本文是2024年论文速递系列的第九篇文章，我们精选了Management Science Volume 70 Issue 7 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。 Skewness Sentiment and Market Anomalies来源：Management Science, Volume 70, Issue 7作者：Alok Kumar, Mehrshad Motahari and Richard J. Taffler
Abstract：This study demonstrates that skewness preference of investors is an important driver of various market anomalies. Using a combined measure of mispricing based on 11 prominent anomaly strategies, we show that return predictability associated with the mispricing component of market anomalies is stronger among firms with higher idiosyncratic skewness. The predictability differences are driven by the higher underperformance of high-skewness firms in short anomaly portfolios. Skewness does not affect the performance of long anomaly portfolios. Portfolio holdings data from a retail brokerage firm show that investors with stronger skewness preferences assign relatively larger weights to stocks in short anomaly portfolios.摘要：本研究表明，投资者的偏度偏好是许多市场异象的重要驱动因素。利用基于11种显著异象构造的错误定价综合衡量指标，本文表明，与市场异象中错误定价成分相关的收益可预测性在具有较高特质偏度的公司中更强烈。可预测性的差异是由高偏度公司在空头异象组合中更严重的表现不佳所驱动的。偏度不影响多头异象组合的表现。一家零售经纪公司的投资组合持仓数据表明，具有更强偏度偏好的投资者对空头异象组合中的股票分配了相对更大的权重。
Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around the World来源：Management Science, Volume 70, Issue 7
作者：Alex Edmans, Darcy Pu, Chendi Zhang and Lucius Li
Abstract：Studying 30 countries, we find that the link between employee satisfaction and stock returns is significantly increasing in a country’s labor market flexibility. This result is consistent with employee satisfaction having greater recruitment, retention, and motivation benefits where firms face fewer hiring and firing constraints and employees have greater ability to respond to satisfaction. Labor market flexibility also increases the link between employee satisfaction and current valuation ratios, future profitability, and future earnings surprises, inconsistent with omitted risk factors and identifying channels through which employee satisfaction may affect stock returns. The findings have implications for the differential profitability of socially responsible investing strategies around the world—in particular, the importance of considering institutional factors when forming such strategies.摘要：通过对30个国家的研究，我们发现员工满意度与股票收益之间的联系随一国劳动力市场灵活性显著增加。这一结果与员工满意度具有更强的招聘、留任和激励效益相一致，因为公司面临的招聘和解雇限制较少，员工对满意度的反应能力更强。劳动力市场的灵活性还增强了员工满意度与当前估值比率、未来盈利能力以及未来非预期盈余之间的联系；这与遗漏的风险因素及识别出的员工满意度影响股票收益的渠道不一致。这些发现对全球社会责任投资策略的差异化盈利能力，特别是在制定此类策略时考虑制度因素的重要性方面，具有重要意义。来源：Management Science, Volume 70, Issue 7作者：Turan G. Bali, Luca Del Viva, Menatalla El Hefnawy and Lenos Trigeorgis
Abstract：We examine how time-series volatility of book-to-market (UNC) is priced in equity returns and the relative contributions of its book volatility (variations in earnings and book value) and market volatility components (shocks in required return). UNC captures valuation risk, so stocks with high valuation risk earn higher return. An investment strategy long in high-UNC firms and short in low-UNC firms generates 8.5% annual risk-adjusted return. UNC valuation risk premium is driven by outperformance of high-UNC firms facing higher information risk and is not explained by established risk factors and firm characteristics.摘要：我们研究了账面市值比的时间序列波动（UNC）如何在股票收益中被定价，以及其账面波动（盈利和账面价值的变化）和市场波动成分（必要收益冲击）的相对贡献。UNC捕捉估值风险，因此估值风险高的股票获得更高的收益。做多高UNC公司、做空低UNC公司的投资策略可产生8.5%的年度风险调整收益率。UNC估值风险溢价是由面对更高信息风险的高UNC公司的优异表现驱动的，无法被现有的风险因子和公司特征所解释。
