We examine how social norms measured by religiosity influence institutional investors’ willingness to lend stock and constrain short selling in the U.S. markets. We find that firms with blockholders located in higher religiosity areas are associated with lower supply and higher utilization of lendable shares, but are not related to the demand for stock borrowing. Short interest, utilization rates, and lending fees, when combined with high blockholder religiosity, are stronger negative predictors of future stock returns. Our findings suggest that the social norms of institutional investors serve as a source of limits to arbitrage, which hinders market efficiency through stock lending.

We examine the impact of staggered high-speed rail (HSR) connection events between city pairs in China on retail investor behavior and stock market equilibrium outcomes. We find that HSR introductions between investor-firm city pairs promote intercity retail block purchases and cross-city web searches, and increase return comovement among firms in connected cities. Enhanced city connectivity is associated with improved firm valuation, increased turnover, better liquidity, and reduced prevalence of large trades. These effects tend to be driven by connected city pairs with a distance below 1,500 km, for which HSR is faster than flying.

We analyze online stock posts to identify dynamic intercity investment preferences among Chinese investors. By inferring city connections using recent posts on local stocks mentioning other cities, we find that firms in highly connected cities exhibit higher stock valuations, greater turnover, higher idiosyncratic volatility, improved liquidity, and reduced crash risk. The network effects are more pronounced among less visible firms and induce intercity return comovement. Better stock performances in connected cities predict subsequent local stock return reversals as well as elevated intercity retail block trading. Our findings suggest that city connectivity, revealed through social media content, influences firm outcomes, investor behavior, and market efficiency.

Beyond a bias toward local stocks, investors prefer companies in certain cities over others. This study uses the geographic network of investor-followed stocks from stock watchlists to identify intercity investment preferences in China. We measure the city-pair connectivity by its likelihood of sharing an investor in common whose stock watchlist is highly concentrated in the firms of that city pair. We find that a higher connectivity-weighted aggregate stock demand-to-supply ratio across connected cities is associated with higher stock valuations, higher turnover, better liquidity, and lower cost of equity for firms in the focal city. The effects are robust to controls for geographic proximity and the broad investor base, are stronger among small firms, extend to stock return predictability, and imply excess intercity return comovement. Our results suggest that city connectivity revealed on the stock watchlist helps identify network factors in asset pricing.

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We provide the first systematic analysis of the stock return lead-lag effect among firms connected through shared analyst coverage in China’s A-share markets. We measure the shared analysts-weighted average returns of connected firms （CF） and show that CF return is a significant positive predictor of future returns of the focal firms in the following one to 12 months. The CF-based long-short portfolio earns an abnormal return of 10% to 12% per year. The effect is robust to controls for the industry and geographic momentum effects. Further evidence shows that the CF momentum spillover effect is stronger when the focal firm shares more analysts with connected firms， is covered by more non-star analysts or analysts with lower levels of education， or is held by more stress-resistant institutional investors. Our findings contribute to the cross-asset momentum literature by documenting a new， strong， and long-lasting momentum spillover effect in the Chinese stock markets.

We study when CEOs with legal expertise are valuable for firms. In general, lawyer CEOs are negatively associated with frequency and severity in employment civil rights, contract, labor, personal injury, and securities litigation. This effect is partly induced by the CEO’s management of litigation risk and reduction in other risky policies. Lawyer CEOs are further associated with an increase in gatekeepers providing additional legal oversight and a decrease in innovative activities with high litigation risk. Lawyer CEOs are more valuable during periods of enhanced compliance requirements and regulatory pressure and in industries with high litigation risk or better growth opportunities.

We examine whether management earnings forecasts (MEFs) help reduce the stock return seasonality associated with earnings seasonality around earnings announcements (EAs) in Chinese A-share markets. We find that firms in historically low earnings seasons outperform firms in high earnings seasons by 2.1% around MEFs. Firms in low earnings seasons also have higher trading volume and return volatility than their counterparts around EAs and MEFs. MEFs significantly reduce the ability of historical seasonal earnings rankings to negatively predict announcement returns, volume and volatility around EAs. The reduction effects are stronger when MEFs are voluntary or made closer to EAs. The evidence suggests that MEFs facilitate the correction of investors' tendency to extrapolate earnings seasonality and its resulted stock mispricing.

