Previous studies attribute the stock-level overlapping momentum effect to institutional investors' trading behavior. Given their trend-chasing and factor-based strategies, we hypothesize this effect is more pronounced at the factor level. Empirical analysis supports this: long-short overlapping portfolios using common winner and loser factors outperform stock-level portfolios. Factor-level momentum significantly explains stocklevel momentum, but not vice versa. Results exhibit consistent robustness across a range of empirical settings. Our findings emphasize the critical role of factor-level dynamics in understanding overlapping momentum effects.

Utilizing the green energy collected through the "Ant Forest" project to measure investors' pro-environmental behavior (PEB), the paper finds that investors' PEB positively impacts the weighted Environmental, Social, and Governance (ESG) score of their mutual fund positions. Additionally, when classifying PEBs into egoistic and altruistic behaviors based on specific sources of green energy, the study reveals that altruistic PEBs have a more substantial influence than egoistic PEBs. Further analysis demonstrates that egoistic PEBs become more significantly related to ESG investing when investors face extreme weather events, poor air quality, or seek to enhance their reputation. Although ESG investing transformed from altruistic and egoistic PEBs results in negative excess returns, egoistic investors experience a significant reduction in risk through ESG fund investments. In contrast, altruistic investors are willing to pay higher costs. These findings suggest that even though altruism predominantly drives the transformation from PEB to sustainable investment, egoism can also play a role when investors seek to mitigate uncertainties, diversify their portfolios, or promote social validation. Overall, these results contribute to our understanding of the motives behind sustainable investment.

Previous studies show that individual investors play a dominant role in China's stock market. Their behavior of chasing-rise being stronger than killing-fall leads to asymmetry of feedback trading. Our article investigates how mutual funds react to this market force. Using China's stock and fund data from 2003 to 2019, we find that mutual funds tend to hold fewer shares when asymmetric feedback trading of the relevant stock gets more intense. This negative relationship is robust after controlling past returns, turnover rates, and firm risk factors, moreover, it attenuates when the market sentiment is bullish or when stocks are allowed short-selling. Further results show that mutual funds' selling towards asymmetric feedback trading does not make excess return but leads to significant risk reduction. Our findings may be related to uncertainty associated with asymmetric feedback trading, and thus support the limit market participation theory from the second largest stock market. (c) 2024 China Science Publishing & Media Ltd. Publishing Services by Elsevier B.V. on behalf of KeAi Communications Co. Ltd. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

The China-U.S. trade frictions and COVID-19 pandemic have caused unprecedentedly high economic policy uncertainty since 2017. To resist this high uncertainty, investors may prefer large stocks over small stocks, thereby damaging the size effect. To test this inference, we apply data from China to show that the size effect becomes insignificant after 2017. However, a significant size effect re-emerges among stocks with low valuations or low volatility, and this is positively associated with the increment of the economic policy uncertainty index. We also find that when uncertainty increases, institutional investors increase their holdings in small stocks before 2017, but hold more large stocks after 2017. Our findings consistently suggest that high policy uncertainty may change investors' preferences for firm size and cause the disappearance of the size effect, and only among stocks with low risk, size effects may show up due to low-risk small firms’ similar function in resisting market uncertainty as large firms. Other mechanisms, such as the quality premium, unexpected profitability shock, shell value, or M&A option value, are not applicable in explaining the findings in China. Our study contributes to proposing a new mechanism for the time-variability of the size effect.

Taking the Shanghai-Hong Kong connect program as a natural experiment, the paper investigates if stock market openness impacts firms’ ESG performance. The results show that, the ESG rating of the connected firms improves significantly compared to the non-connected firms, and the improvement is larger in firms with stricter financial constraints, but smaller in stocks with better financial or market performance. The findings imply that since foreign investors value ESG more than domestic investors, the connected firms may promote their ESG performance to cater to the northbound capital, and their catering incentive becomes stronger when their demand is more urgent. In the post-pandemic period, with the continuous challenging from anti-globalization trends, our results suggest that it is of theoretical and practical significance to utilize the positive role of market openness on corporate sustainability.