Generalized Stochastic Arbitrage Opportunities来源：Management Science, Volume 70, Issue 7作者：Stelios Arvanitis and Thierry Post
Abstract：Concepts are introduced and applied for analyzing and selecting arbitrage portfolios in the face of uncertainty about initial positions and risk preferences. A stochastic arbitrage opportunity is defined as a zero-cost investment portfolio that enhances every feasible host portfolio for all admissible utility functions. The alternative to the existence of such investment opportunities is the existence of a solution to a dual system of asset pricing restrictions based on a class of stochastic discount factors. Feasible approaches to numerical optimization and statistical inference are discussed. Empirical results suggest that equity factor investing is appealing for all risk-averse stock investors with a wide range of initial position and sufficiently low transactions costs by mixing multiple factor portfolios with high after-cost appraisal ratios, low mutual correlation, and negative exposures to the relevant host portfolios. These findings weaken the case for risk-based explanations for the profitability of factor investing.摘要：本文引入在初始头寸和风险偏好不确定的情况下分析和选择套利投资组合的相关概念并对其应用。随机套利机会被定义为一个对任何可接受效用函数而言都可以增强每个可行组合的零成本投资组合。替代这种投资机会存在性的是基于一类随机贴现因子的资产定价限制对偶系统有解。本文讨论了可行的数值优化和统计推断方法。实证结果表明，通过将具有高费后评估比率、低相互相关性和对相关托管投资组合负向暴露的多因子投资组合进行混合，股票因子投资对初始头寸在很宽范围内、交易成本足够低的风险厌恶股票投资者都具有吸引力。这些发现削弱了基于风险的因子投资盈利能力的解释性。
Who Profits from Trading Options?来源：Management Science, Volume 70, Issue 7作者：Jianfeng Hu, Antonia Kirilova, Seongkyu (Gilbert) Park and Doojin Ryu
Abstract：We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. Approximately 66% of active retail investors predominantly hold simple, one-sided positions in only one class of options, whereas institutional investors are more likely to use complex strategies. Hypothesizing that the complexity of trading styles reflects investors’ skills, we examine the effect of options trading styles on investment performance. We find that retail investors using simple strategies lose to the rest of the market. For both retail and institutional investors, selling volatility is the most successful strategy. We conclude that these style effects are persistent and cannot be fully explained by systematic risk exposure.摘要：我们利用账户级交易数据来研究一个领先衍生品市场中的交易风格和盈利能力。大约66%的活跃散户投资者主要持有单一类别期权的简单单边头寸，相反机构投资者更可能使用复杂的策略。假设交易风格的复杂性反映了投资者的技能，我们研究了期权交易风格对投资表现的影响。我们发现，采用简单策略的散户投资者会输给市场中的其他投资者。卖出波动率对于散户和机构投资者而言都是最成功的策略。我们得出的结论是，这些风格效应是持久的，并且不能完全用系统性风险暴露来解释。Disclosure Similarity and Future Stock Return Comovement来源：Management Science, Volume 70, Issue 7作者：Travis A. Dyer, Darren T. Roulstone and Andrew Van Buskirk
Abstract：Existing research often assumes that firms’ financial reporting choices influence their return comovement with other firms. We examine the validity of that assumption. First, we provide initial evidence suggesting that similarity in two firms’ disclosures not only predicts but influences future return comovement between those two firms. Second, we show that this predictive ability aggregates to the market level; disclosure similarity can be used to estimate more accurate forward-looking market betas. Taken together, these two results suggest that firms’ reporting decisions can influence their firms’ betas even in the absence of changes to capital structure or operations.摘要：现有研究通常假设公司的财务报告选择会影响其与其他公司的收益联动效应。我们检验了这一假设的有效性。首先，我们提供的初步证据表明，两家公司披露的相似性不仅可以预测，还会影响这两家公司的未来收益联动效应。其次，我们表明，这种预测能力可以汇总到市场层面；披露相似性可以用来估计更准确的前瞻性市场贝塔值。综合起来，这两项结果表明，即使在资本结构或运营没有变化的情况下，公司的报告决策也会影响其贝塔。
