本文是2024年论文速递系列的第七篇文章，我们精选了Journal of Financial Economics Volume 157-158 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。
Tiny trades, big questions: Fractional shares来源：Journal of Financial Economics, Volume 157作者：Robert P. Bartlett, Justin McCrary and Maureen O'Hara
Abstract：This paper investigates fractional share trading. We develop a latency-based method for identifying a large sample of fractional share trades. We find that high-priced stocks, meme stocks, IPOs, SPACs, and popular retail stocks exhibit considerable numbers of these tiny trades. We surmise that this reflects dollar-based order entry, with many tiny trades being fractional components of larger orders. We show that our fractional trade measure is predictive of future liquidity and volatility, suggesting a new metric to capture the information in retail trades. We identify how data and reporting protocols preclude knowing the extent of fractional share trading, inflate volume data, and provide censured samples of these off-exchange trades.摘要：本文研究了零股交易。我们提出了一种基于延迟的方法，用于识别大量的零股交易。我们发现，高价股、抱团股（meme stocks）、IPO、SPAC以及受欢迎的零星股票都存在着大量的这种小额交易。我们推测这反映了基于美元的订单输入，很多小额交易其实是较大订单的一部分。此外，我们展示了我们的零股交易指标能够预测到未来市场的流动性和波动性，这表明该指标是捕捉零售交易信息的新度量标准。最后，我们识别出数据和报告协议如何阻碍我们对零股交易的了解程度、夸大交易量数据，并提供这些场外交易的审查样本。
Associative memory, beliefs and market interactions来源：Journal of Financial Economics, Volume 157
作者：Benjamin Enke, Frederik Schwerter and Florian Zimmermann
Abstract：Recent theories and narratives highlight the potential role of associative recall in driving overreaction in expectations and market behavior. Based on a simple model, we test this idea through a series of experiments in which news are communicated with memorable contexts. Because the experimental participants predominantly remember those past news that get cued by new information, their beliefs about fundamentals strongly overreact. In a betting market experiment, associative recall translates into overreaction in market prices, which makes realized prices too extreme. Our results highlight the importance of associative memory for beliefs and financial decisions.摘要：近期的理论和叙述强调了联想回忆在推动预期和市场行为产生过度反应中的潜在作用。我们根据一个简单的模型，通过一系列新闻借助易记住背景传达的实验来检验这个想法。由于实验参与者主要记住了那些被新信息提示的旧新闻，他们对基本面的看法有着强烈地过度反应。在一个赌注市场实验中，联想回忆转化为对市场价格的过度反应，使得实际价格过于极端。通过这些实验，我们的结果突出了联想记忆对于信念和金融决策的重要性。When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion来源：Journal of Financial Economics, Volume 157作者：Maria Jose Arteaga-Garavito, Mariano M. Croce, Paolo Farroni and Isabella Wolfskeil
Abstract：We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel dataset comprising (i) announcements related to COVID19 and (ii) high-frequency data on epidemic news diffused through Twitter (Hassan et al., 2019’s methodology). We provide novel empirical evidence about financial dynamics both around epidemic announcements and at daily/intra-daily frequencies. Analysis of contagion data and social media activity about COVID19 suggest that the market price of contagion risk is significant.摘要：在考虑本地疫情状况的情况下，我们量化了主要金融市场受全球传染风险新闻冲击的暴露。我们针对横截面众多的国家构建了一个新的数据集，包括(i)与COVID-19相关的公告和(ii)通过Twitter传播的疫情新闻高频数据（采用Hassan et al. 2019的方法）。我们提供了疫情公告前后并且是每日/日内频率金融动态的新实证证据。对COVID-19的传染数据和社交媒体活动的分析表明，传染风险市场价格显著。
Financial constraints, cash flow timing patterns, and asset prices来源：Journal of Financial Economics, Volume 157作者：Weiping Hu, Kai Li and Xiao Zhang
Abstract：We show that firms collect almost 70% of their cash flows in the second half of the fiscal year, and that firms that collect more cash by year-end earn a 6.8% higher per annum risk premium and save more cash. We rationalize these facts in a quantitative investment-based asset pricing model. Immediate cash payments negatively affect profitability, but reduce equity financing costs by increasing information transparency. Financially constrained firms optimally collect more cash at year-end when firms’ performance attracts more attention and information transparency is more valuable. Such behavior further results in greater exposure to aggregate productivity and financial shocks.摘要：我们发现企业在财年的下半年收集了它们几乎70%的现金流，那些在年终收集更多现金的公司每年获得的风险溢价高出6.8%，并储备更多现金。我们利用一个基于定量化的投资资产定价模型来解释这些事实。立即的现金支付会对盈利能力产生负面影响，但通过增加信息透明度可以降低股权融资成本。财务受限的企业最优地在年底收集更多的现金，因为这时公司的表现会受到更多关注，信息透明度也会更具价值。这种行为进一步导致企业更高的整体生产力和金融冲击暴露。
Intermediary-based equity term structure来源：Journal of Financial Economics, Volume 157作者：Kai Li and Chenjie Xu
