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Political uncertainty, bank loans, and corporate behavior: New investigation with machine learning 政治不确定性、银行贷款和企业行为：利用机器学习的新研究
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-10 DOI: 10.1016/j.pacfin.2024.102480
Yilei Qian , Feng Wang , Muyang Zhang , Ninghua Zhong
{"title":"Political uncertainty, bank loans, and corporate behavior: New investigation with machine learning","authors":"Yilei Qian ,&nbsp;Feng Wang ,&nbsp;Muyang Zhang ,&nbsp;Ninghua Zhong","doi":"10.1016/j.pacfin.2024.102480","DOIUrl":"10.1016/j.pacfin.2024.102480","url":null,"abstract":"<div><p>This paper investigates how uncertain term length, a novel source of political uncertainty, affects the behaviors of banks and firms using a machine-learning approach. China's local authorities do not have a fixed term, creating an ideal environment for studying how economic agents react to their perception of political uncertainty without an actual political turnover. We implement a machine-learning method to predict the term length of city leaders by observing others with similar backgrounds. Combining this new measurement of political uncertainty and bank- and firm-level data, we find an inverted U-shaped relationship between city leaders' predicted remaining term length and bank loans, corporate liabilities, and investment, which matches the change of political uncertainty over the term. We also record the potential adverse consequences of the politically motivated loan and investment expansion, such as a loss of corporate efficiency and a disruption in market order.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"87 ","pages":"Article 102480"},"PeriodicalIF":4.8,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142044976","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
An extension analysis of Amihud's illiquidity premium: Evidence from the Taiwan stock market Amihud非流动性溢价的扩展分析：来自台湾股市的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-10 DOI: 10.1016/j.pacfin.2024.102483
Hsiu-Chuan Lee , Donald Lien , Her-Jiun Sheu , Chung-Jen Yang
{"title":"An extension analysis of Amihud's illiquidity premium: Evidence from the Taiwan stock market","authors":"Hsiu-Chuan Lee ,&nbsp;Donald Lien ,&nbsp;Her-Jiun Sheu ,&nbsp;Chung-Jen Yang","doi":"10.1016/j.pacfin.2024.102483","DOIUrl":"10.1016/j.pacfin.2024.102483","url":null,"abstract":"<div><p>This study proposes a novel illiquidity measure that excludes overnight returns and incorporates the recency effect, and investigates whether this new metric more effectively captures the illiquidity premium in the Taiwan stock market relative to Amihud's (2002) measure and other illiquidity measures that exclude overnight returns or account for the recency effect. Cross-sectional and time-series asset pricing tests reveal that our measure dominates other illiquidity measures, yielding a more profitable long–short strategy. Vector autoregressive analysis confirms these results for the aggregate market. Our study contributes to the measurement of liquidity in emerging markets and suggests potential improvements for portfolio management and asset pricing models.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"87 ","pages":"Article 102483"},"PeriodicalIF":4.8,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141985816","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
Foreign ownership, institutional distance and mutual fund performance: Evidence from China 外资所有权、机构距离与共同基金业绩：来自中国的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-08 DOI: 10.1016/j.pacfin.2024.102474
Yue Zhang , Caiping Wang , Yufei Chen
{"title":"Foreign ownership, institutional distance and mutual fund performance: Evidence from China","authors":"Yue Zhang ,&nbsp;Caiping Wang ,&nbsp;Yufei Chen","doi":"10.1016/j.pacfin.2024.102474","DOIUrl":"10.1016/j.pacfin.2024.102474","url":null,"abstract":"<div><p>The existing literature documents mixed results on the impact of formal institutional distance on the performance of cross-border business. We contribute to this debate by providing evidence in the context of the Chinese mutual fund industry which was recently fully opened to foreign participants. Using a sample of 2115 actively managed equity mutual funds coming from 125 Chinese fund companies covering the period between July 2006 and September 2020, we show a negative relationship between formal institutional distance and funds' risk-adjusted performance. The funds offered by international joint venture fund companies (IJVs) with high institutional distance underperform the comparable domestic funds, whilst such an underperformance is not observed for the funds coming from IJVs with low institutional distance. Consistently, the institutional distance increases the probability of the cooperation failure between the foreign and the domestic partners of the IJVs. Policy implications for the international joint venture in the fund industry are discussed.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"87 ","pages":"Article 102474"},"PeriodicalIF":4.8,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141985818","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
The disposition effect on partially informed short sellers 对部分知情卖空者的处置效应
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-08 DOI: 10.1016/j.pacfin.2024.102479
Wei-Che Tsai , Li-Jung Lin , Hsin-Yu Chiu
