本文是2024年论文速递系列的第十三篇文章，我们精选了Journal of Financial Economics Volume 161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。Efficient estimation of bid–ask spreads from open, high, low, and close prices来源：Journal of Financial Economics, Volume 161作者：David Ardia, Emanuele Guidotti, Tim A. Kroencke
Abstract：Popular bid–ask spread estimators are downward biased when trading is infrequent. Moreover, they consider only a subset of open, high, low, and close prices and neglect potentially useful information to improve the spread estimate. By accounting for discretely observed prices, this paper derives asymptotically unbiased estimators of the effective bid–ask spread. Moreover, we combine them optimally to minimize the estimation variance and obtain an efficient estimator. Through theoretical analyses, numerical simulations, and empirical evaluations, we show that our efficient estimator dominates other estimators from transaction prices, yields novel insights for measuring bid–ask spreads, and has broad applicability in empirical finance.摘要：当交易不频繁时，流行的买卖价差估计量往往存在向下偏差。此外，这些方法通常只考虑一部分开盘价、最高价、最低价和收盘价，忽视了可能有助于改进价差估计的其他有用信息。本文通过考虑离散观测到的价格，推导出渐近无偏的有效买卖价差估计量。此外，我们通过最小化估计方差将这些估计量最优组合，得到了一个有效的估计量。通过理论分析、数值模拟和实证评估，我们发现该有效估计量优于其他利用成交价格（构造）的估计量，为衡量买卖价差提供了新的见解，并在实证金融中具有广泛的应用性。
Uncertainty about what is in the price来源：Journal of Financial Economics, Volume 161
作者：Joël Peress, Daniel Schmidt
Abstract：A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.摘要：投机者在考虑是否利用私人信息进行交易时，面临的一个关键问题是他们的信号是否已经被市场定价。在我们的模型中，投机者根据近期价格变动来评估其信息的“新颖性”，而做市商则意识到投机者可能是在利用“过时”的信息进行交易。对过去价格变动的非对称反应由此产生：在价格上涨后，买入量由于可能源于“过时信息”的交易，其价格影响低于卖出量（在价格下跌后反之亦然）。因此，收益偏度与滞后收益呈负相关。我们利用美国股票的综合样本发现了强有力的证据来支持这些以及其他预测。Monetary policy and fragility in corporate bond mutual funds来源：Journal of Financial Economics, Volume 161作者：John Chi-Fong Kuong, James O’Donovan, Jinyuan Zhang
Abstract：We document aggregate outflows from corporate bond mutual funds days before and after the announcement of increases in the Federal Funds Target rate (FFTar). To rationalize this phenomenon, we build a model in which funds’ net-asset-values (NAVs) are stale and investors strategically redeem to profit from the mispricing when they learn about the increases of FFTar. Consistent with the model’s predictions, we find that stale NAVs and loose monetary policy environments weaken (strengthen) outflows sensitivity to increases in FFTar during illiquid (liquid) market conditions. Our results highlight when and how monetary policy could systematically exacerbate the fragility of corporate bond funds.摘要：我们记录了在联邦基金目标利率（FFTar）上调公告前后几天企业债券共同基金的总体资金流出情况。为了解释这一现象，我们构建了一个模型，其中基金的净资产值（NAV）具有滞后性，投资者在得知FFTar上调时，会战略性地赎回以从定价错误中获利。与模型预测一致，我们发现，在流动性较差（良好）的市场条件下，滞后NAV和宽松的货币政策环境削弱（增强）了资金流出对FFTar上调的敏感性。我们的研究结果揭示了货币政策何时以及如何系统性地加剧企业债券基金的脆弱性。
Modeling volatility in dynamic term structure models来源：Journal of Financial Economics, Volume 161作者：Hitesh Doshi, Kris Jacobs, Rui Liu
Abstract：We propose no-arbitrage term structure models with volatility factors that follow GARCH processes. The models’ tractability is similar to canonical affine term structure models, but they fit yield volatility much better, especially for long-maturity yields. This improvement does not come at the expense of a deterioration in yield fit. Because of the improved volatility fit, the model performs substantially better in pricing Treasury futures options. We conclude that the specification of the volatility factors is critical. Modeling volatility as a function of (lagged) squared innovations to factors improves on models where volatility is a linear function of the factors.摘要：我们提出了波动率因子遵循GARCH过程的无套利期限结构模型。该模型的可处理性与经典的仿射期限结构模型相似，但在收益率波动率，尤其是长期收益率的波动率拟合方面表现更佳。这种改进并没有以收益率拟合的恶化为代价。由于波动率拟合的提升，该模型在定价国债期货期权方面表现显著更好。我们得出结论，波动率因子的设定至关重要。将波动率建模为因子（滞后）平方新息的函数优于将波动率建模为因子线性函数的模型。The risk and return of equity and credit index options来源：Journal of Financial Economics, Volume 161作者：Hitesh Doshi, Jan Ericsson, Mathieu Fournier, Sang Byung Seo
Abstract：We develop a structural credit risk model, which allows us to price equity/credit indices and their options through the asset dynamics of index constituents. We estimate the model via MLE and find that equity and credit index option prices are well explained out-of-sample. Contrary to recent empirical findings, the two option markets are not inconsistently priced through the lens of our model. Returns on both options, while extreme, do not indicate any evidence of mispricing. Our analysis suggests that jointly addressing the pricing of various instruments requires properly attributing three different sources of systematic risk: asset, variance, and jump risks.摘要：我们提出了一个结构化信用风险模型，该模型允许通过指数成分的资产动态来定价股票和信用指数及其期权。我们采用最大似然估计法（MLE）对模型进行估计，结果表明股票和信用指数期权的价格在样本外得到了很好的解释。与最近的实证研究结果相反，通过我们的模型视角来看，这两个期权市场并没有表现出不一致的定价。尽管两类期权的收益率表现极端，但并不意味着是任何定价错误的证据。我们的分析表明，在共同定价不同类型的金融工具时，必须准确地分配三种不同来源的系统性风险：资产风险、波动率风险和跳跃风险。
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