本文是2024年论文速递系列的第二篇文章，我们精选了Journal of Financial Economics Volume 151-154 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。
The use of asset growth in empirical asset pricing models来源：Journal of Financial Economics, Volume 151作者：Michael Cooper, Huseyin Gulen and Mihai Ion
Abstract：We show that the performance of the new factor models of Hou et al. (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Both models use growth in total assets to measure investment. Their ability to price the cross-section of returns decreases significantly when the investment factor is constructed using traditional investment measures, or measures that also account for investment in intangibles. In contrast, we find that factors based on growth in inventory and accounts receivable contain the bulk of the pricing information in the asset growth factor. We show evidence that the superior performance of the asset growth factor seems to be attributable to its ability to capture aggregate shocks to equity financing costs.摘要：我们展示了Hou et al. (2015)和Fama and French (2015)提出的新因子模型的表现在很大程度上取决于其投资因子的构建方式。这两个模型都使用总资产增长来衡量投资。当投资因子使用传统的投资指标或考虑无形资产投资的指标构建时，其对横截面收益定价的能力显著下降。相反，我们发现基于库存增长和应收账款增长的因子包含了资产增长因子中大部分的定价信息。我们的证据表明，资产增长因子的优越性似乎能归因于其抵抗股权融资成本的冲击的能力。
Learning about the consumption risk exposure of firms来源：Journal of Financial Economics, Volume 152
作者：Yongjin Kim, Lars-Alexander Kuehn and Kai Li
Abstract：We structurally estimate an investment-based asset pricing model, in which firms' exposure to macroeconomic risk is unknown. Bayesian beliefs about this parameter are updated from firms' and industry peers' comovement between their productivity and consumption growth. The model implies that discount rates rise endogenously with the perceived risk exposure of firms, thereby depressing investment and valuation ratios. We test these predictions in the data and find strong support for them. We also confirm that cross-sectional learning from peers is crucial and that alternative Bayesian risk estimates, which ignore peer observations, do not predict firm variables.摘要：我们结构性地估计了一个基于投资的资产定价模型，其中企业对宏观经济风险的暴露是未知的。通过公司与行业同行之间生产率和消费增长的联动，对有关这个参数的贝叶斯信念进行更新。该模型表明，随着公司感知风险暴露的增加，折现率内生性地上升，从而压低投资和估值比率。我们在数据中测试了这些预测，并发现了强有力的支持。我们还确认了来自同行的横截面学习是至关重要的，忽略同行观察的贝叶斯风险估计无法预测公司变量。
Disagreement about public information quality and informational price efficiency来源：Journal of Financial Economics, Volume 152作者：Chong Huang, Radhika Lunawat and Qiguang Wang
Abstract：Investors often hold differing opinions on public information quality. This paper shows that such investor disagreement provides a novel explanation for financial market dynamics around earnings announcements. We propose a rational expectations equilibrium model where investors disagree about the precision of a public signal, which separates a pre-news trading period from a post-news trading period. In equilibrium, investor disagreement about public signal precision diminishes informational price efficiency before the news, but enhances it afterward. Consequently, investor disagreement leads to a notable jump in informed trading around the news, a decline in abnormal trading volume before the news and a surge immediately after the news, and underreaction of stock price to announced earnings.摘要：投资者对公共信息质量的看法往往存在分歧。本文表明，这种投资者分歧为解释金融市场在财报公告前后的动态提供了一种新颖的视角。我们提出了一个理性预期均衡模型，其中投资者对公共信号的精确性存在分歧，这将新闻前交易期与新闻后交易期分开。在均衡中，投资者对公共信号精确性的分歧会在新闻发布前降低信息价格效率，但在新闻发布后提高效率。因此，投资者的分歧会导致新闻前知情交易显著增加、新闻发布前异常交易量下降、新闻发布后异常交易量激增、以及股票价格对公布的财报收益反应不足。
Collateral eligibility of corporate debt in the Eurosystem来源：Journal of Financial Economics, Volume 153作者：Loriana Pelizzon, Max Riedel, Zorka Simon and Marti G. Subrahmanyam
Abstract： We study the many implications of the Eurosystem collateral framework for corporate bonds. Using data on the evolving collateral eligibility list, we identify the first inclusion dates of bonds and issuers and use these events to find that the increased supply and demand for pledgeable collateral following eligibility (a) increases activity in the corporate securities lending market, (b) lowers eligible bond yields, and (c) affects bond liquidity. Thus, corporate bond lending relaxes the constraint of limited collateral supply and thereby improves market functioning.摘要：我们研究了欧洲系统抵押品框架对公司债券的多种影响。利用不断变化的抵押品合格清单数据，我们确定了债券和发行人的首次入选日期，并利用这些事件发现，合格抵押品增加的供需 (a) 增加了公司证券借贷市场的活动，(b) 降低了合格债券的收益率，(c) 影响了债券的流动性。因此，公司债券借贷缓解了有限抵押品供应的约束，从而改善了市场运作。
