【顶级期刊目录】RFS 2021年2月目录摘要
这是“金融学前沿论文速递”第1025篇推送
编辑:戚豪凯 审核:魏代辉
仅用于学术交流，原文版权归原作者和原发刊所有
Performance-Induced CEO Turnover
Paying by Donating: Corporate Donations Affiliated with Independent Directors
Weak Governance by Informed Active Shareholders
The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years
Do Minorities Pay More for Mortgages?
Does Borrower and Broker Race Affect the Cost of Mortgage Credit?
Do Neighborhoods Affect the Credit Market Decisions of Low-Income Borrowers? Evidence from the Moving to Opportunity Experiment
A Crisis of Missed Opportunities? Foreclosure Costs and Mortgage Modification During the Great Recession
The Babies of Mortgage Market Deregulation
Does Household Finance Affect the Political Process? Evidence from Voter Turnout During a Housing Crisis
How Important Are Inflation Expectations for the Nominal Yield Curve?
Bond Risk Premiums with Machine Learning
Corrigendum: Bond Risk Premiums with Machine Learning
原刊和作者：
Review of Financial Studies 2021年2月
Dirk Jenter (London School of Economics and Political Science and CEPR)
Katharina Lewellen (Dartmouth College)
This paper revisits the relationship between firm performance and CEO turnover. Instead of classifying turnovers into forced and voluntary, we introduce performance-induced turnover, defined as turnover that would not have occurred had performance been “good.” We document a close turnover-performance link and estimate that 38%–55% of turnovers are performance induced. This is significantly more than the number of forced turnovers, though the two types of turnovers are highly correlated. Compared to the predictions of Bayesian learning models, learning about CEO ability appears to be slow, and boards act as if CEO ability (or match quality) was subject to frequent shocks.
原刊和作者：
Review of Financial Studies 2021年2月
Ye Cai (Santa Clara University)
Jin Xu (Pamplin College of Business)
Jun Yang (Indiana University)
Corporate donations to charities affiliated with the board’s independent directors (affiliated donations) are large and mostly undetected due to lack of formal disclosure. Affiliated donations may impair independent directors’ monitoring incentives. CEO compensation is on average 9.4% higher at firms making affiliated donations than at other firms, and it is much higher when the compensation committee chair or a large fraction of compensation committee members are involved. We find suggestive evidence that CEOs are unlikely to be replaced for poor performance when firms donate to charities affiliated with a large fraction of the board or when they donate large amounts.
原刊和作者：
Review of Financial Studies 2021年2月
Eitan Goldman (Indiana University)
Wenyu Wang (Indiana University)
Do informed shareholders who can influence corporate decisions improve governance? We demonstrate this may not be generally true in a model of takeovers. The model suggests that a shareholder’s ability to collect information and trade ex post may cause him, ex ante, to support pursuing value-destroying takeovers or oppose value-enhancing takeovers. Surprisingly, we find conditions under which giving the active shareholder greater influence weakens governance and reduces firm value, even if such influence power can be used to reject bad takeovers ex post. Our model sheds light on the limitations of relying on informed, active shareholders to improve governance.
The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years
原刊和作者：
Review of Financial Studies 2021年2月
Ran Duchin (Boston College)
Mikhail Simutin (University of Toronto)
Denis Sosyura (Arizona State University)
Using individual census records, we provide novel evidence on CEOs’ socioeconomic backgrounds and study their role in investment decisions. Male CEOs allocate more investment capital to male than female division managers. This gender gap is driven by CEOs who grew up in male-dominated families where the father was the only income earner and had more education than the mother. The gender gap also increases for CEOs who attended all-male high schools and grew up in neighborhoods with greater gender inequality. The effect of gender on capital budgeting introduces frictions and erodes investment efficiency.
原刊和作者：
Review of Financial Studies 2021年2月
Neil Bhutta (Federal Reserve Board)
Aurel Hizmo (Federal Reserve Board)
We test for racial discrimination in the prices charged by mortgage lenders. We construct a unique data set from which we observe the three dimensions of a mortgage’s price: the interest rate, discount points, and fees. Although we find statistically significant gaps by race and ethnicity in interest rates, these gaps are offset by differences in discount points. We trace out point-rate schedules and show that minorities and whites face identical schedules, but sort to different locations on the schedule. Such sorting may reflect systematic differences in liquidity or preferences. Finally, we find no differences in total fees by race or ethnicity.
Does Borrower and Broker Race Affect the Cost of Mortgage Credit?
原刊和作者：
Review of Financial Studies 2021年2月
Brent Ambrose (The Pennsylvania State University)
James Conklin (University of Georgia)
Luis Lopez (University of Illinois at Chicago)
We test for pricing disparities in mortgage contracts using a novel data set that allows us to observe the race and ethnicity of both parties to the loan. We find that minorities pay between 3% and 5% more in fees than similarly qualified whites when obtaining a loan through the same white broker. Critically, we find that the premium paid by minorities depends on the race of the broker. We also examine recent policy changes around broker compensation rules that may not only reduce these price disparities but may also limit access to credit for minorities.
