本文汇总了金融学国际顶级期刊《Review of Financial Studies》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）The Rise of Finance Companies and FinTech Lenders in Small Business Lending
2）Why Do Firms Borrow Directly from Nonbanks?
3）Small Bank Lending in the Era of Fintech and Shadow Banks: A Sideshow?
4）When FinTech Competes for Payment Flows
5）The Good, the Bad, and the Missed Boom
6）Macroeconomic Attention and Announcement Risk Premia
7）Decision Weights for Experimental Asset Prices Based on Visual Salience
8）Risk Price Variation: The Missing Half of Empirical Asset Pricing
9）Covered Interest Parity Arbitrage
10）Global Portfolio Rebalancing and Exchange Rates
11）New Perspectives on Insurance
12）Trust and Insurance Contracts
13）Conflicting Interests and the Effect of Fiduciary Duty: Evidence from Variable Annuities
14）Can Risk Be Shared across Investor Cohorts? Evidence from a Popular Savings Product
15）Regulatory Forbearance in the U.S. Insurance Industry: The Effects of Removing Capital Requirements for an Asset Class
16）Insurers as Asset Managers and Systemic Risk
17）Unemployment Insurance as a Subsidy to Risky Firms
「注：目录11）—17）为RFS12月特刊“Special Issue: New Perspectives on Insurance, edited by Ralph S.J. Koijen”」
01
The Rise of Finance Companies and FinTech Lenders in Small Business Lending
作者：
Manasa Gopal
(Scheller College of Business, Georgia Institute of Technology)
Philipp Schnabl
(NYU Stern, NBER, and CEPR)
摘要：本文表明，在2008年金融危机后，金融公司和金融科技贷款机构增加了对小企业的贷款，贷款的大部分增长取代了银行贷款的减少。金融公司和金融科技贷款机构在那些危机前银行市场份额更大的县增加了更多的借款。我们发现，到2016年为止银行贷款的缩减对就业、工资和新企业创立没有显著影响。我们的结果表明，金融公司和金融科技贷款机构是小企业信贷的主要提供者，在2008年金融危机后的复苏中发挥了重要作用。
Abstract：We document that finance companies and FinTech lenders increased lending to small businesses after the 2008 financial crisis. We show that most of the increase substituted for a reduction in bank lending. In counties in which banks had a larger market share before the crisis, finance companies and FinTech lenders increased their lending more. We find no effect of reduced bank lending on employment, wages, and new business creation by 2016. Our results suggest that finance companies and FinTech lenders are major suppliers of credit to small businesses and played an important role in the recovery from the 2008 financial crisis.
02
Why Do Firms Borrow Directly from Nonbanks?
作者：
Sergey Chernenko
(Purdue University)
Isil Erel
(Ohio State University, NBER, and ECGI)
Robert Prilmeier
(Tulane University)
摘要：通过分析手动搜集的2010-2015年中间市场公司样本的信贷协议，本文发现，三分之一的贷款是由非银行金融中介机构直接发放的。其中三分之二的此类非银行贷款可归因于银行监管限制了银行向亏损的、高杠杆的借款公司放贷的能力。EBITDA为负、债务/EBITDA大于6的公司从非银行机构借款的可能性分别高出32%和15%。这些公司支付的利率要高得多，特别是在2013年对杠杆贷款指引修订后。与从银行借款的公司相比，非银行借款公司也获得了不同的非价格条款。
Abstract：Analyzing hand-collected credit agreements for a sample of middle-market firms over 2010–2015, we find that one-third of all loans are directly extended by nonbank financial intermediaries. Two-thirds of such nonbank lending can be attributed to bank regulations that constrain banks’ ability to lend to unprofitable and highly levered borrowers. Firms with negative EBITDA and debt/EBITDA greater than six are 32% and 15% more likely to borrow from nonbanks. These firms pay significantly higher interest rates, especially following the 2013 leveraged loan guidance revisions. Nonbank borrowers also receive different nonprice terms compared to firms borrowing from banks.
