本文是2024年论文速递系列的第一篇文章，我们精选了Journal of Finance Issue 1-3中与资产定价相关的论文，并提供中文及英文摘要，供读者参考。
Front-Page News: The Effect of News Positioning on Financial Markets
来源：Journal of Finance, Volume 79, Issue 1作者：Anastassia Fedyk
Abstract：This paper estimates the effect of news positioning on the speed of price discovery, using exogenous variation in prominent (“front-page”) positioning of news articles on the Bloomberg terminal. Front-page articles see 240% higher trading volume and 176% larger absolute excess returns during the first 10 minutes after publication than equally important non-front-page articles. Overall, the information in front-page articles is fully incorporated into prices within an hour of publication. The response to non-front-page information of similar importance eventually converges but takes more than two days to be fully reflected in prices.
摘要：这篇论文使用彭博终端新闻文章显著位置（“头版”）作为外生变量，研究了新闻位置对金融市场价格发现速度的影响。研究发现头版新闻相比非头版新闻在发布后的前10分钟内交易量增加240%，绝对超额收益增加176%。总之，头版新闻的信息在新闻发布后一小时内即可完全反映在价格中，而具有相似重要性的非头版信息需要超过两天才能完全反映在价格上。
Liquidation Value and Loan Pricing
来源：Journal of Finance, Volume 79, Issue 1作者：Francesca Barbiero, Glenn Schepens and Jean‐david Sigaux
Abstract：This paper shows that the liquidation value of collateral depends on the interdependency between borrower and collateral risk. Using transaction‐level data on short‐term repurchase agreements (repo), we show that borrowers pay a premium of 1.1 to 2.6 basis points when their default risk is positively correlated with the risk of the collateral that they pledge. Moreover, we show that borrowers internalize this premium when making their collateral choices. Loan‐level credit registry data suggest that the results extend to the corporate loan market as well.摘要：本文表明，抵押品的清算价值取决于借款人和抵押品风险之间的相互依赖性。使用短期回购协议（repo）的交易级数据，我们发现当借款人的违约风险与其质押的抵押品风险正相关时，他们需支付1.1至2.6个基点的溢价。此外，我们还表明，借款人在选择抵押品时会内化这种溢价。贷款级别的信用登记数据表明，这些结果同样适用于公司贷款市场。
Interest Rate Skewness and Biased Beliefs
来源：Journal of Finance, Volume 79, Issue 1作者：Michael Bauer and Mikhail Chernov
Abstract：Conditional skewness of Treasury yields is an important indicator of the risks to the macroeconomic outlook. Positive skewness signals upside risk to interest rates during periods of accommodative monetary policy and an upward‐sloping yield curve, and vice versa. Skewness has substantial predictive power for future bond excess returns, high‐frequency interest rate changes around Federal Open Market Committee announcements, and survey forecast errors for interest rates. The estimated expectational errors, or biases in beliefs, are quantitatively important for statistical bond risk premia. These findings are consistent with a heterogeneous‐beliefs model in which one of the agents is wrong about consumption growth.摘要：国债收益率的条件偏度是衡量宏观经济前景风险的重要指标。正偏度在宽松货币政策和收益率曲线向上倾斜期间预示着利率上行风险，反之亦然。偏度对未来债券超额收益、联邦公开市场委员会（FOMC）公告前后的高频利率变动以及利率调查预测误差具有显著的预测能力。在定量上，估计的预期误差或信念偏差对统计债券风险溢价很重要。这些发现与一个异质信念，即代理人对消费增长的预测是错误的，的模型一致。
The Virtue of Complexity in Return Prediction
来源：Journal of Finance, Volume 79, Issue 1作者：Bryan Kelly, Semyon Malamud and Kangying Zhou
Abstract： Much of the extant literature predicts market returns with “simple” models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to “complex” models in which the number of parameters exceeds the number of observations. We empirically document the virtue of complexity in U.S. equity market return prediction. Our findings establish the rationale for modeling expected returns through machine learning.摘要：现有文献中大多使用仅包含少数参数的“简单”模型来预测市场回报。与传统观点相反，我们从理论上证明，简单模型相较于“复杂”模型（参数数量超过观测值数量）严重低估了回报的可预测性。我们通过实证研究记录了在美国股票市场回报预测中复杂性模型的优点。我们的研究结果确立了通过机器学习建模预期回报的理论依据。
Foreign Exchange Fixings and Returns around the Clock来源：Journal of Finance, Volume 79, Issue 1作者：Ingomar Krohn, Philippe Mueller and Paul Whelan
