This paper investigates how social interactions among fund managers influence their investment decisions. Exploiting a unique dataset of corporate site visits in China, we document that managers who co-attend site visits exhibit significantly greater portfolio similarity subsequently, with the estimated incremental same-day effect implying an increase in holding overlap equal to 7.56% of the sample mean. To mitigate concerns that such alignment reflects pre-existing shared preferences or common information environments, we employ multiple identification strategies, including extensive controls, high-dimensional fixed effects, and a falsification test based on future co-visits. The effect is larger for repeated co-visits, consistent with a trust-based mechanism of information exchange. Further analysis of trading patterns reveals that co-visiting managers exhibit greater similarity in trades, a greater propensity to invest in opaque stocks, and superior risk-adjusted returns, suggesting that these co-visits facilitate the exchange of economically relevant private information.

We study the effect of housing leverage, measured using the loan-to-value (LTV) ratio, on homeowners' retirement decisions. We find that in general, elevated LTV ratios delay retirements. By decomposing the changes of the current LTV ratio into (1) equity extractions, (2) equity build-up, (3) home value increases, and (4) home value decreases, we find that equity extractions and declining home value drive the negative relationship between housing leverage and retirement. In contrast, retirement decisions are less responsive to equity build-up and home value appreciation. Our results suggest that the influence of housing leverage on retirement decisions is path-dependent and asymmetric. We also find that transitions into retirement are more sensitive to home price declines, and retirement reversals are often triggered by equity extraction. Further analyses also reveal that the impact of housing leverage on retirement differs by household age and financial constraints, and it also varies across different stages of a housing market cycle.

We investigate the application of machine learning algorithms for predicting stock price crash risks by employing a set of firm-specific characteristics of the Chinese stock market. The results suggest that machine learning techniques are superior in capturing the nuances of stock price crash risk, particularly through profitability and value versus growth features. These techniques perform well within state-owned enterprises and during periods of low economic policy uncertainty, and predictive insights primarily originate from intra-industry dynamics. In addition, we offer corporate finance- and financial market-based interpretations of machine learning's predictability, as well as a comprehensive understanding of its key determinants.

This paper examines the peer effects of Environmental, Social, and Governance (ESG) activities under common ownership, focusing on firms from different industries and diverse locations. We find that firms commonly held by institutional investors tend to comove in their ESG activities even after excluding industry and location links. These findings are robust after controlling for endogeneity concerns. We demonstrate that common owners actively shape ESG practices, leading to greater ESG alignment among their portfolio firms through both "voice" and "exit" strategies. Additionally, the ESG peer effects are stronger in highly competitive industries and those with high stakeholder sensitivity. Our overall results underscore the monitoring role of common institutional investors.

This paper explores how early-life exposure to natural disasters, specifically earthquakes, induces environmental-friendly actions in China's manufacturing sector. We establish that early-life earthquake experiences lead to a reduction in enterprises' pollutant emissions, an effect that persists for up to a decade and gradually diminishing over time. Delving into the experimental economics and psychology literature, we identify key drivers of environmentally responsible behavior in firms, including long-term time preferences, prosocial behaviors, and risk-taking attitudes. The pollutant reduction effect is more prevalent in firms with stronger performance, those that are nonstate-owned, operate in heavy-polluting industries, and have endured severe earthquakes. Our research expands the understanding of climate risk, post-traumatic growth, and factors influencing corporate pollutant emissions, offering valuable insights into how individuals' preferences can be nurtured to support environmental protection efforts.

This paper investigates whether and how share pledging by controlling shareholders affects stakeholder wealth using Chinese listed firms from 2007 to 2018. Employing corporate social responsibility (CSR) as a proxy for stakeholder welfare, we find that share pledging impedes a firm's overall CSR, reduces activities associated with CSR strength scores, as well as dimensions related to the benefits of primary stakeholders. We further show that both the potential risks of being replaced and the actual margin call risks faced by controlling shareholders aggravate the negative relation between pledging and CSR, while the external monitoring and financial constraint channels do not seem to explain the negative relation. The evidence suggests that the controlling shareholders' management of pledging risks is the underlying mechanism through which pledging impedes CSR and extracts benefits from stakeholders.