03
Small Bank Lending in the Era of Fintech and Shadow Banks: A Sideshow?
作者：
Taylor A. Begley
(University of Kentucky)
Kandarp Srinivasan
(D’Amore-McKim School of Business, Northeastern University)
摘要：在非银行机构逐渐占据主导地位的情况下，小型银行利用关键的融资优势在抵押贷款市场上持续经营。本文提供了危机后监管负担和GSE（政府资助企业）融资成本变化这两种冲击对抵押贷款信贷供给的异质性影响的证据。小型银行利用那些过于影响四大银行(Big4)及其资产负债表上放贷能力的监管规定，强有力地替代了撤退的四大银行。对大型贷款机构担保费用(g-fee)折扣的取消促进了小型银行在GSE贷款方面的增长。小型银行还在对g-fee上涨更敏感的地区增加了表内贷款。
Abstract：Amid the emerging dominance of nonbanks, small banks use key financing advantages to persist in the mortgage market. We provide evidence of the heterogeneous impact of two shocks to the supply of mortgage credit: postcrisis regulatory burden and GSE financing cost changes. Small banks exploit regulation disproportionately affecting the largest four banks (Big4) and their ability to lend on balance sheet to strongly substitute for the retreating Big4. The erasure of guarantee fee (g-fee) discounts for large lenders facilitates small bank growth in GSE lending. Small banks also grow balance sheet loans in areas more exposed to g-fee hikes.
04
When FinTech Competes for Payment Flows
作者：
Christine A Parlour
(Haas School of Business, University of California-Berkeley)
Uday Rajan
(Stephen M. Ross School of Business, University of Michigan)
Haoxiang Zhu
(MIT Sloan School of Management and NBER)
摘要：本文研究了当垄断银行使用支付数据来了解消费者信贷质量时，支付服务行业金融科技竞争的影响。金融科技支付提供商的竞争破坏了这种信息溢出。银行的支付服务价格和贷款报价都将受到影响。金融科技竞争促进普惠金融，可能会损害银行偏好较强的消费者，其对贷款市场的影响较为模糊。金融科技数据销售和消费者数据携带都增加了银行贷款，但它们对消费者福利的影响尚不明确。在温和条件下，数据销售下的消费者福利要比数据携带高。
Abstract：We study the impact of FinTech competition in payment services when a monopolist bank uses payment data to learn about consumers’credit quality. Competition from FinTech payment providers disrupts this information spillover. The bank’s price for payment services and its loan offers are affected. FinTech competition promotes financial inclusion, may hurt consumers with a strong bank preference, and has an ambiguous effect on the loan market. Both FinTech data sales and consumer data portability increase bank lending, but the effects on consumer welfare are ambiguous. Under mild conditions, consumer welfare is higher under data sales than with data portability.
05
The Good, the Bad, and the Missed Boom
作者：
Enrico Perotti
(University of Amsterdam, Tinbergen Institute and CEPR)
Magdalena Rola-Janicka
(Tilburg University)
摘要：一些信贷繁荣导致了金融危机。虽然过度的风险承担可以看似合理地解释从繁荣到萧条的周期，但许多投资者并未预料到风险会增加。本文的研究表明，信贷繁荣由高生产力驱动可能是一种误解，因为不透明的银行资产掩盖了风险激励。相较于生产前景平衡的资金可以维持审慎的贷款决策(良好的繁荣)，而资金失衡可能会引发高风险暴露并推高资产价格(不良繁荣)，或导致资产价格低估和贷款不足(错失的繁荣)。利用价格进行推断的理性主体会犯错误，他们的失误可能会放大资金失衡的影响，并传播风险。
Abstract：Some credit booms result in financial crises. While excessive risk-taking could plausibly explain the boom-to-bust cycle, many investors do not anticipate increasing risk. We show that credit booms may be misunderstood as being driven by high productivity because opaque bank assets disguise risk incentives. Balanced funding relative to productive prospects can sustain prudent lending (good boom), whereas funding imbalances may induce high risk exposure and boost asset prices (bad boom) or lead to asset underpricing and insufficient lending (missed boom). Rational agents drawing inference from prices make mistakes that can amplify the effect of funding imbalances and propagate risk.
