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.

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.

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.

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.

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.

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.

Measuring macroeconomic tail risk
来源:Journal of Financial Economics, Volume 156
作者:Roberto Marfè and Julien Pénasse

Abstract: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.

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.

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.