We examine whether the cross-section of stock returns is informative in predicting the Purchasing Managers' Index (PMI) in China. Using an announcement-day approach to estimate stock-level PMI shock sensitivity, we construct a long-short portfolio, the return of which is referred to as the ``PMI spread''. We find that the PMI spread shortly before the announcement positively predicts the PMI shock, whereas the same spread ten-to-eight-days earlier negatively predicts the shock. This pattern is consistent with strategic trading by early-informed investors. Overall, the PMI spread embeds forward-looking macroeconomic information and highlights the price discovery role of China's stock market.

In this paper we measure the CEO reputation based on not only "how the CEO performs" but also "how the CEO is perceived", including three dimensions: firm performance, CEO passive reputation from search engine and proactive reputation management through managers’ microblogging, and document that CEO reputation has a positive effect on corporate innovation. Using a novel data crawling from authenticated microblogs of CEOs, we find that CEO reputation can enhance the level of corporate innovation through two channels: on one hand, it alleviates financing constraints, reduces the cost of equity financing, and promotes equity financing; on the other hand, it enhances the level of collaboration with research and development (R&D) personnel and increases the involvement of academicians in innovation activities. We also show that the impact of proactive reputation management through microblogging is relatively limited comparing to competence and passive media attention.

Exploiting China's anti-corruption campaign in 2012 as a quasi-natural experiment, we find that firms with higher prior entertainment and travel costs (ETC), a proxy for corruption, decrease cash holdings more because of the campaign. We further observe a greater decline in cash values for more corrupt firms. Moreover, the baseline pattern is more pronounced in financially constrained, better-governed, and private enterprises. We also rule out possible confounders concerning firms' financing conditions and investment decisions. Overall, the evidence favours the liquidity hypothesis that firms demand less cash as they anticipate fewer corrupt opportunities in the business environment in the post-campaign era.

This paper explores whether customers' stock price crash risk affects their suppliers' investment efficiency. Using a supply-chain sample of Chinese A-share listed firms from 2009 to 2020, we find that suppliers' investment inefficiency is positively associated with their customers' stock price crash risk. Moreover, the impact of customers' stock price crash risk is more pronounced for suppliers with lower investment efficiency, weaker bargaining power, weaker innovation capability, and fewer investment opportunities. Our results suggest that information asymmetry along supply chains deteriorates the investment decision making of upstream firms from the perspective of capital market.

有效的监管措施有助于提升信息披露质量,而监管政策的威慑效果一直是学界和业界关心的重要问题之一.本文通过手动获取2016-2020年间证监会上市公司现场检查"双随机"抽查的相关数据,以企业预期抽查概率作为监管强度预期的度量,实证分析了"双随机"抽查制度对于上市公司盈余管理行为的威慑作用.研究发现:现场"双随机"抽查机制对上市公司应计盈余管理具有威慑作用,监管强度预期越高的企业,盈余管理行为越弱;企业所在地区市场化水平、法治化水平、企业产权性质以及公司治理水平能够强化这一威慑作用的影响;企业审计费用与监管强度预期呈负相关关系,而对被抽中进行现场检查的企业,审计师会要求更高的审计费用.上述研究结果为评估证监会上市公司现场检查"双随机"制度的效果及其影响提供一定的实证证据.

This paper examines the relationship between the fund managers' tones and future fund performance based on the Chinese mutual fund data. Using the textual analysis method to construct the tone measures of funds' periodic reports, we find that the tone in a fund report is a positive predictor of the fund performance. Funds with positive tones outperform those with negative tones by 2.4% per year on Fama-French three-factor alpha. Differences in fund managers' abilities drive this performance gap: Fund managers with positive tones have stronger stock-picking abilities. We also investigate the influencing factors of fund managers' tones and investors' reactions to managers' tones. Our findings suggest that the tones of funds' reports are informative for investors.

Based on the data of A-share and H-share listed companies from 2001 to 2020, the empirical study finds out that, compared with H-share listing, A-share listing has an additional positive effect on corporate innovation, but this is mainly reflected in the quantity rather than the quality of innovation.Mechanism test shows that A-share listing brings a larger scale of financing, which provides conditions for the expansion of R＆D investment and helps enterprises to innovate.Furthermore, the innovation incentive effect of A-share marketis more pronounced for non-state-owned enterprises and technical industries.