06
Macroeconomic Attention and Announcement Risk Premia
作者：
Adlai Fisher
(University of British Columbia)
Charles Martineau
(University of Toronto)
Jinfei Sheng
(University of California)
摘要：本文构建了宏观经济关注度指数(MAI)，该指数是衡量对包括失业和货币政策在内的不同宏观经济风险关注度的新指标。单个MAI倾向于在相关公告日附近和相应基本面变化之后增加。此外，坏消息比好消息更能引起关注。对于失业和FOMC，注意力预测了公告风险溢价和隐含波动率变化，并且经济规模较大。本文的发现支持了内生注意力和公告风险溢价的理论，同时也表明了未来的研究方向，包括公告可能会引发新的担忧。宏观经济公告不仅因内容和时机重要，而且因注意力重要。
Abstract：We construct macroeconomic attention indexes (MAI), which are new measures of attention to different macroeconomic risks, including unemployment and monetary policy. Individual MAI tend to increase around related announcements and following changes in related fundamentals. Further, bad news raises attention more than good news. For unemployment and FOMC, attention predicts announcement risk premiums and implied volatility changes with large economic magnitudes. Our findings support theories of endogenous attention and announcement risk premiums, while demonstrating future research directions, including that announcements can raise new concerns. Macroeconomic announcements are important not only for contents and timing but also for attention.
07
Decision Weights for Experimental Asset Prices Based on Visual Salience
作者：
Devdeepta Bose
(California Institute of Technology)
Henning Cordes
(University of Münster)
Sven Nolte
(Institute for Risk and Insurance, Leibniz University Hannover)
Colin Farrell Camerer
(California Institute of Technology)
摘要：我们将一种利用一般人类视觉进行校准的机器学习算法应用到预测股票价格图表（显示）价格的视觉显著性。我们假设相邻价格的视觉显著性增加了根据这些价格计算的收益率的决策权重。我们在使用历史价格图表或更简单的人工序列的两个实验研究中分析了这些权重的推断影响。我们发现，由视觉显著性得到的决策权重与实验投资（行为）有关。这种预测性不能被统计特征涵盖，并且不能被已有模型完全解释。
Abstract：We apply a machine-learning algorithm, calibrated using general human vision, to predict the visual salience of prices of stock price charts. We hypothesize that the visual salience of adjacent prices increases the decision weights on returns computed from those prices. We analyze the inferred impact of these weights in two experimental studies that use either historical price charts or simpler artificial sequences. We find that decision weights derived from visual salience are associated with experimental investments. The predictability is not subsumed by statistical features and goes beyond established models.
08
Risk Price Variation: The Missing Half of Empirical Asset Pricing
作者：
Andrew J Patton
(Duke University)
Brian M Weller
(Amazon.com)
摘要：相同风险暴露的资产具有同等回报是资产定价理论和实证的基础。然而，现实世界的摩擦可能会违反该等式，并产生明显较高的夏普比率机会。本文提出了截面风险补偿具有异质性的资产定价新方法。本文通过k-均值聚类将资产按风险价格进行分组，并对不同分割市场风险溢价差异是否过大从而并非偶然产生进行正式的检验。我们在几乎所有的检验资产、因子模型和考察时间区间组合下都发现了风险价格具有横截面变化的显著证据。
Abstract：Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate this equality and create apparently high Sharpe ratio opportunities. We develop new methods for asset pricing with cross-sectional heterogeneity in compensation for risk. We extend k-means clustering to group assets by risk prices and introduce a formal test for whether differences in risk premiums across market segments are too large to occur by chance. We find significant evidence of cross-sectional variation in risk prices for almost all combinations of test assets, factor models, and time periods considered.
