本文汇总了金融学国际顶级期刊《Journal of Finance》近期发表的最新论文成果，提供金融研究领域最新学术动态。

目录

1）Presidential Address: Corporate Finance and Reality

2）Do Firms Respond to Gender Pay Gap Transparency?

3）Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation

4）Quantifying Reduced-Form Evidence on Collateral Constraints

5）A New Test of Risk Factor Relevance

6）Testing Disagreement Models

7）Debt Refinancing and Equity Returns

8）Risk-Sharing and the Term Structure of Interest Rates

9）Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect

10）The Economics of Deferral and Clawback Requirements

11）Financial Crisis, Creditor-Debtor Conflict, and Populism

01

Presidential Address: Corporate Finance and Reality

作者：

Graham, John R.

(Duke University)

摘要：本文通过CFO问卷调查来记录CFO对公司规划决策、投资决策、资本结构决策、股利政策以及股东以及利益相关者关注的看法。与20年前（问卷调查结果）相比，文章发现公司采取的决策规则是审慎的、持久的、并且准备好在市场中进行择时的；CFO决策所依据的内部预测缺乏校准机制且只在短期（两年）可靠；CFO越来越多的将公司目标着重于利益相关者和公司销售额。这些（业界的）公司金融主题的实践，可以约束学术模型，使模型更好地解释现实结果。那些涉及满意决策或者管理偏差导致损失的相关模型与很多调查问卷得到的主题结论是一致的。

Abstract：This paper uses surveys to document CFO perspectives on corporate planning, investment, capital structure, payout, and shareholder versus stakeholder focus. Comparing policy decisions today to those 20 years ago, I find that companies employ decision rules that are conservative, sticky, and geared to time the market; rely on internal forecasts that are miscalibrated and considered reliable only two years ahead; and emphasize corporate objectives that focus increasingly on stakeholders and revenues. These practice of corporate finance themes can discipline academic models toward better explaining outcomes. Models of satisficing decision-making or costly managerial biases align with many of the themes.

02

Do Firms Respond to Gender Pay Gap Transparency?

作者：

Bennedsen, Morten

(University of Copenhagen)

Simintzi, Elena

(University of North Carolina)

Tsoutsoura, Margarita

(Washington University in St. Louis)

Wolfenzon, Daniel

(Columbia University)

摘要：本文研究了薪酬透明度对不同性别的薪酬差距和公司业绩的影响。利用2006年丹麦的一项立法变更，该变更要求公司提供按照性别分类的工资统计数据，详细的雇员-雇主管理数据，以及设计双重差分和不连续差分的模型。本文发现该法律减少了不同性别的工资差距，主要是通过减缓男性雇员的工资增长。立法后不同性别收入差距下降了2个百分点，与立法前的平均水平相比下降了13%。尽管整体工资减少了，但工资透明度的法令并不影响企业的盈利能力，这可能是因为企业生产力下降的抵消效应。

Abstract：We examine the effect of pay transparency on the gender pay gap and firm outcomes. Using a 2006 legislation change in Denmark that requires firms to provide gender-disaggregated wage statistics, detailed employee-employer administrative data, and difference-in-differences and difference-in-discontinuities designs, we find that the law reduces the gender pay gap, primarily by slowing wage growth for male employees. The gender pay gap declines by 2 percentage points, or 13% relative to the prelegislation mean. Despite the reduction of the overall wage bill, the wage transparency mandate does not affect firm profitability, likely because of the offsetting effect of reduced firm productivity.

03

Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation

作者：

Wang, Yifei

(University of Michigan)

Whited, Toni M.

(University of Michigan)

Wu, Yufeng

(University of Illinois at Urbana-Champaign)

Xiao, Kairong

(Columbia University)

摘要：本文研究了银行市场力量对货币政策通过银行系统传导的定量影响。本文估计了一个动态银行模型，其中货币政策会影响不完全竞争银行的资金成本。银行在面临资本充足率和准备金监管时，会将这些成本转嫁给借款人和存款人从而达到优化。本文发现，银行市场力量解释了货币政策向借款人传导的部分原因，其效果与银行资本监管的效果相当。当联邦基金利率低于0.9%时，在市场力量与银行资本监管相互作用下，（改变利率的）货币政策将产生相反的结果。

Abstract：We quantify the impact of bank market power on monetary policy transmission through banks to borrowers. We estimate a dynamic banking model in which monetary policy affects imperfectly competitive banks' funding costs. Banks optimize the pass-through of these costs to borrowers and depositors, while facing capital and reserve regulation. We find that bank market power explains much of the transmission of monetary policy to borrowers, with an effect comparable to that of bank capital regulation. When the federal funds rate falls below 0.9%, market power interacts with bank capital regulation to produce a reversal of the effect of monetary policy.

