本文是2024年论文速递系列的第三篇文章，我们精选了Journal of Financial Economics Volume 155-156 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。
Missing values handling for machine learning portfolios来源：Journal of Financial Economics, Volume 155作者：Andrew Y. Chen and Jack McCoy
Abstract：We characterize the structure and origins of missingness for 159 cross-sectional return predictors and study missing value handling for portfolios constructed using machine learning. Simply imputing with cross-sectional means performs well compared to rigorous expectation-maximization methods. This stems from three facts about predictor data: (1) missingness occurs in large blocks organized by time, (2) cross-sectional correlations are small, and (3) missingness tends to occur in blocks organized by the underlying data source. As a result, observed data provide little information about missing data. Sophisticated imputations introduce estimation noise that can lead to underperformance if machine learning is not carefully applied.摘要：我们描述了159个横截面收益预测变量的缺失结构及其来源，并研究了机器学习构建的投资组合中的缺失值处理。与严格的期望最大化方法相比，简单地用横截面均值插补表现良好。这源于预测数据的三个事实：（1）缺失发生在按时间组织的部分，（2）横截面相关性较小，以及（3）缺失往往发生在按基础数据源组织的部分。因此，观测数据对缺失数据提供的信息很少。如果不谨慎应用机器学习，复杂的插补方法会引入估计噪音，导致表现不佳。
Production complementarity and information transmission across industries来源：Journal of Financial Economics, Volume 155
作者：Charles M.C. Lee, Terrence Tianshuo Shi, Stephen Teng Sun and Ran Zhang
Abstract：Economic theory suggests that production complementarity is an important driver of sectoral co-movements and business cycle fluctuations. We operationalize this concept using a measure of production complementarity proximity (COMPL) between any two companies. We show firms from different industries but are closely aligned in COMPL exhibit strong co-movement in their operating, investing, and financing activities, as well as quarterly earnings revisions and monthly returns. We further document a lead-lag effect in their returns, such that a long-short strategy based on recent COMPL peer returns yields a monthly 6-factor alpha of 122 basis points. This inter-industry momentum spillover effect is not explained by other network-based mechanisms, such as shared analyst coverage. We conclude information transmission takes place along complementarity networks, but stock prices do not update instantaneously.摘要：经济理论表明，生产互补性是部门联动和经济周期波动的重要驱动因素。我们使用一种衡量任何两个公司之间生产互补性接近度（COMPL）的指标来刻画这一概念。研究表明，来自不同行业但在COMPL上紧密关联的公司，其经营、投资和融资活动，以及季度盈利修正和月度回报都表现出强烈的联动性。我们进一步记录了它们收益中的领先-滞后效应，即基于近期COMPL同行回报的多空策略产生122个基点的月度6因子超额。这种跨行业动量溢出效应无法通过其他基于网络的机制（如共享分析师）来解释。我们得出结论，信息沿着互补性网络进行传递，但股票价格不会立即更新。
Political polarization in financial news来源：Journal of Financial Economics, Volume 155作者：Eitan Goldman, Nandini Gupta and Ryan Israelsen
Abstract：Comparing coverage of the same corporate financial news by the conservative Wall Street Journal and the liberal New York Times, we find strong evidence of political polarization in their reporting on both the intensive and extensive margins of coverage. We show that this politics-induced disagreement in corporate financial news leads to an increase in abnormal trading volume for the most politically extreme firms. Our results highlight a new source of investor disagreement, arising out of polarized reporting of corporate financial news, that generates trade among investors.摘要：通过比较保守派的《华尔街日报》和自由派的《纽约时报》对同一公司财务新闻的报道，我们发现了在报道的深度和广度上存在强烈的政治极化证据。我们表明，这种由政治引发的公司财务新闻分歧导致了最具政治极端化的公司异常交易量的增加。我们的结果突显了一种新的投资者分歧来源，这种分歧源于公司财务新闻的极化报道，从而在投资者之间产生交易。
Sustainability or performance? Ratings and fund managers’ incentives来源：Journal of Financial Economics, Volume 155作者：Nickolay Gantchev, Mariassunta Giannetti and Rachel Li
Abstract： We explore how mutual fund managers and investors react when the tradeoff between a fund's sustainability and performance becomes salient. Following the introduction of Morningstar's sustainability ratings (the “globe” ratings), mutual funds increased their holdings of sustainable stocks to attract flows. Such sustainability-driven trades, however, underperformed, impairing the funds’ overall performance. Consequently, a tradeoff between sustainability and performance emerged. In the new equilibrium, the globe ratings do not affect investor flows and funds no longer trade to improve their globe ratings.摘要：我们探讨了当基金的可持续性与业绩之间存在明显的权衡时，共同基金经理和投资者的反应。在晨星引入可持续性评级（“地球”评级）后，共同基金增加了可持续发展的股票的持有量以吸引资金流入。然而，这种以可持续性驱动的交易表现不佳，损害了基金的整体业绩。因此，可持续性与业绩之间出现了权衡。在新的均衡中，可持续性评级不再影响投资者流动，基金也不再进行交易以提升其可持续性评级。
The pricing of U.S. Treasury floating rate notes来源：Journal of Financial Economics, Volume 155作者：Jonathan S. Hartley and Urban J. Jermann
