本文是2024年论文速递系列的第四篇文章，我们精选了The Review of Financial Studies Volume 37 Issue 1-6 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。
Exchange Rate Dynamics and Monetary Spillovers with Imperfect Financial Markets来源：The Review of Financial Studies, Volume 37, Issue 2作者：Özge Akinci and Albert Queralto
Abstract：We develop a quantitative model with imperfections in domestic and international financial markets that generates strong effects of U.S. monetary policy on emerging markets (EMs). Financial imperfections prevent arbitrage both between local EM lending and borrowing rates, and between local-currency and dollar borrowing rates. An adverse feedback effect between financial health and external conditions amplifies the domestic “financial accelerator,” leading to large cross-border spillovers of U.S. monetary policy shocks. The model implies a link between uncovered interest parity violations and local credit spreads, a prediction we show the data strongly supports.摘要：我们开发了一个包含国内和国际金融市场的不完全性的定量模型，该模型能够生成美国货币政策对新兴市场的强大影响。金融市场的不完善阻碍了本地新兴市场的借贷利率之间以及本币和美元借贷利率之间的套利。金融健康状况和外部条件之间的负反馈效应放大了国内的“金融加速器”，导致美国货币政策冲击影响的跨境溢出效应显著增加。该模型表明与非抛补利率平价相悖的情况与本地信用利差之间存在联系，而我们展示的数据强烈支持这一预测。
Currency Risk Premiums Redux来源：The Review of Financial Studies, Volume 37, Issue 2
作者：Federico Nucera, Lucio Sarno and Gabriele Zinna
Abstract：We study a large currency cross-section using asset pricing methods that account for omitted-variable and measurement-error biases. First, we show that the pricing kernel includes at least three latent factors that resemble (but are not identical to) a strong U.S. “dollar” factor and two weak high Sharpe ratio “carry” and “momentum” slope factors. Evidence for an additional “value” factor is weaker. Second, using this pricing kernel, we find that only a small fraction of the over 100 nontradable candidate factors considered have a statistically significant risk premium, mostly relating to volatility, uncertainty, and liquidity conditions, rather than macro variables.Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.摘要：我们使用资产定价方法研究了货币截面，这些方法考虑了遗漏变量和测量误差偏差。首先，我们展示了定价内核包括至少三个潜在因子，这些因子类似于（但并不相同）一个强劲的美国“美元”因子和两个弱的高夏普比率“套息交易”和“动量”斜率因子。关于额外“价值”因子的证据较为薄弱。其次，使用这个定价内核，我们发现所考虑的100多个不可交易的候选因子中，只有一小部分具有统计显著的风险溢价；有统计显著性的因子主要与波动性、不确定性和流动性条件有关，而非宏观变量。
Local Effects of Global Capital Flows: A China Shock in the U.S. Housing Market来源：The Review of Financial Studies, Volume 37, Issue 3作者：Zhimin Li, Leslie Sheng Shen and Calvin Zhang
Abstract：This paper studies the real effects of foreign real estate capital inflows. Using transaction-level data, we document (i) a “China shock” in the U.S. housing market characterized by surging foreign Chinese housing purchases after 2008, and (ii) “home bias” in these purchases, as they concentrate in neighborhoods historically populated by ethnic Chinese. Exploiting their temporal and spatial variation, we find that these capital inflows raise local employment, with the effect transmitted through a housing net worth channel. However, they displace local lower-income residents. Our results show that real estate capital inflows can both stimulate the real economy and induce gentrification.摘要：本文研究外国房地产受资本流入的实际影响。利用交易层面的数据，我们记录了 (i) 美国房地产市场的“中国冲击”，其特点是 2008 年后外国华人购房数量激增，以及 (ii) 这些购房行为的“家庭偏好”，因为他们集中在历史上受华裔欢迎的社区。利用时间和空间变化，我们发现这些资本流入提高了当地就业率，其影响通过住房净值渠道传递。然而，它们取代了当地低收入居民。我们的结果表明，房地产资本流入既可以刺激实体经济，又可以引发士绅化。
Scale or Yield? A Present-Value Identity来源：The Review of Financial Studies, Volume 37, Issue 3作者：Thummim Cho, Lukas Kremens, Dongryeol Lee and Christopher Polk
