本文精选了金融经济学领域国际顶刊《Journal of Financial Economics》近期发表的论文，提供金融经济学研究领域最新的学术动态。

Systematic default and return predictability in the stock and bond markets

原刊和作者：

Journal of Financial Economics Volume149, Issue3

Jack Bao （University of Delaware）

Kewei Hou （Ohio State University）

Shaojun Zhang （Ohio State University）

Abstract

We construct a measure of systematic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. Systematic default spikes during recessions, is correlated with macroeconomic indicators, and predicts future realized defaults. More importantly, it predicts future equity and corporate bond index returns both in- and out-of-sample. Finally, we find that the cross-section of average stock returns is related to firm-level exposures to systematic default risk.

Link: https://doi.org/10.1016/j.jfineco.2023.05.006

Momentum turning points

原刊和作者：

Journal of Financial Economics Volume149, Issue3

Christian L. Goulding （Auburn University）

Campbell R. Harvey （Duke University）

Michele G. Mazzoleni （STRS Ohio）

Abstract

We use slow and fast time-series momentum to characterize four stock market cycles—Bull, Correction, Bear, and Rebound. The steep market declines of Bears concentrate in high-risk states, yet predict negative expected returns, which is difficult to rationalize by most models of time-varying risk premia. Using a model to analyze slow and fast momentum strategies, we estimate both relatively high mean persistence and realization noise in U.S. stock market returns. Intermediate-speed momentum portfolios, formed by blending slow and fast momentum strategies, translate predictive information in market cycles into positive unconditional alpha, for which we propose a novel decomposition.

Link: https://doi.org/10.1016/j.jfineco.2023.05.007

Index providers: Whales behind the scenes of ETFs

原刊和作者：

Journal of Financial Economics Volume149, Issue3

Hyelim Oh （Sogang University）

Khim-Yong Goh （National University of Singapore）

Tuan Q. Phan （University of Hong Kong）

Abstract

Most ETFs replicate indexes licensed by index providers. We show that index providers wield strong market power and charge large markups to ETFs that are passed on to investors. We document three stylized facts: (i) the index provider market is highly concentrated; (ii) investors care about the identities of index providers, although they explain little variation in ETF returns; and (iii) over one-third of ETF expense ratios are paid as licensing fees to index providers. A structural decomposition attributes 60% of licensing fees to index providers’ markups. Counterfactual analyses show that improving competition among index providers reduces ETF expense ratios by up to 30%.

Link: https://doi.org/10.1016/j.jfineco.2023.06.003