本文是2024年论文速递系列的第十四篇文章，我们提供了2025 AFA Annual Meeting Program中Mutual Fund and Hedge Fund Performance和Asset Pricing: Climate Change/Climate Finance两个session的论文中文及英文摘要，供读者参考。
(Not) Everybody's Working for the Weekend: A Study of Mutual Fund Manager Effort来源：AFA 2025, Mutual Fund and Hedge Fund Performance Paper Session作者：Boone Bowles, Richard Evans
Abstract：We develop a novel measure of effort to revisit the fundamental questions of asset management: how does effort relate to incentives; and how does effort affect performance? Using unique observations of daily work activity, we define mutual fund manager effort by focusing on weekends. We find that managers facing competitive incentives exert more weekend effort. Focusing on within-advisor variation, we find that more effort follows outflows and increased volatility. Regarding future performance, more effort is followed by higher returns, especially for funds with competitive incentives, high active share, and low turnover. Finally, we use exogenous variation in effort due to weather conditions to demonstrate a causal link between effort and future returns.摘要：我们提出了一种全新的努力衡量指标，以重新审视资产管理中的基本问题：努力如何与激励相关联，其如何影响表现？利用日常工作活动的独特观测数据，我们通过聚焦周末定义了基金经理的努力。我们发现，面临竞争性激励的经理在周末表现出更多的努力。聚焦在顾问内部变化，我们发现更多的努力通常出现在资金外流和波动性增加之后。至于未来表现，更多的努力通常伴随更高的回报，尤其是在具有竞争性激励、高主动管理比例和低换手率的基金中。最后，我们利用天气状况导致的努力外生变化展示了努力与未来回报之间的因果关系。Displaced by Big Data: Evidence from Active Fund Managers来源：AFA 2025, Mutual Fund and Hedge Fund Performance Paper Session
作者：Thierry Foucault, Maxime Bonelli
Abstract：Big data allows active asset managers to find new trading signals but doing so requires new skills. Thus, it can reduce the ability of asset managers lacking these skills to produce superior returns. Consistent with this hypothesis, we find that the release of satellite imagery data tracking firms' parking lots reduces active mutual funds’ stock picking abilities in stocks covered by this data. This decline is stronger for funds more likely to rely on traditional sources of expertise, leading them to divest from covered stocks. These results suggest that big data has the potential to displace high-skill workers in finance.摘要：大数据使得主动资产管理者能够发现新的交易信号，但这需要新的技能。因此，它可能会削弱缺乏这些技能的资产管理者获得超额收益的能力。与这一假设一致，我们发现，当用于追踪公司停车场的卫星影像数据发布后，主动型共同基金对于该数据覆盖的股票选股能力下降。对于更依赖传统专业知识的基金，这一下降更为明显，导致它们减少对这些覆盖股票的投资。研究结果表明，大数据有潜力取代金融领域的高技能工作者。Remeasuring Scale in Active Management来源：AFA 2025, Mutual Fund and Hedge Fund Performance Paper Session作者：Shiyang Huang, Lu Xu, Yang Song, Hong Xiang
Abstract：We argue at least 65% more total assets should be included in estimating scale of actively managed portfolios. By merging two major datasets on institutional products, we identify trillions of institutional assets that are managed under the same investment strategy as their twin mutual funds with an average return correlation of 99.9%. Overlooking the assets under management for institutional products skews crucial estimates in asset management research. We show that after including these assets in the scale metric reduces fund-level (industry-level) diminishing returns to scale of mutual funds by up to 90% (50%), suggesting a larger capacity of active asset management than the literature believed. We also observe that dollar value added of active strategies is more substantial and persistent than past assessments suggested.摘要：我们认为，在估计主动管理投资组合的规模时，至少有65%的更多的总资产需要被纳入。通过合并两个主要的机构产品数据集，我们识别出与其对应的共同基金采用相同的投资策略，并且平均回报相关性达99.9%的数万亿美元机构资产。忽视机构产品的管理资产会导致资产管理研究中关键估计指标的偏差。本文表明，将这些资产纳入规模指标后，基金层面（行业层面）共同基金规模收益递减的程度可降低高达90%（50%），这表明主动资产管理的容量比文献中所认为的要大得多。我们还观察到，主动管理策略所增加的美元价值比过去评估所认为的要更加显著和持久。