Mutual Fund Fragility, Dealer Liquidity Provision, and the Pricing of Municipal Bonds来源：Management Science, Volume 70, Issue 7作者：Yi Li, Maureen O’Hara and Xing (Alex) ZhouAbstract：Against the backdrop of COVID-19, we study how the interactions of mutual funds and dealers introduce fragility to the municipal bond market and induce lasting market impacts. During the crisis, trading surges, whereas dealers’ liquidity provision plunges for mutual-fund-held bonds, leading to greater price depressions in these bonds. Importantly, the crisis reshapes the market’s perceptions of mutual fund fragility risks, with the aftermath-yield spreads widening significantly more for bonds with greater mutual fund exposures. Such postcrisis pricing effects reflect dealers’ continued reluctance to provide liquidity for mutual fund–held bonds, and they are stronger for bonds whose mutual fund holders are more susceptible to investor runs.摘要：在COVID-19背景下，我们研究共同基金和交易商的相互作用是如何给市政债券市场带来脆弱性，并引发持久的市场影响。在危机期间，交易激增，而交易商对共同基金持有的债券的流动性供应大幅下降，导致这些债券的价格更大幅下跌。重要的是，这场危机重塑了市场对共同基金脆弱性风险的看法，共同基金敞口较大的债券危机后收益率利差扩大的幅度显著更高。这种危机后的定价效应反映了交易商仍不愿对共同基金持有的债券提供流动性，并且这种效应对那些更易受到投资者挤兑影响的共同基金所持有的债券更为强烈。
Market Reaction to CEOs’ Dynamic Hemifacial Asymmetry of Expressions来源：Management Science, Volume 70, Issue 7作者：Rajiv D. Banker, Hui Ding, Rong Huang and Xiaorong Li
Abstract：Neuropsychological studies propose that listeners unconsciously assess speakers’ trustworthiness via their facial expressions. Building on this theory, we investigate how investors respond to CEOs’ dynamic hemifacial asymmetry of expressions (HFAsy) shown in CNBC’s video interviews about corporate earnings. Consistent with the neuropsychological prediction that facial asymmetry induces distrust, we document that (1) the stock market reacts negatively to the CEO’s HFAsy shown in the interview video, and (2) the market reaction to favorable earnings news is negatively associated with the CEO’s HFAsy. We also find a significantly positive association between the short-window abnormal bid-ask spreads and HFAsy, suggesting a larger investor disagreement for firms with high-HFAsy CEOs. Furthermore, we show that analyst forecast revisions are negatively associated with CEOs’ HFAsy. Our results are robust to conducting a falsification test using the previous quarter as a pseudo-event, employing an alternative measure of HFAsy, and using more granular trading data at the second level. Overall, our study provides evidence that investor trust and trading behavior are affected by the dynamic hemifacial asymmetry of expressions appearing on CEOs’ faces.摘要：神经心理学研究提出，听众会通过说话者的面部表情无意识地评估其可信度。在此理论基础上，我们研究了投资者对CNBC关于公司盈利的视频采访中CEO动态的半面部不对称表情（HFAsy）有何反应。与神经心理学预测的面部不对称引发不信任一致，我们记录到（1）股票市场对采访视频中显示的CEO HFAsy反应消极，以及（2）市场对正面盈利新闻的反应与CEO的HFAsy呈负相关。我们还发现，短期异常买卖价差与HFAsy显著正相关，表明投资者对具有高HFAsy CEO的公司存在更大的分歧。此外，我们发现分析师的预测修正与CEO的HFAsy呈负相关。我们的结果在进行使用前一季度作为伪事件的证伪检验、采用HFAsy的替代测量方法以及使用更精细的秒级交易数据后仍然稳健。总体而言，我们的研究提供了证据表明投资者的信任和交易行为受CEO的动态半面部不对称表情的影响。
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