本文是2024年论文速递系列的第十五篇文章，2025 AFA Annual Meeting将于2025年1月3日-1月5日在美国旧金山召开，我们提供了会议Safe Assets Markets和Social Interactions and Financial Decisions两个session的论文中文及英文摘要，供读者参考。

Inflation and Treasury Convenience

来源：AFA 2025, Safe Assets Markets Paper Session

作者：Anna Cieslak, Wenhao Li, Carolin Pflueger

Abstract：Using a century of data, we show that Treasury convenience yield and inflation comove positively during the inflationary 1970s-1980s, but negatively pre-WWII and post-2000. An inflation decomposition reveals that higher supply inflation predicts higher convenience, while lower demand inflation follows higher convenience. In our model, inflationary cost-push shocks raise the opportunity cost of holding money and money-like assets, inducing higher convenience, as in 1970s-1980s. Conversely, liquidity demand shocks drive up convenience but lower consumption demand and inflation in the model, as pre-WWII and post-2000. By linking the evidence to macroeconomic drivers, our results challenge the notion that inflation directly depresses Treasury convenience.

摘要：利用一个世纪的数据，我们发现美国国债便利收益和通胀在1970-1980年代的通胀时期呈正相关，但在二战前和2000年后则呈负相关。对通胀的分解分析显示，更高的供给推动型通胀预示着更高的国债便利收益，而更低的需求推动型通胀则伴随在更高的便利收益之后。在我们的模型中，通胀引发的成本推动型冲击会提高持有现金和类现金资产的机会成本，从而导致更高的国债便利收益，就像在1970-1980年代那样。相反，流动性需求冲击会推高国债便利收益，但同时压低消费需求和通胀，这种情况类似于二战前和2000年后的表现。通过将这些证据与宏观驱动因素联系起来，我们的研究结果挑战了“通胀会直接压低国债便利收益”这一传统观点。

Fragility of Safe Asset Markets

来源：AFA 2025, Safe Assets Markets Paper Session

作者：Thomas Eisenbach, Gregory Phelan

Abstract：In March 2020, safe asset markets experienced surprising and unprecedented price crashes. We explain how strategic investor behavior can create such market fragility in a model with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can interact symbiotically with offsetting trades in times of stress, liquidity investors’ strategic interaction harbors the potential for self-fulfilling fragility. When the market is fragile, standard flight-to-safety can have a destabilizing effect and trigger a dash-for-cash by liquidity investors. Well-designed policy interventions can reduce market fragility ex ante and restore orderly functioning ex post.

摘要：2020年3月，安全资产市场经历了意想不到且前所未有的价格暴跌。我们通过一个包含重视安全性的投资者、重视流动性的投资者以及受到限制的交易商的模型解释了战略性投资者行为如何导致这种市场脆弱性。在压力时期，安全性投资者和流动性投资者可以通过抵销交易实现协同作用，但流动性投资者的战略互动可能会导致自我实现的市场脆弱性。当市场变得脆弱时，标准的“避险行为”反而可能具有不稳定性，并引发流动性投资者的“抢购现金”行为。合理设计的政策干预可以在事前降低市场脆弱性，并在事后恢复市场的有序运作。

The Stock-Bond Correlation: A Tale of Two Days in the Treasury Bond Market

来源：AFA 2025, Safe Assets Markets Paper Session

作者：Grace Xing Hu, Zhao Jin, Jun Pan

Abstract：Using daily measures of stock-bond correlation, we document two distinctive pricing patterns in global markets. On days with highly negative stock-bond correlations, safety matters the most and the pricing of global assets is determined by their relative safety rather than their own fundamental risk. Examine the pricing of the U.S. Treasury market (UST) under the tale of two days, we find that on safety first days, the value of safety shrinks the UST term premium, widens the convenience yield of UST, and breaks the link between USD and UST. By contrast, on days with high stock-bond correlation, UST becomes a source of risk with increased volatility, widening term premium, and narrower convenience yield. Overall, the stock-bond correlation can be used to differentiate days of safety from uncertainty in UST and quantify the value of safety in global markets.

摘要：我们使用股票与债券相关性的日度数据，记录了全球市场中的两种独特定价模式。在股票与债券高度负相关的日子中，安全性最为重要，全球资产的定价由其相对安全性而非自身基本面风险决定。通过分析“两种日子”下美国国债市场的定价，我们发现，在“安全优先日”中，安全性的价值使美国国债的期限溢价缩小、便利收益扩大，并且打破了美元与美国国债之间的联系。相比之下，在股票与债券相关性高的日子中，美国国债成为一种风险来源，波动性增加，期限溢价扩大，便利收益缩小。总体而言，股票与债券的相关性可以用来区分市场中安全需求与不确定性的日子，并量化全球市场中安全性的价值。

Identifying the Effects of Demand for Safe Assets

来源：AFA 2025, Safe Assets Markets Paper Session

作者：Jefferson Duarte, Tarik Umar

Abstract：The Portfolio Balance Mechanism (PBM) posits that lowering the net supply of long-term Treasuries encourages the production of similar assets for preferred-habitat investors, potentially explaining Quantitative Easing's (QE) impact on the economy and the pre-2007-2008 crisis securitization spike. This paper identifies the PBM with the 2002 suspension of 30-year Treasury bond auctions, which led to significant increases in prices and issuance of safe, long-term collateralized-mortgage obligations (CMOs) to cater to the demand from habitat-preference investors. The heterogeneity of Treasuries and CMOs provides unusually clean identification of the PBM.