Abstract：The U.S. dollar appreciates in the run-up to foreign exchange (FX) fixes and depreciates thereafter, tracing a W-shaped return pattern around the clock. Return reversals for the top nine traded currencies over a 21-year period are pervasive and highly statistically significant, and they imply daily swings of more than one billion U.S. dollars based on spot volumes. Using natural experiments, we document the existence of a published reference rate determines the timing of intraday return reversals. We present evidence consistent with an inventory risk explanation whereby FX dealers intermediate unconditional demand for U.S. dollars at the fixes.摘要：美元在外汇（FX）固定期之前走高，而在固定期之后走低，全天形成了一个“W”型的回报模式。这种收益反转现象在过去21年中于主要九个交易货币中普遍存在并在统计上显著，这意味着基于现货交易量的每日波动超过十亿美元。通过自然实验，我们证实了已发布的参考汇率的存在确实决定了日内收益反转的时间点。我们提供的证据表明，当外汇到达固定点时，外汇交易商会对美元的无条件需求进行中介调剂，这与库存风险解释相吻合。
Informed Trading Intensity
来源：Journal of Finance, Volume 79, Issue 2作者：Vincent Bogousslavsky, Vyacheslav Fos and Dmitriy Muravyev
Abstract：We train a machine learning method on a class of informed trades to develop a new measure of informed trading, informed trading intensity (ITI). ITI increases before earnings, mergers and acquisitions, and news announcements, and has implications for return reversal and asset pricing. ITI is effective because it captures nonlinearities and interactions between informed trading, volume, and volatility. This data-driven approach can shed light on the economics of informed trading, including impatient informed trading, commonality in informed trading, and models of informed trading. Overall, learning from informed trading data can generate an effective informed trading measure.摘要：我们针对一类知情交易训练了一个机器学习模型，用来开发一种新的知情交易测量方法，即知情交易强度（ITI）。ITI在企业发布盈利、并购和新闻公告之前都会增加，并对收益反转和资产定价产生影响。由于ITI捕捉到了非线性因素以及知情交易、交易量和波动性之间的交互效应，所以其效果显著。这种基于数据驱动的方法可以揭示知情交易背后的的经济学原理，包括没有耐心的知情交易、知情交易的共性以及知情交易的模型。总之，通过对知情交易数据的学习可以产生有效的知情交易测量方法。
How Integrated are Credit and Equity Markets? Evidence from Index Options
来源：Journal of Finance, Volume 79, Issue 2作者：Pierre Collin‐dufresne, Benjamin Junge and Anders B. Trolle
Abstract：We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The model captures many aspects of the joint dynamics of CDX and SPX options. However, it cannot reconcile the relative levels of option prices, suggesting that credit and equity markets are not fully integrated. A strategy of selling CDX volatility yields significantly higher excess returns than selling SPX volatility.摘要：我们研究了信用指数（CDX）期权的定价与标普500指数（SPX）期权定价的一致性。我们在具有随机波动率和跳跃的结构性信用风险模型中推导了CDX和SPX期权的解析表达式，使用了多变量仿射变换分析的结果来定价复合期权。该模型捕捉到了许多CDX和SPX期权的联合动态。然而，它无法解释期权价格的相对水平，表明信用市场和股票市场并未完全整合。卖出CDX波动率的策略相比卖出SPX波动率的策略能显著获得更高的超额收益。
Dissecting the Long-Term Performance of the Chinese Stock Market
来源：Journal of Finance, Volume 79, Issue 2作者：Franklin Allen, Jun (qj) Qian, Chenyu Shan and Julie Lei Zhu
Abstract：Domestically listed Chinese (A-share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A-share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross-country and within-A-share samples. Institutional deficiencies in listing and delisting processes and weak corporate governance in terms of shareholder value creation are consistent with the underperformance in stock returns and net cash flows.摘要：2000年至2018年间，国内上市的中国公司（A股）比国外上市的中国公司、发达国家公司和新兴国家公司拥有更低的股票收益率。它们的净现金流也比匹配的未上市中国公司更低。大盘A股公司的股票和会计收益率的表现更差，而小盘公司在这两个维度上没有表现不佳。投资者情绪解释了跨国家和A股样本内的低股票收益率。在上市和退市的流程中存在制度缺陷，以及股东价值创造方面公司管理薄弱，这些与股票收益率和净现金流的表现不佳是一致的。
Leverage Is a Double-Edged Sword
来源：Journal of Finance, Volume 79, Issue 2作者：Avanidhar Subrahmanyam, Ke Tang, Jingyuan Wang and Xuewei Yang
Abstract：We use proprietary data on intraday transactions at a futures brokerage to analyze how implied leverage influences trading performance. Across all investors, leverage is negatively related to performance, due partly to increased trading costs and partly to forced liquidations resulting from margin calls. Defining skill out‐of‐sample, we find that relative performance differentials across unskilled and skilled investors persist. Unskilled investors' leverage amplifies losses from lottery preferences and the disposition effect. Leverage stimulates liquidity provision by skilled investors, and enhances returns. Although regulatory increases in required margins decrease skilled investors' returns, they enhance overall returns, and attenuate return volatility.摘要：我们使用某期货经纪公司的日内交易专有数据来分析隐含杠杆如何影响交易表现。整体来看，杠杆与表现呈负相关，一部分原因是交易成本的增加，另一部分原因是因追加保证金而被迫平仓。定义样本外技能后，我们发现无技能和有技能投资者之间持续存在相对表现的差异。无技能投资者的杠杆放大了因彩票偏好和处置效应导致的损失。杠杆刺激了有技能投资者的交易流动性，并提升了收益。尽管提高必要保证金的监管措施降低了有技能投资者的收益，但它们提高了整体收益，并降低了收益波动性。
