Using a comprehensive factor zoo, we document a notable factor MAX premium in the Chinese market. Factors with high maximum daily returns consistently outperform those with low maximum returns by 0.82% per month in the future, on a risk-adjusted basis. This premium remains robust controlling for various factor characteristics, and is not sensitive to the selection of factors. The factor MAX anomaly stands apart from lottery-type stock anomalies and contributes to elucidate most of these anomalies. The factor MAX premium concentrates in high-eigenvalue principal component factors, shedding light on the prevalent lottery preferences for factor investing in China’s A-share market. We document pronounced existence of factor MAX anomaly in the United States and other G7 countries.

This paper focuses on how Chinese and global economic policy uncertainties (CNEPU and GEPU) and geopolitical risks (CNGPR and GGPR) affect the growth of inbound tourism in China using ARDL and NARDL models as well as monthly series of Chinese inbound tourism revenue and arrivals. Firstly, we find significant effects of CNGPR and GGPR as well as GEPU on the growth of inbound tourism in Hainan Province and even in China nationwide, while the impact of CNEPU is limited. Among them, GEPU always has a significant long-term negative impact on inbound tourism growth (both inbound tourism revenue and inbound tourism arrivals). However, CNGPR has a significant short-term negative impact on inbound tourism growth in China nationwide but it has a significant long-term negative impact on inbound tourism growth in Hainan Province. Besides, estimation results of NARDL model further show the significant short-term effects of GEPU and GGPR on the growth of inbound tourism arrivals in Hainan Province and even in China nationwide, and such short-term effects are always significantly asymmetric. Among them, the negative components of GGPR can always more influence the growth of inbound tourism arrivals. However, the positive components of GEPU can more influence the growth inbound tourism arrivals in Hainan Province, but the negative components of GEPU can more influence the growth of inbound tourism arrivals in China nationwide.

We document a positive investment premium in the Chinese market, in contrast to the typical negative investment premium in other markets. The premium only exists when we measure investment by quarterly asset growth, not annual asset growth. A positive premium can be attributed to the fact that quarterly asset growth positively predicts future profitability and GDP growth in the Chinese market, whereas both relationships are negative in the U.S. market. Furthermore, Chinese firms have shorter operating cycles compared to those in the U.S., which explains why quarter data is more valuable.

Despite nearly twenty years of privatization, mixed-ownership reform has been the mainstay of SOE reform in China in recent years. This raises the question of whether the financial performance of mixed-ownership firms (Mixed firms) is better than private-owned enterprises (POEs). Although Mixed firms suffer more from government intervention, unclear property rights, and interest conflicts between state shareholders and private shareholders, they can also benefit from the external resources controlled by the state. Therefore, the performance of Mixed firms is still unclear. Collecting data from the Chinese A-share listed market, we divide the firms into POEs, Mixed firms controlled by the state (MixedSOEs), and Mixed firms controlled by the private sectors (MixedPOEs). Measuring profitability using ROA and ROE, we find that on average, POEs perform better than Mixed firms, and MixedPOEs have a higher profitability than MixedSOEs. Within Mixed firms, more state shares are related to lower profitability, and more private shares are related to higher profitability. Using the NBS survey data, we further find that on average, SOEs exhibit the lowest profitability, with MixedSOEs and MixedPOEs in the middle, and POEs have the highest profitability. We try to address the endogeneity challenge in several ways and get similar results. Overall, our analysis provides new evidence on the financial performance of mixed-ownership firms.

Using a proprietary granular database of a major Chinese stock exchange, we examine heterogenous investors’ trading dynamics around one of the most important macro announcements of the Chinese central bank, the monthly release of monetary aggregates data. Exploiting the trading heterogeneity across assets and across investor types, we find that before announcements, institutional investors reduce their aggregate stock exposure while over-weighing riskier stocks of smaller caps, whereas retail investors provide liquidity by increasing their aggregate stock exposure and avoiding the riskier stocks. Large retail and institutional investors become more informed before announcements and trade in correct directions consistent with the news surprises after announcements, while smaller retail investors trade in opposite directions. While the institutional investors accumulate positive returns with risk compensated, the market realizes sizable pre-announcement equity premium.