{"title":"The disposition effect on partially informed short sellers","authors":"Wei-Che Tsai ,&nbsp;Li-Jung Lin ,&nbsp;Hsin-Yu Chiu","doi":"10.1016/j.pacfin.2024.102479","DOIUrl":"10.1016/j.pacfin.2024.102479","url":null,"abstract":"<div><p>This paper examines how the disposition effect influences the trading behavior of partially informed short sellers. We measure short sellers' closing of short positions by the ratio of weekly closed short positions to the total number of shorted shares and analyze its relationship with the short-sale capital gains overhang. Using Taiwanese short sale data, we show that short sellers' closing of short positions is subjected to the disposition bias, while they are partially informed in the sense that a higher level of the short balance predicts a lower stock return. As a result, short sellers tend to close their short positions prematurely and fail to fully exploit the potential profits. Furthermore, the disposition effect is more pronounced in stocks with lower market capitalizations, lower liquidity, lower institutional ownership, and higher return volatility.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"87 ","pages":"Article 102479"},"PeriodicalIF":4.8,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141985819","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
Common ownership along the supply chain and supplier innovations 供应链和供应商创新的共同所有权
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-06 DOI: 10.1016/j.pacfin.2024.102478
Xian Chen
{"title":"Common ownership along the supply chain and supplier innovations","authors":"Xian Chen","doi":"10.1016/j.pacfin.2024.102478","DOIUrl":"10.1016/j.pacfin.2024.102478","url":null,"abstract":"<div><p>Common owners are the (institutional) investors that hold equities of multiple firms. I examine the impact of common ownership of suppliers and customers on suppliers' innovation activities. I find suppliers' investment in innovation, quantity, and quality of innovation output increase when common owners control higher fractions of their and their customers' shares outstanding. The impact of this vertical common ownership on innovation input and quality of innovation output is stronger and more robust than that of the horizontal common ownership. I provide plausible evidence for causality using both a difference-in-differences approach and an instrument variable approach based on a quasi-natural experiment in the form of financial institution mergers and acquisitions. Moreover, I test the potential channels through which the vertical common ownership could influence supplier innovation. My evidence suggests that common ownership increases suppliers' investment in innovation by mitigating hold-up issues between suppliers and customers and enhances suppliers' innovation output performance by improving technological spillovers between suppliers and customers. However, my results also suggest that for suppliers producing mainly capital goods, these positive effects of common ownership on innovation are offset by a negative effect due to vertical creative destruction. Overall, my evidence suggests that common institutional ownership enhances suppliers' innovation performance by improving relationships between suppliers and their customers.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"87 ","pages":"Article 102478"},"PeriodicalIF":4.8,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142002025","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
Noisy market, machine learning and fundamental momentum 嘈杂的市场、机器学习和基本动力
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-06 DOI: 10.1016/j.pacfin.2024.102473
Tian Ma , Haoyun Sheng , Yuejie Wang
{"title":"Noisy market, machine learning and fundamental momentum","authors":"Tian Ma ,&nbsp;Haoyun Sheng ,&nbsp;Yuejie Wang","doi":"10.1016/j.pacfin.2024.102473","DOIUrl":"10.1016/j.pacfin.2024.102473","url":null,"abstract":"<div><p>We employ machine to learn the continuous fundamental information and elucidate the fundamental momentum in the noisy Chinese stock market. We extract fundamental implied component from realized returns and sort stocks with the trend of implied parts. The high-dimensional fundamental momentum significantly differentiates from its predecessor, yielding an annualized return of 13.8%. Underreaction in investors helps explain the strategy, as it generates stronger profit during periods of low investor sentiment and in subsamples with high idiosyncratic volatility. The retail investors in China are prone to distort the presentation of momentum. Fundamental momentum is robust in the U.S. samples, different training windows and alternative machine learning algorithms.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"86 ","pages":"Article 102473"},"PeriodicalIF":4.8,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141963571","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
Linking labor with capital: How employee friendly treatment impact trade credit availability 将劳动力与资本联系起来：员工友好型待遇如何影响贸易信贷的可用性
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-05 DOI: 10.1016/j.pacfin.2024.102476
Yaoqin Li
{"title":"Linking labor with capital: How employee friendly treatment impact trade credit availability","authors":"Yaoqin Li","doi":"10.1016/j.pacfin.2024.102476","DOIUrl":"10.1016/j.pacfin.2024.102476","url":null,"abstract":"<div><p>This study explores the value of employee friendly treatment from a signaling theory perspective by relating it to corporate trade credit. Theoretically, employee friendly treatment signals firms' high possibility of “will and able” to perform obligations, which strengthens firms' bargaining power in striving for trade credit. The empirical tests show a positive relationship between employee friendly treatment and trade credit availability. The positive effect of employee friendly treatment on trade credit is more prominent in firms with lower market power and firms located in areas with weaker legal enforcement, lower level industrialization and poorer high education popularity. Overall, the study establishes a link between labor and capital market, implying that firms' treatment to employees who are internal stakeholders can be a cue for outsider stakeholders such as suppliers to alter the provision of trade credit.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"87 ","pages":"Article 102476"},"PeriodicalIF":4.8,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142098104","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
