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Extreme Liquidity Risk and the Cross-Section of Expected Returns: Evidence from China* 极端流动性风险与预期收益的截面——来自中国的证据*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-04-10 DOI: 10.1111/ajfs.12420
Zhijun Hu, Ping-Wen Sun
{"title":"Extreme Liquidity Risk and the Cross-Section of Expected Returns: Evidence from China*","authors":"Zhijun Hu,&nbsp;Ping-Wen Sun","doi":"10.1111/ajfs.12420","DOIUrl":"https://doi.org/10.1111/ajfs.12420","url":null,"abstract":"<p>In this study, we investigate whether extreme liquidity risk is priced in the China A-shares market. We find that the market extreme liquidity risk significantly and negatively predicts market returns up to 9 months. In addition, the extreme liquidity risk beta of individual stocks commands a positive monthly premium of 0.75%. Moreover, our findings show that the extreme liquidity risk beta can subsume the tail risk beta in predicting stock returns. Furthermore, our findings show that both the potential selling pressures caused by insiders and by institutional investors significantly and positively influence an individual stock's extreme liquidity risk beta. We also find that the potential selling pressure component of the extreme liquidity risk beta significantly and positively predicts stock returns. Taken together, our evidence demonstrates that a stock's extreme liquidity risk beta provides a channel through which the stock's potential selling pressure caused by both insiders and institutional investors influences its expected return in the China A-shares market.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 2","pages":"159-192"},"PeriodicalIF":1.5,"publicationDate":"2023-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50126653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Pricing Liquidity Risk in the Korean Corporate Bond Market* 韩国公司债券市场的流动性风险定价*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-04-06 DOI: 10.1111/ajfs.12421
Eunji Kim, Ga-Young Jang, Soo-Hyun Kim
{"title":"Pricing Liquidity Risk in the Korean Corporate Bond Market*","authors":"Eunji Kim,&nbsp;Ga-Young Jang,&nbsp;Soo-Hyun Kim","doi":"10.1111/ajfs.12421","DOIUrl":"https://doi.org/10.1111/ajfs.12421","url":null,"abstract":"<p>This study investigates the pricing of liquidity risk in the Korean corporate bond market. We use three different liquidity factors — namely, aggregate market liquidity, liquidity innovation, and predicted liquidity. The empirical results show that, while a liquidity premium exists in the Korean corporate bond market when measured by the market liquidity factor, a liquidity discount occurs when measured by the predicted liquidity factor. Drawing on prior studies, we further describe that the lower (higher) returns for portfolios with a high sensitivity to unexpected liquidity shocks may be attributable to the infrequent (frequent) trading of AAA(A)-rated bonds in the Korean market. Finally, our findings suggest that while a liquidity premium exists in expectation, investors are penalized for taking predicted liquidity risks in the Korean corporate bond market.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 2","pages":"264-291"},"PeriodicalIF":1.5,"publicationDate":"2023-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50122333","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Chinese Capital Markets During the Past Three Decades: editor's note 过去三十年的中国资本市场:编者按
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-02-26 DOI: 10.1111/ajfs.12415
Yun Hu, Hongping Tan
{"title":"Chinese Capital Markets During the Past Three Decades: editor's note","authors":"Yun Hu,&nbsp;Hongping Tan","doi":"10.1111/ajfs.12415","DOIUrl":"10.1111/ajfs.12415","url":null,"abstract":"","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"51 6","pages":"789-795"},"PeriodicalIF":1.5,"publicationDate":"2023-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74204862","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
How Can Local Policy Uncertainty Encourage Firm Innovation: A Competitive Advantage Channel* 地方政策的不确定性如何鼓励企业创新：一个竞争优势渠道*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-02-12 DOI: 10.1111/ajfs.12411
Xiaoran Ni
{"title":"How Can Local Policy Uncertainty Encourage Firm Innovation: A Competitive Advantage Channel*","authors":"Xiaoran Ni","doi":"10.1111/ajfs.12411","DOIUrl":"https://doi.org/10.1111/ajfs.12411","url":null,"abstract":"<p>Exploring the turnover of city heads in China, I find that state-owned enterprises (SOEs), which possess competitive advantages (especially resource-based) due to innate government connections, significantly increase innovation compared with non-SOEs when local policy uncertainty heightens. In particular, when the turnover of city heads occurs, SOEs are able to obtain a larger amount of external financing at lower costs than non-SOEs. Additionally, SOEs that file invention patents at the height of local policy uncertainty have better product market performances. My findings indicate that heightened local policy uncertainty enables firms with innate government connections to explore first-mover advantages through innovation activities.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 1","pages":"35-62"},"PeriodicalIF":1.5,"publicationDate":"2023-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50129695","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Media Coverage and Labor Investment Efficiency: Evidence from China* 媒体报道与劳动投资效率——来自中国的证据*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-02-05 DOI: 10.1111/ajfs.12408
