本文彙總了金融學國際頂級期刊《Review of Financial Studies》近期發表的最新論文成果，提供金融研究領域最新學術動態。

目錄

1）Credit Ratings and Market Information

2）Acquiring Innovation under Information Frictions

3）Can Environmental Policy Encourage Technical Change? Emissions Taxes and R&D Investment in Polluting Firms

4）Zombies at Large? Corporate Debt Overhang and the Macroeconomy

5）Sovereign Risk, Currency Risk, and Corporate Balance Sheets

6）Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress

7）Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity

8）Order Flows and Financial Investor Impacts in Commodity Futures Markets

9）The Market Risk Premium for Unsecured Consumer Credit Risk

10）Consuming Dividends

01

Credit Ratings and Market Information

作者：

Alessio Piccolo

(Indiana University)

Joel Shapiro

(University of Oxford)

摘要：準確的信用評級對投資者和監管機構都很重要。本文論證了信用風險市場是信用評級機構(CRAs)紀律性的重要來源。本文研究了一個信用評級機構評級伴隨著信用風險市場的模型，信用風險市場提供了關於（信用風險）價格的公共信號。更具信息的交易通過令評級錯誤更透明的方式驅動評級機構更加準確。本文表明這種紀律性來源 (a)在存在道德風險、多個評級機構以及相關聯的一級、二級市場的情況下仍具有穩健性，(b)在信用風險市場特有。

Abstract：Accurate credit ratings are important for both investors and regulators. We demonstrate that the market for credit risk provides an important source of discipline for credit rating agencies (CRAs). We examine a model in which a CRA’s rating is followed by a market for credit risk that provides a public signal – the price. More informative trading increases the CRA’s incentives to be accurate by making rating errors more transparent. We show that this source of discipline is (a) robust to moral hazard, multiple CRAs, and connected primary and secondary markets and (b) specific to the market for credit risk.

02

Acquiring Innovation under Information Frictions

作者：

Murat Alp Celik

(Department of Economics, University of Toronto)

Xu Tian

(Terry College of Business, University of Georgia)

Wenyu Wang

(Kelley School of Business, Indiana University)

摘要：通過企業併購獲取創新技術受限於信息摩擦，因為評估具有創新技術的目標企業價值是一項具有挑戰性的任務。本文發現企業創新與收購風險暴露之間存在倒U型關係、股權使用隨目標企業創新程度（增加）而增加，併購交易完成率隨創新程度（增加）而降低。本文建立並估計了一個信息摩擦下的企業創新獲取模型，該模型特別考量了內部併購、創新和報價組成決策。估計表明，收購方的盡職調查只揭示了30%目標企業擁有的私人信息。消除信息摩擦會使資本化併購收益增加59%，同時會刺激創新，提高生產力、商業活力和社會福利。

Abstract：Acquiring innovation through M&A is subject to information frictions, as assessing the value of innovative targets is a challenging task. We find an inverted U-shaped relation between firm innovation and takeover exposure; equity usage increases with target innovation; and the deal completion rate drops with innovation. We develop and estimate a model of acquiring innovation under information frictions, featuring endogenous merger, innovation, and offer composition decisions. Our estimates suggest that acquirers’ due diligence reveals only 30% of private information possessed by targets. Eliminating information frictions increases capitalized merger gains by 59%, stimulates innovation, and boosts productivity, business dynamism, and social welfare.

03

Can Environmental Policy Encourage Technical Change? Emissions Taxes and R&D Investment in Polluting Firms

作者：

James R. Brown

(Ivy College of Business, Iowa State University)

Gustav Martinsson

(KTH Royal Institute of Technology)

Christian Thomann

(Stockholm School of Economics)

摘要：對製造過程中排放的有害物質徵收更高額的國家稅負會使企業的研發支出大幅增加。該“研發響應”完全由最受排放稅影響的高汙染企業驅動。汙染稅增加了汙染企業研發支出的邊際價值，即使當這些支出不會帶來新的技術創新（也如此）。汙染稅對研發投入的影響在那些新發明難以效仿、外部知識更容易獲得的產業中最強，這表明汙染企業投資於研發的一個重要原因是擴大其吸收外部知識和技術訣竅的能力。

Abstract：Higher country taxes on noxious manufacturing emissions lead to substantial increases in firms’ R&D spending. The R&D response is entirely driven by those high-pollution firms most affected by emissions taxes. Pollution taxes increase the marginal value of R&D spending in polluting firms, even when this spending does not lead to new innovation. Pollution taxes have the strongest effect on R&D investment in sectors in which new invention is difficult to appropriate and outside knowledge is easier to acquire, suggesting an important reason dirty firms invest in R&D is to expand their capacity to absorb external knowledge and technical know-how.