本文首先建立汇率变动影响产业结构升级的理论模型,分析汇率变动通过资源转移对产业结构升级产生影响的机制,发现汇率变动对产业结构升级的作用受进口贸易、出口贸易、外商直接投资以及消费转移四个因素的影响.之后考虑到"一带一路"倡议改变了各省份主要贸易伙伴的构成,本文构建了省际人民币实际有效汇率指标,考察人民币实际有效汇率变动对产业结构升级的影响.实证研究发现:(1)人民币升值有利于我国产业结构升级,该促进作用随各省份第二产业(贸易品)消费占比上升、劳动密集型产品出口占比上升、资本密集型产品出口占比下降或资本密集型产品进口占比上升而增强;(2)"一带一路"倡议本身有利于我国产业结构升级,但同时在一定程度上会抑制人民币升值对我国产业结构升级的正向作用.由此,本文认为,促进我国产业结构升级,需要制定进一步深化人民币汇率改革、鼓励服务消费以及改善我国与共建"一带一路"国家的双边贸易结构等政策.

Using daily trading volume of Shanghai Stock Exchange 50ETF option, the paper calculates the volume percentages of out-of-the-money（OTM）, at-the-money（ATM）, in-themoney（ITM）options and investigates the forecasting ability of each kind of option trading on the realized volatility of underlying ETF. The results show that OTM option trading can significantly promote the predicting power of HAR and HAR-CJ models. Further findings show that, the information of OTM option mainly comes from the deep-out-of-the-money（DOTM）option, while the non-DOTM option has weaker performance in forecasting volatility. Comparing with implied volatility, DOTM option has better performance in in-sample fitting and out-ofsample forecasting volatility. Among the DOTM options, call option has more information than put option, and the call option trading negatively relates to future volatility while the put option trading positively relates to future volatility. These results indicate that informed traders prefer to using DOTM option, and the opposite correlations of DOTM call and put option with future volatility are consistent with leverage effect. Our findings can be applied in improving current volatility forecasting models, and can also be helpful in optimizing governors’ risk monitoring systems.

Using the ESG ratings of individual stocks in China from 2009 to 2020, we show that buying high-ESG stocks and selling low-ESG stocks earns positive and significant returns after controlling for the five Fama–French factors. Further, the pricing anomalies based on retail trading intensities can explain the returns. Further analyses show that ESG pricing power decreases as retail trading intensity increases. These findings suggest that when the dominant retail investors ignore ESG-related information, ESG positively impacts stock returns, but when these investors begin to actively trade the information, the impact declines or even turns negative. Our findings support the current ESG pricing theory.

提高制造业全要素生产率(TFP)是实现我国制造业高质量发展的动力来源.从本质上讲,TFP属于资源配置效率,汇率变动会引发资源重新配置,进而影响TFP.本文基于人民币汇率升值影响制造业企业生存状态以及倒逼企业创新的特征事实,首次从"倒逼式研发"视角出发构建理论模型,分析汇率变动对制造业企业TFP的影响机制.理论研究发现,汇率升值通过降低企业进口中间品成本、迫使出口企业研发以及淘汰落后产能等机制提升制造业企业TFP.实证结果表明:(1)总体而言,人民币汇率升值有利于提高我国制造业TFP,并且中间品进口占比越高,出口占比越高或面临竞争压力越大的企业,升值对其TFP的提升作用越强.(2)人民币汇率升值促进企业专利数量的增长,进而有助于提高企业TFP.(3)相比非国有、高技术水平和资本密集型企业,人民币汇率升值对国有、低技术水平和劳动密集型企业TFP的提升效果更为明显.(4)对于中间品进口相对较多或面临竞争更为激烈的企业,2005年"7.21"汇改增强了人民币汇率升值对其TFP的提升作用.本研究从汇率视角为提高我国制造业全要素生产率,进而助力制造业高质量发展提供了政策启示.

