本文是2024年论文速递系列的第十一篇文章，我们精选了The Review of Financial Studies Volume 37 Issue 7-9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。Bond Price Fragility and the Structure of the Mutual Fund Industry来源：The Review of Financial Studies, Volume 37, Issue 7作者：Mariassunta Giannetti and Chotibhak Jotikasthira
Abstract：We conjecture that mutual funds with large shares of outstanding bond issues are more inclined to internalize the negative price spillovers of fire sales and thus sell their holdings in those issues, to a lower extent, when they experience redemptions. We provide evidence consistent with this conjecture and further show that ownership concentration limits bonds’ exposures to flow-induced fire sales. We exploit variation in negative spillovers arising from the Fed’s SMCCF to confirm the economic mechanism and explore our findings’ implications for fund performance and fire-sale spillovers to other funds.摘要：我们推测，持有大量债券发行份额的共同基金在面对赎回时，更倾向于内部化因抛售造成的负面价格外溢效应，因此会在面临赎回时降低对这些债券持仓。我们提供了与这一推测一致的证据，并进一步表明，所有权集中限制了债券对资金流动引发的抛售的暴露。我们利用美联储“二级市场公司信贷便利”（SMCCF）引发的负面外溢效应的变化来验证这一经济机制，并探讨我们的发现对基金表现和抛售对其他基金造成的外溢效应的意义。
Unsmoothing Returns of Illiquid Funds来源：The Review of Financial Studies, Volume 37, Issue 7
作者：Spencer J Couts, Andrei S Gonçalves andAndrea Rossi
Abstract：Funds investing in illiquid assets report returns with spurious autocorrelation. Consequently, investors need to unsmooth these funds’ returns when evaluating their risk exposures. We show that funds with similar investments share a common source of spurious autocorrelation not fully resolved by traditional unsmoothing methods and thereby leading to underestimation of systematic risk. Thus, we propose a generalized unsmoothing technique and apply it to hedge funds and private commercial real estate funds. Our method significantly improves the measurement of funds’ risk exposures and risk-adjusted performance, especially for highly illiquid funds. Overall, the average illiquid fund alpha is lower than previously thought. 摘要：投资于非流动性资产的基金在报告回报时会出现虚假的自相关。因此，投资者在评估这些基金的风险敞口时需要对其回报进行去平滑处理。我们表明，具有类似投资的基金共享一个虚假的自相关来源，传统的去平滑方法无法完全解决这一问题，从而导致系统性风险被低估。为此，我们提出了一种广义的去平滑技术，并将其应用于对冲基金和私人商业地产基金。我们的方法显著提高了基金风险敞口和风险调整后表现的测量精度，尤其是对于流动性极差的基金。总体来看，非流动性基金的平均阿尔法低于以往的预期。Size Discount and Size Penalty: Trading Costs in Bond Markets来源：The Review of Financial Studies, Volume 37, Issue 7作者：Gabor Pinter, Chaojun Wang and Junyuan Zou
Abstract：We show that larger trades incur lower trading costs in government bond markets (“size discount”), but costs increase in trade size after controlling for client identity (“size penalty”). The size discount is driven by the cross-client variation of larger traders obtaining better prices, consistent with theories of trading with imperfect competition. The size penalty, driven by the within-client variation, is larger for corporate bonds, during major macroeconomic surprises and during COVID-19. These differences are larger among more sophisticated clients, consistent with information-based theories.摘要：我们发现，在政府债券市场中，较大规模的交易会产生较低的交易成本（“规模折扣”），但在控制客户身份后，交易成本随交易规模增加（“规模惩罚”）。规模折扣是由较大规模的交易者能获得更好的价格这一不同客户之间的差异驱动，这与不完全竞争的交易理论一致。而规模惩罚则由同一客户的交易差异驱动，且在公司债券、重大宏观经济意外事件期间以及 COVID-19 期间更为显著。这些差异在更为成熟的客户中表现得更为明显，与基于信息的理论相一致。
Using Social Media to Identify the Effects of Congressional Viewpoints on Asset Prices来源：The Review of Financial Studies, Volume 37, Issue 7作者：Francesco Bianchi, Roberto Gómez-Cram and Howard Kung