09
Covered Interest Parity Arbitrage
作者：
Dagfinn Rime
(BI Norwegian Business School)
Andreas Schrimpf
(Bank for International Settlements and CEPR)
Olav Syrstad
(Norges Bank)
摘要：为了理解抛补利率平价(CIP)的偏离，有必要考虑银行和货币地区间融资成本的异质性。对于大多数市场参与者来说，当利用边际融资成本和无风险投资工具实施（CIP套利）时，无套利关系保持良好。然而，一些高评级银行确实可以享有CIP套利机会。经纪商通过诱使来自高评级银行的相反(套利)资金流来避免因评级较低的银行利用外汇掉期交易获得美元资金而产生的存货失衡。然而，套利交易很难规模化，因为一旦套利者增加头寸，融资成本就会增加。
Abstract：To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks’ usage of FX swaps to obtain dollar funding by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to scale, however, because funding costs increase as soon as arbitrageurs increase positions.
10
Global Portfolio Rebalancing and Exchange Rates
作者：
Nelson Camanho
(Queen Mary University of London)
Harald Hau
(University of Geneva, CEPR, and Swiss Finance Institute)
Hélène Rey
(London Business School, CEPR, and NBER)
摘要：我们研究了基金层面的国际股权配置，并展示了外国资产的超额收益如何影响组合再平衡、资本流动和货币。我们构建的在汇率风险部分分割国际股权市场下，不完备外汇风险交易的均衡模型与观察到的股票收益、汇率和基金层面的资本流动动态变化一致。我们发现，再平衡在外汇波动较高的情况下更加频繁，同时不同基金特征之间的再平衡行为具有截面异质性。粒状工具变量方法识别出正的货币供给弹性。
Abstract：We examine international equity allocations at the fund level and show how excess foreign returns influence portfolio rebalancing, capital flows, and currencies. Our equilibrium model of incomplete foreign exchange (FX) risk trading where exchange rate risk partially segments international equity markets is consistent with the observed dynamics of equity returns, exchange rates, and fund-level capital flows. We document that rebalancing is more intense under higher FX volatility and find heterogeneous rebalancing behavior across different fund characteristics. A granular instrumental variable approach identifies a positive currency supply elasticity.
11
New Perspectives on Insurance
作者：
Ralph S.J. Koijen
(University of Chicago and NBER)
Motohiro Yogo
(Princeton University and NBER)
摘要：本期特刊源于2020年NBER保险工作组和公司金融项目的一次双重提交会议。它将保险公司和投保人之间的信任、经纪人之间的利益冲突、投保人的次优行为以及基于风险的资本监管等话题囊括在内，为（理解）保险市场的重要摩擦带来了更广泛的视角。经济领域和学术文献的一些发展为具有最低收益保证的储蓄产品增长、全球金融危机和金融中介资产定价等新视角提供了动力。在文章的最后，我们对有希望进一步探索的研究问题进行了概述。
Abstract：This special issue originates from a dual submission conference with the NBER Insurance Working Group and the Corporate Finance Program in 2020. It brings a broader perspective on important frictions in insurance markets, including trust between insurers and policyholders, conflicts of interest among brokers, suboptimal policyholder behavior, and risk-based capital regulation. Several developments in the economy and the academic literature have provided an impetus for new perspectives, including the growth of savings products with minimum return guarantees, the global financial crisis, and intermediary asset pricing. We conclude with an overview of research questions that are promising for further exploration.