Defining asymmetry of feedback trading (AFC) as the difference between buying-winners and selling-losers intensities, the paper investigates if AFC impacts stock pricing. We show that buying stocks with low AFC and selling stocks with high AFC makes significant positive returns after controlling traditional pricing factors. The return mainly comes from the long leg and cannot be simply attributed to either mispricing, liquidity, or risk premium. Further study shows that the negative impact of AFC on future stock return is reinforced with an increase in past returns, maximum daily return, relative valuation level, asset growth rate, or operating profit rate. As AFC represents retail trading intensity, the results imply that the inactiveness of retail investors may make price relative underreaction to good news and thus lead to positive expected stock return.

Taking the gradual lifting of short-sale bans in China as natural experiments, the paper shows that mutual funds reduce the number of shares in shortable stocks compared to short-selling forbidden stocks after short-selling reforms, and their selling is more intensive in stocks with higher valuation, larger market value, higher profitability, more media coverage or better corporate governance. These strategies are not just short-term reactions, nor are they applied by other institutional investors. Short-sellers process negative information to dampen overvaluation or spread pessimistic beliefs which undervalue high quality, so mutual funds' negative reaction towards short-selling is stronger among overvalued or high-quality stocks.

Size effect in the Chinese stock market is huge from 2012 to 2017. We empirically identify a driving force behind the effect: M&A option caused by IPO and M&A policies changes. We show that the M&A frequency increases and the acquirers' market value deceases as the IPO relative difficulty rises, small firm premium is positively related to both IPO relative difficulty and M&A frequency, and among the listed firms that have stronger tendency to merge or acquire a private firm, size effect is significantly larger. These results hold when controlling reverse merger probability. In sum, we reveal a new mechanism: Compared with a large public firm, a small one is more likely to acquire a private firm with discount since both the acquired and the acquirer benefit more, so the stock price of a small firm contains a larger part of M&A option. This option value increases as IPO relative difficulty rises.

以2014年底至2015年底8次降息降准事件为自然实验,研究股市震荡中的知情交易和市场反应.研究结果表明,降息降准公布前,开盘价收益率、每笔成交量和知情交易比例显著提高,波动率和成交笔数显著下降;信息不对称程度高以及降息降准直接利好的银行、证券、房地产等行业的股票,其知情交易比例显著提高.进一步检验发现,降息降准公布前,每笔大单的规模和总大单数量显著提高,大单与小单的知情交易比例都显著高于正常日,且小单的知情交易比例在最后交易时段逐渐与大单接近.这些结果意味着股灾年中降息降准货币政策公布前知情交易在市场中是普遍存在的.隐含的信息传播途径是,资金雄厚的知情投资者首先买卖相关股票获得收益,并且知情交易在统计意义下先向其他资金雄厚的投资者扩散,随后是向中小散户扩散.

Using the gradual lifting of the short-sale ban in the Chinese stock market from 2010 to 2019 as natural experiments, the paper studies mutual funds’ strategies towards short-sales. The difference-in-difference regressions consistently show that mutual funds hold fewer shares when stocks are allowed to sell short, and their shareholding reduction towards short-selling is more intensive in stocks with higher valuation, larger market value, higher profitability, higher investment rate or more media coverage. These results are robust in short-term and long-term sample, annual data and classified funds. Our findings suggest that mutual funds generally dislike short-selling activities, and since short-sellers process negative information to alleviate stocks’ overvaluation, or spread pessimistic beliefs to undervalue high-quality stocks, mutual funds’ dislike towards short-selling reinforces in overvalued or high-quality stocks.

中国市场存在显著的正反馈交易,且追涨程度远超过杀跌程度.这种现象本文称之为正反馈交易的涨强不对称.本文旨在研究这种涨强不对称是否具有定价能力.本文在Fama-French三因子模型的基础上构建了反转因子、正反馈因子和涨强不对称因子,对2010年以前上市的全部A股从1998年1月至2016年10月的数据进行实证检验.本文发现,涨强不对称因子的表现显著区别于正反馈因子和反转因子;尽管单一来看正反馈因子、反转因子和涨强不对称因子都有一定的定价能力,但在多因子模型中正反馈因子和反转因子的定价能力很弱,只有涨强不对称因子有显著的定价效果;且这种定价能力不是因为追涨、杀跌、流动性溢价或投资者情绪造成的.总之,涨强不对称是一个有别于传统因子的新定价因子,且其定价能力可能源于市场补偿非理性投机带来的风险.