Abstract：We propose a loglinear present-value identity in which investment (“scale”), profitability (“yield”), and discount rates determine a firm’s market-to-book ratio. Our identity reconciles existing influential market-to-book decompositions and facilitates novel insights from three empirical applications: (1) Both investment and profitability are important contributors to the value spread and stock return news variance. (2) Any cross-sectional return predictability has a mirror image in cash-flow fundamentals, providing asset pricing theories with additional moments to match. (3) The investment spread significantly improves the predictability of time-series variation in the value premium and justifies the poor performance of value in recent years.摘要：我们提出了一个对数线性的现值恒等式，其中投资（“规模”）、盈利能力（“收益”）和折现率决定公司的市净率。我们的恒等式调和了现有的有影响力的市净率分解，并从三个实证应用中提供了新的见解：（1）投资和盈利能力都是价值差异和股票回报方差的重要贡献者。（2）任何横截面收益可预测性在现金流基本面中都有对应的镜像，为资产定价理论提供了额外的匹配情况。（3）投资差异显著提高了价值溢价中的时间序列变化的可预测性，并解释了近年来价值投资表现不佳的原因。
Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences来源：The Review of Financial Studies, Volume 37, Issue 3作者：Walter Pohl, Karl Schmedders and Ole Wilms
Abstract：Modern asset pricing models combine recursive preferences with complex dynamics for the underlying consumption process. The existence of solutions is for many of these models an unsettled question. This paper introduces a novel technique to prove existence and nonexistence, as well as uniqueness for models with recursive preferences. The approach applies to many models of interest, including those with long-run consumption risks, with stochastic volatility and jumps, with time-varying consumption disasters, and with smooth ambiguity aversion and learning. Collectively, the proven results settle the existence question for many of today’s leading asset pricing models.摘要：现代资产定价模型将递归偏好与动态底层资产消费过程结合起来。对于其中许多模型，解的存在性问题尚未解决。本文引入了一种新技术来证明具有递归偏好的模型的存在性和不存在性，以及唯一性。这种方法适用于许多模型，包括具有长期消费风险、随机波动和跳跃、随时间变化的消费灾难，以及具有平滑的模糊厌恶的模型。总体而言，所证明的结果解决了许多当前领先的资产定价模型的存在性问题。
Noise in Expectations: Evidence from Analyst Forecasts来源：The Review of Financial Studies, Volume 37, Issue 5作者：Tim de Silva and David Thesmar
Abstract：Analyst forecasts outperform econometric forecasts in the short run but underperform in the long run. We decompose these differences in forecasting accuracy into analysts’ information advantage, forecast bias, and forecast noise. We find that noise and bias strongly increase with forecast horizon, while analysts’ information advantage decays rapidly. A noise increase with horizon generates a mechanical reversal in the sign of the error-revision (Coibion-Gorodnichenko) regression coefficient at longer horizons, independently of over-/underreaction. A parsimonious model with bounded rationality and a noisy cognitive default matches the term structures of noise and bias jointly.摘要：分析师的预测在短期内优于计量经济学预测，但在长期内表现不佳。我们将这些预测准确性的差异分解为分析师的信息优势、预测偏差和预测噪音。我们发现噪音和偏差随预测范围的增加而显著增加，而分析师的信息优势迅速衰减。随着时间的流逝，噪声的增加会导致误差修正（Coibion-Gorodnichenko）回归系数符号在较长的时间范围内发生机械反转，与过度/不足反应无关。一个具有有限理性和噪音认知默认值的简约模型将噪声和偏差的期限结构相匹配。
Are Analyst “Top Picks” Informative?来源：The Review of Financial Studies, Volume 37, Issue 5作者：Justin Birru, Sinan Gokkaya, Xi Liu and René StulzAbstract：Following the Global Settlement, analysts extensively use a top pick designation allowing for greater granularity of information among buy recommended stocks, but conflicts of interest can potentially influence this designation. Examining a novel sample of top picks, we find that a calendar-time portfolio of top picks generates an abnormal performance of 17.6% per year. Top picks have greater investment value than do buy recommendations and alternative analyst investment strategies. Both institutional and retail investors trade in response to top picks. However, only institutional investors appear to identify top picks that have greater investment value when they are announced.摘要：在全球和解之后，分析师广泛使用指定首选股票的方法，以便在推荐买入的股票中获得更高的信息粒度，但利益冲突可能会影响这一指定。通过研究一个新的首选股票样本，我们发现，首选股票的日历时间投资组合每年产生17.6%的超额表现。首选的股票比买入推荐和其他分析师投资策略具有更大的投资价值。机构投资者和散户投资者都会对首选股票做出交易反应。然而，只有机构投资者似乎能够在股票发布时识别出具有更大投资价值的首选股票。
Corporate Climate Risk: Measurements and Responses来源：The Review of Financial Studies, Volume 37, Issue 6作者：Qing Li, Hongyu Shan, Yuehua Tang and Vincent Yao