12
Trust and Insurance Contracts
作者：
Nicola Gennaioli
(Bocconi University and IGIER)
Rafael La Porta
(Brown University and NBER)
Florencio Lopez-de-Silanes
(SKEMA Business School, University Cote d’Azur, and NBER)
Andrei Shleifer
(Harvard University and NBER)
摘要：我们收集了一家跨国保险公司的28个独营国家子公司的房主保险索赔情况数据。我们提出了一个消费者可以提出无效索赔并且公司可以拒绝有效索赔的新保险模型，这两点特征在数据中很常见。在该模型中，信任和诚实塑造了均衡的保险合同、纠纷和索赔支付，特别是当纠纷对法院来说太小的时候。我们通过探究索赔的发生、争议、拒绝和支付以及各国的保险成本和定价来检验该模型。实证证据与我们模型预测的信任处于保险市场中心地位（这一结论）相一致。
Abstract：We assemble homeowner insurance claims from 28 independently operated country subsidiaries of a multinational insurance firm. We propose a new insurance model, in which consumers can make invalid claims and firms can deny valid claims, as is common in the data. In the model, trust and honesty shape equilibrium insurance contracts, disputes, and claim payments, especially when disputes are too small for courts. We test the model by investigating claim incidence, dispute, rejection, and payment, as well as insurance costs and pricing across countries. The evidence is consistent with the centrality of trust for insurance markets, as our model predicts.
13
Conflicting Interests and the Effect of Fiduciary Duty: Evidence from Variable Annuities
作者：
Mark Egan
(Harvard Business School and NBER)
Shan Ge
(Stern School of Business, New York University)
Johnny Tang
(Harvard University)
摘要：本文考察了变额年金市场，以研究利益冲突和经纪市场中信托责任的影响。保险公司通常向经纪人支付更高的佣金来销售更昂贵的年金。本文结果表明，销售对经纪人的利益的敏感度是投资者的四倍。为了限制利益冲突，劳工部在2016年提出一项规则，要求经纪人遵守信托标准。本文发现，在该提议之后，由于销售对费用变得更加敏感，高费用产品的销售下降了52%。根据本文的结构性估计，投资者的福利总体上有所改善。
Abstract：We examine the variable annuity market to study conflicts of interest and the effect of fiduciary duty in brokerage markets. Insurers typically pay brokers higher commissions for selling more expensive annuities. Our results indicate that sales are four times as sensitive to brokers’ interests as to investors’. To limit conflicts of interest, the Department of Labor proposed a rule in 2016 holding brokers to a fiduciary standard. We find that after the proposal, sales of high-expense products fell by 52% as sales became more sensitive to expenses. Based on our structural estimates, investor welfare improved overall.
14
Can Risk Be Shared across Investor Cohorts? Evidence from a Popular Savings Product
作者：
Johan Hombert
(HEC Paris and CEPR)
Victor Lyonnet
(The Ohio State University)
摘要：我们研究了零售储蓄产品如何在投资者群组中分担市场风险，从而对金融市场进行完备。金融中介机构通过改变准备金来平滑收益，这些准备金在连续的投资者群组之间传递，从而在群组之间重新分配财富。利用法国人寿保险公司销售的欧元合同的数据，我们估计这种再分配（金额）较大，约占国内生产总值的0.8％。我们提出了一个模型并为其提供了证据，在该模型中，尽管低投资者复杂性导致了个体的次优决策，但其通过允许群组间的风险分担改善了（总体）风险分担。
Abstract：WWe study how retail savings products can share market risk across investor cohorts,thereby completing financial markets. Financial intermediaries smooth returns by varying reserves, which are passed on between successive investor cohorts, thereby redistributing wealth across cohorts. Using data on euro contracts sold by life insurers in France, we estimate this redistribution to be large: 0.8% of GDP. We develop and provide evidence for a model in which low investor sophistication, while leading to individually suboptimal decisions, improves risk sharing by allowing intercohort risk sharing.