针对“一带一路”倡议实施后各省(直辖市)主要贸易伙伴的动态变化,本文构建了省际进口加权有效汇率指数,基于汇率传递非对称性效应理论机制,运用面板数据研究了人民币汇率传递的非对称性效应和省际异质性,并采用双重差分法(DID)考察了“一带一路”倡议对进口汇率传递效应的影响.研究发现:(1)各省人民币汇率传递效应存在明显的异质性和非对称性,经济越发达的省份,汇率传递效应越低,人民币升值较贬值对大部分省份进口价格传递效应更大.(2)各省资本密集型产品的进口占比越大,则人民币贬值促使进口价格上升的幅度越大.(3)“一带一路”倡议整体上提升了中国在进口市场中的国际定价权,特别是对于劳动密集型产品的进口,中国的定价权大幅提高.论文的政策含义在于:一是中国进口贸易政策的制定,需要考虑省际汇率传递效应存在的异质性;二是中国需要大力发展自“一带一路”沿线国家的进口贸易,同时应加大技术创新力度以减轻对欧美市场资本密集型产品的进口依赖程度.

利用中证800指数成分股3年的分笔交易数据,将股票成交订单分成大单、中单和小单,然后分析跳跃前的交易指令与跳跃的关联性及其对跳跃的预测能力.对跳跃样本和匹配有消息发布的跳跃样本进行事件分析和回归分析,发现跳跃前有明显的、逐渐加强的、与跳跃方向相对应的异常交易,而且异常交易指令与跳跃的发生概率、方向、大小和匹配的信息有不同程度的显著关联性;进一步的预测分析也发现,在控制流动性指标后,异常交易指令可以提升模型对跳跃的预测效果,这些结果显示市场在跳跃前存在着信息泄露,且信息泄露随时间扩散.此外,事件分析、回归模型和预测效果均显示:跳跃前中单的信息含量一般高于大单和小单,说明中国股市在极端价格变化前存在隐秘交易.

We propose a closed-form quasi-maiximum likelihood (QML) estimator of bid-ask spread from daily high-low ranges under both near-ideal and overnight theoretical frameworks. As is shown that the high-low spread estimator is more precise than that only using closing prices, we pay attention to investigating the statistical properties of such kind of range-based spread estimators, and further demonstrating that our estimator is free from overnight adjustment with higher estimation efficiency. Simulation studies show that the QML estimator has relatively lower bias and RMSE, compared with other prevalent low-frequency measures, and the results are more significant under overnight conditions.

基于在校大学生的问卷调查数据,文章分析了校园贷信用风险的发生和扩张机理.实证表明:学校层次越低且超前消费需求越强烈的学生,越倾向于使用校园贷;校园贷的用户本身就有风险厌恶程度低且自控能力差等逆向选择问题.进一步的数学模型证明:用户的逆向选择将导致校园贷公司采取过度扩张策略,从而导致信用事件密集爆发.因此,控制校园贷的风险,应从规范和引导学生的消费习惯、构建长期的个人征信体系两方面着手,同时降低逆向选择和过度消费的程度.

Using 4128 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, this paper investigates the liquidity dynamics around price jumps in Chinese market. Some interesting empirical results are obtained and the corresponding explanations are given. The frequency of positive jumps is quite higher than that of negative jumps. The trading volumes and average trade sizes are all in a high level around positive jumps. The relatively low liquidities around negative jumps show that negative jumps may be generated and enlarged by poor liquidity provision. The price reversal after price jumps is significant, and price reversal lasts longer after positive jumps. Moreover, the size and direction of jumps are significantly correlated with the returns and trades in the post-jump trading time. These findings are believed to be associated with the high proportion of retail investors and their herding behavior for price trend chasing.