本文是2024年论文速递系列的第六篇文章，我们精选了Management Science Volume 70 Issue 2-4 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。
Cashflow Timing vs. Discount-Rate Timing: An Examination of Mutual Fund Market-Timing Skills来源：Management Science, Volume 70, Issue 2作者：Chunhua Lan and Russ Wermers
Abstract：We measure the ability of professional investment managers in timing cashflow versus discount-rate news, the two components of market returns. We find that the average U.S. equity mutual fund exhibits cashflow-timing skills of 1.77%/year, but discount-rate timing of −0.87%/year; furthermore, cashflow-timing skills, but not discount-rate timing skills, strongly persist over future quarters. Our evidence indicates that misspecification of market-timing abilities accounts for the failure of prior research to locate talented timing funds. Importantly, we find that value funds outperform growth funds in timing cashflow news, which provides new evidence on the unique skills of value-oriented mutual funds.摘要：我们衡量了专业投资经理对市场收益中现金流消息与贴现率消息这两个组成部分的择时能力。我们发现，平均而言，美国股票共同基金表现出1.77%/年的现金流择时能力，但贴现率择时能力为-0.87%/年。此外，现金流择时能力（而非贴现率择时能力）在未来几个季度中具有强烈的持续性。我们的证据表明，错误识别市场择时能力是以往研究无法找到优秀择时基金的原因。重要的是，我们发现价值型基金在择时上优于成长型基金，这为价值型共同基金的独特技能提供了新的证据。
Deep Learning in Asset Pricing来源：Management Science, Volume 70, Issue 2作者：Luyang Chen , Markus Pelger and Jason Zhu
Abstract：We use deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, keeps a fully flexible form, and accounts for time variation. The key innovations are to use the fundamental no-arbitrage condition as criterion function to construct the most informative test assets with an adversarial approach and to extract the states of the economy from many macroeconomic time series. Our asset pricing model outperforms out-of-sample all benchmark approaches in terms of Sharpe ratio, explained variation, and pricing errors and identifies the key factors that drive asset prices.摘要：我们利用深度神经网络去估计个股收益率的资产定价模型。该模型利用了大量的条件信息，形式灵活，并且考虑了时序变化。该模型的关键创新点在于利用对抗方式，结合基本的无套利条件作为准则函数来构建最具信息性的检验资产，并从众多宏观经济时间序列中提取经济状态。我们的资产定价模型在夏普比率、解释变化和定价误差方面要优于所有的基准方法，该模型还识别出了驱动资产价格的关键因素。Do Differences in Analyst Quality Matter for Investors Relying on Consensus Information?来源：Management Science, Volume 70, Issue 2作者：Roni Michaely, Amir Rubin, Dan Segal and Alexander Vedrashko
Abstract：This study investigates whether investors can reap economic benefits from analyzing differences in analyst quality. Although high-quality analysts’ average forecast is more accurate than the consensus forecast for firms with a large analyst following, the benefits of using high-quality analysts’ average forecasts are not economically significant. In contrast, the value of analyst quality differentiation exists in the second moment of forecasts. High-quality analysts’ forecast dispersion gives investors an advantage in dealing with uncertainty by predicting return volatility and providing opportunities for economically significant returns using option straddle and post-earnings announcement drift investment strategies.摘要：本研究探究了投资者是否可以通过分析分析师质量的差异获得经济利益。尽管对于拥有大量分析师跟踪的公司来说，高质量分析师的平均预测比一致预测更准确，但利用高质量分析师平均预测的收益在经济上并不显著。相反，分析师质量差异的价值存在于预测的二阶矩。高质量分析师的预测分散度通过预测收益波动性提供给投资者应对不确定性方面的优势，并通过期权跨式组合和盈余公告后漂移策略提供经济上显著的收益机会。
Predicting Bond Return Predictability来源：Management Science, Volume 70, Issue 2作者：Daniel Borup, Jonas N. Eriksen, Mads M. Kjær and Martin Thyrsgaard
Abstract：This paper provides empirical evidence on predictable time variations in out-of-sample bond return predictability. Bond return predictability is associated with periods of high (low) economic activity (uncertainty), which implies that violations of the expectations hypothesis are state dependent and linked to features of the business cycle. These state dependencies in predictability, established by introducing a new multivariate test for equal conditional predictive ability, can be used in real time to improve out-of-sample bond risk premia estimates and investors’ economic utility through a novel dynamic forecast combination scheme that uses predicted forecasting performance to identify the best set of methods to include in the combined forecast. Dynamically combined forecasts exhibit strong countercyclical behavior and peak during recessions.摘要：本文提供了样本外债券收益预测性具有可预测时序变化的实证证据。债券收益可预测性与经济活动高（低）期（不确定性）相关，这意味着是否违背预期假说是状态依赖的，并与商业周期的特征有关。本文通过引入一种新的条件预测能力相同的多元检验确定了这些预测性是状态依赖的，这种预测性的状态依赖可以通过一种利用预测表现识别出需要包含在组合预测中的最优方法集合的动态预测结合方式来实时提高样本外样本外债券风险溢价估计和投资者的经济效用。动态结合预测呈现出强烈的逆周期行为，并且在经济衰退期间达到峰值。On the Nature of (Jump) Skewness Risk Premia来源：Management Science, Volume 70, Issue 2作者：Piotr Orłowski, Paul Schneider and Fabio Trojani
