本文精选了金融学国际顶刊《Review of Financial Studies》近期发表的论文，提供金融领域最新的学术动态。

Passive Investing and the Rise of Mega-Firms

原刊和作者：

The Review of Financial Studies, Volume 38, Issue 12

Hao Jiang （Michigan State University）

Dimitri Vayanos （London School of Economic）

Lu Zheng （University of California-Irvine）

Abstract

We study how passive investing affects asset prices. Flows into passive funds disproportionately raise the stock prices of the economy’s largest firms, especially those large firms in high demand by noise traders. Because of this effect, the aggregate market can rise even when flows are entirely due to investors switching from active to passive funds. Intuitively, passive flows increase the idiosyncratic risk of large firms in high demand, which discourages investors from correcting the flows’ effects on prices. Consistent with our theory, prices and idiosyncratic volatilities of the largest S&P500 firms rise the most following flows into that index.

Link: https://doi.org/10.1093/rfs/hhaf085

Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets

原刊和作者：

The Review of Financial Studies, Volume 38, Issue 12

Joost Driessen （Tilburg University）

Sebastian Ebert （Heidelberg University）

Joren Koëter （Erasmus University）

Abstract

We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the Ⅱ-CAPM—generates several new predictions: (i) skewness has a positive price effect, amplified by volatility; (ii) the price effect of volatility is negative for left-skewed assets but positive for right-skewed assets; and (iii) option-implied variance premiums for stocks have a U-shaped relation to skewness, amplified by volatility. We find strong empirical support for these predictions. Finally, we show that the Ⅱ-CAPM predicts an exaggerated co-movement of assets and can explain the correlation premium.

Link: https://doi.org/10.1093/rfs/hhaf045

Continuous-Time Fama-MacBeth Regressions

原刊和作者：

The Review of Financial Studies, Volume 38, Issue 12

Yacine Aït-Sahalia （Princeton University）

Jean Jacod （Université Paris VI Pierre et Marie Curie）

Dacheng Xiu （University of Chicago）

Abstract

We develop an asymptotic framework for conducting inference on continuous-time asset pricing models using high-frequency returns over an increasing time horizon. Our study focuses on the identification and estimation of risk premiums associated with the continuous component and jumps of various size brackets. We extend the classical Fama-MacBeth regression from the discrete-time setting to a continuous-time factor model, incorporating general dynamics for factors, idiosyncratic components, and factor loadings. Our empirical analysis of U.S. equities, foreign exchange, and commodities underscores the distinct significance of continuous and jump risk premiums for the specific factors constructed within each asset class in determining expected returns.

Link: https://doi.org/10.1093/rfs/hhaf072

Investor Sentiment and the Pricing of Characteristics-Based Factors

原刊和作者：

The Review of Financial Studies, Volume 38, Issue 12

Zhuo Chen （Tsinghua University）

Bibo Liu （Tsinghua University）

Huijun Wang （Auburn University）

Zhengwei Wang （Tsinghua University）

Jianfeng Yu （Tsinghua University）

Abstract

Previous research reveals that return spreads between stocks with high and low characteristics-based factor beta remain insignificant. This study investigates the time variation in the pricing of various characteristics-based factors, uncovering a notable two-regime pattern: high-beta portfolios yield higher returns than low-beta portfolios post high-sentiment periods, while the opposite occurs post low-sentiment periods. Remarkably, this two-regime pattern is completely reversed for macro factors. Mutual fund and hedge fund returns corroborate these findings. Our results suggest that exposure to characteristics-based factors likely represents mispricing levels, particularly during high-sentiment periods, whereas exposure to macro factors likely represents risk, particularly during low-sentiment periods.

Link: https://doi.org/10.1093/rfs/hhaf053

Anticipatory Trading Against Distressed Mega Hedge Funds

The Review of Financial Studies, Volume 38, Issue 12

Vikas Agarwal （Georgia State University）

George O. Aragon （Arizona State University）

Vikram K. Nanda （University of Texas at Dallas）

Kelsey D. Wei （University of Texas at Dallas）

Abstract

Stocks expected to be sold by distressed mega hedge funds (MHFs) face anticipatory institutional selling and increased short interest. However, no evidence of anticipatory trading is found in stocks held by nondistressed MHFs, distressed non-MHFs, or stocks confidentially held by distressed MHFs, suggesting that public portfolio disclosure by large and closely followed distressed investors, and not common investment signals, drives anticipatory trading. Distressed MHFs with greater exposure to such anticipatory trading suffer 2.21% lower style-adjusted returns. Stocks subject to anticipatory trading experience negative abnormal returns followed by reversals, indicating the price destabilizing effect of anticipatory trading.

Link: https://doi.org/10.1093/rfs/hhaf082