移动互联网时代,自媒体正在对金融市场发挥着愈发重要的影响.通过爬取2015-2019 年间微信公众平台上与A股上市公司相关的文章,本文构造了自媒体信息生产相关指标,并由此探讨了金融市场中自媒体信息生产的逻辑与特征.研究发现,自媒体在金融市场中的信息生产遵循需求导向原则.上市公司信息披露质量越差,自媒体关注度就越高,并且该效应在信息生产成本较高的分析类文章中较为明显.渠道分析显示,低质量的信息披露会引起更大的意见分歧度,并由此导致更多的自媒体信息供给.在信息需求一定的情况下,传统新闻媒体和分析师会部分替代自媒体的金融信息生产.最后,基于文本分析的结果显示,上市公司信息披露质量越差,自媒体就会越多地使用负面词语并表现出鲜明立场倾向,从而可以同时满足受众的信息需求和情感需求.

本文使用全球辛迪加贷款数据,研究了美国货币政策溢出效应对其他经济体贷款者风险承担水平的影响.结果显示,宽松(紧缩)的美国货币政策会显著提升(降低)其他经济体贷款者的风险承担水平.渠道分析表明,美国货币政策通过离岸美元市场、借款者所在经济体的政策利率和汇率水平、借款者资产价格影响其他经济体贷款者的风险承担水平.异质性分析发现,相较于美国货币政策宽松时期,紧缩时期的美国货币政策对其他经济体的全球溢出效应更为明显,此时借款者所在经济体采取宽松宏观审慎政策进行应对的效果不佳.本文的结论对于我国完善宏观审慎调控框架,应对发达国家货币政策溢出效应、防范化解外部输入性金融风险和维护宏观经济稳定具有启示意义.

This study investigates how exchange-traded fund (ETF) activity affects the informational efficiency of its underlying stocks in the Chinese market, which has several different features from developed markets. We show that increased ETF ownership improves stock liquidity and attracts informed investors, resulting in higher pricing efficiency. By exploiting the heterogeneity of four different types of ETFs in the Chinese market, we show that the informational role of ETFs depends on whether they can be used for intraday trading, which significantly improves underlying securities' liquidity. Our study adds to the ongoing debate on the economic consequences of financial innovations and sheds light on the informational role of ETFs for emerging markets.

This paper investigates the effects of the new asset management regulation on stock price crash risk using data from non-financial firms in the Chinese A-share market from 2007 to 2021. We reveal that the implementation of this regulation significantly curtails crash risk, particularly for firms deeply engaged in shadow banking businesses. Two pivotal mechanisms emerge from our analysis: First, the regulation deters banks from extending credit to firms significantly involved in shadow banking, thereby constraining firms’ high-risk investments and the ensuing crash risk. Second, it propels an increase in corporate information transparency, which cushions against crash risk linked to abrupt negative information disclosure. The regulatory effect is more prominent among non-state-owned enterprises, corporates with high financing constraints, and those run by executives with financial acumen and low operational risk.

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土地定价是土地资源有效配置的核心.通过将复杂的土地投资过程简化为"政府征收"与"开发商开发"这两个相互依赖的决策,本文在复合期权定价框架下,对土地价值进行了再评估,并得到了期权价值、资本化地租等关键函数的解析解.通过使用实际数据对模型进行校准,本文发现,期权溢价在土地价值中占绝对位置,模型估计的土地价值能够较好地解释经济现实.本文的方法与结论对于促进我国土地制度改革、推进城乡协调发展具有现实意义.

This paper investigates whether and why other major shareholders "vote with their feet" when confronted with agency conflicts among shareholders by examining their stock selling behaviors after controlling shareholders pledge their shares. Using a sample of listed Chinese firms from 2007 to 2020, we find that when controlling shareholders increase their pledging, both the number of share selling transactions and the stock values sold by other major shareholders in-crease. This relation is stronger when a firm has a higher level of liquidity, more large share-holders, greater contestability of other major shareholders, and a higher information asymmetry, supporting the "exit" theory. Our findings imply that selling shares is a strategic response by other major shareholders to controlling shareholders' pledging. On the other hand, the liquidity and portfolio rebalancing needs or insider trading of other major shareholders are not the driving forces of their selling behaviors in the case of share pledging. We further document that other major shareholders' "exit" has significant economic implications from the perspective of them-selves and the perspective of firms. "Voting with their feet" helps other major shareholders to avoid potential losses and improves firm valuation, profitability, and stock price efficiency.

