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Does reform policy of municipal bonds raise firm risk? A quasi-natural experiment from China 市政债券改革政策会提高公司风险吗？来自中国的准自然实验
IF 4.6 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-06-09 DOI: 10.1016/j.pacfin.2024.102424
Dapeng Tang , Yiming Yang , Hao Zheng , Mebrahtu Tesfagebreal Gebrehans
{"title":"Does reform policy of municipal bonds raise firm risk? A quasi-natural experiment from China","authors":"Dapeng Tang ,&nbsp;Yiming Yang ,&nbsp;Hao Zheng ,&nbsp;Mebrahtu Tesfagebreal Gebrehans","doi":"10.1016/j.pacfin.2024.102424","DOIUrl":"https://doi.org/10.1016/j.pacfin.2024.102424","url":null,"abstract":"<div><p>Does reform policy of municipal bonds increase firm risk? We address this question by examining the effects of the ‘Local Issuance and Local Repayment’ (LILR) reform policy launched by the Chinese central government on firm stock return volatility between 2009 and 2019. We find that the LILR reform policy increases the volatility of firms' stock returns. Possible explanations for the effect of reform policy are that it exacerbates firms' financial constraints and reduces the effectiveness of fiscal policy. Consistently, we find that the aggravating effect of reform policy is more pronounced in regions characterized by worse financial environment, worse fiscal condition, firms in growth and decline stages and in downstream and service and support industries. We provide empirical evidence from a Chinese quasi-natural experiment to address the long-term economic development issues of local government debts.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.6,"publicationDate":"2024-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141303951","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Executive-employee pay gap and professor directors: Evidence from China 高管-员工薪酬差距与教授董事：来自中国的证据
IF 4.6 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-06-08 DOI: 10.1016/j.pacfin.2024.102425
Xiaofei Song , Hong Fan , Lei Zhou , Ziyao San
{"title":"Executive-employee pay gap and professor directors: Evidence from China","authors":"Xiaofei Song ,&nbsp;Hong Fan ,&nbsp;Lei Zhou ,&nbsp;Ziyao San","doi":"10.1016/j.pacfin.2024.102425","DOIUrl":"10.1016/j.pacfin.2024.102425","url":null,"abstract":"<div><p>This study investigates the impact of professor-directors on the executive-employee pay gap in public Chinese firms. University professors have a reputation for maintaining higher ethical standards, so there is a societal expectation that professor-directors will advocate for social responsibility. Failure to do so will incur reputational costs for professor-directors. Consistent with this view, we find that the executive-employee pay gap is negatively associated with the presence of professors on the board. Additional evidence suggests that the negative impact of professor-directors on the executive-employee pay gap is the result of higher employee salaries and lower executive compensation. Our findings are more pronounced in a strong governance setting where independent directors are more effective, namely after the launch of the anti-corruption campaign in China, in firms with a greater proportion of independent board members, and in more mature firms. Moreover, the influence of professor-directors is primarily seen in certain subgroups that have high reputation costs, such as those associated with esteemed institutions or younger individuals, and in subgroups with low inclination toward tournament theory, such as those specializing in science or without overseas education and experience. Our findings withstand numerous robustness tests, including an instrumental approach to address endogeneity concerns.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.6,"publicationDate":"2024-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927538X24001768/pdfft?md5=c269f377cf43584a3c0500f9c2a6fdb1&pid=1-s2.0-S0927538X24001768-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141403368","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fast or slow: Unveiling the speed of market leverage adjustment in China 快与慢：揭示中国市场杠杆调整的速度
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-06-04 DOI: 10.1016/j.pacfin.2024.102423
Yujun Lian, Jun Wang, Manqi Huang
{"title":"Fast or slow: Unveiling the speed of market leverage adjustment in China","authors":"Yujun Lian,&nbsp;Jun Wang,&nbsp;Manqi Huang","doi":"10.1016/j.pacfin.2024.102423","DOIUrl":"10.1016/j.pacfin.2024.102423","url":null,"abstract":"<div><p>In the capital structure literature, the practice of using market leverage to estimate the speed of adjustment (SOA) to target capital structure is debated. We empirically examine the capital structure adjustment behavior of Chinese firms using the SOA decomposition model proposed in Yin and Ritter (2020). Our findings suggest an overestimation of SOA towards the target market capital structure in Chinese firms, with a pre-correction speed of around 19.6% and a post-decomposition active adjustment speed of merely 7.4%. This overestimation is attributed to significant price fluctuations in the stock market. We further explore the cross-sectional differences and time-series variation in SOA to confirm our findings, advising caution in the use of market leverage for robustness tests. Our results imply that the trade-off and pecking order theories have limited explanatory power for the capital structure decisions of Chinese firms, while market timing theory appears to be more applicable.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141277136","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does digital transformation matter for trade credit provision? Evidence from China 数字化转型对提供贸易信贷重要吗？来自中国的证据