Choosing to Disagree: Endogenous Dismissiveness and Overconfidence in Financial Markets
来源：Journal of Finance, Volume 79, Issue 2作者：Snehal Banerjee, Jesse Davis and Naveen Gondhi
Abstract：The psychology literature documents that individuals derive current utility from their beliefs about future events. We show that, as a result, investors in financial markets choose to disagree about both private information and price information. When objective price informativeness is low, each investor dismisses the private signals of others and ignores price information. In contrast, when prices are sufficiently informative, heterogeneous interpretations arise endogenously: most investors ignore prices, while the rest condition on it. Our analysis demonstrates how observed deviations from rational expectations (e.g., dismissiveness, overconfidence) arise endogenously, interact with each other, and vary with economic conditions.摘要：心理学文献表明，个人从他们对未来事件的信念中获得当前的效用。我们展示了，由于这个原因，金融市场中的投资者会选择对非公开信息和价格信息持不同意见。当客观价格信息度较低时，每个投资者都会忽视他人的非公开信号并无视价格信息。相反，当价格信息度足够高时，异质化解释会内生地出现：大多数投资者忽视价格，而少数投资者则依赖于价格。我们的分析展示了偏离理性预期的情况（例如忽视、过度自信）是如何内生地产生的，如何相互作用，以及随经济状况是如何变化的。
Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect
来源：Journal of Finance, Volume 79, Issue 3作者：Ricardo Caballero and Alp Simsek
Abstract：We analyze optimal monetary policy and its implications for asset prices when aggregate demand has inertia. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (above their steady-state levels consistent with current potential output). Overshooting leads to a temporary disconnect between the performance of financial markets and the real economy, but accelerates the recovery. When there is a lower bound constraint on the discount rate, good macroeconomic news is better news for asset prices when the output gap is more negative. Finally, we document that during the COVID-19 recovery, the policy-induced overshooting was large.摘要：我们分析了在总需求存在惯性时的最优货币政策及其对资产价格的影响。如果存在负产出缺口，央行最优策略是使总资产价格超出其与当前潜在产出一致的稳态水平。过度调整会导致金融市场表现与实体经济之间暂时脱节，但加速了经济复苏。当折现率存在下限约束时，当产出缺口更大时，好的宏观经济消息对资产价格来说是更好的消息。最后，我们记录了在COVID-19复苏期间，由政策引发的过度调整现象十分显著。
Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden
来源：Journal of Finance, Volume 79, Issue 3作者：Sylvain Catherine, Paolo Sodini and Yapei Zhang
Abstract：Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hedge against correlated tail risks, an important mechanism in asset pricing and portfolio choice models.摘要：使用瑞典的行政面板数据，我们记录了在股票市场表现不佳时面临更高左尾收入风险的工人，其投资组合中的股票比例较低。与理论一致，当人力资本在工人总财富中的比例增加时，周期性偏度与股票持有之间的关系也会增强，而随着工人接近退休，这种关系会消失。周期性偏度还预测了同卵双胞胎之间投资组合的差异。我们的研究结果表明，家庭会对相关的尾部风险进行对冲，这是资产定价和投资组合选择模型中的一个重要机制。
A Horizon-Based Decomposition of Mutual Fund Value Added Using Transactions
来源：Journal of Finance, Volume 79, Issue 3Jules van Binsbergen, Jungsuk Han, Hongxun Ruan and Ran Xing
Abstract：We decompose mutual fund value added by the length of funds' holdings using transaction-level data. We motivate our decomposition with a model featuring horizon-specific investment ideas, where short-term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high-turnover funds add a substantial amount of value in the first two weeks, of which more than 80% is earned on Federal Open Market Committee (FOMC) and earnings announcement days. Holdings of low-turnover funds add value only over longer horizons.摘要：我们使用交易级数据，按基金持有期的长短分解共同基金的增值。我们受一个包含特定期限投资理念的模型启发，其中短期因为相关交易无法在时间上分散而导致可扩展性较差。基金的换手率与增值所处的期限呈负相关，与价格冲击成本呈正相关。正如预测的那样，高换手率基金的持仓在前两周内显著增值，其中超过80%的价值是在联邦公开市场委员会（FOMC）会议日和财报发布日获得的。低换手率基金的持仓则仅在较长期限内增值。
A Portfolio Approach to Global Imbalances