Abstract：This paper conducts a textual analysis of earnings call transcripts to quantify climate risk exposure at the firm level. We construct dictionaries that measure physical and transition climate risks separately and identify firms that proactively respond to climate risks. Our validation analysis shows that our measures capture firm-level variations in respective climate risk exposure. Firms facing high transition risk, especially those that do not proactively respond, have been valued at a discount in recent years as aggregate investor attention to climate-related issues has been increasing. We document differences in how firms respond through investment, green innovation, and employment when facing high climate risk exposure.摘要：本文对财报通话记录进行了文本分析，以量化公司层面的气候风险暴露。我们构建了分别衡量物理气候风险和转型气候风险的词典，并识别出积极应对气候风险的公司。验证分析表明，我们的衡量指标能够捕捉公司层面气候风险暴露的差异。近年来，随着投资者对气候相关问题的关注度不断增加，面临高转型风险的公司，尤其是那些未积极应对的公司，其估值被打了折扣。我们记录了在面对高气候风险暴露时公司通过投资、绿色创新和就业方面的不同应对反应的差异。
Equity Return Expectations and Portfolios: Evidence from Large Asset Managers来源：The Review of Financial Studies, Volume 37, Issue 6作者：Magnus Dahlquist and Markus Ibert
Abstract：Collecting large asset managers’ capital market assumptions, we revisit the relationships between subjective equity premium expectations, equity valuations, and financial portfolios. In contrast to the well-documented extrapolative expectations of retail investors, asset managers’ equity premium expectations are countercyclical: they are high (low) when valuations are low (high). We find that asset managers’ portfolios reflect their heterogeneous expectations: allocation funds of asset managers with larger U.S. equity premium expectations invest significantly more in U.S. equities. The sensitivity of portfolios to expectations seems to be muted by investment mandates and is smaller than the one predicted by a standard portfolio choice model.摘要：通过收集大型资产管理公司的资本市场假设，我们重新审视了主观股票溢价预期、股票估值和金融投资组合之间的关系。与零售投资者普遍存在的预期延展性不同，资产管理公司的股票溢价预期是反周期的：当估值低时，溢价预期高；当估值高时，溢价预期低。我们发现，资产管理公司的投资组合反映了他们的异质性预期：具有较大美国股票溢价预期的资产管理公司的配置基金显著更多地配置美股。投资组合对预期的敏感性似乎受到投资授权的影响，并且小于标准投资组合选择模型预测的敏感度。
Which Subjective Expectations Explain Asset Prices?来源：The Review of Financial Studies, Volume 37, Issue 6作者：Ricardo De la O and Sean Myers
Abstract：We present a method for determining whether errors in expectations explain asset pricing puzzles without imposing assumptions about the error mechanism. Using accounting identities and survey forecasts, we find that errors in expected long-term inflation explain price variation, return predictability, and the rejection of the expectations hypothesis for aggregate stock and bond markets. Errors in short-term (long-term) nominal earnings growth expectations explain (do not explain) stock price variation and return predictability. The relevant errors are consistent with mistakes about the persistence of forecasted variables and the response to surprises. A simple framework based on fundamental extrapolation successfully replicates these findings. (JEL G40, G12, G14, E71)摘要：我们提出了一种方法用于确定预期误差是否可以解释资产定价难题，而无需对误差机制进行假设。利用会计恒等式和调查预测，我们发现，预期的长期通胀误差解释了价格波动、收益可预测性以及对总体股票和债券市场预期假设的拒绝。短期（长期）名义收益增长预期的误差解释了（没有解释）股票价格波动和收益的可预测性。相关误差与对预测变量持久性的错误判断和对意外情况的反应一致。一个基于基本面外推的简单框架成功地再现了这些发现。
Selective Default Expectations来源：The Review of Financial Studies, Volume 37, Issue 6作者：Olivier Accominotti, Thilo N H Albers and Kim Oosterlinck
Abstract：This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market segmentation. We show that, when secondary debt markets are segmented, a large selective default probability can be priced in bond yield spreads. Selective default risk accounted for one-third of the yield spread of German external bonds over the risk-free rate during the 1930s. Selective default expectations arose from differences in the creditor countries’ economic power over the debtor.摘要：本文探讨了选择性违约预期如何影响主权债券定价，并以1930年代的德国违约事件作为历史实验进行分析。我们研究了在债券市场分割前后，不同债权国之间交易的相同政府债券的收益差异。研究表明，当二级债务市场被分割时，选择性违约概率可以在债券收益率差中得到定价。在1930年代，选择性违约风险占德国外债与无风险利率利差的三分之一。选择性违约预期源于债权国与债务国之间的经济实力差异。
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