Abstract：Market skewness risk is priced, but the components of its premium are not fully understood. We propose new trading strategies decomposing the skewness risk premium into jump and leverage effect components, and we analyze the skewness risk premia in the market for S&P 500 index options. We find that the skewness premium is higher when markets are closed than during trading hours, consistently with uncertainty resolution patterns by non-U.S investors; that it increases after left-tail market events; and that it is distinct from the variance premium. Moreover, during trading hours, the skewness premium is dominated by priced jump risk.摘要：市场偏度风险是被定价的，但其溢价的组成部分尚未被完全理解。我们将偏度风险溢价分解为跳跃和杠杆效应成分的交易策略，并分析了标普500指数期权的偏度风险溢价。我们发现闭市时的偏度溢价要高于交易时间的偏度溢价，这与非美国投资者的不确定性解决方式一致；另外，偏度溢价在左尾市场事件之后会增加，其有别于方差风险溢价。此外，在交易时间内，偏度溢价主要由被定价的跳跃风险主导。
The Endowment Model and Modern Portfolio Theory来源：Management Science, Volume 70, Issue 3作者：Stephen G. Dimmock, Neng Wang and Jinqiang Yang
Abstract：We develop a dynamic portfolio choice model with illiquid alternative assets to analyze the “endowment model,” widely adopted by institutional investors, such as pension funds, university endowments, and sovereign wealth funds. In the model, the alternative asset has a lockup but can be liquidated at any time by paying a proportional cost. We model how investors can engage in liquidity diversification by investing in multiple illiquid alternative assets with staggered lockup expirations and show that doing so increases alternatives allocations and investor welfare. We show how illiquidity from lockups interacts with illiquidity from secondary market transaction costs resulting in endogenous and time-varying rebalancing boundaries. We extend the model to allow crisis states and show that increased illiquidity during crises causes holdings to deviate significantly from target allocations.摘要：我们提出了一个包含非流动性另类资产的动态投资组合选择模型，以分析被机构投资者（如养老基金、大学捐赠基金和主权财富基金）广泛采用的“禀赋模型”。在该模型中，另类资产有锁定期，但可以随时通过支付一定比例的成本进行变现。我们对投资者如何通过投资多个具有交错锁定期的非流动性另类资产来实现流动性分散进行建模，并表明这样做可以增加另类资产的配置比例并提高投资者的福利。我们展示了锁定期的非流动性如何与二级市场交易成本的非流动性交互，从而导致内生的、时变的再平衡边界。我们将模型扩展可允许危机状态存在，并表明在危机期间非流动性的增加会导致持仓显著偏离目标配置。Testing Pricing Errors of Models with Latent Factors and Firm Characteristics as Covariances来源：Management Science, Volume 70, Issue 3作者：Chu Zhang
Abstract：This paper extends the methodology of statistically extracting latent factors in settings with return-predictive firm characteristics as conditional covariances (betas) between returns and factors. The main feature is that the pricing errors (alphas) are specified to be orthogonal to the affine-transformed firm characteristics as the betas with one component of pricing errors lying outside the space spanned by the firm characteristics. The specification is shown to make substantial differences with the extant literature as the zero pricing error hypothesis is strongly rejected for various models with commonly used firm characteristics.摘要：本文扩展了“具有收益预测性的公司特征作为因子和收益之间的条件协方差（betas）”设定下统计方式提取潜在因子的方法。该方法的主要特点是定价误差（alpha）被设定为与作为betas的仿射变换后公司特征相正交，并且定价误差的一个组成成分位于公司特征张成的空间之外。该种设定与现有文献存在显著差异，因为会显著拒绝各种常见的公司特征相关定价模型零定价误差的假设。
A One-Factor Model of Corporate Bond Premia来源：Management Science, Volume 70, Issue 3作者：Redouane Elkamhi, Chanik Jo and Yoshio Nozawa
Abstract：A one-factor model based on long-run consumption growth explains the risk premiums on corporate bond portfolios sorted on credit rating, credit spreads, downside risk, idiosyncratic volatility, long-term reversals, maturity, and sensitivity to the financial intermediary capital factor. The estimated risk-aversion coefficient is lower when we use the consumption growth of wealthy households over a longer horizon as a risk factor, and a model with a 20-quarter horizon yields a risk-aversion coefficient of 15, a value similar to the one estimated from equity portfolios.摘要：基于长期消费增长的单因子模型可以解释根据信用评级、信用利差、下行风险、特异波动率、长期反转、期限和金融中介资本因子敏感性的公司债券排序组合的风险溢价。当我们利用富裕家庭在较长时间范围内的消费增长作为风险因子时，模型估计的风险厌恶系数较低。一个以20季度作为期限的模型会产生规模为15的风险厌恶系数，该值与利用股票组合估计的值相似。
