traditional sensitivities. The life cycle framework further reveals an enriched relationship between competition, investment, and corporate profits.
08
Competition Links and Stock Returns
作者：
Assaf Eisdorfer
(University of Connecticut)
Kenneth Froot
(Harvard Business School)
Gideon Ozik
(EDHEC Business School)
Ronnie Sadka
(Boston College)
摘要：本文的研究表明，投资者经常会忽视在其他公司监管披露中出现的关于某家公司的价值相关信息。在其他公司10-K报告竞争部分中被高度提及的公司其风险调整后的年回报率超额表现高达9%。这些表现优异的公司在其他公司披露报告中通常被作为竞争目标而非先进案例提及。与投资者关注度不足一致，超额收益来源于行业间的竞争提及以及低分析师覆盖率的公司。此外，被高度提及的公司基本面信息在随后几年内呈现改善（趋势），进一步表明它们股价被低估。
Abstract：This paper demonstrates that value-relevant information about a firm appearing in regulatory disclosures of other firms is overlooked by investors. Firms highly mentioned in the 10-K competition section of other firms tend to outperform with risk-adjusted returns of up to 9% annually. Outperformance is concentrated in firms whose competition references are made in the context of targeting rather than admiration. Consistent with investor inattention, abnormal returns stem from cross-sector competition mentions as well as firms with low-analyst coverage. Moreover, highly mentioned firms exhibit improved fundamentals in subsequent years, further signifying they are underpriced.
09
What Moves Stock Prices? The Roles of News, Noise, and Information
作者：
Jonathan Brogaard
(University of Utah)
Thanh Huong Nguyen
(University of Economics, The University of Danang)
Talis J Putnins
(University of Technology Sydney, Australia Stockholm School of Economics in Riga）
Eliza Wu
(University of Sydney）
摘要：本文提出了一个收益方差分解模型以区分不同类型的信息和噪声在股价波动中的作用程度。本文分解了四个组成部分：噪音、通过交易显示的私有公司特定信息、通过公开来源显示的公司特定信息和整个市场的信息。总体而言，本文发现收益率方差中有31%来自于噪音，24%来自于私有公司特定信息，37%来自于公开公司特定信息，8%来自于全市场信息。自20世纪90年代中期以来，噪音在收益率方差中的占比显著下降，公司特定信息的占比有所增加，这与市场效率的提高相一致。
Abstract：We develop a return variance decomposition model to distinguish the roles of different types of information and noise in stock price movements. We disentangle four components: noise, private firm-specific information revealed through trading, firm-specific information revealed through public sources and market-wide information. Overall, we find that 31% of the return variance is from noise, 24% from private firm-specific information, 37% from public firm-specific information and 8% from market-wide information. Since the mid-1990s, there has been a dramatic decline in noise and an increase in firm-specific information, consistent with increasing market efficiency.
10
Beyond Home Bias: International Portfolio Holdings and Information Heterogeneity
作者：
Filippo De Marco
(Bocconi University)
Marco Macchiavelli
(Federal Reserve Board)
Rosen Valchev
(EPF Lausanne, Swiss Finance Institute, and CEPR)
Enrique Schroth
(Boston College)
摘要：本文表明，国际投资组合反映了投资者信念的潜在异质性。通过将欧洲银行外国主权债务的持仓数据与其对未来债券收益率的预测相匹配，我们发现，预期更高的收益及拥有更准确的预测与更大规模的债券持有量相关。重要的是，投资组合持仓对预期回报的弹性随预测精准度（增加）而提高，这意味着投资者最优地利用了信息生产方面的比较优势。本文通过引入关于资产回报一定程度上无法习得的不确定性，内生产生了局部信息专业化，从而将上述结论在模型中合理化。
Abstract：We show that international portfolios reflect the underlying heterogeneity in investors’ beliefs. Using data on the foreign sovereign debt holdings of European banks matched with their forecasts on future bond yields, we find that expecting higher returns and having more accurate forecasts are associated with larger bond holdings. Crucially, the elasticity of portfolio holdings to expected returns is increasing in the precision of the forecast, implying that investors optimally exploit comparative advantages in information production. We rationalize the results in a model in which partial information specialization arises endogenously by introducing a degree of unlearnable uncertainty about asset payoffs.
