This study develops a novel deep learning framework for bank distress prediction, designed to overcome the limitations of static network analysis and to enhance model interpretability. We propose a Spatio-Temporal Attention Network that uniquely captures the time-varying nature of systemic risk. Methodologically, it introduces two key innovations: (1) a dynamic interbank network whose connection weights are adjusted by the volatility of the Shanghai Interbank Offered Rate (SHIBOR), reflecting real-time market liquidity changes; and (2) a dual spatio-temporal attention mechanism that identifies critical time steps and pivotal contagion pathways leading to a distress event. Empirical results demonstrate that the model significantly outperforms traditional benchmarks across key metrics including accuracy and F1-score. Most critically, the architecture proves exceptionally effective at reducing Type II errors, substantially minimizing the failure to identify at-risk banks. The model also offers high interpretability, with attention weights visualizing intuitive risk evolution patterns. We conclude that incorporating dynamic, liquidity-adjusted networks is crucial for superior predictive performance in systemic risk modeling.

This study develops a novel deep learning framework for bank distress prediction, designed to overcome the limitations of static network analysis and to enhance model interpretability. We propose a Spatio-Temporal Attention Network that uniquely captures the time-varying nature of systemic risk. Methodologically, it introduces two key innovations: (1) a dynamic interbank network whose connection weights are adjusted by the volatility of the Shanghai Interbank Offered Rate (SHIBOR), reflecting real-time market liquidity changes; and (2) a dual spatio-temporal attention mechanism that identifies critical time steps and pivotal contagion pathways leading to a distress event. Empirical results demonstrate that the model significantly outperforms traditional benchmarks across key metrics including accuracy and F1-score. Most critically, the architecture proves exceptionally effective at reducing Type II errors, substantially minimizing the failure to identify at-risk banks. The model also offers high interpretability, with attention weights visualizing intuitive risk evolution patterns. We conclude that incorporating dynamic, liquidity-adjusted networks is crucial for superior predictive performance in systemic risk modeling.

Traditional decision tree models, which rely exclusively on numerical variables, often encounter difficulties in handling high-dimensional data and fail to effectively incorporate textual information. To address these limitations, we propose the Integrated Multivariate Segmentation Tree (IMST), a comprehensive framework designed to enhance credit evaluation for small and medium-sized enterprises (SMEs) by integrating financial data with textual sources. The methodology comprises three core stages: (1) transforming textual data into numerical matrices through matrix factorization; (2) selecting salient financial features using Lasso regression; and (3) constructing a multivariate segmentation tree based on the Gini index or Entropy, with weakest-link pruning applied to regulate model complexity. Experimental results derived from a dataset of 1,428 Chinese SMEs demonstrate that IMST achieves an accuracy of 88.9%, surpassing baseline decision trees (87.4%) as well as conventional models such as logistic regression and support vector machines (SVM). Furthermore, the proposed model exhibits superior interpretability and computational efficiency, featuring a more streamlined architecture and enhanced risk detection capabilities.

We examine how organizational learning and organizational disruption jointly arise when Chinese audit firms have U.S. cross-listed clients and which effect dominates. Among public companies listed only in China, we define the treatment group as companies audited by Chinese audit firms serving at least one U.S. client, similar companies audited by firms without U.S. clients as the control group. Survey evidence indicates strong incentives and opportunities to learn from U.S. engagements and frequent learning activities in treatment audit firms. The archival evidence however shows that their domestic audit quality declines relative to the control group. The effect is more pronounced when U.S. clients demand more audit resources, when domestic clients are more sensitive to limited audit attention, and when U.S. and domestic clients are more similar. Overall, our findings indicate a negative externality of U.S. cross-listing audit when resource constraints hinder an effective firm-wide learning.

The stock price of a firm is dynamically influenced by its own factors as well as those of its peers. In this study, we introduce a Graph Attention Network (GAT) integrated with WaveNet architecture—termed the GAT-WaveNet model—to capture both time-series and spatial dependencies for forecasting the stock price crash risk of Chinese listed firms from 2012 to 2021. Utilizing node-rolling techniques to prevent overfitting, our results show that the GAT-WaveNet model significantly outperforms traditional machine learning models in prediction accuracy. Moreover, investment portfolios leveraging the GAT-WaveNet model substantially exceed the cumulative returns of those based on other models.

As digital technologies proliferate, firms increasingly leverage digital transformation strategically, necessitating new orientations attuned to digital technological change. This study investigates how digital orientation (DORI)- the philosophy of harnessing digital technology scope, digital capabilities, digital ecosystem coordination, and digital architecture configuration for competitive advantage – influences firms’ environmental, social, and governance performance (ESG_per). Analysis of Chinese A-share firms from 2010-2019 reveals DORI is associated with superior ESG_per, operating through the mediating mechanism of enhanced digital finance (DIFIN) as a fund-providing facilitator for sustainability initiatives. Additional analysis uncovers important heterogeneities – private firms, centrally owned state-owned enterprises, politically connected, and emerging companies exhibit the strongest DORI - ESG_per linkages. Prominently, the study findings are validated through a battery of robustness tests, including instrumental variable methods, and propensity score matching. Overall, the results underscore the need for firms to purposefully develop multifaceted digital orientation and furnishes novel theoretical insights and practical implications regarding DORI’s role in improving ESG_per.

