本期主要包括三篇来自国际顶级期刊Journal of Financial and Quantitative Analysis的论文，具体如下：
1.Fire Sales and Impediments to Liquidity Provision in the Corporate Bond Market
Journal of Financial and Quantitative Analysis
Volume 55 , Issue 8
December 2020 , pp. 2613 - 2640
Z. Jay Wang
University of Oregon
Hanjiang Zhang
Washington State University
Xinde Zhang
University of Arkansas
Abstract
We examine impediments to liquidity provision by mutual funds to insurance companies during corporate bond fire sales. We find that financial regulation and limited capital capacity significantly affect liquidity provision. Mutual funds reduced their purchase of fire-sale bonds following regulatory changes after the 2008–2009 financial crisis. Funds facing more capital constraints (proxied by smaller cash and Treasury holdings, less liquid corporate bond investments, higher redemption risk, and less active investment styles) provide less liquidity. Mutual funds actively investing in fire-sale bonds earn significant returns from liquidity provision and demonstrate superior overall skills in corporate bond investments.
https://doi.org/10.1017/S0022109019000991
2.Investment Shocks and Asset Prices: An Investment-Based Approach
Journal of Financial and Quantitative Analysis
Volume 55 , Issue 8
December 2020 , pp. 2665 – 2699
Lorenzo Garlappi
University of British Columbia
Zhongzhi Song
Cheung Kong Graduate School of Business
Abstract
We propose a new approach, based on investment data, to determine firms’ return exposure to investment-specific technology (IST) shocks. When applied to U.S. data, we find that, in contrast to the pattern estimated from empirical IST proxies, value firms have higher exposure to IST shocks than growth firms. When applied to simulated data from existing theoretical models, our approach reveals that existing empirical findings may result from measurement errors in the IST proxies. Importantly, our simulation analysis uncovers the key role played by investment data in determining the economic mechanism through which IST shocks affect cross-sectional asset prices.
https://doi.org/10.1017/S0022109019000796
3.On the Expected Earnings Hypothesis Explanation of the Aggregate Returns–Earnings Association Puzzle
Journal of Financial and Quantitative Analysis
Volume 55 , Issue 8
December 2020 , pp. 2732 - 2763
Warren Bailey
Cornell University and Fudan
Huiwen Lai
The Hong Kong Polytechnic University
Abstract
We provide strong support for the underappreciated expected earnings hypothesis of a negative correlation between aggregate stock returns and earnings. For 1970–2000, our powerful modeling strategy incorporating macroeconomic information reveals that aggregate returns are significantly and negatively correlated with expected aggregate earnings changes but uncorrelated with unexpected aggregate earnings changes. However, this negative correlation changes after 2000, perhaps from heightened volatility or accounting changes. We also show that underlying macroeconomic information explains the power of aggregate earnings to predict future gross domestic product growth.
https://doi.org/10.1017/S0022109019000875