原刊和作者：
Review of Financial Studies 2021年2月
Sarah Miller (University of Michigan)
Cindy Soo (University of Michigan)
This paper isolates the causal impact of neighborhood environment on the credit outcomes of low-income borrowers by analyzing the participants of the Moving to Opportunity (MTO) experiment. MTO was a unique, large-scale experiment that offered families vouchers to move to better neighborhoods via randomized lottery. We find higher credit scores and use among those required to move to the lowest poverty areas as young children. For those who moved as adults, we find that better neighborhoods lead to a reduction of overdue debts and delinquencies, but only among those given unrestricted neighborhood choice.
原刊和作者：
Review of Financial Studies 2021年2月
Stuart Gabriel (University of California)
Matteo Iacoviello (Federal Reserve Board)
Chandler Lutz (Securities and Exchange Commission)
We investigate the impact of Great Recession policies in California that substantially increased lender pecuniary and time costs of foreclosure. We estimate that the California Foreclosure Prevention Laws (CFPLs) prevented 250,000 California foreclosures (a 20% reduction) and created $\$$ 300 billion in housing wealth. The CFPLs boosted mortgage modifications and reduced borrower transitions into default. They also mitigated foreclosure externalities via increased maintenance spending on homes that entered foreclosure. The CFPLs had minimal adverse side effects on the availability of mortgage credit for new borrowers. Altogether, findings suggest that policy interventions that keep borrowers in their homes may be broadly beneficial during times of widespread housing distress.
原刊和作者：
Review of Financial Studies 2021年2月
Isaac Hacamo (Indiana University)
This paper documents that mortgage market deregulation helps mitigate the risk of population aging by affecting a foundational family-level decision: the choice to have children. Using a U.S. federal regulator ruling, I show that young households fully exposed to mortgage market deregulation increase their probability of purchasing a home and having a child by 6 percentage points. Supplemental tests reject alternative hypotheses based on income or housing wealth growth and, instead, suggest that access to space is the relevant economic mechanism. Collectively, the evidence indicates that increased access to mortgage credit affects the total number of children in the economy.
原刊和作者：
Review of Financial Studies 2021年2月
W Ben McCartney (Purdue University)
I examine the effect of house price declines on voter participation using a novel person-level panel data set. Contrary to what the “angry voter hypothesis” predicts, I find that a 10% decline in local house prices decreases the participation rate of the average mortgaged homeowner by 1.6 percentage points. Consistent with a financial distress channel, house price declines have no effects on renters and particularly severe effects on highly leveraged households. My findings are consistent with the existence of a feedback loop between financial distress and inequality operating through voter participation.
原刊和作者：
Review of Financial Studies 2021年2月
Roberto Gomez-Cram (London Business School)
Amir Yaron (University of Pennsylvania)
Macrofinance term structure models rely too heavily on the volatility of expected inflation news as a source for variations in nominal bond yield shocks. We develop and estimate a model featuring inflation nonneutrality and preference shocks. The stochastic volatility of inflation and consumption govern bond risk premiums movements, whereas preference shocks generate fluctuations in real rates. The model accounts for key bond market features without resorting to an overly dominating expected inflation channel. The estimation shows that preference shocks are strongly negatively correlated with market distress factors and that real rate news is the dominant driver of nominal yield shocks.
原刊和作者：
Review of Financial Studies 2021年2月
Daniele Bianchi (University of London)
Matthias Büchner (University of Warwick)
Andrea Tamoni (Rutgers Business School)
We show that machine learning methods, in particular, extreme trees and neural networks (NNs), provide strong statistical evidence in favor of bond return predictability. NN forecasts based on macroeconomic and yield information translate into economic gains that are larger than those obtained using yields alone. Interestingly, the nature of unspanned factors changes along the yield curve: stock- and labor-market-related variables are more relevant for short-term maturities, whereas output and income variables matter more for longer maturities. Finally, NN forecasts correlate with proxies for time-varying risk aversion and uncertainty, lending support to models featuring both channels.
原刊和作者：
Review of Financial Studies 2021年2月
Daniele Bianchi (Queen Mary University of London)
Matthias Büchner (University of Warwick)
Tobias Hoogteijling (Erasmus University Rotterdam)
Andrea Tamoni (Rutgers Business School)
In this note we revisit the empirical results in Bianchi, Büchner, and Tamoni (2020) after correcting for using information not available at the time the forecast was made. Although we note a decrease in out-of-sample R2, the revised analysis confirms that bond excess return predictability from neural networks remains statistically and economically significant.
原文：
https://academic.oup.com/rfs/issue/34/2