Jin Liu, Tingwei Li, Lei Wang
{"title":"Media Coverage and Labor Investment Efficiency: Evidence from China*","authors":"Jin Liu,&nbsp;Tingwei Li,&nbsp;Lei Wang","doi":"10.1111/ajfs.12408","DOIUrl":"https://doi.org/10.1111/ajfs.12408","url":null,"abstract":"<p>Using 2.09 million pieces of media coverage associated with Chinese firms during 2006–2019, we find a significantly positive relationship between media coverage and labor investment efficiency. Both newspaper and online media coverage can effectively reduce firms' labor over-investment and under-investment. Our results are robust after addressing a range of endogeneity concerns. Further analyses show that the positive relationship between media coverage and labor investment efficiency is more pronounced for firms with higher labor cost stickiness or when human capital is more important to the firm's business model. Mechanism analyses reveal that media coverage improves labor investment efficiency through the compensation incentive mechanism, supervision mechanism, and information disclosure mechanism.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 1","pages":"116-152"},"PeriodicalIF":1.5,"publicationDate":"2023-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50130082","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 2
Corporate Social Responsibility Rating, Corporate Governance, and Financial Distress: Evidence from China 企业社会责任评级、公司治理与财务困境——来自中国的证据
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-01-23 DOI: 10.1111/ajfs.12414
Chi Guotai, Hassan Khalil, Chayma Erraja
{"title":"Corporate Social Responsibility Rating, Corporate Governance, and Financial Distress: Evidence from China","authors":"Chi Guotai,&nbsp;Hassan Khalil,&nbsp;Chayma Erraja","doi":"10.1111/ajfs.12414","DOIUrl":"https://doi.org/10.1111/ajfs.12414","url":null,"abstract":"<p>This study investigates the relationship between corporate social responsibility (CSR) and financial distress in China using the <i>O</i>-score and a Chinese sample of 4202 observations between 2011 and 2017. The relationship is accordingly more pronounced in weak corporate governance firms with low levels of institutional shareholders and free cash flow and among non-state-owned enterprises and mandatory CSR disclosure firms. The findings are robust to endogeneity through robustness checks and the 2013 Sichuan Lushan earthquake as an exogenous shock to CSR. Ultimately, the study will help investors, shareholders, and policymakers appreciate the impact of CSR dimensions.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"52 1","pages":"6-34"},"PeriodicalIF":1.5,"publicationDate":"2023-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50141750","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 1
One Country, Two Calendars: Lunar January Effect in China's A-Share Stock Market 一个国家，两个日历:中国a股市场的农历一月效应
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-01-19 DOI: 10.1111/ajfs.12404
Xiaobo Liang, Qianqiu Liu, Allan A. Zebedee
{"title":"One Country, Two Calendars: Lunar January Effect in China's A-Share Stock Market","authors":"Xiaobo Liang,&nbsp;Qianqiu Liu,&nbsp;Allan A. Zebedee","doi":"10.1111/ajfs.12404","DOIUrl":"10.1111/ajfs.12404","url":null,"abstract":"<p>In this paper, we examine the January effect in China's A-share stock market from January 1995 to December 2019 using both the solar and lunar calendars. Consistent with the existing literature, we find the absence of a traditional January effect in the solar calendar; however, we observe a strong January effect in the lunar calendar. Moreover, the effect is much stronger in small firms. We demonstrate that the tax-loss selling and window dressing hypotheses cannot explain the turn-of-the-year effect in China. Instead, the turn-of-the-year effect in trading volume and buy orders help to explain the strong lunar January effect. As a falsification test, we examine the B-share market that is predominantly composed of foreign investors and find no evidence of the lunar January effect. Our results show that Chinese financial markets are more closely aligned with the traditional lunar calendar than the standard solar calendar.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"51 6","pages":"859-895"},"PeriodicalIF":1.5,"publicationDate":"2023-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82128189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Peer Innovation Tone and Corporate Innovation Adjustments: Evidence from China* 同行创新基调与企业创新调整:来自中国的证据*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-01-16 DOI: 10.1111/ajfs.12407
