【文献阅读】Journal of Finance76卷5期

1、The Cross Section of MBS Returns 抵押贷款支持证券(MBS)横截面收益

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate risk loadings using prepayment forecasts　versus realizations. Estimated loadings on prepayment risk decrease monotonically in securities' coupons relative to the par coupon, consistent with the predicted effect of prepayment on bond value. Prepayment risk appears to be priced by specialized MBS investors. The price of prepayment risk changes sign over time with the sign of a representative MBS investor's exposure to prepayment shocks.

我们提出一个简单的、线性的MBS横截面收益资产定价模型。MBS可以获得作为其提前支付风险补偿的超额收益。我们测度prepayment风险，并根据prepaymet预测和实现以估计风险载荷。提前支付风险的Estimated loadings随着票面息票单调递减。Prepayment risk似乎是由专业MBS投资者定价的。代表MBS投资者对于prepayment shocks的风险敞口，prepayment的风险定价随时间变化。

2、Reinvestment Risk and the Equity Term Structure 再投资风险与股权期限结构 

3、Inventory Management, Dealers' Connections, and Prices in Over-the-Counter Markets

存货管理，经销商联系，以及场外市场价格

4、Tracking Retail Investor Activity 追踪散户

We provide an easy method to identify marketable retail purchases and sales using recent, publicly available U.S. equity transactions data.  Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 bps over the following week.  Less than half of the predictive power of marketable retail order imbalance is attributable to order flow persistence, while the rest cannot be explained by contrarian trading (proxy for liquidity provision) or public news sentiment.  There is suggestive, but only suggestive, evidence that retail marketable orders might contain firm-level information that is not yet incorporated into prices.

我们提供了一个简单的方法以识别市场散户的买卖，使用近期可用的US股票交易数据。散户净买入的个股往往在下一周，相较净卖出的个股收益高出10bps。Marketable retail订单不平衡中，不足一半的预测能力归因于订单流persistence，而余下部分无法用流动性供给测度以及公共新闻情绪解释。这表明retail marketable orders可能包括未被价格囊括的firm-level information.

5、Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets

金融市场的Non-proportional thinking

We hypothesize that investors partially think about stock price changes in dollar rather than percentage units, leading to more extreme return responses to news for lower-priced stocks. Consistent with such non-proportional thinking, we find a doubling in price is associated with a 20% to 30% decline in volatility and beta (controlling for size/liquidity). To identify a causal price effect, we show that volatility jumps following stock splits and drops following reverse splits. Lower-priced stocks also respond more strongly to firm-specific news. Non-proportional thinking helps explain asset pricing patterns such as the size-volatility/beta relation, the leverage effect puzzle, and return drift and reversals.

我们假设投资者partially以股价变动思考，而不是百分比，导致新闻对低价股收益有着更极端的冲击。与这样的non-proportional thinking一致，我们发现价格翻倍与波动率和beta20%至30%的下降有关。为了识别随机的价格影响，我们的研究表明，股票拆股后波动性会上升，而反向拆股后波动性会下降。低价股票对firm-specific news的反应更加强烈。Non-proportional thinking帮助解释资产定价模型如size-volatility/beta的关系、杠杆效应之谜、收益飘移及反转。

6、The Misallocation of Finance 金融错配

We estimate real losses arising from the cross-sectional misallocation of financial liabilities.  Extending a production-based framework of misallocation measurement to the liabilities side of the balance sheet and using manufacturing firm data from the United States and China, we find significant misallocation of debt and equity in China but not the United States.  Reallocating liabilities of firms in China to mimic U.S. efficiency would produce gains of 51% to 69% in real value-added, with only 17% to 21% stemming from inefficient debt-equity combinations.  For Chinese firms that are large or in developed cities, we estimate lower distortionary financing costs.

