本文汇总了经济学国际顶级期刊《The Review of Financial Studies》最新录用的论文，提供经济学研究领域最前沿学术动态。
Advance Articles
01 Regulatory Limits to Risk Management
02 Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases
03 Trendy Business Cycles and Asset PricesGet access
04 Persistent Crises and Levered Asset Prices
05 Pricing Implications of Noise
01
Regulatory Limits to Risk Management
Author：Ishita Sen
Published: 31 October 2022
Abstract :
Variable annuities, the largest liability of U.S. life insurers, are investment products containing long-dated minimum return guarantees. I show that guarantees with similar economic risks are treated differently by regulation and these differences impact insurers’ hedging behavior. When the regulatory regime recognizes certain risks, insurers start to hedge these risks in a substantial way. For some guarantees, this involves hedging both interest rate and equity market risks. However, for others, it involves hedging only equity market risk. As the regulatory regime still does not recognize the interest rate risk of all guarantees, insurers remain exposed to substantial interest rate risk.
https://doi.org/10.1093/rfs/hhac083
02
Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases
Author：Jules H van Binsbergen, Xiao Han, Alejandro Lopez-Lira
Published: 31 October 2022
Abstract :
We introduce a real-time measure of conditional biases to firms’ earnings forecasts. The measure is defined as the difference between analysts’ expectations and a statistically optimal unbiased machine-learning benchmark. Analysts’ conditional expectations are, on average, biased upward, a bias that increases in the forecast horizon. These biases are associated with negative cross-sectional return predictability, and the short legs of many anomalies contain firms with excessively optimistic earnings forecasts. Further, managers of companies with the greatest upward-biased earnings forecasts are more likely to issue stocks. Commonly used linear earnings models do not work out-of-sample and are inferior to those analysts provide.
https://doi.org/10.1093/rfs/hhac085
03
Trendy Business Cycles and Asset PricesGet access
Author：Jesse Davis, Gill Segal
Published: 27 October 2022
Abstract :
The data-generating process underlying productivity includes both trend and business-cycle shocks, generating counterfactuals for prices under full information. In practice, agents’ inability to immediately distinguish between the two shocks creates “rational confusion”: each shock inherits properties of its counterpart. This confusion magnifies the perceived share of permanent shocks and implies that, contrary to canonical frameworks, transitory shocks are the main driver of long-run risk through trendy business cycles. With learning, the equity premium turns positive, and both investment and valuation ratios become procyclical, as in the data. Consequently, rational confusion is key for reconciling disciplined macro-dynamics with equilibrium asset prices.
https://doi.org/10.1093/rfs/hhac084
04
Persistent Crises and Levered Asset Prices
Author：Lars-Alexander Kuehn, David Schreindorfer, Florian Schulz
Published: 25 October 2022
Abstract :
This paper shows that standard disaster risk models are inconsistent with movements in stock market volatility and credit spreads during disasters. We resolve this shortcoming by incorporating persistent macroeconomic crises into a structural credit risk model. The model successfully captures the joint dynamics of aggregate consumption, financial leverage, and asset market risks, both unconditionally and during crises. Leverage strongly amplifies fundamental shocks by continuing to rise while crises endure. We structurally estimate the model and show that it replicates the firm-level implied volatility curve and its cross-sectional relation with observable proxies of default risk.
https://doi.org/10.1093/rfs/hhac081
05
Pricing Implications of Noise
Author：Christian L Goulding, Shrihari Santosh, Xingtan Zhang
Published: 25 October 2022 Section
Abstract :
We study the interaction between noisy demand and skewed asset payoffs. In our model, price as a function of quantities is convex in a neighborhood around zero if and only if skewness is positive. The combination of convexity and noise produces the idiosyncratic skewness effect, a documented negative relationship between an asset's idiosyncratic skewness and its expected return. We further offer an explanation for the idiosyncratic volatility puzzle. Finally, our theory predicts that higher idiosyncratic skewness strengthens the idiosyncratic volatility effect (and vice versa). We find support for this prediction in the cross-section of stock returns.
https://doi.org/10.1093/rfs/hhac082
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