Zhiqiang Liu, Pingui Rao, Xinlu Wang, Raymon Yue
{"title":"Peer Innovation Tone and Corporate Innovation Adjustments: Evidence from China*","authors":"Zhiqiang Liu,&nbsp;Pingui Rao,&nbsp;Xinlu Wang,&nbsp;Raymon Yue","doi":"10.1111/ajfs.12407","DOIUrl":"10.1111/ajfs.12407","url":null,"abstract":"<p>Using textual information regarding innovation in the annual reports of Chinese listed firms for the period from 2007 to 2019, we examine how firms alter their innovation activities in response to the tone of peer firms' discussions of innovation in their annual reports (“innovation tone”). We find that a positive innovation tone in peer firms' annual reports results in a significant reduction in R&amp;D investments by the focal firm, especially when such a tone pertains to the future. Our cross-sectional analyses show that peers' innovation tone strongly affects R&amp;D investments when the focal firm operates in a non-high-tech or highly competitive industry, or is readily willing to adjust its innovation strategy. Further investigation shows that the marginal benefits of a focal firm's R&amp;D investments decline when annual peer reports adopt relatively positive innovation tones. Our results enrich the literature on the peer effects of textual information on innovation and have implications for firms' innovation strategies.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"51 6","pages":"945-980"},"PeriodicalIF":1.5,"publicationDate":"2023-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89006715","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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 Financial Literacy and Corporate Performance: Evidence from Small and Medium-Sized Enterprises in China 高管财务素养与公司绩效:来自中国中小企业的证据
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-01-16 DOI: 10.1111/ajfs.12403
Guangning Tian, Shuyuan Zhou, Yawei Qi
{"title":"Executive Financial Literacy and Corporate Performance: Evidence from Small and Medium-Sized Enterprises in China","authors":"Guangning Tian,&nbsp;Shuyuan Zhou,&nbsp;Yawei Qi","doi":"10.1111/ajfs.12403","DOIUrl":"10.1111/ajfs.12403","url":null,"abstract":"<p>Based on the survey data from the China National SME Survey Database in 2019, we analyze the relationship between executive financial literacy and the performance of Chinese small and medium-sized enterprises (SMEs). We find that executive financial literacy helps improve corporate performance, especially for companies with weak external supervision and low competitive pressure. After controlling for the effects of the variables at the individual executive and enterprise levels, addressing possible endogenous problems in the analysis, robustness tests and heterogeneity analyses indicates that our findings remain unchanged. We further show that executive financial literacy improves corporate performance by alleviating corporate financing constraints and improving corporate risk management. Our findings have important policy implications for stimulating the vitality of economy and promoting high-quality economic development.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"51 6","pages":"797-827"},"PeriodicalIF":1.5,"publicationDate":"2023-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88366670","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 1
Government–Business Relations and Corporate Cash Holdings: Evidence from China* 政商关系与企业现金持有:来自中国的证据*
IF 1.5 4区 经济学
Asia-Pacific Journal of Financial Studies Pub Date : 2023-01-16 DOI: 10.1111/ajfs.12406
Yu Gao, Yan Cai, Zhuoqi Teng, Yuantao Fang
{"title":"Government–Business Relations and Corporate Cash Holdings: Evidence from China*","authors":"Yu Gao,&nbsp;Yan Cai,&nbsp;Zhuoqi Teng,&nbsp;Yuantao Fang","doi":"10.1111/ajfs.12406","DOIUrl":"10.1111/ajfs.12406","url":null,"abstract":"<p>This study employs data from Chinese firms between 2017 and 2019 to explore how government–business relations affect corporate cash holdings. We find that healthy government–business relations have a significantly positive impact on corporate cash holdings. The mechanism test reveals that the former affects the latter via investment opportunities. Furthermore, product market competition positively moderates the relationship between government–business relations and corporate cash holdings, but financial constraints negatively moderate this relationship. The results of our research have implications for the government to optimize the quality of governance and for enterprises to adjust their business strategies.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"51 6","pages":"914-944"},"PeriodicalIF":1.5,"publicationDate":"2023-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85695293","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 1
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