资本市场开放不仅是扩大国际融资、更好地利用国际金融市场的需要,而且对我国资本市场发育和上市公司行为具有多重外部治理效应.本文借助我国内地与香港资本市场互联互通机制这一准自然实验,研究资本市场开放对企业真实盈余管理的影响.研究发现:(1)总体上,"陆港通"的实施显著降低了标的公司真实盈余管理程度;(2)委托代理问题是企业进行盈余管理的重要原因,而"陆港通"开通后,能够缓解标的公司代理矛盾,进而约束管理层的真实盈余管理行为;(3)当资本市场信息环境改善、管理层面临较大股票抛售压力以及大股东监督力度较强时,"陆港通"抑制企业真实盈余管理行为的治理效果更好.本文结果表明,资本市场开放有助于提高我国上市公司财务信息披露质量及公司治理水平.

股权质押后控股股东的控制权与现金流权分离,容易产生掏空动机,进而影响公司过度负债水平.基于2007-2019年A股上市公司数据的实证检验表明,控股股东股权质押显著提高了公司过度负债水平,且这一促进作用在非国有性质、代理问题较严重或融资约束程度较低的公司中更加显著.进一步分析发现,控股股东股权质押比例与公司过度负债之间存在"倒U型"关系.本文为进一步优化公司资本结构、完善公司治理机制提供了有益的理论依据与政策启示.

Using China's National Cooperative Medical Scheme (NCMS), a heavily subsided public medical insurance (PMI) scheme, aiming at covering all rural populations in China, as a quasi-natural experiment, we find that PMI unleashes entrepreneurship in the rural economy. This finding provides supporting evidence for Arrow's risk-shifting theory and enriches the literature on the effect of PMI that has focused mainly on health impact and consumption smoothing. We also demonstrate that PMI increases entrepreneurial investments primarily through the channel of wealth effect resulting from reduced out-of-pocket medical expenses. Besides, the entrepreneurship cultivation effect of PMI is more pronounced among rural households that are wealthier, have fuller insurance coverage, or have younger heads.

高技能人力资本对于我国经济转型的重要性不言而喻.本文以2009-2012年间39个城市集中出台的地方人才引进政策为准自然实验,采用多期政策的双重差分法,结合机制分析和异质性分析,探究了人才政策出台前后区域创新能力的变化及其背后的机制和深层次原因,并分析政策效应在不同的地区营商环境、科教事业投入力度、知识产权保护程度下的差异.本文主要结论包括,地方人才引进政策总体上提高了当地的专利授权总量和专利价值总量;显著增加了研发投入的规模,但创新效率没有得到明显提升;在营商环境较差的地区,政策的效应侧重于提高专利数量,营商环境较好的地区则侧重于提升专利价值;在科教投入力度本身就很大的地区,政策效果较小,在科教投入弱的地区效果会更明显;在知识产权保护程度弱的地区,政策效果更多地表现为提高专利数量,保护程度强的地区,则侧重于提升专利价值.上述结论对地方政府优化人才激励政策、实施创新驱动发展战略具有一定的政策启示.

This paper investigates whether top-tier M&A investment bankers (financial advisors) create value for acquirers with different financial conditions in both the short and long term via analyzing 3420 US deals during 1990–2012. In this paper, deals are divided into three groups based on acquirer financial constraints – acquisitions by constrained, neutral and unconstrained firms. We find that the effects of top-tier bankers are dependent on acquirer financial conditions. Specifically, top-tier advisors improve performance for constrained acquirers rather than neutral, and unconstrained acquirers. Our results show that top-tier investment bankers improve constrained acquirers’ short- (5 days) and long-term (36 months) performance by 1.45% and 24.27% respectively, after controlling for firm, deal and market characteristics. For deals with investment banker involvement, constrained acquirers advised by top-tier advisors have the lowest deal completion rate, and pay the lowest bid premiums; while unconstrained acquirers that retain top-tier investment bankers have the highest deal completion rate, and pay relatively high bid premiums. Our findings imply that constrained acquirers tend to retain top-tier investment bankers to gain superior synergy, while unconstrained acquirers appear to retain top-tier investment bankers to ensure the deal completion.