中国制造业存在资产负债错配。

7、Property Rights to Client Relationships and Financial Advisor Incentives

客户关系产权和财务顾问激励  

8、The Limits of p-Hacking: Some Thought Experiments

p-Hacking的局限性:一些思想实验  

Suppose that the 300+ published asset pricing factors are all spurious. How much p-hacking is required to produce these factors? If 10,000 researchers generate eight factors every day, it takes hundreds of years. This is because dozens of published t-statistics exceed 6.0, while the corresponding p-value is infinitesimal, implying an astronomical amount of p-hacking in a general model. More structure implies that p-hacking cannot address ≈100 published t-statistics that exceed 4.0, as they require an implausibly nonlinear preference for t-statistics or even more p-hacking. These results imply that mispricing, risk, and/or frictions have a key role in stock returns.

假设目前300+ published asset pricing factors都是错误的。多少个p-hacking被要求以生产这些因子？如果10000个研究者每天generate8个因子，那么需要花费上百年。这是因为发布的许多t数据超过6.0，而相应的p值是无穷小的，这意味着在一般模型中p-hacking的数量是天文数字。更多的结构暗示p-hacking不能处理≈100已发表的超过4.0的t-statistics，因为它们要求对t-statistics或甚至更多的p-hacking具有难以置信的非线性偏好。 这些结果表明，错误定价、风险和/或摩擦在股票收益中起着关键作用。  

9、Do Physiological and Spiritual Factors Affect Economic Decisions?

生理和精神因素会影响经济决策吗？

We examine the effects of physiology and spiritual sentiment on economic decision-making in the context of Ramadan, an entire lunar month of daily fasting and increased spiritual reflection in the Muslim faith. Using an administrative data set of bank loans originated in Turkey during 2003 to 2013, we find that small business loans originated during Ramadan are 15% more likely to default within two years of origination. Loans originated in hot Ramadans, when adverse physiological effects of fasting are greatest, and those approved by the busiest bank branches perform worse. Despite their worse performance, Ramadan loans have lower credit spreads.

根据斋月，我们检测生理和精神情绪对decision-making的影响，整个阴历一个月的斋戒，增加了穆斯林信仰的精神反思。使用Turkey银行贷款诗句，我们发现在斋月期间发放的小企业贷款在两年内违约的可能性要高出15%。发行于炎热斋月贷款，斋月期间禁食的不良生理影响最大，而那些由最繁忙的银行分支机构批准的贷款表现更差。 尽管表现较差，但斋月贷款的信用利差较低。  

10、Structuring Mortgages for Macroeconomic Stability

为宏观经济稳定构建抵押贷款  

We study mortgage design features aimed at stabilizing the macroeconomy. We model overlapping generations of borrowers and an infinitely lived risk-averse representative lender. Mortgages are priced using an equilibrium pricing kernel derived from the lender's endogenous consumption. We consider an adjustable-rate mortgage with an option that during recessions allows borrowers to pay only interest on their loan and extend its maturity. The option stabilizes consumption growth over the business cycle, shifts defaults to expansions, and enhances welfare. The cyclical properties of the contract are attractive to a risk-averse lender so that the mortgage can be provided at a relatively low cost.

11、Out-of-Town Home Buyers and City Welfare

未来购房者和城市福利

12、Prospect Theory and Stock Market Anomalies

前景理论与股票市场异常

We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its ability to explain 23 prominent stock market anomalies.  The model incorporates all of the elements of prospect theory, accounts for investors' prior gains and losses, and makes quantitative predictions about an asset's average return based on empirical estimates of the asset's return volatility, return skewness, and past capital gain.  We find that the model can help explain a majority of the 23 anomalies.

我们提供一个新的资产定价模型，投资者根据前景理论估算风险，并检验其对23个常见股市异常的解释能力。模型包括了前景理论所有元素，解释投资者先前盈亏，并对资产平均收益进行了量化预测，基于收益波动、收益斜率、过去资本利得。模型可以解释23个异常中的大多数。