Volatility Timing Using ETF Options: Evidence from Hedge Funds来源：AFA 2025, Mutual Fund and Hedge Fund Performance Paper Session作者：George Aragon, Shuaiyu Chen, Zhen Shi
Abstract：We find that hedge funds’ positions in exchange-traded fund (ETF) options contain volatility information about underlying ETF returns. Greater hedge fund option demand predicts higher variance of ETF returns over the following quarter and on days of macroeconomic news releases. The predictive power holds for options on both equity and non-equity ETFs, like fixed income and currency ETFs. A tracking portfolio of straddles based on funds’ straddle positions earns quarterly abnormal returns of 7.95%. Net of fees, funds using ETF straddles deliver lower risk and higher benchmark-adjusted returns than nonusers. We conclude that ETF options are an important venue for market volatility timing strategies.摘要：我们发现，对冲基金在ETF期权上的持仓包含关于标的ETF收益率波动率的信息。更高的对冲基金期权需求可以预测下一季度及宏观经济新闻发布日ETF收益率的更大方差。该预测能力对股票类期权和如固定收益和货币ETF这样的非股票类ETF期权同样适用。基于基金跨式期权持仓的跟踪组合在季度内获得了7.95%的异常回报。扣除费用后，使用ETF跨式期权的基金相较于未使用的基金表现出较低的风险和较高的基准调整后回报。我们认为，ETF期权是应用市场波动率择时策略的一个重要领域。
来源：AFA 2025, Asset Pricing: Climate Change/Climate Finance Paper Session作者：Stefania Damico, Johannes Klausmann, Aaron Pancost
Abstract：Exploiting the unique "twin'" structure of German government green and conventional securities, we use a dynamic term structure model to estimate a frictionless sovereign risk-free greenium, distinct from the yield spread between the green security and its conventional twin (the green spread). The model purifies the green spread from confounding and idiosyncratic factors unrelated to environmental concerns. While the model-implied greenium exhibits a significant relation with proxies of shocks to climate concerns---and the green spread does not---the green spread correlates with stock market prices and measures of flight-to-quality. We also estimate the greenium term structure and expected green returns.摘要：利用德国政府绿色证券与传统证券的独特“孪生”结构，我们采取动态期限结构模型来估计无摩擦的主权无风险绿色溢价，这一溢价不同于绿色证券与其传统“孪生”证券之间的收益率价差（绿色价差）。该模型从绿色溢价中剔除了与环境关注无关的混杂和异质性因子。虽然模型推导出的绿色溢价与气候关注冲击的代理变量显著相关，而绿色溢价本身与这些冲击无关，但绿色溢价与股票市场价格和安全投资转移指标相关。我们还估计了绿色溢价的期限结构和预期绿色回报。来源：AFA 2025, Asset Pricing: Climate Change/Climate Finance Paper Session作者：Niels Gormsen, Kilian Huber, Sangmin Oh
Abstract：Firms' perceived cost of green capital has decreased since the rise of sustainable investing. Green and brown firms perceived their cost of capital to be the same before 2016, but after the post-2016 surge in sustainable investing, green firms perceived their cost of capital to be on average 1 percentage point lower. This difference has widened as sustainable investing has intensified. Within some of the largest energy and utility firms, managers have started applying a lower cost of capital to greener divisions. The changes in the perceived cost of green capital incentivize cross-firm and within-firm reallocation of capital toward greener investments.摘要：自可持续投资兴起以来，企业对绿色资本成本的感知有所下降。在2016年之前，绿色企业与棕色企业对资本成本的感知相同，但在2016年可持续投资激增后，绿色企业感知的资本成本平均低1个百分点。这一差距随着可持续投资的加剧进一步扩大。在一些大型能源和公用事业公司中，管理者已经开始对较绿色的业务部门应用较低的资本成本。对绿色资本成本感知的变化激励了企业间和企业内部的资本向更绿色投资的重新分配。Climate Transition Risk and Energy Prices来源：AFA 2025, Asset Pricing: Climate Change/Climate Finance Paper Session作者：Viral Acharya, Stefano Giglio, Stefano Pastore, Johannes Stroebel, Zhenhao Tan
