本文是2024年论文速递系列的第十六篇文章，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Funds and Liquidity和Uninformed Trading and Asset Prices两个session的论文中文及英文摘要，供读者参考。
Information Acquisition by Mutual Fund Investors: Evidence from Stock Trading Suspensions来源：AFA 2025, Funds and Liquidity Paper Session作者：Clemens Sialm, David Xiaoyu XuAbstract：Mutual funds offer two primary services: managing asset portfolios and creating liquid demandable shares. This paper shows that liquidity created by mutual funds induces investors to acquire information about illiquid assets in fund portfolios. We study this liquidity channel of information acquisition by examining trading suspension events in China, which turn stocks perfectly illiquid for prolonged periods. Consistent with our theoretical framework, illiquid stocks with large exposures to mutual funds experience increased information acquisition activities, and investors purchase and redeem fund shares to exploit the stale prices of such holdings. When trading resumes, large price movements of these stocks reflect the information acquired by investors.摘要：共同基金提供两项主要服务：管理资产组合和创造可随时赎回的流动性份额。本文表明，基金创造的流动性会促使投资者获取关于基金组合中非流动性资产的信息。我们通过研究中国导致股票在长时间内完全丧失流动性的停牌事件，分析这一信息获取的流动性渠道。与我们的理论框架一致，对基金暴露程度较大的非流动性股票在交易暂停期间信息获取活动增加，投资者购买和赎回基金份额以利用这些持仓的滞后价格。当交易恢复时，这些股票的价格大幅波动，反映了投资者所获取的信息。
Passive Investing and Market Quality来源：AFA 2025, Funds and Liquidity Paper Session
作者：Philipp Höfler, Christian Schlag, Maik Schmeling
Abstract：We show that an increase in passive exchange-traded fund (ETF) ownership leads to stronger and more persistent return reversals in the cross-section of US equities. Removing return components unrelated to liquidity strengthens the effect on short-term reversals, suggesting that passive ETF ownership decreases liquidity. Exploiting exogenous variation from reconstitutions in the Russell indices allows us to further examine the causal impact of passive ETF ownership on stock liquidity as well as other factors of interest. We find that more passive ETF ownership causes higher bid-ask spreads, more exposure to aggregate liquidity shocks, and higher idiosyncratic volatility. We assess whether market participants also price these effects by making use of option-implied tail risk measures, which capture the jump risk in returns. Our findings confirm that stocks with more passive ETF ownership are more prone to extreme price movements in line with recent theoretical work suggesting that passive investments make demand curves for stocks substantially more inelastic. Finally, we examine potential drivers of our results by decomposing a stock’s return variation into different types of information. We show, again using index reconstitutions, that higher passive ETF ownership reduces the importance of firm-specific information, consistent with the view that passive funds crowd out active investors who trade on fundamental information. In addition, passive ETF ownership increases the importance of transitory noise which we attribute to heightened exposure to market-wide sentiment shocks and short-term noise trading.摘要：我们发现，被动ETF持仓增加会导致美国股票横截面更强和更持久的收益反转。剔除与流动性无关的收益成分后，短期反转的效果更为显著，这表明被动ETF持仓降低了市场流动性。利用罗素指数重构中的外生变化，我们进一步考察了被动ETF持仓对股票流动性的因果效应及其他相关因素。研究发现，更多的被动ETF持仓会导致更高的买卖价差、对总体流动性冲击的更高暴露以及更高的特质波动率。我们通过体现收益率跳跃风险的期权隐含尾部风险指标来评估市场参与者是否定价这些效应，结果证实，被动ETF持仓较多的股票更易出现极端价格波动，这与近期理论研究认为被动投资使股票的需求曲线更具非弹性一致。最后，我们通过分解股票收益的不同信息成分来探讨这些结果的潜在驱动因素。再次利用指数重构数据，我们发现更高的被动ETF持仓降低了公司特定信息的重要性，这与被动基金挤出交易基本面信息的主动投资者的观点一致。此外，被动ETF持仓增加了短期噪声的影响，我们将其归因于对市场情绪冲击和短期噪声交易的更高暴露。Active ETFs Cloned from Mutual Funds: Competing for Investor Flows来源：AFA 2025, Funds and Liquidity Paper Session作者：Linda Du, Laura Starks, Mindy Xiaolan
Abstract：We examine active ETFs, focusing on the recent innovation of less transparent active ETFs, to understand competition in the delegated asset market, particularly between ETFs and mutual funds. We find no cannibalization of mutual fund investor flows from newly cloned ETFs. Rather, the better reputation of the cloned mutual funds gives the new ETF advantages in attracting flows over their peers, even without better performance. We provide further evidence that investment companies introduce cloned ETFs for flow diversification – some of the cloned ETF flows are driven by a clientele difference from their mutual fund counterparts.摘要：我们研究了主动型ETF，特别是最近出现的透明度较低的主动型ETF，以理解在委托资产市场上，特别是ETF和共同基金之间的竞争。我们发现，新增的克隆ETF并未蚕食共同基金的投资者流量。相反，由于克隆的共同基金声誉较好，这些新ETF在吸引资金流入方面比同类产品具有优势，即使它们没有更好的业绩表现。我们还进一步提供了投资公司推出克隆ETF是为了实现资金流入多元化的证据，——部分克隆ETF的资金流入是由与其共同基金对应产品不同的客户群体驱动的。
Price Multipliers are Larger at More Aggregate Levels来源：AFA 2025, Uninformed Trading and Asset Prices Paper Session作者：Jiacui Li, Zihan Lin