Download This Paper Open PDF in Browser Share: Permalink Using these links will ensure access to this page indefinitely Copy URL Culture and Stock Lending 35 Pages Posted: 23 Jun 2023 See all articles by Danling JiangDanling JiangCollege of Business, Stony Brook UniversityBaixiao LiuPeking University HSBC Business SchoolSteven Chong XiaoUniversity of Texas at Dallas - Naveen Jindal School of Management Date Written: March 20, 2023 Abstract We find that institutional investors' local culture of religiosity influences their stock lending decisions and short-sell constraints. Firms with higher ownerships by blockholders located in more religious counties are associated with higher utilization of lendable shares. This effect is driven by a lower supply of, rather than a higher demand for, lendable shares. Stock lending fees of such firms are higher, and higher short interests of such firms more strongly predict lower future stock returns. Our findings show that cultural norms influence stock lending markets and impose constraints on short selling. Keywords: Culture, Religiosity, Blockholder, Stock Lending, Short-Sale Constraints JEL Classification: G11, G12, G14, G32 Suggested Citation: Suggested Citation Jiang, Danling and Liu, Baixiao and Xiao, Steven Chong, Culture, Religion, and Short-Sale Constraints (March 20, 2023). Available at SSRN: https://ssrn.com/abstract=4484971 or http://dx.doi.org/10.2139/ssrn.4484971 Danling Jiang College of Business, Stony Brook University ( email ) 306 Harriman HallStony Brook, NY 11794United States HOME PAGE: http://sites.google.com/site/danlingjiang Baixiao Liu (Contact Author) Peking University HSBC Business School ( email ) Steven Chong Xiao University of Texas at Dallas - Naveen Jindal School of Management ( email ) P.O. Box 830688Richardson, TX 75083-0688United States Download This Paper Open PDF in Browser Do you have a job opening that you would like to promote on SSRN? Place Job Opening Paper statistics Downloads 4 Abstract Views 23 48 References PlumX Metrics Feedback Feedback to SSRN Feedback (required) Email (required) Submit If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.

We study the relationship between common factor betas and the expected overnight versus intraday stock returns. Using data from the Chinese A-share markets, we find that the Fama-French five-factor betas and expected returns exhibit contrasting relationships overnight versus intraday. The market, value, and profitability factors earn positive beta premiums overnight and negative premiums intraday, while the size and investment factors' beta premiums behave oppositely. The night and day factor beta premium differentials are more muted among stocks with higher investor sophistication and vary across macroeconomic conditions. The contrasting day and night beta premiums extend to some other common factors and Chinese B shares, and vary their signs for some factors in the U.S. market.

Purpose: Neuroinflammation is a significant reason for the occurrence and development of cognitive dysfunction. This study aims to evaluate the important role of Heat shock protein 22 (Hsp22) in the hippocampal neuroinflammation and cognitive impairment in mice by regulating the NLRP3/Caspase-1/IL-1β signaling pathway.Methods: Intraventricular injection (icv) or lipopolysaccharide (LPS) stimulation methods were used to establish a mouse model of cognitive dysfunction and a model of microglia inflammation. Morris water maze (MWM) was used to evaluate cognitive behavior. Enzyme-linked immunosorbent assay (ELISA) was used to detect the level of inflammatory factors. Western blot analysis of protein expression. Tunel method to detect cell apoptosis. Hematoxylin and eosin (H&E) staining, Nissl staining were used to observe neuronal morphology, Immunohistochemical detection of hippocampal positive cells.Results: Compared with the control group, the mice 24h after LPS treatment showed obvious learning and memory impairment in the MWM experiment. The expressions of NLRP3, Caspase-1 and pro-inflammatory cytokines IL-1β, IL-6 and TNF-α in the hippocampus and BV2 microglia of mice increased, the number of hippocampal apoptotic cells increased, the level of BCL-2 increased, and the level of BAX decreased. The mice treated with the Hsp22-encoding plasmid can significantly improve the impaired cognitive function and inhibit hippocampal neuroinflammation, which is manifested by reducing the NLRP3/Caspase-1/IL-1β axis, the expression of pro-inflammatory cytokines, microglia activation and apoptosis of hippocampal cells. This study confirmed for the first time that Hsp22 can inhibit the activation of the NLRP3/Caspase-1/IL-1β signaling pathway in the hippocampus of mice with cognitive impairment.Conclusion: The overexpression of Hsp22 after LPS administration may inhibit the activation of NLRP3/Caspase-1/IL-1β pathway and improve hippocampal neuroinflammation and cognitive dysfunction in model mice. These findings point out a promising approach for the treatment of cognitive impairment.