IF 4.6 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-06-03 DOI: 10.1016/j.pacfin.2024.102422
Linyin Cheng
{"title":"Does digital transformation matter for trade credit provision? Evidence from China","authors":"Linyin Cheng","doi":"10.1016/j.pacfin.2024.102422","DOIUrl":"10.1016/j.pacfin.2024.102422","url":null,"abstract":"<div><p>This study demonstrated that digital transformation can promote the supply of trade credit in China. The results are robust to different measures of trade credit provision and endogeneity. The impact of digital transformation on trade credit provision is more pronounced among firms in regions with lower marketization and worse information environment. This study investigates this potential channel and finds that digital transformation increases trade credit provision by improving firms' financing availability. Overall, the results are consistent with the financial theory of trade credit.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.6,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141281079","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Comomentum in China: Inferring arbitrage activity from return correlation 中国的动量：从回报相关性推断套利活动
IF 4.6 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-06-01 DOI: 10.1016/j.pacfin.2024.102351
Tian Yue , Jiexiang Huang , Xinfeng Ruan
{"title":"Comomentum in China: Inferring arbitrage activity from return correlation","authors":"Tian Yue ,&nbsp;Jiexiang Huang ,&nbsp;Xinfeng Ruan","doi":"10.1016/j.pacfin.2024.102351","DOIUrl":"10.1016/j.pacfin.2024.102351","url":null,"abstract":"<div><p>This paper investigates whether arbitrageurs can have a destabilizing effect on the Chinese stock market. We use comomentum defined as high-frequency abnormal return correlation among stocks to measure arbitrage activity. In contrast to the findings of <span>Lou and Polk (2022)</span>, we find that the returns on momentum stocks exhibit long-term stabilization in China, regardless of whether comomentum is higher or lower. The results suggest that fluctuations in arbitrage activity do not serve as predictive indicators for changes in long-term momentum returns in the Chinese stock market. These results further emphasize the missing effect of the momentum strategy in the Chinese market.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.6,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140795072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Return seasonalities in the Chinese stock market 中国股市的回报季节性
IF 4.6 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-06-01 DOI: 10.1016/j.pacfin.2024.102391
Chen Meng , Qingjie Du , Haibing Shu
{"title":"Return seasonalities in the Chinese stock market","authors":"Chen Meng ,&nbsp;Qingjie Du ,&nbsp;Haibing Shu","doi":"10.1016/j.pacfin.2024.102391","DOIUrl":"10.1016/j.pacfin.2024.102391","url":null,"abstract":"<div><p>We document strong stock return seasonalities in the Chinese stock market. Stocks performing well in a certain calendar month continue to perform well in the same calendar month in future. Furthermore, there follows a return reversal in other months, suggesting that the stock return seasonalities are more likely to be driven by temporary mispricing. Our results extend Keloharju et al. (2021) which examines the U.S. market and we show that the return seasonalities are pervasive in both developed and emerging markets. More importantly, we highlight the temporary mispricing as the common driver of return seasonalities, regardless of market conditions and development status in different markets.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.6,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141047411","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Expected return, volume, and mispricing: Evidence from China 预期回报、交易量和错误定价：来自中国的证据
IF 4.6 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-06-01 DOI: 10.1016/j.pacfin.2024.102390
Xin Chen , Daniel Chai , Jin Zhang
{"title":"Expected return, volume, and mispricing: Evidence from China","authors":"Xin Chen ,&nbsp;Daniel Chai ,&nbsp;Jin Zhang","doi":"10.1016/j.pacfin.2024.102390","DOIUrl":"10.1016/j.pacfin.2024.102390","url":null,"abstract":"<div><p>We investigate the relation between trading volume and future stock returns across stocks with different levels of mispricing in the Chinese equity market. We first show a negative relation between trading volume and future stock returns. When replicating the main results reported in Han, Huang, Huang and Zhou (2022), we find no evidence of the volume amplification effect in Chinese equities. There is no strong evidence that mispricing plays a role in explaining the volume-return relation. Overall, the results from China suggest that the mechanism in the volume-return relation is somewhat different when compared to those documented in Han et al. (2022).</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.6,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927538X24001410/pdfft?md5=077aae545896f3d3f1e753aa42e0da70&pid=1-s2.0-S0927538X24001410-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141145263","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do bank ties influence stock repurchases in a bank-based financial system during financial distress? A pre-registered report 银行纽带是否会影响金融困境期间以银行为基础的金融体系中的股票回购？预登记报告