Abstract：We demonstrate that a financial intermediary-based asset pricing model offers a compelling explanation for a new set of conditional moments of equity term structure and convenience yields. The model’s key mechanism is that the time-varying tightness of intermediaries’ leverage constraints drives significant mean reversion in the price of risk. This model guides us in devising a novel empirical methodology to estimate the tightness of these constraints (i.e., the Relative Tightness Index) from cross-sectional returns of various asset classes. Our findings affirm that this measure significantly drives the dynamics of equity yield slope and convenience yields, both empirically and quantitatively.摘要：本文表明，一个基于金融中介的资产定价模型可以用来解释权益期限结构和便利收益的一系列条件矩。该模型的关键机制在于，金融中介杠杆约束时变的紧俏程度会驱动风险价格显著的均值回归。该模型指导我们设计一种新的实证方法，根据各类资产类别的横截面收益来估计这些约束的紧俏程度。我们的研究结果进一步证实，无论从实证还是定量分析的角度，这一指标都显著推动了股票收益率斜率和便利收益的动态变化。The passive ownership share is double what you think it is来源：Journal of Financial Economics, Volume 157作者：Alex Chinco and Marco Sammon
Abstract：Each time a stock gets added to or dropped from an index, we ask: “How much money would have to be tracking that index to explain the huge spike in rebalancing volume we observe on reconstitution day?” While index funds held 16% of the US stock market in 2021, we put the overall passive ownership share at 33.5%. Our headline number is twice as large because it reflects index funds as well as other kinds of passive investors, such as institutional investors with internally managed index portfolios and active managers who are closet indexing.摘要：每当有股票被纳入或剔除出某一指数时，我们会问：需要有多少资金跟踪该指数才能解释在重组日观察到的再平衡交易量的大幅飙升？尽管在2021年指数基金占美国股市16%的份额，但我们估计整体被动投资者的持有份额达到了33.5%。我们的这一主要数字是前者的两倍，是因为它不仅包括指数基金，还包含了其他类型的被动投资者，例如有内部管理指数投资组合的机构投资者以及在暗中进行指数化投资的主动型管理者。
The diversification and welfare effects of robo-advising来源：Journal of Financial Economics, Volume 157作者：Alberto G. Rossi and Stephen UtkusAbstract：We study the diversification and welfare effects of a large US robo-advisor on the portfolios of previously self-directed investors and document five facts. First, robo-advice reshapes portfolios by increasing indexing and reducing home bias, number of assets held, and fees. Second, these portfolio changes contribute to higher Sharpe ratios. Third, those who benefit most from robo-advice are investors who did not have high exposure to equities or indexing and had poorer diversification levels. Fourth, robo-advice decreases the time investors dedicate to managing their investments. Fifth, those investors who benefit most are more likely to join the service and not quit it.
摘要：我们研究了对之前自主投资者的投资组合使用大型美国机器人顾问的分散化和福利影响，并记录了五个事实。首先，机器人建议通过增加指数化投资、减少本土偏好、减少持有资产数量和降低费用来重塑投资组合。其次，这些投资组合变化导致夏普比率上升。第三，从机器人投资建议中受益最大的是那些以前对股票或指数投资敞口不大且分散化水平较差的投资者。第四，机器人投资建议减少了投资者管理其投资的时间。第五，受益最大的投资者更有可能加入该服务并且不会退出。
来源：Journal of Financial Economics, Volume 158作者：J. Anthony Cookson, Runjing Lu, William Mullins and Marina Niessner
Abstract：We examine social media attention and sentiment from three major platforms: Twitter, StockTwits, and Seeking Alpha. We find that, even after controlling for firm disclosures and news, attention is highly correlated across platforms, but sentiment is not: its first principal component explains little more variation than purely idiosyncratic sentiment. Using market events, we attribute differences across platforms to differences in users (e.g., professionals versus novices) and differences in platform design (e.g., character limits in posts). We also find that sentiment and attention contain different return-relevant information. Sentiment predicts positive next-day returns, but attention predicts negative next-day returns. These results highlight the importance of considering both social media sentiment and attention, and of distinguishing between different investor social media platforms.摘要：我们利用三个主要平台（Twitter、StockTwits和Seeking Alpha）研究社交媒体的关注度和情绪。我们发现，即使控制了公司披露和新闻，跨平台的关注度仍然高度相关，但情绪则并非如此：其第一主成分解释的变化与纯粹的特质性情绪差不多。利用市场事件，我们将平台间的差异归因于用户的差异（例如专业人士与新手）和平台设计的差异（例如帖子的字符限制）。我们还发现，情绪和关注度包含不同的收益相关的信息。情绪预测第二天的正回报，而关注度预测第二天的负回报。这些结果强调了同时考虑社交媒体情绪和关注度，以及区分不同投资者社交媒体平台的重要性。How do Treasury dealers manage their positions?来源：Journal of Financial Economics, Volume 158作者：Michael Fleming, Giang Nguyen and Joshua Rosenberg
Abstract：Using 31 years of data (1990–2020) on U.S. Treasury dealer positions, we find that Treasury issuance is the main driver of dealers’ weekly inventory changes. Such inventory fluctuations are only partially offset in adjacent weeks and not significantly hedged with futures. Dealers are compensated for inventory risk by means of subsequent price appreciation of their holdings. Amid increased balance sheet costs attributable to post-crisis regulatory changes, dealers significantly reduce their position taking and layoff inventory faster. Moreover, the increased participation of non-dealers (investment funds) in the primary market contributes to diminishing compensation for inventory risk taken on at auctions.摘要：利用31年（1990-2020年）的美国国债交易商头寸数据，我们发现国债发行是交易商每周库存变化的主要驱动因素。这些库存波动在相邻几周内仅部分被抵消，而且没有通过期货进行显著对冲。交易商通过其持有头寸的后续价格上涨获得库存风险补偿。由于危机后监管变化导致资产负债表成本增加，交易商显著降低了持仓头寸并更快地削减库存。此外，非交易商（投资基金）在一级市场中的参与度增加，导致拍卖中承担的库存风险补偿减少。
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