04

Zombies at Large? Corporate Debt Overhang and the Macroeconomy

作者：

Òscar Jordà

(Federal Reserve Bank of San Francisco and University of California, Davis, and CEPR)

Martin Kornejew

(University of Bonn)

Moritz Schularick

(University of Bonn and Sciences Po, and CEPR)

Alan M Taylor

(University of California, Davis, NBER, and CEPR)

摘要：債務積壓與較高的金融脆弱性和從衰退中較緩慢復甦相關。儘管有大量文獻表明家庭信貸繁榮具備這種特點，但我們發現企業債務並不符合相同的模式。近期收集的18個發達經濟體過去150年非金融企業負債的數據顯示，整體而言，企業債務償還方面的摩擦越大，復甦就越緩慢，同時伴隨著投資疲軟與更難以清除的“殭屍企業”。這是解釋（企業債務）與家庭信貸繁榮之間結果差異的一個重要因素。

Abstract：Debt overhang is associated with higher financial fragility and slower recovery from recession. However, while household credit booms have been extensively documented to have this property, we find that corporate debt does not fit the same pattern. Newly collected data on nonfinancial business liabilities for 18 advanced economies over the past 150 years shows that, in the aggregate, greater frictions in corporate debt resolution make for slower recoveries, with weak investment and more persistent “zombie firms” and that this is an important factor in explaining the difference in outcomes relative to household credit booms.

05

Sovereign Risk, Currency Risk, and Corporate Balance Sheets

作者：

Wenxin Du

(University of Chicago Booth School of Business, Federal Reserve Bank of New York, NBER, and CEPR)

Jesse Schreger

(Columbia Business School, NBER, and CEPR)

摘要：本文對2003年至2017年間新興市場主權與企業外部借款的幣種構成演變進行了全面描述。本文表明企業部門對外幣債務的依賴程度越強，主權債務違約風險越高。本文將本幣主權債務和私營部門貨幣錯配引入標準的主權債務模型，以研究企業借款的幣種構成如何影響主權債務擴張或違約的動機。模型校準後產生了實證中發現的主權信用風險趨勢。

Abstract：We provide a comprehensive account of the evolution of the currency composition of sovereign and corporate external borrowing by emerging markets from 2003 to 2017. We show that a higher reliance on foreign currency debt by the corporate sector is associated with higher sovereign default risk. We introduce local currency sovereign debt and private sector currency mismatch into a standard sovereign debt model to examine how the currency composition of corporate borrowing affects the sovereign’s incentive to inflate or default. A calibration of the model generates the empirical patterns of sovereign credit risk.

06

Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress

作者：

Zhiguo He

(Booth School of Business, University of Chicago and NBER)

Paymon Khorrami

(Imperial College Business School, Imperial College London)

Zhaogang Song

(Carey Business School, Johns Hopkins University)

摘要：公司債券經紀商庫存指標和廣泛的金融中介困境指標這兩個基於金融中介的因子可以在典型的結構化（模型）因子之外解釋40%以上信用利差（令人疑惑）的共同變化。一個考慮了部分市場分割的簡單金融中介模型可以解釋為何金融中介因子（對信用利差共同變化）具有解釋力，並且傳遞出三個具有實證支持的額外隱含結論。首先，基於風險相關變量對公司債券進行排序，公司債券對中介因子的載荷會呈現出單調性，但基於非風險相關變量對公司債券排序並不會產生（類似）趨勢。其次，經紀商庫存只與公司信貸資產聯動，而中介困境與公司信貸和非公司信貸資產均聯動。最後，經紀商庫存會對機構投資者(工具變量的)債券出售做出反應。

Abstract：Two intermediary-based factors—a corporate bond dealer inventory measure and a broad intermediary distress measure—explain more than 40% of the puzzling common variation in credit spread changes beyond canonical structural factors. A simple intermediary-based model with partial market segmentation accounts for intermediary factors’ explanatory power and delivers three further implications with empirical support. First, whereas bond sorts on risk-related variables produce monotonic loading patterns on intermediary factors, non-risk-related sorts produce no pattern. Second, dealer inventory comoves with corporate-credit assets only, whereas intermediary distress comoves with both corporate-credit and non-corporate-credit assets. Third, dealers’ inventory responds to (instrumented) bond sales by institutional investors.

