本文是2024年论文速递系列的第八篇文章，我们精选了Management Science Volume 70 Issue 5-6 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。
Countercyclical Risks, Consumption, and Portfolio Choice: Theory and Evidence来源：Management Science, Volume 70, Issue 5作者：Jialu Shen
Abstract：Using a quantitative, calibrated life-cycle model, I show that countercyclical earnings risk affects individual consumption growth, reduces the share of wealth in stocks, and affects savings behavior. Using the Panel Study of Income Dynamics survey, I construct an empirical measure of countercyclical earnings risk and find evidence consistent with the model’s predictions. Specifically, larger downside earnings risk decreases consumption growth, increases left skewness in consumption growth, and reduces the share of wealth in stocks. Furthermore, the consumption effects are substantially more significant for stockholders than for nonstockholders, which arises through heterogeneity in the elasticity of intertemporal substitution.摘要：利用定量校准的生命周期模型，本文表明逆周期性盈利风险会影响个人消费增长率、降低股票的财富份额并且影响储蓄行为。利用收入动态面板研究的调查，本文构建了逆周期性盈利风险的实证衡量指标，并发现了与模型预测一致的证据。具体来说，更高的下行盈利风险会降低消费增长，增加其左偏度，并减少股票的财富份额。此外，相对于非股东而言，消费效应对股东更显著，这主要是由于跨期替代弹性的异质性所致。
Birds of a Feather: Do Hedge Fund Managers Flock Together?来源：Management Science, Volume 70, Issue 5
作者：Marc Gerritzen, Jens Jackwerth and Alberto Plazzi
Abstract：Mandatory filings for UK hedge funds suggest that managers having worked at the same prior employer invest more similarly in terms of distances of returns. If they overlapped in employment, increasing the chance of social ties, investments become even more similar. The joint effect accounts for up to two thirds of the difference in investing behavior. Results are robust to fund- and manager-level controls as well as to identification concerns. With controls, the same-employer effect is concentrated in the systematic component (beta), whereas the overlap effect is concentrated in the idiosyncratic components (alpha and residuals). Managerial ties make any two funds more similar in their stock holdings. Moreover, portfolios of connected funds outperform their peers in terms of alpha, return volatility, and Sharpe ratio.摘要：英国对冲基金的强制性申报文件显示，曾在同一雇主处工作过的经理在就收益距离而言的投资方面更为相似。如果他们的在职期间重叠，增加了社会联系可能性的情况下，他们的投资会变得更加相似。这种联合效应解释了多达三分之二的投资行为差异。结果对基金和经理层面的控制以及识别担忧具有稳健性。控制了变量后，同一雇主效应集中在系统性部分（beta），而重叠效应集中在异质性部分（alpha和残差）。管理联系使得任何两只基金在股票持仓上更加相似。此外，关联基金的投资组合在超额、收益波动率和夏普比率方面表现均优于同类基金。The Use of Credit Ratings in the Delegated Management of Fixed Income Assets来源：Management Science, Volume 70, Issue 5作者：Ramin P. Baghai, Bo Becker and Stefan Pitschner
Abstract：Investment mandates of fixed income funds constrain managers’ portfolio decisions, often employing credit ratings to classify asset risk. We categorize U.S. and European fixed income funds’ mandates using textual analysis and measure the use of ratings. Over the past two decades, despite the weaknesses of ratings revealed in the global financial crisis, ratings use has increased significantly. Since 2010, the fraction of funds not using ratings in any way has fallen by almost half in both the United States and Europe. By 2020, 94% of U.S. funds and 65% of European funds used ratings. These patterns fit agency-based models of investment mandates and point to a lack of practically useful alternatives.摘要：固定收益基金的投资委托限制了经理的投资组合决策，使其通常利用信用评级来对资产风险进行分类。我们利用文本分析对美国和欧洲固定收益基金的投资委托进行分类，并衡量评级的使用情况。尽管全球金融危机暴露了评级的缺点，但在过去二十年里，评级的使用还是显著增加。自2010年以来，在美国和欧洲，未以任何方式使用评级的基金比例下降了近一半。到2020年，94%的美国基金和65%的欧洲基金使用了评级。这些模式符合基于主体 (agency-based) 的投资委托模型，并表明缺乏实际有用的替代方案。
Emotional Engagement and Trading Performance来源：Management Science, Volume 70, Issue 6作者：Peter Bossaerts, Felix Fattinger, Kristian Rotaru and Kaitong Xu
Abstract：Emotional involvement is known to be necessary but not sufficient for good decision making in the face of uncertainty. It has been conjectured that emotional engagement in anticipation of risky outcomes constitutes “good” emotions. We introduce a new methodology to determine whether anticipatory emotional engagement is beneficial in the context of trading in financial markets. We focus on heart rate changes because they occur at a sufficiently high frequency to discern timing relative to events in the marketplace. After conservatively adjusting for multiple hypothesis testing, we find that participants whose heart rate changes anticipate their order submissions at inflated prices earn significantly more, whereas participants whose heart rate responds to their trades earn significantly less. By investigating cointegration between skin conductance response and the dynamics of individual portfolio values, we confirm the importance of emotional involvement in determining who makes or loses money.摘要：众所周知，在面对不确定性时，情感投入是做出正确决策的必要条件但非充分条件。对风险结果预期的情感投入被推测为是“好”的情感构成。我们引入了一种新方法来确定预期情感参与在金融市场交易中是否有益。我们重点关注心率变化，因为它们发生的频率足够高，可以辨别相对于市场事件的时间。经过保守调整多重假设检验后，我们发现心率变化预期以高价提交订单的那些参与者显著赚得更多，而心率对其交易做出反应的参与者则显著赚得更少。通过研究皮肤电传导反应与个人投资组合价值动态之间的协整关系，我们证实了情感投入在决定谁赚谁亏方面的重要性。
