Does the value judgement of strategic investors who commit to follow-on investment prior to stock issuance affect IPO pricing? Focusing on the mandatory introduction of strategic investors in IPOs on China's Science and Technology Innovation Board (the STAR Market), we examine whether their value judgement impacts IPO pricing. We find that stocks not favoured by strategic investors, as indicated by undersubscription, tend to exhibit poorer post-IPO returns and weaker firm performance. The value assessments of strategic investors influence both institutional investor subscriptions and large-block purchases, which in turn affect post-IPO stock performance. Causality and robustness tests support the reliability of our findings. This study highlights the signalling role and evaluative influence of strategic investors in IPOs, offering valuable insights for other emerging markets.

In this paper, we take a sample of 567 stocks listed in 2019- 2023 on the STAR Market, and explore the influencing factors of short selling behavior and its correlation with stock returns. Findings reveal that first-day short selling volume is significantly and negatively related to short-term stock performance, particularly in family firms and those with CEO duality. On the first-day of listing, short sellers tend to short stocks with higher proportion of shares outstanding and higher oversubscription ratio (especially the online oversubscription ratio). After a series of robustness tests, the conclusions still hold.

On 18 September 2021, the Shanghai and Shenzhen stock exchanges jointly proposed adjusting the threshold for high-price exclusion in offline investors’ book-building process from “no less than 10%” to “no more than 3% and no less than 1%.” Will this proposal affect investors’ bidding behavior and IPO pricing? To answer this, this paper analyses 932 stocks issued on the STAR market and ChiNext market between July 2019 and December 2023 under the registration-based IPO framework. The findings are as follows. First, although adjusting the book-building rules can effectively curb investors’ collusive bidding behavior, it has also led to the “three highs” phenomenon (high issue price, high price-to-earnings ratio, high over-raised funds). Second, the impact of the price-rule adjustment on collusive bidding and the “three highs” phenomenon is more pronounced in small-cap stocks and the STAR market. Third, the adjustments have increased the probability of new shares breaking the issue price, and led to worse post-IPO market performance. The findings provide valuable insights and references for the development of China’s securities market and investor decision-making.

This study proposes a new risk perception factor(FRP)and adds it to Liu et al.'s(2019)three-factor model to form a four-factor model(henceforth RPM4 model)for the Chinese stock market.The results show that the FRP's volatility,Sharpe ratio,and maximum drawdown have significant advantages over the factors of popular asset pricing models.Further testing reveals that the RPM4 model contains more information and has a clear advantage in explaining stock portfolio returns,and performs well in the R2 comparison tests for cross-sectional regressions.The RPM4 model is a useful complement to the Fama and French(1993)three-factor model,as well as Liu et al.'s(2019)three-and four-factor models.

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.

We utilize the Chinese "Siamese twin" stocks, namely A- and B-shares issued by a company, to analyse the short-term reversal and momentum under different stock characteristics (liquidity, idiosyncratic volatility). Double sorting on past one-month returns and stock characteristics reveals that short-term reversals in A-shares only exist in stocks with low liquidity or high idiosyncratic volatility. Conversely, short-term momentum in B-shares is significant only in stocks with high liquidity or low idiosyncratic volatility. After a series of tests, our findings remain robust.

Based on 31 provinces, municipalities, and autonomous regions in mainland China, this paper explores the temporal and spillover effects of the provincial COVID- 19 pandemic on stock returns. The results show that stock returns are significantly and negatively correlated both with the pandemic in the firm’s headquartered province (referred to as, local province), and the pandemics in other provinces (referred to as, non-local provinces). By multiple time dimensions analysis, we find that at the weekly (monthly) level, the impact of the pandemic in local province on stock returns is larger (weaker) than the pandemics in non-local provinces, showing the temporal (spillover) effects. Mechanism analysis shows that COVID-19 can quickly reduce investors’ attention to stock market. The heterogeneity analysis shows that firms owned by state, with bad CSR, or a higher proportion of shares held by the largest shareholder are more affected by COVID-19. After replacing samples and time intervals, the results remain robust.

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.

We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that the past loser-and-illiquid stock portfolios tend to outperform the past winner-and-liquid stock portfolios in the 1–12 months holding period. The excess return is significantly associated with the market-wide liquidity factor even when we control the three Fama-French and momentum factors. Cross-sectionally, the liquidity beta significantly affects the excess return even with control of other risk betas and other traditional liquidity proxies.

Liquidity is the cornerstone of capital market. In China's stock market, the highly-placed Science and Technology Innovation Board (STAR) market, relative to the renewed Shenzhen Growth Enterprise (ChiNext) market, has become increasingly illiquid since its launched in 2019. To uncover the reason behind, we use the difference in capital threshold for retail investors between the two boards as a quasi-natural experiment, and explore the role of retail investors on stock liquidity. The results show that: (i) Overall, the stock liquidity in STAR market is significantly poorer than that in ChiNext market. (ii) Retail investors are liquidity providers in the STAR and ChiNext markets. The more retail investors in markets, the more active trading and higher liquidity there are. This relationship is more pronounced in the STAR market than in the ChiNext market. Our findings remain robust to a series of tests, such as alternative sample interval and sample matching. Overall, the findings in this paper deepen our understanding of the role of retail investors and their influence on stock liquidity. It benefits practitioners, scholars and policymakers alike.

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 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.