Abstract：Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T-bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We interpret this fact through the lens of a model where money-like assets differ in their degrees of moneyness. Additional empirical evidence supports this interpretation.摘要：自2014年1月起，美国财政部开始发行浮动利率票据（FRNs）。这些票据按季度支付利息，支付的利率基于该季度新发行的三个月期国库券的平均到期利率。我们展示了如何对这种FRNs进行定价。我们估计，这些票据支付的利息超过了其他国债的隐含利息，超额利息在3至42个基点之间。我们通过一个模型来解释这一事实，该模型认为类货币资产在其货币性质程度上存在差异。额外的实证证据支持了这一解释。
In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models来源：Journal of Financial Economics, Volume 155作者：Raymond Kan, Xiaolu Wang and Xinghua Zheng
Abstract：Using available return data, many multi-factor asset pricing models present impressive in-sample Sharpe ratios, significantly surpassing that of the market portfolio. Such a performance, however, contradicts the conventional wisdom in finance. Investors cannot realistically attain the in-sample Sharpe ratios. They obtain the out-of-sample Sharpe ratios, which are significantly lower. Estimation risk is one reason for this performance deterioration. We theoretically study the effect of estimation risk by obtaining the exact distributions of in-sample and out-of-sample Sharpe ratios, and argue that such effect needs to be considered in model comparisons.摘要：利用现有的收益数据，许多多因子资产定价模型在样本内表现优异的夏普比率，显著超过市场投资组合的夏普比率。然而，这种表现与金融学中的传统观点相悖。投资者无法实际获得样本内的夏普比率，而只能获得显著较低的样本外夏普比率。估计风险是这种表现恶化的一个原因。我们通过获得样本内和样本外夏普比率的精确分布，从理论上研究了估计风险的影响，并认为在模型比较中需要考虑这种影响。
Measuring macroeconomic tail risk来源：Journal of Financial Economics, Volume 156作者：Roberto Marfè and Julien PénasseAbstract：This paper estimates consumption and GDP tail risk dynamics over the long run (1900–2020). Our predictive approach circumvents the scarcity of large macroeconomic crises by exploiting a rich information set covering 42 countries. This flexible approach does not require asset price information and can thus serve as a benchmark to evaluate the empirical validity of rare disaster models. Our estimates covary with asset prices and forecast future stock returns, in line with theory. A calibration disciplined by our estimates supports the prediction that macroeconomic tail risk drives the equity premium.摘要：本文估算了长期（1900-2020年）消费和GDP尾部风险。我们的预测通过利用覆盖42个国家的丰富信息集来规避缺乏大规模宏观经济危机的问题。这种灵活的方法不需要资产价格信息，因此可以作为评估罕见灾害模型经验有效性的基准。我们的估计与资产价格和预测未来股票收益率一致，与理论一致。根据我们的估计进行的校准支持了宏观经济尾部风险驱动股票溢价的预测。
Portfolio pumping in mutual fund families来源：Journal of Financial Economics, Volume 156作者：Pingle Wang
Abstract：This paper investigates portfolio pumping at the fund family level, where non-star fund managers strategically purchase stocks held by star funds in the family to inflate their quarter-end performance. Star funds that engage in such activities show inflated performance after 2002 when the Securities and Exchange Commission increased regulation on portfolio pumping. Stocks pumped by the strategy show strong reversals at the quarter end. Moreover, despite a minor underperformance stemming from portfolio misallocation, non-star fund managers pumping for star funds receive abnormally high subsequent flows, suggesting a pattern of family subsidization.摘要：本文研究了基金家族层面的投资组合操纵行为，其中非明星基金经理通过策略性购买家族内明星基金持有的股票来抬高季度末的业绩。2002年美国证券交易委员会加强对投资组合操纵的监管后，从事此类活动的明星基金表现出虚高的业绩。被这种策略操纵的股票在季度末表现出强劲的反转。此外，尽管由于投资组合错配导致了轻微的业绩不佳，非明星基金经理通过为明星基金进行操纵获得了异常高的后续资金流入，这表明存在一种家族补贴的模式。
Gradual information diffusion across commonly owned firms来源：Journal of Financial Economics, Volume 156作者：Jie Ying
Abstract：This paper studies how common institutional ownership (CIO) affects information diffusion in the stock market. My findings suggest that CIO can exacerbate the slow spread of information across firms. With over 50% of institutional investors holding concentrated stock portfolios, I infer a fundamental connection among firms with CIO. These firms exhibit cross-predictability in monthly stock returns, leading to a CIO-based peer momentum strategy that outperforms Ali and Hirshleifer's (2020) shared-analyst momentum strategy. This anomaly stems primarily from institutional investors with fewer stock holdings, who employ passive asset management characterized by lower portfolio turnover and more delegated investment.摘要：本文研究了共同机构所有权（CIO）如何影响股票市场中的信息传播。我的研究发现，CIO可以加剧信息在企业间缓慢扩散的现象。由于超过50%的机构投资者持有集中的股票投资组合，我推断出具有CIO的企业之间存在基本联系。这些企业在月度股票回报上表现出交叉可预测性，导致基于CIO的同行动量策略优于Ali和Hirshleifer（2020）的共享分析师动量策略。这种异常现象主要源于持股较少的机构投资者，他们采用被动资产管理，具有较低的投资组合换手率和更多的委托投资的特征。
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