Abstract：We decompose demand imbalances in the U.S. stock market into components at different levels of aggregation and estimate their respective price impacts using a unified approach. The results reveal that the price multipliers form a continuum that is higher at more aggregate levels. Our findings are inconsistent with information-based explanations but are largely consistent with mechanisms based on risk-averse liquidity providers. Our paper proposes a new demand measure for asset-pricing studies, provides support for the “flow-driven” view of aggregate price fluctuations, and bears implications for the modeling of demand-based price effects.摘要：我们将美国股票市场的需求不平衡分解为不同聚合层级的成分，并用统一方法估算它们对价格的影响。结果表明，价格乘数形成一个连续集，并且在更加总的层级上更高。我们的发现不支持基于信息的解释，但与基于风险厌恶的流动性提供者机制基本一致。本文提出了一种新的用于资产定价研究的需求度量方法，支持了“流量驱动”的总体价格波动观点，并对需求驱动的价格效应建模具有重要意义。
来源：AFA 2025, Uninformed Trading and Asset Prices Paper Session作者：Jesse Blocher, Xi Dong, Matthew Ringgenberg, Pavel Savor
Abstract：We construct novel, direct measures of net and gross short covering to examine when short sellers exit positions. We find that idiosyncratic limits to arbitrage, such as adverse stock price movements, volatility, and equity lending fees, are associated with significantly higher position closures. In contrast, we find little evidence that aggregate limits to arbitrage, including VIX, funding liquidity, and market liquidity, affect short covering. Short covering predicts future returns in the wrong direction, but only if it is induced by limits to arbitrage, consistent with the hypothesis that short sellers are forced to exit too early. It is also associated with lower price efficiency, higher future anomaly returns, and better performance of other informed traders. These results show that firm-level limits to arbitrage are important determinants of trading behavior and future returns.摘要：我们构建了新的净空头回补和总空头回补的直接指标，用来研究空头投资者何时退出头寸。我们发现，异质性套利限制（如不利的股价变动、波动性和股票借贷成本）与显著增加的空头头寸平仓相关。相反，我们发现，总体套利限制（例如VIX、资金流动性和市场流动性）对空头回补影响不大。空头回补预测未来收益方向错误，但这仅在其由套利限制驱动时才成立，这与“空头被迫过早平仓”的假设相一致。空头回补还与较低的价格效率、更高的未来异象收益，以及其他知情投资者的更佳表现相关联。研究结果表明，个股层面的套利限制是交易行为和未来收益的重要决定因素。Inelastic Equity Markets: New Evidence From A Reform of U.S. Trust Law来源：AFA 2025, Uninformed Trading and Asset Prices Paper Session作者：Oliver Spalt, Stefano Cassella, Antonino emanuele Rizzo, Leah Zimmerer
Abstract：We study the equity market implications of a reform in the laws that govern trust investments, implemented in a staggered fashion across U.S. states from 1986 to 2006. The introduction of the prudent investor rule systematically alters the relative attractiveness of stocks within the cross-section of U.S. equities for trusts. As trusts account for a substantial fraction of institutional equity holdings in our sample period, and since the reform does not pertain to other investors, our empirical setting provides a rare opportunity to study the impact of a regulatory change on institutional investor holdings and relative prices in the U.S. equity market. We show that, before the reform, trusts tilt their portfolios towards prudent stocks ("regulatory tilts"). After the law change, trusts undo these tilts which introduces large and predictable changes in demand. Consistent with a model of inelastic equity markets, we find long-lived outperformance of stocks bought by trusts after the law change relative to stocks sold by those funds. In this new and unique setting, we derive estimates of the price elasticity of demand of U.S. equities which are low and support the inelastic markets hypothesis.摘要：我们研究了1986年至2006年间在美国各州分阶段实施的信托投资法律改革对股票市场的影响。谨慎投资人法则的引入系统性地改变了美国横截面股票对信托基金的相对吸引力。由于信托基金在我们的样本期间内占据了机构持仓的相当比例，并且这项改革对其他投资者无影响，我们的实证设定提供了一个难得的机会来研究监管变化对机构投资者持股和美国股票市场相对价格的影响。本文表明，改革前信托组合向谨慎股票倾斜（监管倾斜）。法律变更后，信托基金取消了这些倾斜，带来了需求大的可预测的变化。与非弹性股票市场模型一致，我们发现法律变更后信托基金购买的股票长期表现优于其出售的股票。在这一新的独特背景下，我们得出较低的美国股票平均需求价格弹性，该结果支持非弹性市场假说。Losing is Optional: Retail Option Trading and Expected Announcement Volatility来源：AFA 2025, Uninformed Trading and Asset Prices Paper Session作者：Tim de Silva, Kevin Smith, Eric So
Abstract：We document the growth of retail options trading and provide evidence that retail investors are drawn to options by anticipated spikes in volatility. Retail investors purchase options in a concentrated fashion before earnings announcements, particularly those with greater expected abnormal volatility. Comparing across asset markets, we also find retail investors disproportionately trade options over stocks as anticipated announcement volatility increases. In doing so, retail investors display a trio of wealth-depleting behaviors: they overpay for options relative to realized volatility, incur enormous bid-ask spreads, and sluggishly respond to announcements. These translate to retail losses of 5-to-9% on average, and 10-to-14% for high expected volatility announcements.摘要：我们记录了散户期权交易的增长，并提供证据表明散户投资者因预期波动性激增而被吸引至期权市场。散户投资者在盈余公告前集中购买期权，尤其是那些预期异常波动率高的期权。跨市场比较表明，当预期公告波动率增加时，相较股票，散户投资者更倾向于交易期权。这样做使散户表现出三种导致财富损失的行为：他们相对于已实现波动率水平过度支付期权费用、承担巨大的买卖价差、以及对公告反应缓慢。这些行为导致散户平均损失5%至9%，而对高预期波动率公告的损失则为10%至14%。
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