摘要：投资组合平衡机制（PBM）认为，减少长期国债的净供应能够鼓励为偏好特定期限的投资者生产类似资产，这或许可以解释量化宽松（QE）对经济的影响以及2007-2008年危机前证券化激增的现象。本文识别了2002年暂停30年期国债拍卖的事件伴随的投资组合平衡机制（PBM），该事件造成为了迎合偏好特定期限的投资者需求，安全的长期抵押贷款债券（CMOs）的价格和发行量显著增加。国债和CMOs之间的异质性为PBM的识别提供了罕见的清晰识别。

Social Learning and Sentiment Contagion in the Bitcoin Market

来源：AFA 2025, Social Interactions and Financial Decisions Paper Session

作者：Bing Han, Haoyang Liu, Pengfei Sui

Abstract：Using novel data on social interactions and individual trading records in the Bitcoin market, we document evidence of social learning leading to sentiment contagion. Investors significantly update their beliefs about Bitcoin in the same direction as the average peer sentiment, although it is not informative about future prices. Our findings indicate inefficiency in social learning, consistent with the echo chamber effect and selective interpretation of signals. Moreover, social learning affects both individuals’ trading decisions and aggregate market outcomes. We construct a novel measure for the intensity of sentiment contagion resulting from social learning, which significantly predicts Bitcoin volatility, volume, and crash.

摘要：利用比特币市场中社交互动和个人交易记录的新数据，我们记录到社交学习导致情绪传染的证据。投资者会显著地向平均同伴情绪相同的方向更新他们的信念，尽管这种情绪并未提供很多未来价格信息。我们的研究表明社交学习的无效性，与回音室效应和对信号的选择性解释一致。此外，社交学习不仅影响个体的交易决策，还影响整体市场结果。我们构建了一个衡量由社交学习导致的情绪传染强度的新指标，该指标显著预测比特币市场的波动性、交易量和崩盘。

Social Media and Stock Market Participation

来源：AFA 2025, Social Interactions and Financial Decisions Paper Session

作者：Karsten Müller, Yuanyan Pan, Carlo Schwarz

Abstract：We investigate the effect of social media adoption on stock market participation in the United States. Using plausibly exogenous variation in the early adoption of Twitter across counties, we show that a 10% increase in social media usage is associated with a 2.5% higher rate of stock ownership and an overall increase in stock market wealth. Consistent with the idea that social media can lower the cost of accessing information, we find that Twitter adoption is associated with a decline in the number of financial advisors and has larger effects on stock ownership in counties with lower levels of pre-existing stock market knowledge. Twitter adoption also fuels interest in “meme stocks”, which tend to be more volatile and owned by retail investors. Overall, our results suggest a distinct impact of social media platforms on household portfolio choices that differs from that of other modern information technologies.

摘要：我们研究了社交媒体使用对美国股票市场参与度的影响。利用各地区Twitter早期采用的外生变化，我们发现，社交媒体使用量每增加10%，股票持有率就会提高2.5%，同时整体股市财富也有所增加。与社交媒体能够降低信息获取成本的观点一致，我们发现，Twitter的使用与金融顾问数量的下降相关联，并且在那些先前存在的股市知识水平更低的地区，其对股票持有的影响更大。Twitter的普及还推动了对“迷因股票”的兴趣，这类股票通常波动较大，且由散户投资者持有。总体而言，我们的研究结果表明，社交媒体平台对家庭投资组合选择有着独特的影响，这种影响不同于其他现代信息技术。

Social Influence in Household Equity Investment: Evidence from Randomized Military Drafts

来源：AFA 2025, Social Interactions and Financial Decisions Paper Session

作者：Chun-Che Chi, Tim Hung, Ming-Jen Lin, Kevin Tseng

Abstract：We provide causal evidence of the peer effect on equity investment in a large-scale natural experiment in Taiwan. We show that retail investors respond to the investment decisions of their military peers who were randomly assigned in compulsory military drafts: retail investors participate more in the stock market, invest more in stocks that peers hold, and obtain more dividend gains and capital gains. Our investigation indicates that retail investors learn valuable information from their peers to make profitable investment decisions. These effects are more pronounced among peers who are more sophisticated and among stocks entailing less behavioral bias. Stocks with more peer clientele outperform stocks with less clientele.

摘要：我们通过台湾的一项大规模自然实验提供了股票投资同伴效应的因果证据。我们发现，散户投资者会对在强制征兵中随机分配给他们的军事同伴的投资决策作出反应：散户投资者更多地参与股市，更多地投资于同伴持有的股票，并获得更多的股息收益和资本收益。我们的研究表明，散户投资者从同伴那里学习到有价值的信息，从而做出更有利可图的投资决策。这些效应在更为熟练的同伴之间以及行为偏差较少的股票上表现得更为显著。拥有更多同伴客户群的股票表现优于客户群较少的股票。

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学术前沿｜AFA 2025论文速递II

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