采用1997 年—2019 年EPFR基金层面微观数据,从投资者结构出发,研究了全球金融周期对新兴市场跨境股票资本流动的异质性影响及其潜在原因.结果发现,新兴市场的跨境股票基金资本净流入相对全球金融周期呈顺周期性,并且相比于共同基金,交易所交易基金(ETF)对全球金融周期的敏感度是其1.7 倍～1.8 倍.其背后的原因在于,ETF的投资者中有着更高比例的短期投资者和基准指数驱动型投资者.此外,本文还以MSCI-新兴市场指数为例,讨论A股被纳入国际基准指数的影响.并通过宏观层面加总分析,以及进一步分解全球金融周期因子等方法验证了本文结论.本文的政策含义在于,随着中国金融市场进一步扩大开放,政策制定者除了监测跨境证券资本流动的总体规模,还应对资本流动背后的投资者类型和结构进行监测,并由此采取相应的宏微观审慎管理措施以防范外部冲击带来的金融风险.

In this article we examine the impact of bank loan characteristics on firm leverage adjustments, with a special focus on the conflicts of interest between shareholders and creditors. The results show that, on average, more bank loans slow down leverage adjustments. The subsample analysis reveals that bank loans slow down leverage adjustments in underlevered firms but speed up adjustments in overlevered firms. This finding suggests that bank lenders are able to limit their risk exposure in borrowers and protect their own rights. Further evidence indicates that the effect of bank loans is more notable during the global financial crisis and when a firm is financially constrained. Bank loan concentration and maturity have a significant impact on leverage adjustments as well.

This paper studies the connection between share pledging and entrepreneurial activities in China, challenging the common wisdom that share pledging funds circle back to the listed firms. Share pledging funds are at the discretion of the shareholders who pledge their publicly traded shares, and survey evidence shows that a majority of the largest shareholders (67.3%) used pledging funds outside the listed firms. By linking firm registration data with share pledging data, we show a positive relation between shareholders’ pledging transactions and entrepreneurial activities. Utilizing the launch of the exchange market in 2013 as a quasi-natural experiment that favors share pledging by natural person shareholders against that by legal entity shareholders, our difference-in-differences (DiD) analysis shows natural person shareholders increased their entrepreneurial activities significantly in response to the policy shock, relative to legal entity shareholders. In addition to various robustness checks, we also show that shareholders with better access to share pledging invest more heavily in industries with above-median growth potential.

在"十四五"规划提出构建金融有效支持实体经济的体制机制、更好地推动经济高质量发展的大背景下,本文探讨了控股股东股权质押融资这一大股东的重要融资方式,是否以及如何影响上市公司的实体投资.通过创新性地构建控股股东"股权质押融资规模"变量,本文发现,控股股东的股权质押融资会促进企业的实体投资.股权质押融资规模增加1个标准差会使得企业实体投资水平相对于其平均值提高5.76％.通过利用2013年股权质押市场的政策变化,本文借用双重差分模型对内生性问题进行了处理.进一步的分析表明,控股股东质押融资促进企业投资的重要机制为信息渠道而非融资约束渠道.

基于中国A股市场单笔交易不低于10万股的股票交易数据,本文发现一类全新的定价异象——"大单异象",即股票在当月的大单净买量与其下个月的预期收益率之间存在明显的负相关关系,基于该异象构造的多空组合可实现年化20％的收益.此外,在市值规模较小、机构投资者持股比例更低、分析师关注较少以及卖空交易较不活跃的股票中,该异象更为显著.最后,本文基于某券商的微观账户数据和RESSET高频交易数据对大单异象存在的原因进行了解释.我们发现投资者的羊群行为与中小散户对大单交易的过度反应是导致大单异象存在的重要原因.本文的研究对于提升我国资本市场定价效率、改善金融市场投资环境和保护投资者权益均具有一定的启示意义.

Using a comprehensive data of 634 A-share listed firms and 128 commercial banks from 2012 to 2020 in China, and a newly constructed loan-weighted liquidity hoarding (LWLH) variable to measure a firm’s exposure to bank liquidity hoarding shocks, this paper investigates the impact of bank liquidity hoarding on corporate maturity mismatch. We find LWLH would aggravate the corporate maturity mismatch of investment and financing, mainly through shortening firms’ loan maturities or reducing the proportions of long-term credits. The aggregation effects are more prevalent for firms with lower internal financing capacity and higher industry competition. These results imply that the maturity mismatch of listed companies in China is more likely to be an alternative to deal with financial repression, rather than an active behavior for reducing financing costs.