Personality differences and investment decision-making来源：Journal of Financial Economics, Volume 153作者：Zhengyang Jiang, Cameron Peng and Hongjun Yan
Abstract：We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five personality traits correlate with investors' beliefs about the stock market and economy, risk preferences, and social interaction tendencies. Two personality traits, Neuroticism and Openness, stand out in their explanatory power for equity investments. Investors with high Neuroticism and those with low Openness tend to allocate less investment to equities. We examine the underlying mechanisms and find evidence for both standard channels of preferences and beliefs and other nonstandard channels. We show consistent out-of-sample evidence in representative panels of Australian and German households.摘要：我们调查了数千名富裕的美国投资者，研究个性与投资决策之间的关系。五大人格特质与投资者对股市和经济的观点、风险偏好和社交倾向相关。其中，神经质（Neuroticism）和开放性（Openness）这两种人格特质在解释股票投资方面尤为突出。高神经质和低开放性的投资者倾向于减少对股票的投资。我们研究了这一现象背后的机制，并找到了偏好和观点的标准渠道以及其他非标准渠道的证据。我们还在澳大利亚和德国家庭的代表样本中展示了一致的样本外证据。
Fearing the Fed: How wall street reads main street来源：Journal of Financial Economics, Volume 153作者：Vadim Elenev, Tzuo-Hann Law, Dongho Song and Amir Yaron
Abstract：We provide strong evidence of a countercyclical sensitivity of the stock market to major macroeconomic announcements. The most notable cyclical variation takes place within expansions: sensitivity is largest early in an expansion and essentially zero late in an expansion. By exploiting the comovement pattern between stocks and bonds around announcements, we show that the stock market sensitivity is large when the cash flow component of news is least offset by news about future risk-free rates. Observed fluctuations in stock sensitivities can be attributed to shifting perceptions of monetary policy responsiveness.摘要：我们提供了强有力的证据，表明股市对主要宏观经济公告的敏感性具有反周期性。最显著的周期性变化发生在经济扩张期：扩张初期的敏感性最大，而扩张后期的敏感性几乎为零。通过利用公告前后股票和债券之间的共同运动变化，我们表明，当新闻中的现金流部分最少受到未来无风险利率新闻的影响时，股市敏感度就会很高。观察到的股市敏感性波动可以归因于对货币政策响应性变化的感知。
Disagreement, information quality and asset prices来源：Journal of Financial Economics, Volume 153作者：Costas Xiouros and Fernando ZapateroAbstract：We present an analytical solution for a pure exchange economy featuring a continuum of agents with disagreement, time-varying information quality, and reference-dependent preferences. Our general equilibrium model exhibits stationary dynamics. By examining the implications of the model, we find that the commonly studied asset pricing channels of disagreement have limited quantitative significance. On the other hand, variations in information quality, which affect disagreement levels, lead to substantial excess stock price volatility. This finding contributes significantly to explaining the equity premium and sheds light on empirical relationships between forecast dispersion and asset prices, the upward sloping real yield curve, and long-term yield movements.摘要：基于一个存在分歧、信息质量随时间变化以及参考依赖偏好的一些代理构成的纯交换经济体，我们提出了一个解析解。我们的总均衡模型拥有平稳动态。通过研究模型的含义，我们发现，常见的资产定价分歧在定量上意义有限。另一方面，信息质量的变化（影响分歧水平）导致了显著的股票价格过度波动。这个发现对解释股权溢价具有重要贡献，并揭示了预测分歧与资产价格之间的实证关系、实际收益曲线的上倾原因以及长期收益变动的内在机制。
来源：Journal of Financial Economics, Volume 153作者：Scott Murray, Yusen Xia and Houping Xiao
Abstract：We test the efficient market hypothesis by using machine learning to forecast stock returns from historical performance. These forecasts strongly predict the cross-section of future stock returns. The predictive power holds in most subperiods and is strong among the largest 500 stocks. The forecasting function has important nonlinearities and interactions, is remarkably stable through time, and captures effects distinct from momentum, reversal, and extant technical signals. These findings question the efficient market hypothesis and indicate that technical analysis and charting have merit. We also demonstrate that machine learning models that perform well in optimization continue to perform well out-of-sample.摘要：我们通过使用机器学习从历史表现中预测股票收益来检验有效市场假说。这些预测能够强烈预测未来股票收益的横截面。预测能力在大多数子时期内保持稳定，并且在最大500只股票中表现强劲。预测函数具有重要的非线性和交互性，随时间变化显著稳定，并捕捉到与动量、反转和现有技术信号的效果。这些发现对有效市场假说提出了质疑，表明技术分析和图表分析具有价值。我们还证明，在优化中表现良好的机器学习模型在样本外表现同样很好。
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified来源：Journal of Financial Economics, Volume 154作者：David Ardia, Laurent Barras, Patrick Gagliardini and Olivier Scaillet