04

Quantifying Reduced-Form Evidence on Collateral Constraints

作者：

Catherine, Sylvain

(University of Pennsylvania)

Chaney, Thomas

(University of Southern California)

Huang, Zongbo

(CUHK-Shenzhen)

Sraer, David

(UC Berkeley)

Thesmar, David

(MIT)

摘要：本文量化了融资约束的总体影响。研究从带有抵押品约束的标准动态投资模型开始。与现有的定量研究的文献不同，本文的估计并未通过把平均杠杆率作为目标来确定融资摩擦的范围，而是使用最近公司金融文献中提出的一种简化模型的系数（确定融资摩擦），该系数将外生的举债能力冲击与公司投资相关联。与无（融资）摩擦的基准相比，抵押品约束导致产出损失7.1%，全要素生产率 (TFP) 损失 1.4%（错配）。通过（简化模型系数）估计的损失比通过目标杠杆获得的估计更具有稳健性。

Abstract：This paper quantifies the aggregate effects of financing constraints. We start from a standard dynamic investment model with collateral constraints. In contrast to the existing quantitative literature, our estimation does not target the mean leverage ratio to identify the scope of financing frictions. Instead, we use a reduced-form coefficient from the recent corporate finance literature that connects exogenous debt capacity shocks to corporate investment. Relative to a frictionless benchmark, collateral constraints induce losses of 7.1% for output and 1.4% for total factor productivity (TFP) (misallocation). We show these estimated losses tend to be more robust to misspecification than estimates obtained by targeting leverage.

05

A New Test of Risk Factor Relevance

作者：

Chinco, Alex

(Baruch College)

Hartzmark, Samuel M

(University of Chicago)

Sussman, Abigail B.

(University of Chicago)

摘要：教材中，模型假设投资者在投资时试图针对特定风险因子可能出现的糟糕情况进行投保。这是一个可测试的假设，本文为此开发设计了一个调查问卷框架。该框架可以应用于任何风险因子测试。本文展示了在消费增长的设定下该框架的使用，由此得到的结果适用于大多数现代资产定价模型。调查问卷参与者对股票收益的均值和波动率的变化的反应与教材中的模型（所预测的）一致，但本文没有发现证据表明参与者会根据资产与消费增长的相关性来调整投资决策。

Abstract：Textbook models assume that investors try to insure against bad states of the world associated with specific risk factors when investing. This is a testable assumption and we develop a survey framework for doing so. Our framework can be applied to any risk factor. We demonstrate the approach using consumption growth, which makes our results applicable to most modern asset-pricing models. Participants respond to changes in the mean and volatility of stock returns consistent with textbook models, but we find no evidence that they view an asset's correlation with consumption growth as relevant to investment decisions.

06

Testing Disagreement Models

作者：

Chang, Yen-cheng

(National Taiwan University)

Hsiao, Pei-jie

(National Taiwan University)

Ljungqvist, Alexander

(Stockholm School of Economics)

Tseng, Kevin

(National Taiwan University)

摘要：本文为投资者意见分歧在资产定价中的作用提供了可信的证据。本文的自然实验探究了（不同公司）分阶段使用EDGAR（SEC在线信息）系统，从而降低投资者意见分歧的过程。与投资者意见分歧模型一致，使用EDGAR有助于解决信息事件导致的分歧，帮助股价修正。使用EDGAR系统后意见分歧的减少也降低了股价崩盘的风险，尤其是具有约束性卖空限制和投资者高度乐观的股票。

Abstract：We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits the staggered implementation of the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction in investor disagreement. Consistent with models of investor disagreement, EDGAR inclusion helps resolve disagreement around information events, leading to stock price corrections. The reduction in disagreement following EDGAR inclusion also reduces stock price crash risk, especially among stocks with binding short-sale constraints and high investor optimism.

07

Debt Refinancing and Equity Returns

作者：

Friewald, Nils

(Norwegian School of Economics),

Nagler, Florian

(Bocconi University),

Wagner, Christian

(WU Vienna University)

摘要：本文的实证结果表明，公司金融杠杆的期限结构会影响截面的股票收益。本文发现，短期杠杆伴随着正的风险溢价，而长期杠杆则不然。与长期杠杆相比，短期杠杆的溢价反映了股票对系统性风险的更高暴露。为了解释本文的发现，本文展示了一个存在展期风险时，公司内生的选择杠杆率和债务期限的模型。这个模型中出现了同样的（短期杠杆存在溢价）模式。本文的结果表明，对资产价格和公司财务应用中的杠杆效应的分析应该考虑到债务的期限结构。

Abstract：This paper presents empirical evidence that the maturity structure of financial leverage affects the cross-section of equity returns. We find that short-term leverage is associated with a positive premium, whereas long-term leverage is not. The premium for short-term compared to long-term leverage reflects higher exposure of equity to systematic risk. To rationalize our findings, we show that the same patterns emerge in a model of debt rollover risk with endogenous leverage and debt maturity choice. Our results suggest that analyses of leverage effects in asset prices and corporate financial applications should account for the maturity structure of debt.