07

Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity

作者：

Yiming Ma

(Columbia Graduate School of Business)

Kairong Xiao

(Columbia Graduate School of Business)

Yao Zeng

(The Wharton School, University of Pennsylvania)

摘要：本文指出，固定收益共同基金是導致COVID-19危機期間流動性資產市場出現異常高拋售壓力的一個重要因素。本文發現，共同基金經歷了顯著的投資者資金外流，並且這種效應會被它們的流動性轉變放大。在應對贖回時，基金遵循啄序理論，首先出售包括國債和高質量公司債券在內的流動資產，導致這些市場產生了最集中的拋售壓力。總體而言，估計的共同基金對價格的影響規模較大，佔COVID-19危機期間美國國債收益率增幅的三分之一，公司債券收益率增幅的四分之一。

Abstract：We identify fixed-income mutual funds as an important contributor to the unusually high selling pressure in liquid asset markets during the COVID-19 crisis. We show that mutual funds experienced pronounced investor outflows amplified by their liquidity transformation. In meeting redemptions, funds followed a pecking order by first selling their liquid assets, including Treasuries and high-quality corporate bonds, which generated the most concentrated selling pressure in these markets. Overall, the estimated price impact of mutual funds was sizable at a third of the increase in Treasury yields and a quarter of the increase in corporate bond yields during the COVID-19 crisis.

08

Order Flows and Financial Investor Impacts in Commodity Futures Markets

作者：

Mark J. Ready

(University of Wisconsin-Madison)

Robert C. Ready

(University of Oregon)

摘要：利用日內數據，本文記錄了商品指數交易資金流對商品期貨價格產生的統計顯著但短暫的影響。本文也檢驗了以往文獻記載的商品掛鉤票據發行附近的正收益率（趨勢），發現這些收益率的數量級太大，因此並非是由對沖票據所必需的小額交易導致。本文提供了新的證據表明這些收益是內生性發行的結果。本文研究結果為大宗商品金融化提供了新的支持，但同時也強調了度量金融投資規模的重要性，因為即便金融資金流規模較大，但其對價格產生的經濟性影響也很有限。

Abstract：Using intraday data, we document statistically strong, but temporary, impacts of commodity index trade flows on commodity futures prices. We also examine the previously documented positive returns around the issuance of commodity-linked notes and find that these returns are an order of magnitude too large to be caused by the small trades necessary to hedge the notes. We provide new evidence that they are instead the result of endogenous issuance. Our results provide novel support for commodity financialization but highlight the importance of measuring the magnitude of financial investment, since even large financial flows have economically modest impacts on prices.

09

The Market Risk Premium for Unsecured Consumer Credit Risk

作者：

Matthias Fleckenstein

(Lerner College of Business and Economics, University of Delaware)

Francis A. Longstaff

(UCLA Anderson School of Management, University of California at Los Angeles and the National Bureau of Economic Research)

摘要：本文利用信用卡資產支持證券的價格來研究無擔保消費者信貸風險的市場風險溢價。研究發現，這些證券的價格中包含了大量的信用風險溢價。另外，2007-2009年金融危機後，無擔保消費者信貸風險發生了重大重新定價。本文證據顯示，這一（信用風險定價）增加與金融危機後監管規則改變，要求發行人將信用卡證券化重新納入資產負債表帶來的資產負債表成本有關。這些監管變化可能使無擔保家庭信貸的成本增加了100多個基點。

Abstract：We use the prices of credit card asset-backed securities to study the market risk premium associated with unsecured consumer credit risk. We find that the market incorporates a substantial credit risk premium into the prices of these securities. Furthermore, there has been a major repricing of unsecured consumer credit risk since the 2007–2009 financial crisis. We find evidence that this increase is linked to balance-sheet costs imposed by postcrisis changes in regulations that have placed credit card securitizations back onto issuer balance sheets. These regulatory changes may have added more than 100 basis points to the cost of unsecured household credit.

10

Consuming Dividends

作者：

Konstantin Bräuer

(Goethe University Frankfurt)

Andreas Hackethal

(Goethe University Frankfurt and Leibniz Institute SAFE)

Tobin Hanspal

(WU Vienna University of Economics and Business)

摘要：本文研究了投資者為何購買派息資產以及其如何據此安排消費。本文將行政銀行關聯客戶消費、收入和投資組合的數據與金融行為的調查反應相結合，發現私人消費對股利收入極度敏感。不同財富、收入和年齡分佈的投資者恰好在派息日附近增加了支出。本文結果與現有的財務約束和衝動等一些理性或行為解釋並不一致，相反，消費反應體現了選擇股利投資組合、預期股息收入並據此計劃消費的投資者產生的“計劃”過度敏感性。

Abstract：This paper studies why investors buy dividend-paying assets and how they time consumption accordingly. We combine administrative bank data linking customers’ consumption and income to portfolio data and survey responses on financial behavior. We find that private consumption is excessively sensitive to dividend income. Investors across wealth, income, and age distributions increase spending precisely around days of dividend receipt. Our results are at odds with a number of existing rational and behavioral explanations, such as financial constraints and impulsiveness. Instead, consumption responses reflect “planned” excess sensitivity, driven by investors who select dividend portfolios, anticipate dividend income, and plan consumption accordingly.