Abstract：We develop a novel approach to separate alpha and beta under model misspecification. It comes with formal tests to identify less misspecified models and sharpen the return decomposition of individual funds. Our hedge fund analysis reveals that: (i) prominent models are as misspecified as the CAPM, (ii) several factors (time-series momentum, variance, carry) capture alternative strategies and lower performance in all investment categories, (iii) fund heterogeneity in alpha and beta is large—an important result for fund selection and models of active management, (iv) performance is increasingly similar to mutual funds, (v) fund valuation is sensitive to investor sophistication.摘要：我们开发了一种新方法，在模型设定错误的情况下分离alpha和beta。该方法配有正式测试，以识别较少错误设定的模型并优化单个基金的收益分解。我们的对冲基金分析揭示了以下几点：（i）知名模型与资本资产定价模型（CAPM）一样存在设定错误，（ii）多个因素（时间序列动量、方差、套利收益）捕捉到替代策略，并在所有投资类别中表现较差，（iii）基金在alpha和beta方面的异质性很大——这对基金选择和主动管理模型而言是一个重要结果，（iv）基金表现越来越接近共同基金，（v）基金估值对投资者的专业水平非常敏感。
Limited attention to detail in financial markets: Evidence from reduced-form and structural estimation来源：Journal of Financial Economics, Volume 154作者：Henrik Cronqvist, Tomislav Ladika, Elisa Pazaj and Zacharias Sautner
Abstract：We show that firm valuations fell after a key expense became more visible in financial statements. FAS 123-R required firms to deduct option compensation costs from earnings, instead of disclosing them in footnotes. Firms that granted high option pay experienced earnings reductions, while fundamentals remained unchanged. These firms were more likely to miss earnings forecasts, and they experienced recommendation downgrades and valuation declines. Our findings suggest that market participants exhibited limited attention to option costs before FAS 123-R. As we reuse the FAS 123-R natural experiment, we show how one can address confounding channels by integrating reduced-form and structural estimation.摘要：我们发现，在一项关键费用在财务报表中变得更加透明后，公司估值下降。FAS 123-R要求公司从收益中扣除期权补偿成本，而不是在附注中披露这些成本。授予高期权薪酬的公司的收益下降，而基本面保持不变。这些公司更有可能未达到收益预期，并且其推荐评级下调和估值下降。我们的研究结果表明，在FAS 123-R之前，市场参与者对期权成本的关注有限。通过重用FAS 123-R这一自然实验，我们展示了如何通过整合简化形式和结构估计来解决混杂渠道问题。
Persistent and transitory components of firm characteristics: Implications for asset pricing来源：Journal of Financial Economics, Volume 154作者：Fahiz Baba-Yara, Martijn Boons and Andrea Tamoni
Abstract：We study the horizon dimension of cross-sectional return predictability using a model where characteristics contain both persistent and transitory components. We test the implications of this model for the average returns of popular characteristic-based trading strategies at short versus long horizons after portfolio formation. Our evidence supports the claim that the relative compensation for persistent and transitory components varies across characteristics, in both magnitude and sign. Benchmark factor models cannot explain the returns of portfolios sorted on characteristics where either the persistent or transitory component is dominant. Finally, we discuss implications for the long-term discount rates of firms.摘要：我们研究了横截面收益可预测性的期限维度，使用了一个模型，其中的特征包含刻画持久和暂时的成分。我们测试了该模型对在组合形成后基于特征的交易策略短期和长期内平均收益的影响。我们的证据支持以下观点：不同特征的持久和暂时成分的相对补偿在大小和符号上存在差异。基准因子模型无法解释那些根据持久或暂时成分占主导地位的特征排序的组合收益。最后，我们讨论了这些发现对公司长期贴现率的影响。
Demand-and-supply imbalance risk and long-term swap spreads来源：Journal of Financial Economics, Volume 154作者：Samuel G. Hanson, Aytek Malkhozov and Gyuri Venter
Abstract：We develop and test a model in which swap spreads are determined by end users' demand for and constrained intermediaries' supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital and for bearing convergence risk—i.e., the risk spreads will widen due to a future demand-and-supply imbalance. We show that a proxy for the intermediated quantity of swaps—dealers' net position in Treasuries—flipped sign during the Global Financial Crisis when swap spreads turned negative and that this variable predicts the excess returns on swap spread trades. Exploiting our model's sign restrictions, we identify shifts in demand and supply and find that both contribute significantly to the volatility of swap spreads.摘要：我们开发并测试了一个模型，其中掉期息差由终端用户对长期利率掉期的需求和受约束的中介机构供应所决定。掉期息差反映了对使用稀缺中介资本的补偿以及承担趋同风险的补偿——即由于未来供需失衡导致息差扩大的风险。我们展示一个用于中介掉期数量的代理变量，即交易商在国债中的净头寸，在全球金融危机期间掉期息差转为负值时翻转符号，并且该变量可以预测掉期息差交易的超额收益。利用我们模型的符号限制，我们识别出需求和供应的变化，并发现两者都对掉期息差的波动性有显著贡献。
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