Abstract：We use a high-frequency identification approach to document that individual politicians affect asset prices. We exploit the regular flow of viewpoints contained in Congress members’ tweets. Supportive (critical) tweets increase (decrease) the stock prices of the targeted firm and the corresponding industry in minutes around the tweet. The bulk of the stock price effects is concentrated in the tweets revealing news about future legislative action. The effects are amplified around committee meeting days, especially when the tweet originates from committee members and influential politicians. Overall, we show that Congress members’ social media accounts are an important source of political news.摘要：我们使用高频识别方法记录了个别政治人物对资产价格的影响。我们利用国会议员推文中定期发布的观点，发现支持性的（批评性的）推文会在推文发布后几分钟内使目标公司的股票价格及其相关行业的股票价格上升（下降）。股票价格效应主要集中在那些透露未来立法行动消息的推文中。在委员会会议日，尤其是当推文来自委员会成员或有影响力的政治人物时，这一影响会更加显著。总体而言，我们表明国会议员的社交媒体账户是政治新闻的重要来源。
The Psychological Externalities of Investing: Evidence from Stock Returns and Crime来源：The Review of Financial Studies, Volume 37, Issue 7作者：John R Huck
Abstract：This paper investigates the psychological effects from stock market returns. Using an FBI database of over 55 million daily reported crime incidents across the United States, crime is proposed as a measure of psychological well-being. The evidence suggests that stock returns affect the well-being of not only investors but also noninvestors. Specifically, a contemporaneous negative (positive) relationship between daily stock market returns and violent crime rates is found for investors (noninvestors). A similar relationship is also found between local earnings surprises and violent crime. The contrasting relationships for investors and noninvestors suggests that relative wealth may influence well-being.摘要：本文研究了股市回报对心理影响的作用。利用美国联邦调查局（FBI）数据库中超过 5500 万条每日犯罪报告数据，犯罪被作为衡量心理健康的指标。证据表明，股市回报不仅影响投资者的福祉，也影响非投资者。具体而言，研究发现，对投资者（非投资者）而言，股市日回报与暴力犯罪率之间存在当期负（正）相关关系。同样的关系也在本地盈余意外与暴力犯罪之间得到验证。这种针对投资者和非投资者的对比关系表明，相对财富可能会影响心理健康。A Theory of the Term Structure of Interest Rates under Limited Household Risk Sharing来源：The Review of Financial Studies, Volume 37, Issue 8作者：Indrajit Mitra and Yu Xu
Abstract：We present a theory in which the interaction between limited sharing of idiosyncratic labor income risk and labor adjustment costs (that endogenously arise through search frictions) determines interest rate dynamics. In the general equilibrium, the interaction of these two ingredients relates bond risk premiums, cross-sectional skewness of income growth, and labor market tightness. Our model rationalizes an upward-sloping average yield curve and predicts a negative relation between labor market tightness and bond risk premiums. We provide evidence for our theory’s mechanism and predictions.摘要：我们提出了一个理论，其中异质性劳动收入风险的有限分担与（通过搜索摩擦内生产生的）劳动调整成本之间的相互作用决定了利率动态。在一般均衡下，这两个因素的交互作用将债券风险溢价、收入增长的横截面偏度以及劳动力市场紧张度相关联。我们的模型解释了通常情况下向上的收益率曲线，并预测了劳动力市场紧张度与债券风险溢价之间的负相关关系。我们还提供了支持该理论机制和预测的证据。Institutional Brokerage Networks: Facilitating Liquidity Provision来源：The Review of Financial Studies, Volume 37, Issue 9作者：Munhee Han, Sanghyun (Hugh) Kim and Vikram K Nanda
Abstract：We argue that institutional brokerage networks facilitate liquidity provision and mitigate the price impact of large non-information-motivated trades. Using commissions, we map trading networks of mutual funds (institutions) and their brokers. Central funds (institutions) tend to outperform their peripheral counterparts in terms of return gap (execution shortfall). This outperformance is more pronounced when funds experience large outflows and for large trades in less liquid stocks. Central brokers can deliver superior trade execution compared to peripheral brokers, but mainly for central institutions. We use the collapse of Lehman Brothers as a quasi-natural experiment to establish the likely causality of our findings.摘要：我们认为，机构经纪网络促进了流动性提供并缓解了大额非信息驱动交易的价格冲击。通过佣金数据，我们将共同基金（机构）及其经纪商的交易网络相映射。中心基金（机构）在回报差距（执行损失）方面往往优于其外围同行。这种表现优越性在基金经历大规模资金流出以及进行大额交易且流动性较低的股票时更为显著。中心经纪商能够为中心机构提供比外围经纪商更优越的交易执行效果。我们利用雷曼兄弟的倒闭作为准自然实验，为我们的研究结果建立了可能的因果关系。
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