08

Risk-Sharing and the Term Structure of Interest Rates

作者：

Schneider, Andres

(Federal Reserve System)

摘要：本文提出了一个具有异质投资者的一般均衡模型，并用这个模型来解释美国实际和名义利率期限结构的关键特性。本文发现投资者跨期替代弹性的差异对于解释名义收益率和实际收益率的动态变化至关重要。名义利率期限结构主要由实际冲击驱动。因此无论名义冲击和实际冲击之间的相关性如何，它都可以是向上倾斜的。

Abstract：I propose a general equilibrium model with heterogeneous investors to explain the key properties of the U.S. real and nominal term structure of interest rates. I find that differences in investors' elasticities of intertemporal substitution are critical in accounting for the dynamics of nominal and real yields. The nominal term structure is driven primarily by real shocks so that it can be upward sloping regardless of the correlation between nominal and real shocks.

09

Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect

作者：

Gurkaynak, Refet

(Bilkent University)

Karasoy-can, Hatice Gokce

(Central Bank of the Republic of Turkey)

Lee, Sang Seok

(Bilkent University)

摘要：文章表明，公司的负债结构和相关的现金流对公司的行为很重要，金融市场参与者也会相应地对股票进行定价。股票价格对货币政策公告的反应取决于企业发行的债务类型和期限以及美联储的远期指导，包括在零利率下限区间和远离零利率下限区间的情况下。此外，边际的股票市场参与者知道公司目前的负债结构，并且不依赖经验法则。货币政策发布时的现金流暴露可以预测未来的投资、资产和净值，这显然有悖于了MM定理。

Abstract：We show that firm liability structure and associated cash flows matter for firm behavior and that financial market participants price stocks accordingly. Stock price reactions to monetary policy announcements depend on the type and maturity of debt issued by the firms and the forward guidance provided by the Fed, both at and away from the zero lower bound. Further, the marginal stock market participant knows the current liability structures of firms and does not rely on rules of thumb. The cash flow exposure at the time of monetary policy actions predicts future investment, assets, and net worth, clearly violating the Modigliani-Miller theorem.

10

The Economics of Deferral and Clawback Requirements

作者：

Hoffmann, Florian

(KU Leuven)

Inderst, Roman

(Goethe University Frankfurt)

Opp, Marcus

(Stockholm School of Economics)

摘要：本文分析了监管干预薪酬合同的影响，重点关注最近为限制金融行业重大风险承受者的奖金所指定的递延收入和索回收入的要求。本文发现，适度的递延收入的要求只有在银行经理的外部选择价值足够高的情况下才会对风险管理的努力程度产生强有力的积极影响；否则，递延收入要求的有效性将取决于信息环境。严格的延缓要求显然会适得其反。本文的规范性分析刻画了递延收入和索回收入的要求是否应该以及如何作为最佳政策组合的一部分来补充资本监管政策。

Abstract：We analyze the effects of regulatory interference in compensation contracts, focusing on recent mandatory deferral and clawback requirements restricting incentive compensation of material risk-takers in the financial sector. Moderate deferral requirements have a robustly positive effect on risk-management effort only if the bank manager's outside option is sufficiently high; otherwise, their effectiveness depends on the dynamics of information arrival. Stringent deferral requirements unambiguously backfire. Our normative analysis characterizes whether and how deferral and clawback requirements should supplement capital regulation as part of the optimal policy mix.

11

Financial Crisis, Creditor-Debtor Conflict, and Populism

作者：

Gyongyosi, Gyozo

(Leibniz Institute for Financial Research SAFE)

Verner, Emil

(Massachusetts Institute of Technology)

摘要：本文研究了金融危机期间债务人困境对民粹主义极右翼政党支持的影响。本文实证研究了匈牙利货币危机期间家庭外币贷款敞口的变化。外币债务敞口导致对民粹主义极右翼持续提高的支持率。本文记录了极右翼通过提出激进的债务减免提案来主张外币债务人的利益，从而获得这些选民的支持。某些理论强调债权人和债务人之间的冲突会在金融危机后重塑政治结果，本文的发现与这些理论是一致的。

Abstract：We study the impact of debtor distress on support for a populist far-right political party during a financial crisis. Our empirical approach exploits variation in exposure to foreign currency household loans during a currency crisis in Hungary. Foreign currency debt exposure leads to a large, persistent increase in support for the populist far right. We document that the far right advocated for foreign currency debtors' interests by proposing aggressive debt relief and was rewarded with support from these voters. Our findings are consistent with theories emphasizing that conflict between creditors and debtors can shape political outcomes after financial crises.