Purpose This study aims to examine the impact of economic policy uncertainty and bank competition on the financial stability of the Chinese banking industry. This study answers two fundamental questions. First, does economic policy uncertainty (EPU) affects the financial stability of banks in China? Second, does competition affect the financial stability of the Chinese banking sector? Design/methodology/approach The sample includes all commercial banks to provide a full picture of the Chinese banking sector. This study covers the time between 2011 and 2019. The sample period captures different EPU spikes and key policy changes. This study used different econometric methodologies such as the generalized method of moments and the fixed effect and ordinary least square estimation models. Furthermore, this study used the Instrumental Variable model to solve endogeneity, autocorrelation and unobserved heterogeneity concerns. Besides, alternative EPU and financial stability measures were used. Moreover, this study reestimates the model after dropping the big five state-owned banks. Findings This study found that both EPU and competition reduce financial stability. This implies that EPU has a negative impact on financial stability. This shows that uncertainty distorts resource allocation efficiency and creates confusion, leading to financial instability in the banking sector. Besides, this study found that competition negatively affects financial stability. This result implies that high competition pushes banks toward riskier activities that ultimately lead to increased financial instability. Originality/value This study is the first of its kind that examines the impact of EPU and competition on the financial stability of the Chinese banking sector. This study conducted several robustness tests such as the instrumental variable model, alternative measurement and sample construction methods. This study brings policy implications and lessons for the banking sector.

基于制度视角,探讨我国企业向"一带一路"沿线国(简称沿线国)投资的动因和影响因素,提出地方政府"一带一路"制度建设(简称制度建设)和政府参与是影响我国企业向沿线国开展对外投资布局的关键因素,并利用2014-2019年中国制造业上市公司对外投资数据,检验两者如何直接和交互地影响企业投资活动.研究表明:(1)地方政府制度建设(包括基础设施和经贸合作)异质性决定企业向沿线国开展投资活动的差异性;(2)政府参与是否促进企业向沿线国开展投资取决于政企关联的类型,即人际政企关联对企业向沿线国投资有正向影响,但股权政企关联存在负向影响;(3)制度建设既会减弱人际政企关联的正向作用,也会减弱股权政企关联的负向作用.

商业信用作为企业短期外部融资的重要渠道,日渐成为学术界关注的重要话题.基于A股上市公司2007-2020年数据,实证检验股票流动性对上市公司商业信用融资的影响.研究发现:股票流动性与商业信用融资规模显著正相关,即流动性越好,商业信用融资规模越大.异质性分析结果表明:在融资约束大、行业竞争激烈以及地区市场化程度高的公司中作用更明显.机制分析结果表明,股票流动性通过降低第一类代理成本、提高信息透明度来增加商业信用融资.最后,采用工具变量法、地区固定效应以及替换关键变量等一系列稳健性检验后,结果依然存在且稳健.研究从市场微观结构角度,探索企业商业信用融资的影响因素,拓展了流动性治理相关研究,同时为缓解上市公司融资约束提供了新的经验证据.

巩固壮大实体经济根基,需要防范实体企业"脱实向虚".本文基于非金融上市公司2003-2019年的面板数据,从金融资产分类的新视角,探讨并验证金融资产类别对企业金融中介活动的影响机理;通过引入融资约束度量指标,构建固定效应面板门槛模型,实证检验融资约束对企业金融中介活动的非线性影响.研究结果表明:第一,企业金融中介活动因金融资产的类别差异而存在异质性,在套利及贷款输送动机的作用下,企业固定收益类金融资产与银行贷款正相关,非固定收益类金融资产与银行贷款负相关;第二,企业金融中介活动由于融资约束程度不同而存在门槛效应;第三,对固定收益类金融资产而言,不同融资约束的企业均存在金融中介活动,低、高融资约束企业从事金融中介活动的程度弱,而中融资约束企业由于防御性动机的增强,金融中介活动程度强;第四,对非固定收益类金融资产而言,低、高融资约束企业不存在金融中介活动,而中融资约束企业出于防御动机而表现出金融中介活动.本研究可为根据融资约束程度对企业分级评估和监督贷款提供理论支撑,为厘清金融中介活动的机理、压缩市场套利空间提供有益参考.

腐败作为一种外部因素,是否会对企业的股权融资成本产生影响?文章以沪深两市A股发行为样本,探讨了地区腐败对企业股权融资成本的影响.研究发现:首先,地区腐败会显著地降低新股发行定价、减少企业的资金募集,导致企业股权融资成本增大,这种影响与企业的异质性和企业所在地的市场环境相关,即高技术行业的企业、位于市场化程度低的地区的企业,地区腐败对其股权融资成本的影响相对较弱;其次,地区腐败越严重,所在地区的公司上市后三年的价值也越低;第三,路径分析显示,地区腐败对公司股权融资成本的影响会通过公司上市前是否有风险投资参与、公司现金持有量的多少产生作用.在考虑内生性、遗漏变量和更改腐败程度的度量指标等一系列稳健性检验后,结论依然成立.文章的工作进一步丰富了地区腐败的经济后果研究,同时也拓展了新股发行定价的影响因素研究.

在产融结合的背景下,研究公司银行股权投资如何影响商业信用提供具有重要的现实意义.基于2007-2020年我国A股上市公司的数据,研究发现,银行股权投资挤出了商业信用提供,投资比例越高,对商业信用提供的挤出作用越显著;在使用Heckman两阶段模型缓解样本自选择偏差、使用工具变量及广义矩估计法缓解双向因果关系所产生的内生性问题后,以上结论仍然成立.作用渠道分析发现,银行股权投资通过提高公司的金融资产投资、提高公司的投资收益、提升公司的竞争能力三个渠道挤出商业信用提供.异质性检验发现,与投资非上市银行相比,企业投资上市银行对商业信用提供的挤出效应更为显著.因此,规范银行股东的金融资产投资行为,引导实体企业专注主营业务发展,将有助于缓解银行股权投资对商业信用提供的挤出效应.