来源：Journal of Finance, Volume 79, Issue 3作者：Zhengyang Jiang, Robert Richmond and Tony Zhang
Abstract：We use a portfolio-based framework to understand what drives the decline of the U.S. net foreign asset (NFA) position and the reversal in returns earned on the U.S. NFA (exorbitant privilege). We show that global savings gluts and monetary policies widened the U.S. NFA position, while investor demand shifts partially offset this widening. Moreover, U.S. privilege declined after 2010, in line with increasing foreign demand for U.S. equity. We also highlight a quantity dimension of the U.S. privilege: The U.S. can issue substantially more debt than other countries for a given yield increase. 摘要：我们使用基于投资组合的框架来理解是什么导致了美国净对外资产（NFA）头寸的下降以及美国NFA所获得回报的逆转（超额特权）。我们表明，全球储蓄过剩和货币政策扩大了美国NFA头寸，而投资者需求的变化抵消了一部分这种扩张。此外，2010年后美国特权下降，这与外国对美国股票需求的增加一致。我们还强调了形容美国特权的一个数量维度：在增加相同收益率情况下，美国能够发行远远超过其他国家的债务。
The Term Structure of Covered Interest Rate Parity Violations
来源：Journal of Finance, Volume 79, Issue 3作者：Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
Abstract：We quantify the impact of risk-based and nonrisk-based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model-implied and observed derivative prices reflects the impact of nonrisk-based IC because our SDF incorporates risk-based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long-term CIP violations. Consistent with IC theory, the wedge correlates with the shadow cost of intermediary capital, and the SDF-implied interest rate is a weighted average of collateralized and uncollateralized interest rates.摘要：我们量化了基于风险和非风险的中间约束（IC）对与抛补利率平价（CIP）相违背的期限结构的影响。利用从利率掉期推导的随机折现因子（SDF），我们对货币衍生品进行估值。模型推导的衍生品价格与实际观察到的衍生品价格之间的差额反映了基于非风险的IC的影响，因为我们的SDF已包含基于风险的IC。在短期内是没有差额，而差额占长期CIP违例的40%。与IC理论一致，差额与中间资本的隐性成本相关，并且SDF推导的利率是抵押和非抵押利率的加权平均值。
Does Alternative Data Improve Financial Forecasting? The Horizon Effect
来源：Journal of Finance, Volume 79, Issue 1作者：Olivier Dessaint, Thierry Foucault and Laurent Fresard
Abstract：Existing research suggests that alternative data are mainly informative about short-term future outcomes. We show theoretically that the availability of short-term-oriented data can induce forecasters to optimally shift their attention from the long term to the short term because it reduces the cost of obtaining short-term information. Consequently, the informativeness of their long-term forecasts decreases, even though the informativeness of their short-term forecasts increases. We test and confirm this prediction by considering how the informativeness of equity analysts' forecasts at various horizons varies over the long run and with their exposure to social media data.摘要：现有研究表明，另类数据主要对短期未来结果具有信息价值。我们从理论上表明，短期导向数据的可用性可以诱使预测者将注意力从长期转向短期，因为它降低了获取短期信息的成本。因此，短期预测的信息量增加，长期预测的信息量减少。我们通过考虑股票分析师在不同时期的预测的信息量如何随时间变化和他们接触社交媒体数据的情况来测试并验证这一预测。
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
来源：Journal of Finance, Volume 79, Issue 1作者：Mathieu Fournier, Kris Jacobs and Piotr Orłowski
Abstract：We propose a novel factor model for option returns. Option exposures are estimated nonparametrically, and factor risk premia can vary nonlinearly with states. The model is estimated using regressions with minimal assumptions on factor and option return dynamics. We estimate the model using index options to characterize the conditional risk premia for factors of interest, such as the market return, market variance, tail and intermediary risk factors, higher moments, and the VIX term structure slope. Together, market return and variance explain more than 90% of option return variation. Unconditionally, the magnitude of the variance risk premium is plausible. It displays pronounced time variation, spikes during crises, and always has the expected sign.摘要：我们提出了一种新颖的期权收益因子模型。期权风险是非参数估计的，因子风险溢价可能随状态呈非线性变化。该模型是使用对因子和期权收益动态的最小假设的回归来拟合估计的。我们使用指数期权来估算模型，同时刻画一些因素的条件风险溢价，例如市场回报、市场方差、尾部和中间风险因素、高矩以及VIX期限结构斜率。市场回报和方差共同解释了90%以上的期权回报变化。方差风险溢价的大小是合理的。它显示出明显的时间变化，危机期间具有峰值的特点，并且始终具有预期的信号。
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