Dynamic Market Timing in Mutual Funds来源：Management Science, Volume 70, Issue 6作者：Jeffrey A. Busse, Jing Ding, Lei Jiang and Ke Wu
Abstract：We use the dynamic conditional correlation (DCC) model to estimate daily frequency mutual fund betas. Compared with traditional estimates, daily betas better capture changes in fund risk stemming from daily fund trading activity. Based on these beta estimates and a two-stage estimation procedure, we find significant evidence of market timing ability among actively managed U.S. equity funds that is not apparent via standard approaches. Unlike traditional measures, our timing estimates correlate positively with fund performance. Market timing is especially evident during down markets, with successful timers exhibiting low downside risk. Timing ability persists across time and attracts investor flows.摘要：我们利用动态条件相关（DCC）模型来估算日频的共同基金贝塔值。与传统估算方法相比，每日贝塔值更好地捕捉了由每日基金交易活动引起的基金风险变化。基于这些贝塔估算值和两阶段估计方法，我们发现主动管理型的美国股票基金具有显著的市场择时能力，而这种能力在标准方法中并不明显。与传统衡量方法不同，我们的择时估计与基金表现呈正相关。市场择时能力在市场下跌期间尤为明显，成功的时机把握者下行风险较低。这种择时能力在时间上具有持久性，并吸引投资者资金流入。Cross-Sectional Variation of Option-Implied Volatility Skew来源：Management Science, Volume 70, Issue 6作者：Liuren Wu and Meng Tian
Abstract：The stock option-implied volatility skew reflects both the structural risk characteristics of the underlying company and the short-term information flow about the stock price movement. This paper builds a semistructural, cross-sectional option pricing model to separate the structural risk contributions from the information flow. The model identifies two structural risk sources that contribute to the cross-sectional variation of the skew: the company’s business cyclicality and its default risk. The model can explain as much as 44% of the cross-sectional variation in implied volatility skew and is particularly informative during and after recessions. The remaining skew variation reflects mainly short-term information flow and can be used to construct stock portfolios with much better investment performance and without hidden structural risk exposures.摘要：股票期权隐含波动率偏度同时反映了标的公司的结构性风险特征和股价变动的短期信息流。本文构建了一个半结构化的横截面期权定价模型，以分离结构性风险贡献和信息流。该模型识别出两种导致偏度横截面变化的结构性风险来源：公司的业务周期性和其违约风险。该模型可以解释多达44%的隐含波动率偏度的横截面变化，并且在经济衰退期间及其后尤其具有参考价值。剩余的偏度变化主要反映短期信息流，可以用来构建投资表现更好且没有隐藏结构性风险敞口的股票投资组合。
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market来源：Management Science, Volume 70, Issue 6作者：Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara VegaAbstract：We investigate how market participants price and manage counterparty credit risk using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on the pricing of CDS contracts but a large impact on the choice of counterparties. For contracts ineligible for central clearing, we show that market participants are significantly less likely to trade with counterparties whose credit risk is highly correlated with the credit risk of the reference entities and with counterparties whose credit quality is low. For clearable contracts, we find that nondealers are more likely to clear during a crisis and less likely to clear when the reference entity is a large U.S. dealer or a sovereign.摘要：我们利用单一名称信用违约掉期（single-name credit default swap）交易的保密交易库数据，研究市场参与者如何定价和管理交易对手信用风险。我们发现，交易对手风险对CDS合约定价的影响适中，但对交易对手的选择影响较大。对于不符合中央清算资格的合约，我们的结果表明市场参与者不太可能与其信用风险和参考实体的信用风险高度相关的交易对手、以及信用质量较低的交易对手进行交易。对于可清算合约，我们发现非交易商在危机期间更有可能进行清算，而在参考实体是大型美国交易商或主权国家时清算的可能性较低。
Discrimination and Economic Expectations来源：Management Science, Volume 70, Issue 6作者：William Bazley, Yosef Bonaparte, George Korniotis and Alok Kumar
Abstract：This paper examines whether perceptions of discrimination affect the economic expectations of U.S. households. We focus on two forms of expectations that play a central role in economic and financial decisions of households: labor income and inflation. Using experimental data, we demonstrate that discrimination generates greater dispersion in household forecasts. It increases subjective expectations of income uncertainty by 8% and inflation uncertainty by 5%. The impact of discrimination is concentrated among racial/ethnic minorities, inducing 12%–16% greater variation in their income uncertainty expectations and 10%–12% greater variation in their inflation uncertainty expectations. Both psychological and emotional factors appear to influence the discrimination–economic expectations relation.摘要：本文探讨了歧视感知是否会影响美国家庭的经济预期。我们重点关注在家庭的经济和金融决策中发挥核心作用的两种预期：劳动力收入和通胀。我们利用实验数据表明，歧视会导致家庭预测的分散度增加。歧视令家庭对收入不确定性的主观预期增加了8%，对通账不确定性的主观预期增加了5%。歧视的影响主要集中在种族/少数民族中，使他们对收入不确定性的预期变动增加了12%至16%，对通货膨胀不确定性的预期变动增加了10%至12%。心理和情感因素似乎都会影响歧视与经济预期之间的关系。
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