This paper studies the evolution of China's production and trade patterns during its integration into the global economy. We document and explain new facts concerning changes in production and exports at the industry and firm levels using microdata and a quantitative Ricardian and Heckscher–Ohlin model with heterogeneous firms. Counterfactual simulations reveal that capital deepening made China's production and exports more capital-intensive, although labor-biased productivity growth acted as a counterforce. Consistent with the data, our model demonstrates that China's trade openness peaked around the mid-2000s and fell until the 2020s, while the world's exposure to Chinese exports rose continuously.

This paper examines the fiscal motives behind municipal governments' decisions to allocate commercial and residential land when two categories of land use are subject to different fiscal revenue alternatives: business-related tax and/or land rent. We use urban parcel-level land transfers during China’s peak period of urbanization, match commercial parcels with residential parcels, and find significant price discounts on commercial parcels relative to adjacent residential parcels. The observed discounts arise from the future tax flows from commercial use, i.e., expected taxes from developed commercial land reduce its transfer price. We conduct a structural estimation to examine the implications on land use structure of future taxes lowering land transfer prices. Results show that while prospective taxes increase commercial land supply, a significant portion of the favorable treatment impact is mitigated by market price responses, suggesting that the land market counters commercial land favoritism when local revenues include both business-related taxes and land value-based charges. The results have implications for the design of urban public revenue systems.

Suppliers’ bargaining power mainly comes from their market position or top supplier status. However, it is also affected by the horizontal competition from top supplier size homogeneity based on the purchasing proportion of a buyer. Using a sample of listed companies in China, we find an inverted U-shaped relationship between the supplier size homogeneity with shared customers and trade credit provisions. As size homogeneity increases, suppliers may increase (decrease) trade credit provision to expand sales (for cash income). That is, based on the degree of supplier size homogeneity, the homogeneity may strengthen or weaken the supplier competition effect. We also find that if upstream and downstream firms have associated relationships, or if the business environment is poor, the competition effect from supplier size homogeneity is not obvious, whereas the weak financing ability of buyer promotes the supplier competition. In addition, the competition effect from supplier size homogeneity is not observed in state-owned firms.

Starting from the change in decision-makers’ risk attitude, which suggests “an increase in risk leads to a heightened tendency for risk aversion”, this study explores the nonlinear relationship between idiosyncratic risk and corporate cash holdings. Empirical analysis results indicate that, with the enhancement of decision-makers’ risk-averse degree, the marginal increase in corporate cash holdings presents an upward trend as idiosyncratic risk rises. Associated with the changes in managers’ risk attitude, the nonlinear relationship between idiosyncratic risk and corporate cash holdings becomes insignificant when the firm purchases directors’ liability insurance or is located in regions with better business environments. However, if the executives are older or hold academic titles, the increase in corporate cash holdings with the rise of idiosyncratic risk is more rapid.

In China, inadequate levels of cross-regional investment represent a challenge. Our study uses the bailout reform initiated in China in 2014 to test whether market-oriented reforms of this type can help stimulate national economic integration. We observed that following a bond default event, nonlocal listed firms tend to establish a higher proportion of subsidiaries in the province where the default occurred. This phenomenon can be attributed to China’s bailout reform signaling a reduction in local protectionism in financial and product markets. Meanwhile, we found that the effects of bond defaults on cross-regional investment are more pronounced under the following conditions: when the impact of the bond default is greater; when the economic and fiscal conditions of the province where default occurs are better; when local protectionism in the home province is higher; and when the degree of asset specificity of the listed firms is lower. Finally, we found that China’s bailout reform has led to positive economic consequences, including reduced operational risks and improved total factor productivity (TFP) of firms. Overall, our paper supplements the literature on bond defaults and cross-regional investment.