Mergers and acquisitions comment letters and analysts' earnings forecasts: Evidence from China 并购评论信与分析师的盈利预测：来自中国的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-05 DOI: 10.1016/j.pacfin.2024.102470
Liangyong Wan , Chen Li , Rui Xu , Hao Zhang
{"title":"Mergers and acquisitions comment letters and analysts' earnings forecasts: Evidence from China","authors":"Liangyong Wan ,&nbsp;Chen Li ,&nbsp;Rui Xu ,&nbsp;Hao Zhang","doi":"10.1016/j.pacfin.2024.102470","DOIUrl":"10.1016/j.pacfin.2024.102470","url":null,"abstract":"<div><p>In this study we examine the effect of the mergers and acquisitions (M&amp;A) comment letters on the analysts' earnings forecasts in China. Using the M&amp;A data of listed companies between 2014 and 2018 as the main sample, we show that the M&amp;A comment letters can reduce analysts' earnings forecast optimism. Additionally, the impact of the M&amp;A comment letters on analysts' earnings forecast optimism <!--> <!-->is more pronounced in firms with higher market sentiment and higher conflicts of interest. Finally, the textual characteristics of the M&amp;A comment letters and the classification of questions in the M&amp;A comment letters also influence analysts' earnings forecast optimism. Our research broadens the economic consequences of the M&amp;A comment letters and provides a richer theoretical perspective and empirical evidence to understand the effectiveness of non-penalty regulation.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"86 ","pages":"Article 102470"},"PeriodicalIF":4.8,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141963570","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
Official visits and stock price crash risk 官方访问与股价暴跌风险
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-05 DOI: 10.1016/j.pacfin.2024.102475
Yanping Wang , Ke Qiao , Qiuhang Xing , Yunxia Bai
{"title":"Official visits and stock price crash risk","authors":"Yanping Wang ,&nbsp;Ke Qiao ,&nbsp;Qiuhang Xing ,&nbsp;Yunxia Bai","doi":"10.1016/j.pacfin.2024.102475","DOIUrl":"10.1016/j.pacfin.2024.102475","url":null,"abstract":"<div><p>Against the backdrop of continuous stock price crashes, preventing stock price crash risk has become an increasingly important item on the Chinese government's agenda in recent years. Using a unique dataset on official visits manually collected from news reports posted on corporate websites during the 2010–2020 period, we examine the impact of official visits on the stock price crash risk of visited companies. We find that official visits contribute to a reduction in stock price crash risk. This effect is more pronounced among privately controlled companies, information-opaque companies, and financially constrained companies. Taking the political rankings of visiting officials into consideration, we find that municipal officials have a more significant influence on stock price crash risk. We further establish the underlying mechanisms and find that official visits reduce crash risk through the provision of more preferential resources, such as government subsidies and bank loans, and by attracting more public attention, such as media and analyst coverage. Overall, our research provides evidence on how officials can prevent stock price crash risk.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"87 ","pages":"Article 102475"},"PeriodicalIF":4.8,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142047798","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
Environmental regulation, intelligent manufacturing and corporate investment & financing: Evidence from industrial robot investment 环境监管、智能制造和企业投融资：工业机器人投资的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-05 DOI: 10.1016/j.pacfin.2024.102477
Zhensheng Li , Junpeng Zhu , Shuqiong Wang
{"title":"Environmental regulation, intelligent manufacturing and corporate investment & financing: Evidence from industrial robot investment","authors":"Zhensheng Li ,&nbsp;Junpeng Zhu ,&nbsp;Shuqiong Wang","doi":"10.1016/j.pacfin.2024.102477","DOIUrl":"10.1016/j.pacfin.2024.102477","url":null,"abstract":"<div><p>Industrial robots, as a core technology and essential tool in intelligent manufacturing, have brought about a new transformation in industrial production patterns. China is at a critical juncture in its green transition and urgently needs to increase investments in industrial robots. Based on the policy shock provided by implementing the Clean Air Action in 2013, we construct a quasi-natural experiment to assess the impact of escalating environmental policies on industrial robot investment. The results indicate that the stringent regulation significantly inhibited high-pollution enterprises from adopting industrial robots. Mechanism analysis reveals that the obstacle to corporate investment is the reason for the suppression of industrial robot installation. Compared to equity financing, constraints from debt financing are the primary channel inhibiting investment. Furthermore, factors such as corporate ownership and industry concentration also play a moderating role in the policy effect. The findings of this paper provide insights for supporting policies aimed at sustainable development.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"87 ","pages":"Article 102477"},"PeriodicalIF":4.8,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141997409","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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