PurposeThis paper intends to study how geographic heterogeneity in urban vibrancy, especially in human capital creation, helps explain persist firm valuation dispersion across cities in China.Design/methodology/approachThis paper studies geographic differences in firm valuations of 1,023 listed companies headquartered in 35 major cities in China from 2001 to 2018. The authors estimate panel regressions of local firm Tobin's q on city fixed effects or city endowed attributes in human capital creation after controlling industry-year fixed effects as well as a set of firm and city time variant attributes.FindingsThe results show persistent, significant city-to-city differences in Tobin's q, especially among large, mature or high labor-intensive firms. To explain such geographic differences in firm valuations, the authors identify several factors of the endowed city competitive advantages in creating human capital that play important roles in explaining the persistent geographic firm valuation premia.Originality/valueThis paper provides the first systematic analysis of urban vibrancy in human capital supply in explaining persistent geographic firm valuation dispersion in China. The evidence suggests that city endowed comparative advantages in supplying human capital have created long-lasting, and growing, shareholder wealth by attracting and retaining talents and human resources in local firms.

Many corporate executives believe blockchain technology is broadly scalable and will achieve mainstream adoption, yet there is little evidence of significant shareholder value creation associated with corporate adoption of blockchain technology. We collect a broad sample of firms that invest in blockchain technology and examine the stock price reaction to the “first” public revelation of this news. Initial reactions average close to +13% and are followed by reversals over the next 3 months. However, we report a striking difference based on the credibility of the investment. Blockchain investments that are at an advanced stage or are confirmed in subsequent financial statements are associated with higher initial reactions and little or no reversal. The results suggest that credible corporate strategies involving blockchain technology are viewed favorably by investors.

We examine how pre-announcement weather conditions near a firm's major institutional investors affect stock market reactions to firms' earnings announcements. We find that unpleasant weather experienced by institutional investors leads to more delayed market responses to subsequent earnings news. Moreover, unpleasant weather of institutional investors is associated with higher earnings announcement premia. The influence of institutional investors' weather is robust after controlling for New York City weather, extreme weather conditions, and firm local weather. Additional cross-sectional evidence suggests that the strength of this weather effect is related to institutional investors' trading behavior.

We study the effects of mortgage debt and informal home loans on stock ownership. Mortgage debt is typically originated with licensed financial institutions while informal home loans are obtained from private lending. Using the China Household Finance Survey data, we show that mortgage debt has a positive relationship, while informal home loans have a negative relationship, with a household's likelihood and degree of subsequent stock market participation. Instrumental variable estimates identify a causal impact of these effects. Further tests demonstrate cross-sectional variations of these effects across urban development, education, financial literacy, loan interest rate, maturity, and funding sources.

Many corporate executives believe blockchain technology is broadly scalable and will achieve mainstream adoption, yet there is little evidence of significant shareholder value creation associated with corporate adoption of blockchain technology. We collect a broad sample of firms that invest in blockchain technology and examine the stock price reaction to the first public revelation of this news. Initial reactions average close to +13% and are followed by reversals over the next three months. However, we report a striking difference based on the credibility of the investment. Blockchain investments that are at an advanced stage or are confirmed in subsequent financial statements are associated with higher initial reactions and little or no reversal. The results suggest that credible corporate strategies involving blockchain technology are viewed favorably by investors.

以2002年至2018年A股上市公司的季报量化了公司的盈利季节性,考察了市场对盈利季节性的反应,并从行为金融学的角度解释了其原因.研究发现,相较于盈利旺季而言,股票在其盈利淡季的盈余公告发布期间能够获得更大的累计超额收益,且买入盈利淡季股票、卖出盈利旺季股票的套利组合在经过标准风险因子的调整后每月能够获得显著为正的超额收益;同时,相较于其他季度而言,股票在盈利淡季的盈余公告发布后具有更大的未预期盈余.结果表明,由于市场参与者受代表性启发(representativeness heuristic)认知方式的影响,对盈利淡季近几年持续的低盈利情况反应过度,因此对该季度的盈利产生悲观情绪而低估该季度的盈利,故盈利淡季的盈余公告发布后能获得更大的超额收益.

Existing research has found cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. We hypothesize that assets’ different sensitivities to investor mood explain these effects and imply other seasonalities. Consistent with our hypotheses, relative performance across individual stocks or portfolios during past high or low mood months and weekdays tends to recur in periods with congruent mood and reverse in periods with noncongruent mood. Furthermore, assets with higher sensitivities to aggregate mood—higher mood betas—subsequently earn higher returns during ascending mood periods and earn lower returns during descending mood periods.

This article proposes a semi-martingale approximation to a fractional Lévy process that is capable of capturing long and short memory in the stochastic process together with fat tails. The authors use the semi-martingale process in option pricing and empirically compare its performance to other option pricing models, including a stochastic volatility Lévy process. They contribute to the empirical literature by being the first to report the implied Hurst index computed from observed option prices using the Lévy process model. Calibrating the implied Hurst index of S&P 500 option prices in a period that covers the 2008 financial crisis, they find that the risk-neutral measure is characterized by a short memory in turbulent markets and a long memory in calm markets. TOPICS:Options, statistical methods, performance measurement