本文是2024年论文速递系列的第十篇文章，我们精选了Journal of Finance Issue 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。A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ来源：Management Science, vol. 79, issue 4作者：BRAD M. BARBER, XING HUANG, PHILIPPE JORION, TERRANCE ODEAN, CHRISTOPHER SCHWARZ
Abstract：We placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by signing trades using the quoted spread midpoints. The quote midpoint method does not affect identification rates but reduces the signing error rates to 5% and provides informative order imbalance measures for all stocks.摘要：我们利用6个经纪商账户2021年12月-2022年6月的85000笔散户交易验证Boehmer et al.的算法，该算法使用次分厘交易价格来识别和标记零售交易。该算法将我们数据中35%的交易识别为零售交易，但错误地标记了其中28%的交易，并且对30%的股票产生了无信息的订单不平衡度量。我们改用报价点差中点来标记交易以对该算法进行修改。这种中点方法不影响识别率，但将标记错误率降低到5%，并为所有股票提供了有意义的订单不平衡度量。
来源：Management Science, vol. 79, issue 4
作者：CONSTANTIN CHARLES, CARY FRYDMAN, METE KILIC
Abstract：We experimentally study the transmission of subjective expectations into actions. Subjects in our experiment report valuations that are far too insensitive to their expectations, relative to the prediction from a frictionless model. We propose that the insensitivity is driven by a noisy cognitive process that prevents subjects from precisely computing asset valuations. The empirical link between subjective expectations and actions becomes stronger as subjective expectations approach rational expectations. Our results highlight the importance of incorporating weak transmission into belief-based asset pricing models. Finally, we discuss how cognitive noise can provide a microfoundation for inelastic demand in the stock market.摘要：我们通过实验研究主观预期向行动的传递。相比于无摩擦模型的预测结果，实验参与者报告的估值对他们的主观预期过于不敏感。我们提出，这种不敏感性是由一种噪声认知过程驱动的，该过程阻碍了参与者精确计算资产估值。当主观预期接近理性预期时，主观预期与行动之间的实证联系变得更强。我们的结果强调了在基于信念的资产定价模型中纳入弱传递的重要性。最后，我们讨论了认知噪声如何为股票市场中的非弹性需求提供微观基础。What Drives Variation in the U.S. Debt-to-Output Ratio? The Dogs that Did not Bark来源：Management Science, vol. 79, issue 4作者：ZHENGYANG JIANG, HANNO LUSTIG, STIJN VAN NIEUWERBURGH, MINDY Z. XIAOLAN
Abstract：A higher U.S. government debt-to-output (D-O) ratio does not forecast higher surpluses or lower returns on Treasurys in the future. Neither future cash flows nor discount rates account for the variation in the current D-O ratio. The market valuation of Treasurys is surprisingly insensitive to macro fundamentals. Instead, the future D-O ratio accounts for most of the variation because the D-O ratio is highly persistent. Systematic surplus forecast errors may help account for these findings. Since the start of the Global Financial Crisis, surplus projections have anticipated a large fiscal correction that failed to materialize.摘要：更高的美国政府债务产出比(D-O)并不能预测未来更高的盈余或更低的国债回报率。未来现金流量和贴现率都不能解释当前收支比率的变化。美国国债的市场估值对宏观基本面出奇地不敏感。相反，未来的D-O比率解释了大部分的变化，因为D-O比率是高度持久的。系统性盈余预测误差可能有助于解释这些发现。自全球金融危机开始以来，盈余预测一直预期会出现大规模的财政调整，但未能实现。
Information Aggregation with Asymmetric Asset Payoffs来源：Management Science, vol. 79, issue 4作者：ELIAS ALBAGLI, CHRISTIAN HELLWIG, ALEH TSYVINSKI
Abstract：We study noisy aggregation of dispersed information in financial markets without imposing parametric restrictions on preferences, information, and return distributions. We provide a general characterization of asset returns by means of a risk-neutral probability measure that features excess weight on tail risks. Moreover, we link excess weight on tail risks to observable moments such as forecast dispersion and accuracy, and argue that it provides a unified explanation for several prominent cross-sectional return anomalies. Simple calibrations suggest the model can account for a significant fraction of empirical returns to skewness, returns to disagreement, and interaction effects between the two.摘要：我们研究了在无需对偏好、信息和收益分布施加参数限制的情况下，金融市场中分散信息的噪声聚合。我们通过一个在尾部风险上具有超额权重的风险中性概率测度对资产收益进行了一般性描述。此外，我们把尾部风险的超额权重与可观察的矩统计量（如预测分散性和准确性）联系起来，并认为其为几种显著的横截面收益异象提供了统一的解释。简单的校准表明，该模型可以解释相当比例的偏度收益、分歧收益及其相互作用效应。
来源：Management Science, vol. 79, issue 4作者：MATTHIAS FLECKENSTEIN, FRANCIS A. LONGSTAFF
Abstract：We provide estimates of Treasury convenience premia across the entire term structure of Treasury bills, notes, and bonds over more than a quarter of a century and document a variety of key stylized facts about their time-series and cross-sectional patterns. These results raise concerns about the evolving nature of Treasury markets and suggest that investors may now place less weight on the traditional role of Treasury securities as liquid trading vehicles. These stylized facts provide empirical benchmarks that could help guide future theoretical and empirical work about the economics of safe assets in financial markets.摘要：我们提供了超过四分之一个世纪的、横跨美国国债票据、国库券和债券整个期限结构上的国债便利性溢价估计，并记录了一系列关于便利性溢价在时间序列和横截面上趋势的关键概括性事实。这些结果引发了对美国国债市场演变性质的担忧，并表明投资者可能不像以往那么重视美国国债作为流动性交易工具的传统角色。这些概括性事实为未来关于金融市场中安全资产经济学的理论和实证研究提供了实证基准。Is Long-Run Risk Really Priced? Revisiting Liu and Matthies (2022)来源：Management Science, vol. 79, issue 4作者：PAULO MAIO
Abstract：The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios (associated with four different portfolio groups) is not appropriate. In fact, their single-factor model is successful only in explaining the momentum deciles, while producing strongly negative performance for the remaining groups. The pricing performance is more doubtful in the case of the alternative news factor (HNI), as the respective risk price is not identified. LM's conclusions stem from a combination of questionable empirical choices and misinterpretation of their results. Moreover, the NI model cannot explain prominent capital asset pricing model anomalies not considered in their study.摘要：Liu and Matthies（LM）关于其宏观新闻风险因子（NI）能对四个不同组别的51个投资组合定价的主张是不恰当的。实际上，他们的单因子模型仅在解释动量十分位组合时是成功的，但使其余组别产生了强烈的负面表现。因子模型的定价表现在替代新闻因子（HNI）的情况下更令人怀疑，因为相应的风险价格无法识别。LM的结论源于有问题的实证选择和对结果的误解。此外，NI模型无法解释他们研究中没有考虑的其他著名资产定价异象。
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