Abstract：We build a general equilibrium model to study how climate transition risks affect energy prices. Fossil fuel firms have existing capacity, but their technology to produce energy entails carbon emissions. Renewable energy firms produce energy without generating carbon emission but cannot currently supply to non-electrifiable sectors of the economy. We consider two sources of climate transition risk for fossil fuel firms: (i) the possibility of a technological breakthrough that improves renewable energy firms' ability to provide energy to all sectors, and (ii) the introduction of taxes on carbon emissions and new fossil fuel production capacity. Such transition risks make it less attractive for fossil fuel firms to create new capacity that might get stranded in the future. However, if breakthrough technologies do not arrive, this reduced capacity will lead to higher energy prices, in particular for non-electrifiable sectors. This, in turn, can create incentives for incumbent fossil fuel firms to carry existing inventories to the future, reducing supply and raising prices today. We show how an optimally implemented tax policy, which sets a lower carbon tax and a higher tax on new fossil fuel production capacity as the green transition becomes more likely, can mitigate the risk of higher energy prices while maximizing social welfare. We present several testable implications based on this counterintuitive effect of transition risk on energy prices and provide preliminary empirical support.摘要：我们构建了一个一般均衡模型，研究气候转型风险如何影响能源价格。化石燃料企业拥有现有产能，但其生产技术会产生碳排放。可再生能源企业在不产生碳排放的情况下生产能源，但目前无法为经济中不可电气化的部门提供能源。我们考虑了化石燃料企业面临的两种气候转型风险来源：(i) 可再生能源企业能够为所有部门提供能源的技术突破的可能性，以及 (ii) 碳排放和新化石燃料生产能力的税收引入。这些转型风险降低了化石燃料企业建立新产能的吸引力，因为未来这些产能可能会搁置。然而，如果技术突破未能实现，这种产能减少将导致能源价格上升，尤其是对于不可电气化的部门。这反过来会激励现有化石燃料企业将库存保留至未来，从而减少当前供应并推高价格。我们展示了一种随着绿色转型可能性增加而降低碳税并提高新化石燃料生产能力税的最优实施税收政策如何在最大化社会福利缓解高能源价格的风险。我们基于这种转型风险对能源价格的反直觉效应提出了若干可检验推论，并提供了初步的实证支持。来源：AFA 2025, Asset Pricing: Climate Change/Climate Finance Paper Session作者：Tristan Jourde, Quentin Moreau
Abstract：This paper introduces a novel market-based framework to study the effects of tail climate risks in the financial sector. Beyond identifying financial institutions most vulnerable to physical and transition climate risks, our framework explores the potential for these risks to induce contagion effects within the financial sector. Based on the securities of large European financial institutions spanning 2005 to 2022, we show that, unlike physical risks, transition risks significantly and increasingly influence systemic risk in the financial sector. We find that financial institutions with cleaner investment and lending portfolios and with a long-term orientation exhibit lower exposure to transition risks, providing valuable guidance to financial institutions and regulators in addressing climate-related financial risks.摘要：本文引入了一个基于市场的全新框架，以研究尾部气候风险对金融部门的影响。除了识别最易受到物理和转型气候风险影响的金融机构外，我们的框架还探讨了这些风险在金融部门内引发传染效应的可能。基于2005年至2022年间大型欧洲金融机构的证券数据，我们发现，与物理风险不同，转型风险显著且越来越多地影响着金融部门的系统性风险。我们发现，拥有更清洁的投资和贷款组合且具有长期导向的金融机构，其转型风险暴露较低。这为金融机构和监管者在应对气候相关的金融风险方面提供了有价值的指引。
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