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Taming the factor zoo in China’s equity market: A Bayesian approach 驯服中国股市的因素动物园：贝叶斯方法
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-08-09 DOI: 10.1016/j.pacfin.2025.102892
Jie Mao , Xiaobao Xia , Haotian Zhuo
{"title":"Taming the factor zoo in China’s equity market: A Bayesian approach","authors":"Jie Mao ,&nbsp;Xiaobao Xia ,&nbsp;Haotian Zhuo","doi":"10.1016/j.pacfin.2025.102892","DOIUrl":"10.1016/j.pacfin.2025.102892","url":null,"abstract":"<div><div>This paper proposes an advanced Bayesian Model Averaging (BMA) framework to estimate the stochastic discount factor (SDF) in the Chinese stock market, addressing model uncertainty across 288 quadrillion factor combinations. By integrating the Moore–Penrose pseudoinverse and LDL decomposition, our methodology ensures sparsity, numerical stability, and robustness for high-dimensional, volatile datasets. We find that (i) the idiosyncratic volatility (STD) factor dominates with 60 percent posterior model probability, likely driven by retail investor herding and regulatory inefficiencies; (ii) the size factor (SMB) reflects distortions from state-owned enterprise (SOEs); (iii) the optimized BMA-SDF outperforms benchmark models in both in-sample and out-of-sample tests; (iv) no single model consistently excels across cross-sectional and time-series dimensions; and (v) the SDF relies on a dense set of observable factors. These findings highlight BMA’s efficacy in emerging markets and underscore the need for reforms to enhance transparency, reduce volatility, and optimize SOE performance.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102892"},"PeriodicalIF":5.3,"publicationDate":"2025-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144841441","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
Digital transformation and corporate diversification 数字化转型和企业多元化
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-08-08 DOI: 10.1016/j.pacfin.2025.102895
Jin Roc Lv , Chenghui Ye , Chen Yang
{"title":"Digital transformation and corporate diversification","authors":"Jin Roc Lv ,&nbsp;Chenghui Ye ,&nbsp;Chen Yang","doi":"10.1016/j.pacfin.2025.102895","DOIUrl":"10.1016/j.pacfin.2025.102895","url":null,"abstract":"<div><div>We find that a one-standard-deviation increase in digital transformation is associated with a 0.0579-standard-deviation increase in corporate diversification. This finding is robust to alternative measures of digital transformation and corporate diversification, sample constructions, and the control for potential endogeneity issues. In additional analyses, we first show that the effect of digital transformation on corporate diversification is more pronounced in regions with less developed external markets, in industries with a lower level of competition, and in firms with greater R&amp;D intensity; second, digital transformation affects corporate diversification through the reductions in cost stickiness and advertising expenses; third, digital transformation has a stronger effect on related than unrelated diversification; fourth, digital transformation alters the effect of diversification on firm value. Taken together, these results are largely consistent with the resource view in the literature on corporate diversification, which states that firms diversify when excess resources are available.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102895"},"PeriodicalIF":5.3,"publicationDate":"2025-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144829928","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
Collusive bidding: Evidence from China’s IPO bookbuilding mechanism reform 串通投标：来自中国IPO簿记机制改革的证据
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-08-07 DOI: 10.1016/j.pacfin.2025.102861
Xiaping Cao , Yintian Wang , Yuxi Wen
{"title":"Collusive bidding: Evidence from China’s IPO bookbuilding mechanism reform","authors":"Xiaping Cao ,&nbsp;Yintian Wang ,&nbsp;Yuxi Wen","doi":"10.1016/j.pacfin.2025.102861","DOIUrl":"10.1016/j.pacfin.2025.102861","url":null,"abstract":"<div><div>This paper investigates the incentives behind investor collusion in China’s IPO market and assesses the effects of regulatory reforms on pricing efficiency. Our empirical evidence from registration-based IPOs in China between July 22, 2019 and December 31, 2022 highlights three key findings: first, before the bookbuilding mechanism reform, investors could coordinate to systematically depress offering prices below competitive levels; second, the reform, by granting underwriters greater discretion in pricing, reduced the expected payoff from collusive bidding to below that of competitive bidding, thereby substantially diminishing incentives to collude; third, as a result, the reform increased normalized offering prices by 0.885 units relative to underwriter benchmark prices and reduced first-day returns by 2.135 units. Overall, the findings highlight that enhancing underwriter discretion can be an effective policy tool to curb collusion and improve IPO pricing efficiency in emerging market.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102861"},"PeriodicalIF":5.3,"publicationDate":"2025-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144841442","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
It is a marathon, not a sprint: The impact of supply chain finance on firms’ short-term debt for long-term investments 这是一场马拉松，而不是短跑：供应链金融对企业长期投资的短期债务的影响
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-08-05 DOI: 10.1016/j.pacfin.2025.102885
Jun Bu , Yanfeng Chang , Tianlun Fei , Xueying Li