15
Regulatory Forbearance in the U.S. Insurance Industry: The Effects of Removing Capital Requirements for an Asset Class
作者：
Bo Becker
(Stockholm School of Economics, CEPR, and ECGI)
Marcus M. Opp
(Stockholm School of Economics and CEPR)
Farzad Saidi
(University of Bonn and CEPR)
摘要：我们分析了2009年美国保险公司一项资本监管改革的影响。这项改革取消了与MBS持仓组合相关的非预期损失资本缓冲，但对其他固定收益资产没有影响。改革之后，相对于其他降级资产，保险公司更有可能保留降级的MBS。这种模式对于财务受限的保险公司来说更为明显。利用改革实施的断点，我们可以识别资本要求渠道的相关性。我们还记录了保险业在（高收益）MBS新发行中挤出其他投资者的证据。
Abstract：We analyze the effects of a reform of capital regulation for U.S. insurance companies in 2009. The reform eliminates capital buffers against unexpected losses associated with portfolio holdings of MBS, but not for other fixed-income assets. After the reform, insurance companies are much more likely to retain downgraded MBS compared to other downgraded assets. This pattern is more pronounced for financially constrained insurers. Exploiting discontinuities in the reform’s implementation, we can identify the relevance of the capital requirements channel. We also document that the insurance industry crowds outs other investors in the new issuance of (high-yield) MBS.
16
Insurers as Asset Managers and Systemic Risk
作者：
Andrew Ellul
(Indiana University, CSEF, CEPR and ECGI)
Chotibhak Jotikasthira
(Southern Methodist University)
Anastasia Kartasheva
(University of St. Gallen)
Christian T. Lundblad
(University of North Carolina, Chapel Hill)
Wolf Wagner
(Rotterdam School of Management and CEPR)
摘要：金融中介机构经常提供类似于虚值看跌期权的担保，这使其暴露于不可分散的尾部风险。我们在美国人寿保险业的背景下提出了一个模型，其中监管框架激励价值最大化的保险公司对冲可变年金（VA）担保（尽管并不完美），并将风险转移到高风险和非流动的债券上。我们根据保险公司层面的数据对模型进行了校准，并识别了由VA引起的保险公司风险暴露的变化。在发生重大资产和担保冲击并且没有监管部门干预的情况下，这些共担的风险暴露会加剧整个系统层面为维持资本比率而进行的减价出售，保险公司一半以上的权益资本可能会因此而被抹去。
Abstract：Financial intermediaries often provide guarantees resembling out-of-the-money put options, exposing them to undiversifiable tail risk. We present a model in the context of the U.S. life insurance industry in which the regulatory framework incentivizes value-maximizing insurers to hedge variable annuity (VA) guarantees, though imperfectly, and shifts risks into high-risk and illiquid bonds. We calibrate the model to insurer-level data and identify the VA-induced changes in insurers’ risk exposures. In the event of major asset and guarantee shocks and absent regulatory intervention, these shared exposures exacerbate system-wide fire sales to maintain capital ratios, plausibly erasing over half of insurers’ equity capital.
17
Unemployment Insurance as a Subsidy to Risky Firms
作者：
Bernardus Van Doornik
(Banco Central do Brasil and Bank for International Settlements)
Dimas Fazio
(National University of Singapore)
David Schoenherr
(Princeton University)
Janis Skrastins
(Washington University in St. Louis)
摘要：本文表明，一个更慷慨的失业保险（UI）系统会将劳动力供应从更安全的公司转移到更具风险的公司，并减少风险公司需要支付的补偿性工资差异。因此，更慷慨的UI系统增加了风险公司的价值，并通过减少新公司的劳动成本来促进创业。利用巴西只影响到部分劳动力的UI改革，我们比较了同一公司内受不同程度UI保护的工人的劳动力供应，从而使结果的识别更加清晰。总而言之，本文结果表明，UI提供了一个从安全公司向风险公司转移的系统。
Abstract：We document that a more generous unemployment insurance (UI) system shifts labor supply from safer to riskier firms and reduces the compensating wage differentials that risky firms need to pay. Consequently, a more generous UI system increases risky firms’ value and fosters entrepreneurship by reducing new firms’ labor costs. Exploiting a UI reform in Brazil that affects only part of the workforce allows us to compare labor supply for workers with different degrees of UI protection within the same firm, sharpening the identification of the results. Altogether, our results suggest that UI provides a transfer system from safe to risky firms.