Digesting FOREXS: Information Transmission Across Asset Classes and Return Predictability来源：Management Science, Volume 70, Issue 3作者：Joon Woo Bae, Zhi Da and Virgilio Zurita
Abstract：We provide novel evidence that equity investors react to currency shocks with a delay. Using the cross-section of currency returns and the relative presence of U.S. firms in foreign economies, we compute a foreign operations-related exchange shock (FOREXS) measure. We find FOREXS to predict firms’ future cash flows and stock returns, driving much of the previously documented underreaction to foreign information. An FOREXS-based long-short strategy yields a 6.74% annualized abnormal return. FOREXS predictive power comes from firms’ incomplete hedging and investors’ limited attention, highlighting the challenges involved when processing information from a different asset class.摘要：我们提供了股票投资者对外汇冲击的反应存在延迟的新证据。利用外汇截面收益及美国公司在外国经济体中的相对存在度，我们计算了一个与外部经营相关的汇率冲击指标FOREXS。我们发现，FOREXS能够预测公司的未来现金流和股票收益率，解释了以往文献刻画的外部信息反应不足现象的绝大部分。基于FOREXS的多空策略每年产生6.74%的超额收益。FOREXS的预测能力来自公司不完全的对冲和投资者的有限注意力，这突显出处理不同资产类别信息的挑战性。Default Risk and Option Returns来源：Management Science, Volume 70, Issue 4作者：Aurelio Vasquez and Xiao Xiao
Abstract：This paper studies the effects of default risk on expected equity option returns. In the cross-section, expected delta-hedged equity option returns have a negative relation with default risk measured by credit ratings or default probability. In the time series, credit rating downgrades (upgrades) lead to a decrease (increase) in the firm’s delta-hedged option return. Our results are consistent with a stylized capital structure model in which the negative relation between option returns and default risk is driven by firm leverage and asset volatility.摘要：本文研究了违约风险对股票期权预期收益的影响。在横截面上，delta对冲后股票期权的预期收益与用信用评级或违约概率衡量的违约风险负向相关。在时间序列中，信用评级的下调（上调）会导致公司delta对冲期权收益的下降（上升）。我们的结果与期权收益与违约风险之间的负相关关系由公司杠杆率和资产波动率驱动的经典资本结构模型一致。
Sequential Learning and Economic Benefits from Dynamic Term Structure Models来源：Management Science, Volume 70, Issue 4作者：Tomasz Dubiel-Teleszynski, Konstantinos Kalogeropoulos and Nikolaos Karouzakis
Abstract：We explore the statistical and economic importance of restrictions on the dynamics of risk compensation from the perspective of a real-time Bayesian learner who predicts bond excess returns using dynamic term structure models (DTSMs). The question on whether potential statistical predictability offered by such models can generate economically significant portfolio benefits out-of-sample is revisited while imposing restrictions on their risk premia parameters. To address this question, we propose a methodological framework that successfully handles sequential model search and parameter estimation over the restriction space in real time, allowing investors to revise their beliefs when new information arrives, thus informing their asset allocation and maximizing their expected utility. Empirical results reinforce the argument of sparsity in the market price of risk specification since we find strong evidence of out-of-sample predictability only for those models that allow for level risk to be priced and, additionally, only one or two of these risk premia parameters to be different than zero. Most importantly, such statistical evidence is turned into economically significant utility gains, across prediction horizons, different time periods and portfolio specifications. In addition to identifying successful DTSMs, the sequential version of the stochastic search variable selection scheme developed can be applied on its own and offer useful diagnostics monitoring key quantities over time. Connections with predictive regressions are also provided.摘要：我们从利用动态期限结构模型（DTSMs）预测债券超额收益的实时贝叶斯学习者的角度出发，探讨了对风险补偿动态进行限制的统计和经济上的重要性。通过对该类模型的风险溢价参数施加限制，我们重新审视了该类模型潜在的统计预测性是否能够产生样本外经济上显著的投资组合收益。为了解决该问题，我们提出了一种在实时受限样本空间上成功处理序贯模型搜索和参数估计的方法框架，该框架允许投资者在新信息到来时修正他们的信念，从而指导其资产配置并最大化其预期效用。实证结果支持市场风险价格设定具有稀疏性的论点，因为我们发现，只有那些允许水平风险被定价且仅有一两个风险溢价参数不为零的模型才显示出样本外可预测性。更重要的是，这些统计证据能够在不同的预测期、时间段和投资组合设定下转化为经济上显著的效用增益。除了识别成功的DTSMs，我们提出的随机搜索变量选择的序贯版本本身也有独特的用途，它能够为监督关键变量的时序变化提供有用的诊断。我们还提供了与预测回归的相关性。
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