{"title":"It is a marathon, not a sprint: The impact of supply chain finance on firms’ short-term debt for long-term investments","authors":"Jun Bu ,&nbsp;Yanfeng Chang ,&nbsp;Tianlun Fei ,&nbsp;Xueying Li","doi":"10.1016/j.pacfin.2025.102885","DOIUrl":"10.1016/j.pacfin.2025.102885","url":null,"abstract":"<div><div>This paper investigates the role of supply chain finance as a promising alternative solution to balance the trade-off between the benefits and risks associated with using short-term debt for long-term investments. Using data on Chinese A-share listed companies from 2007 to 2022, we find that firms’ participation in supply chain finance effectively discourages their use of short-term debt to finance long-term investments. We explore three underlying channels through which supply chain finance influences this practice and demonstrate that supply chain finance alleviates information asymmetry, enhances credit allocation efficiency, and improves firms’ operational efficiency, thereby reducing their reliance on short-term debt for long-term investments. Our findings contribute to the literature by providing new insights into the impact of supply chain finance on corporate financing behavior and investment decisions.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102885"},"PeriodicalIF":5.3,"publicationDate":"2025-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144772546","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
Corporate green transformation and bankruptcy risk: Empirical evidence from Chinese manufacturing firms 企业绿色转型与破产风险：来自中国制造业企业的经验证据
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-07-31 DOI: 10.1016/j.pacfin.2025.102889
Yong Li, Lulu Qin, Zixiang He
{"title":"Corporate green transformation and bankruptcy risk: Empirical evidence from Chinese manufacturing firms","authors":"Yong Li,&nbsp;Lulu Qin,&nbsp;Zixiang He","doi":"10.1016/j.pacfin.2025.102889","DOIUrl":"10.1016/j.pacfin.2025.102889","url":null,"abstract":"<div><div>This study explores the impact and mechanism of corporate green transformation on the bankruptcy risk of Chinese manufacturing firms. Using the entropy weight method, the research constructs a comprehensive green transformation evaluation index based on the developmental stages of Chinese manufacturing firms. It employs panel data spanning from 2010 to 2021 for empirical analysis. We find that green transformation significantly reduces bankruptcy risk among manufacturing enterprises. This effect varies across industries, lifecycle stages, financing constraints, and shareholder structures. Notably, the risk reduction is more pronounced under high regulatory pressure or severe operational challenges. We effectively address the potential issue of reverse causality by applying both a dynamic lag effect test and an instrumental variables approach, with temperature inversion and industrial smoke emissions as instruments. The study reveals that corporate green transformation inhibits bankruptcy risk through the internal mechanism of operating risk and agency costs, with enhanced external market confidence playing a positive moderating role. Recognizing that green transformation may be distorted by greenwashing, we exclude its plausible impact on our results in the further analysis.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102889"},"PeriodicalIF":5.3,"publicationDate":"2025-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144772547","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
Southbound capital flows and stock return predictability 南向资本流动与股票收益可预测性
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-07-31 DOI: 10.1016/j.pacfin.2025.102887
Tian Ding , Wenjing Song , Jiangze Bian , Ge Zhang
{"title":"Southbound capital flows and stock return predictability","authors":"Tian Ding ,&nbsp;Wenjing Song ,&nbsp;Jiangze Bian ,&nbsp;Ge Zhang","doi":"10.1016/j.pacfin.2025.102887","DOIUrl":"10.1016/j.pacfin.2025.102887","url":null,"abstract":"<div><div>This paper examines the impact of southbound cross-border capital flows on stock returns in the Hong Kong stock market. The study finds that southbound capital flows can significantly predict short-term returns on Hong Kong stocks. After adjusting for the Fama-French five-factor model, a weekly rebalancing long-short portfolio can achieve an annualized return of up to 25.84 %. This result remains robust in both predictive panel regression and Fama-MacBeth regression. Further mechanism tests indicate that the predictive power of southbound capital flows is primarily driven by demand shocks.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102887"},"PeriodicalIF":5.3,"publicationDate":"2025-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144766932","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
Relocating innovation within firms: The impact of real estate booms on innovation transfer 企业内部创新转移：房地产繁荣对创新转移的影响
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-07-30 DOI: 10.1016/j.pacfin.2025.102883
Zhanyu Dong , Xuchao Li , Yingying Li , Jietong Lin
{"title":"Relocating innovation within firms: The impact of real estate booms on innovation transfer","authors":"Zhanyu Dong ,&nbsp;Xuchao Li ,&nbsp;Yingying Li ,&nbsp;Jietong Lin","doi":"10.1016/j.pacfin.2025.102883","DOIUrl":"10.1016/j.pacfin.2025.102883","url":null,"abstract":"<div><div>This paper examines how firms adjust internal innovation resources in response to negative shocks, focusing on the impact of surging real estate prices in headquarters cities on the transfer of innovation activities to subsidiaries. Using data on Chinese listed firms from 2007 to 2017, we construct a unique “patent–firm–city” matched database and employ an instrumental variable approach to address endogeneity. We find that higher real estate prices in headquarters cities significantly increase the relocation of innovation resources to subsidiaries in lower-cost cities. Two mechanisms drive this effect: the relocation of R&amp;D financing and of R&amp;D talent. Rising property prices intensify financing constraints, prompting firms to reallocate innovation-related capital, while higher housing costs crowd out skilled labor or raise operational expenses, encouraging talent transfers. Firms more dependent on external financing and with higher concentrations of skilled labor are especially sensitive. Heterogeneity analysis shows stronger effects for invention patents, non-state-owned enterprises, high-tech industries, and cities with weaker public service capacity. Finally, we assess the performance implications of such transfers. While innovation transfer mitigates the adverse impact of property prices on innovation quantity and sustains utility model patenting, it fails to offset the decline in invention patenting, indicating a shift toward less technologically sophisticated and original innovation. This study contributes to the literature on real estate markets and corporate innovation by offering a novel perspective on internal resource reallocation and providing a comprehensive analysis of how firms adjust innovation capital and talent under external pressures.