IF 4.6 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-06-01 DOI: 10.1016/j.pacfin.2024.102380
Hideaki Sakawa , Naoki Watanabel , Konari Uchida
{"title":"Do bank ties influence stock repurchases in a bank-based financial system during financial distress? A pre-registered report","authors":"Hideaki Sakawa ,&nbsp;Naoki Watanabel ,&nbsp;Konari Uchida","doi":"10.1016/j.pacfin.2024.102380","DOIUrl":"10.1016/j.pacfin.2024.102380","url":null,"abstract":"<div><p>This pre-registered study seeks to investigate the effects of bank ties on corporate repurchase decisions and stock price reactions to buyback announcements. We make causal inferences to provide more insights into bank ties for stock repurchase decisions during extreme financial distress. We focus on the COVID-19 pandemic as an exogenous shock and identify whether the COVID-19 shock affected the bank-ties effect of the motives of stock repurchase decisions in a bank-based financial system. Our study sheds light on the motives behind stock repurchase decisions and the role of banks in corporate cash distribution to shareholders. Furthermore, our study contributes to understanding how extreme financial distress, such as COVID-19, affects the motive for stock repurchase in a bank-based financial system.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.6,"publicationDate":"2024-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140759591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financial geographic density and corporate financial asset holdings: Evidence from China 金融地理密度与企业金融资产持有量：来自中国的证据
IF 4.6 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-05-31 DOI: 10.1016/j.pacfin.2024.102421
Ting Wang , Jiani Xu , Liuyong Yang
{"title":"Financial geographic density and corporate financial asset holdings: Evidence from China","authors":"Ting Wang ,&nbsp;Jiani Xu ,&nbsp;Liuyong Yang","doi":"10.1016/j.pacfin.2024.102421","DOIUrl":"https://doi.org/10.1016/j.pacfin.2024.102421","url":null,"abstract":"<div><p>Using data from publicly listed A-share nonfinancial firms in China from 2011 to 2021, we define financial geographic density as the number of financial institutions within a certain radius around the firm, and investigate the impact of financial geographic density on corporate financial asset holdings. Our findings reveal that financial geographic density promotes corporate financial asset holdings by alleviating information asymmetry. The positive impact of financial geographic density on firms' financial asset investments is more pronounced for firms located in regions with a larger number of banking depository financial institutions, as well as those facing greater market competition. Meanwhile, we document that Fintech has little impact on the relationship between financial geographic density and corporate financial asset holdings. Furthermore, the rise of financial geographic density facilitates corporate innovation, thus supporting the precautionary motives of firms to hold financial assets.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.6,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141308107","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal investment for asset–liability management with delay and partial information under Ornstein–Uhlenbeck process 奥恩斯坦-乌伦贝克过程下具有延迟和部分信息的资产负债管理的最优投资
IF 4.6 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-05-28 DOI: 10.1016/j.pacfin.2024.102402
Dengsheng Chen , Wensheng Yang , Chengben Wang
{"title":"Optimal investment for asset–liability management with delay and partial information under Ornstein–Uhlenbeck process","authors":"Dengsheng Chen ,&nbsp;Wensheng Yang ,&nbsp;Chengben Wang","doi":"10.1016/j.pacfin.2024.102402","DOIUrl":"https://doi.org/10.1016/j.pacfin.2024.102402","url":null,"abstract":"<div><p>In this paper, we investigate the optimal investment strategy of asset liability management (ALM) with bounded memory and partial information. Suppose that investors invest their assets in a financial market consisting of a risk-free bond and a risk-free stock, while also taking on liabilities, in which the value of liabilities and the price of risky assets satisfy the Ornstein–Uhlenbeck (O–U) processes whose drift terms are unobserved. By constructing a dynamic portfolio of risk-free bonds, risky stocks and liabilities, a stochastic delay differential equation is obtained to depict the surplus process of investor. The ALM problem is formulated as finding the best strategy to maximize the terminal utility of the sum of terminal surplus and some historical wealth under partial information, and the corresponding full information case is also studied as a supplement. For both cases of partial information and full information, we apply the dynamic programming method to derive HJB equations, verification theorems, and closed-form solutions of optimal strategies and value functions. Moreover the relationship between optimal strategy and value function under full information and partial information is also given. Finally, numerical examples are carried out to illustrate the influence of some important parameters on the obtained results.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.6,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141244534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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