We examine the influence of political connections on the agency conflicts between controlling shareholders and minority shareholders using the exogenous setting of File 18, which was enforced by China's central government. File 18 restricts officials from taking up positions in corporations. We find that tunneling by the controlling shareholders of politically connected firms has declined significantly since the enforcement of File 18. The decline in tunneling is more pronounced for firms operating in more corrupt regions, and is more significant for firms that are less creditworthy or that have greater financing needs. Our findings are consistent with the fact that political connections motivate tunneling.

本文运用马氏域变向量自回归模型研究我国宏观经济因素变动对股市的影响.宏观因素选取了工业增加值、消费、出口、通胀率、广义货币增速、利率以及人民币兑美元的实际汇率以反映实体经济增长和货币政策变动.本文首先利用马氏域变模型对所选变量不同时期所处状态进行识别,进而分析了各宏观经济变量周期与股市周期之间的关系;在此基础上,对各序列绝对离差建立马氏域变向量自回归模型,并利用其冲击响应函数研究各宏观经济因素波动对我国股市的影响.研究发现,A股收益率和各宏观经济变量变动都具有明显的非线性;在大多数时间里实体经济变动和股市波动保持了较好的协同性,股市周期略领先于实体经济周期;M2的快速增长往往伴随着股市的大幅上涨,但股市大幅上涨阶段并不与M2的快速增长相伴;利率调节对股市周期有显著的负向影响;通货膨胀对股市收益率影响显著;实际汇率变化周期与股市收益率周期相协同.

<span id="ChDivSummary" name="ChDivSummary" class="abstract-text">处置效应是指投资者过早卖出盈利股票而长期持有亏损股票的现象。大量文献表明金融市场投资者存在显著的处置效应,但其产生的原因和机理存在争议。本文在前景理论框架下,构建了包含投资者非理性预期的离散时间投资组合决策模型,发现处置效应随投资者情绪升高而减弱。本文使用我国某券商2007—2009年近177万个人投资者股票账户的交易数据进行了实证分析,得到与理论模型预测的一致结果,即投资者情绪与投资者处置效应之间呈现显著的负相关关系。而且,受情绪影响,投资者处置效应在估值难度较大的股票中更弱。本文结论对理解投资者处置效应、优化投资者卖出决策和加强资本市场基础制度建设具有一定理论和实践意义。</span>

Do investors with concentrated shareholding infringe on the value of more‐fragmented shareholders (‘parasites’) or facilitate the growth of firm value for all shareholders (‘paragons’)? In a major ownership reform of Chinese listed firms, we obtain evidence which suggests that larger minority shareholders undertook certain actions both for a rent‐seeking purpose – that these actions allowed them to reap private benefits at the expense of smaller minority shareholders, and for a value‐creating purpose – to potentially increase firm value after the reform. It is plausible that both drivers co‐existed, but they generated different implications of wealth redistribution. When institutional constraints on rent‐seeking were ineffective, higher concentration of minority shares decreased the immediate gains captured by the small investors who held minority shares at the time of the reform, but increased the future value of the firm to be divided among for all investors, large and small, who held firm shares after the reform.

改善微观企业创新激励对于加快我国经济转型和结构调整至关重要.以2003-2017年中国制造业上市公司为研究样本,可使用公司三类专利申请数量和授权数量衡量企业创新产出.研究发现集中型股权结构会显著抑制企业专利创新产出,关联交易是二者之间的中介变量.由于隧道效应成本远低于研发创新成本,大股东倾向于通过隧道效应掠夺中小股东利益而非通过创新获得长期收益.此外,集中型股权结构会损害公司价值,且对于高科技企业的损害作用更大.政策建议为倡导多元化的股权结构,包括引进与培育能与控股股东抗衡的其他大股东、增加机构投资者持股等.

<span id="ChDivSummary" name="ChDivSummary" class="abstract-text">本文旨在研究房地产抵押价值如何影响公司内部的资源配置,以及高管公职经历在其中所起的作用。结果显示,房地产抵押价值的上涨导致公司投资结构发生转变:公司房地产相关的资本支出显著上升,而房地产无关的资本支出下降。高管公职经历提供了进入管制性行业和获得长期贷款的便利,会加剧公司的房地产多元化行为,且这种效果主要集中于高融资约束企业和非国有企业中。这些发现对经济转型背景下更好地引导资金流向实体经济提供了参考。</span>