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102883"},"PeriodicalIF":5.3,"publicationDate":"2025-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144772548","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
Measuring the association between short selling and price efficiency: A new stock-level analysis 衡量卖空与价格效率之间的关系：一种新的股票水平分析
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-07-26 DOI: 10.1016/j.pacfin.2025.102874
Yumi Park , Sangwon Suh
{"title":"Measuring the association between short selling and price efficiency: A new stock-level analysis","authors":"Yumi Park ,&nbsp;Sangwon Suh","doi":"10.1016/j.pacfin.2025.102874","DOIUrl":"10.1016/j.pacfin.2025.102874","url":null,"abstract":"<div><div>This study examines the relationship between short selling and price efficiency using a novel approach. We introduce new association indices based on multiple dimensions of price efficiency, enabling both market-wide and stock-level analysis while complementing existing methods. We define good short selling as improving price efficiency, and bad short selling as diminishing it. Applying this method to the Korean stock market demonstrates that this new perspective can offer fresh insights into the relationship between short sales and price efficiency. The proposed method yields market-wide results that diverge from conventional methods under some efficiency criteria, while aligning with them under others. It also quantifies the proportion of good and bad short selling at the individual stock level, supporting the broader market-level findings.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102874"},"PeriodicalIF":5.3,"publicationDate":"2025-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144722048","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
Managerial ability and R&D spending stickiness: Evidence from China 管理能力与研发支出粘性：来自中国的证据
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-07-25 DOI: 10.1016/j.pacfin.2025.102880
Fangjun Wang , Jiayue Xie , Mark Anderson , Jiyuan Li , Junqin Sun
{"title":"Managerial ability and R&D spending stickiness: Evidence from China","authors":"Fangjun Wang ,&nbsp;Jiayue Xie ,&nbsp;Mark Anderson ,&nbsp;Jiyuan Li ,&nbsp;Junqin Sun","doi":"10.1016/j.pacfin.2025.102880","DOIUrl":"10.1016/j.pacfin.2025.102880","url":null,"abstract":"<div><div>We investigate how managerial ability is related to R&amp;D spending stickiness, where stickiness is the degree to which downward elasticity is less than upward elasticity of R&amp;D spending in relation to changes in sales. In the case of R&amp;D, sales represent cash flows that may support R&amp;D spending as opposed to a direct driver of R&amp;D spending. High ability managers may calibrate R&amp;D spending to sales to achieve more stable earnings in the short run, reducing R&amp;D spending stickiness, or they may continue to spend on promising R&amp;D projects when sales decline, increasing R&amp;D spending stickiness. For a sample of Chinese firms from 2010 to 2019, we find that R&amp;D stickiness decreases with managerial ability, suggesting that higher ability managers prefer more stable earnings in the short term. We test whether innovation output increases or decreases with managerial ability and find that it decreases with managerial ability. In contrast, we find that innovation output increases with R&amp;D stickiness.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102880"},"PeriodicalIF":5.3,"publicationDate":"2025-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144739511","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
CSR and exposure to systemic risk: Building resilience in non-financial firms 企业社会责任与系统性风险敞口：非金融企业的弹性建设
IF 5.3 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2025-07-24 DOI: 10.1016/j.pacfin.2025.102884
Neeru Chaudhry, Priya Dhawan
{"title":"CSR and exposure to systemic risk: Building resilience in non-financial firms","authors":"Neeru Chaudhry,&nbsp;Priya Dhawan","doi":"10.1016/j.pacfin.2025.102884","DOIUrl":"10.1016/j.pacfin.2025.102884","url":null,"abstract":"<div><div>By using a sample of non-financial listed Indian firms, we find that firms that spend more funds on Corporate Social Responsibility (CSR) observe a greater reduction in their exposure to systemic risk. The negative relationship between CSR spending and systemic risk persists even during the global financial crisis and COVID-19 pandemic periods. It is more pronounced for firms that are mandated to spend on CSR than those which are not. CSR reduces the exposure to systemic risk by improving the information quality, reducing the probability of default, and enhancing the firm valuation. Our study highlights the importance of integrating CSR into the policymaking, which is directed towards mitigating the systemic risk. It in turn would ensure financial stability and reduce crises in an economy.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"93 ","pages":"Article 102884"},"PeriodicalIF":5.3,"publicationDate":"2025-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144722049","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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