Purpose – The aim of this paper is to provide additional insights on the association between real earnings management (REM) and crash risk, particularly from the perspective of an emerging market economy. It also examines the moderation role that internal and external corporate governance may play in this area. Design/methodology/approach – Relying on archival data from the RESSETand CSMAR databases over a timeframe from 2010 to 2018 of China listed company, the authors test the hypotheses by regressing common measures of crash risk on the treatment variable (REM) and crash risk control variables identified in the prior crash risk literature. The authors also introduce monitoring proxies (internal controls as an internal governance and institutional ownership as an external governance) and assess how effective internal and external governance moderate the relation between REM and stock price crash risk. Findings – The results suggest firms with higher REM have a significantly greater stock price crash risk, and that this association is mitigated by external monitoring. That is, greater institutional ownership, particularly pressure insensitive owners, mitigates the impact of REM on stock price crash risk. However, internal control does not mitigate the association between REM and stock price crash risk. Originality/value – Following the passage of the Sarbanes–Oxley (SOX) Act, prior research has documented an increase in the use of REM and a positive association between REM and cash risk. The authors demonstrate that they persist in one of the largest emerging markets where institutional regulations, market conditions and corporate behaviors are different from those in developed markets. Also, the assessment of the moderation effect of internal and external governance mechanisms could have meaningful implications for investors and regulators in Chinese and other emerging markets.

In the era of big data, asset pricing is influenced by various factors, which are extracted from multi-source heterogeneous information, such as high frequency market and sentiment information, low frequency firm characteristic and macroeconomic information. Especially, low frequency policy information plays a significant role in the long-term pricing in China but it is barely investigated due to its textual form. To this end, we first extract policy variables from major national development plans (“Five-Year Plans”, “Government Work Reports”, and “Monetary Policy Reports”) using Natural Language Processing (NLP) technique and Dynamic Topic Model (DTM). However, traditional models are inadequate for mixed frequency data modeling and feature extraction. Then, we propose a mixed frequency deep factor asset pricing model (MIDAS-DF) that solves the asset pricing problems under the mixed frequency data environment through mixed data sampling (MIDAS) technique and deep learning architecture. Time-varying latent factors and factor loadings can be modeled from mixed frequency data directly in a nonlinear and data-driven way. Thus, the MIDAS-DF model is able to learn the nonlinear joint-patterns hidden in multi-source heterogeneous information. Our empirical studies of 4939 stocks on the Chinese A-share market from January 2003 to July 2022 demonstrate that low frequency policy information has profound impacts on asset pricing, which anchors the long-term pricing direction, and high frequency market and sentiment information have significant influences on stock prices, which optimize the short-term pricing accuracy, they together enhance the pricing effects. Consequently, pricing effects the MIDAS-DF model outperform the five competing models on individual stocks, various test portfolios, and investment portfolios. Our research about heterogeneous information provides implications to the government and regulators for decision-support in policy-making and our investment portfolio is of great importance for investors’ financial decisions.

提出了一种新的评价方法，用于评价波动率模型。该方法兼顾了模型拟合样本的能力和模型的平滑性，而避免了经典的评价方法只考虑模型拟合样本能力的缺陷。新方法有利于投资者挑选出交易成本相对较低的和风险对冲能力相对较强的波动率模型。实证例子是估计中国股票市场的行业时变风险：对三大类波动率模型进行了评价，并指出评价方法或标准的选择直接影响金融市场风险估计或预测的评价结果。

This study adopts the Markov-switching ARCH (hereafter SWARCH) model to examine the volatility nature and volatility linkages of four segmented Chinese stock indices (SHA, SZA, SHB, and SZB). Our empirical findings are consistent with the following notions. First, we find strong evidence of regime shift in the volatility of four segmented markets and SWARCH model appears to outperform standard GARCH family models. Second, although there are some common features of volatility switch in segmented markets, there exist a few difference: (i)compared with the A-share markets, B-share markets are more volatile and shift more frequently between high- and low-volatility states; (ii) B-share markets have longer stays at high volatility state than the A-share markets; (iii) the relative magnitude of the high volatility compared with that of the low volatility is much greater than the case in two A-share markets. Third, B-share markets are found to be more sensitive to international shocks, while the A-share markets seem immune to international spillovers of volatility. Finally, analyses of volatility spillover effect among the four stock markets indicate that the A-share markets play a dominant role in volatility in Chinese stock markets.