This paper examines the impact of air pollution on media slant of public listed firms in China. Using air quality and media data at the city level, we find that lower air quality generally leads to lower media slant. When the air quality changes from lightly polluted to heavily polluted, the number of negative sentences increases by about 2%. Our subsample analysis shows that the effect of air pollution on media slant is similar for large and small firms but is stronger for non-SOE firms. Furthermore, the effect of air pollution on media slant is stronger for firms of non-heavily polluted industry than for firms in heavily polluted industries. These results suggest that air pollution affects media slant.

Skewness preference, the tendency to overweight the probability of extreme tail events, can affect managerial decision making. We find that Chinese listed firms managed by CEOs who experienced a largely unpredictable rare event, namely the outbreak of Severe Acute Respiratory Syndrome (SARS) in 2003, during their earlier executive careers have lower stock price crash risk measured by negative skewness. This effect especially matters for CEOs whose experienced events are more salient. Furthermore, professional epidemic experience induces CEOs to deter stock price crashes through altering financial reporting strategies. Overall, entrepreneurs’ skewness preference can reduce the negative skewness of stock returns.

VIX Exchange-traded Products (ETPs) provide tracking on the return of a constant-maturity VIX futures index, instead of the uninvestable VIX spot index. In this paper, we develop a comprehensive framework to analyze the behaviors and fundamental drivers of the tracking performance of regular and leveraged VIX ETPs. In this framework, naïve investors in VIX ETPs expect to achieve the ETP’s leverage ratio multiplied by the VIX return during their holding period, but the actual ETP return can deviate dramatically from this naïve expected return due to four components of return deviation. The index substitution deviation is shown to be the primary driver of the bull (inverse) VIX ETPs’ return erosion (enhancement), which can be explained by the negative roll-yield as a result of the contango term structure of VIX futures. For leveraged VIX ETPs over multiple holding days, the compounding deviation due to the “constant-leverage trap” can be sizable. In addition, the NAV deviation due to expense ratio and fund management issues is negative, and the inefficiency deviation doesn’t accumulate over long holding periods due to the creation/redemption feature. Our return deviation framework can be generalized to other ETPs tracking indices that are either uninvestable or unrealistic to replicate.

基于新经济地理学和投资学的交叉视角，大量研究发现风险投资机构倾向于投资其所在地附近的企业。French and Poterba(1991)发现，美国投资者更愿意将资金投资于本国资本市场，而忽略了国外的投资机会，因而将其称为本国偏好之谜Covaland Moskowitz(1999)最早将本国偏好转移到本地偏好（local bias）发现风险投资更乐意投资本地企业或者在距离上离自己办公地址更近的企业；Ivkovic and Weisbenner（2005）、Cumming and Dai（2009）、Brown etal(2011)、Hochberg and Rauh（2013）、李志萍和罗国锋等（2014）等也得出了同样的结论。 国外学者的研究主要围绕独立风险投资的本地偏好成因和经济后果展开国内学者注意到风险投资类型的重要影响作用尤其是本地风险投资机构的本地偏好成因及其经济后果研究，但在我国制度环境下，相比于从本地异地视角，从政府风险投资视角研究本地偏好能够更加深入地揭示本地偏好的成因。现有文献更多地利用信息不对称和心理学理论对本地偏好进行解释，但这并不足以解释政府风险投资机构的本地偏好。因此，本文试图从政府干预风险投资市场的动机出发，依托政府职能理论和官员激励理论解释政府风险投资机构的本 地偏好，以丰富对本地偏好成因的文献解读。 研究结果发现：相较于独立风险投资机构而言，政府风险投资机构的本地偏好程度更高；而且政府绝对控股的风险投资机构本地偏好更强；在市场化进程较高的地区，政府干预程度更低，政府风险投资的本地偏好程度会减弱。本文的创新之处在于：（1）从政府干预风险投资市场的动机出发，利用政府职能理论和官员激励理论对政府风险投资机构的本地偏好成因进行解释并加以实证检验，（2）揭示了政府控股程度对本地偏好的影响。

This study provides a comprehensive analysis of the effects of Computer-based Trad-ing (CBT) on Treasury bond expected returns. We document a strong relationship between bond expected returns and the overall intensity at which CBT takes place in the Treasury market. Investing in bonds with the largest beta to the aggregate CBT intensity and shorting those with the smallest generates large and significant returns. Those returns are not due to compensation for facing conventional sources of risk or to transaction costs. Our results are consistent with capital-flow based explanations implied by asset pricing models with institutional investors.

We propose a model of bank monitoring and borrower financial misreporting. Using the staggered liberalization of the banking sector in China as a natural experiment, we find that, consistent with the model’s prediction, entry by more efficient foreign banks reduces corporate misreporting fraud. Fraud reduction is greatest among borrowers of foreign banks, but fraud also drops among borrowers of domestic banks, suggesting a spillover effect. As predicted by the model, fraud reduction is greatest for borrowers with higher levels of fixed assets or lower levels of working capital. Our evidence suggests that improved bank monitoring reduces financial misreporting.

This paper evaluates the impact of mobile cashless payment on credit provision to the underprivileged. Using a representative sample of Alipay users that contained detailed information about their activities in consumption, credit, investment, and digital footprints, I exploit a natural experiment to identify the real effects of cashless payment adoption. In this natural experiment, the staggered placement of Alipay-bundled shared bikes across different Chinese cities brings exogenous variations to the payment flow, allowing me to address the endogeneity issues and establish a causal relationship. I find that the use of in-person payment in a month increases the likelihood of getting access to credit in the same month by 56.3%. Conditional on having credit access, a 1% increase in the in-person payment flow leads to a 0.41% increase in the credit line. Those having higher in-person payment flow also use their credit lines more. Importantly, the positive effect of in-person payment flow on credit provision mainly exists for the less educated and the older, suggesting that cashless payment particularly benefits those who are traditionally underserved.

Using hand-collected data on siblings of chairpersons in Chinese family firms, we examine the impact of the chairperson having siblings on the corporate social responsibility (CSR) of their firm. The findings suggest that when a firm has a siblings-chairperson, the firm has a better CSR rating than firms with a chairperson without siblings. Specifically, a firm with a siblings- chairperson, on average, has a CSR rating approximately 7.96% higher than a median firm’s rating. The conclusions are robust to a battery of robustness checks including a regression discontinuity research design, alternative measures of CSR, a propensity score matching sample, placebo tests, and different estimation methods. Additional analysis suggests that the mechanisms behind siblings and CSR are consistent with both competition and altruistic effects among siblings. Further analysis suggests that the positive impact of a siblings-chairperson on the CSR rating of firms is more salient when the local familism culture is stronger, when government official career advancement incentives are lower, or when the siblings are directors or CEOs of other firms. Finally, firms with a siblings-chairperson are also pro-shareholder because they consume less perquisites than firms without a siblings-chairperson. Collectively, the findings are consistent with the notion that, by having at least one sibling, a chairperson is more competitive and altruistic than a chairperson without siblings, and such behavior enhances CSR. Family structure matters in corporate practices.

Exploring a novel dataset and a unique policy experiment, this paper examines the role of government intervention in the emergence of venture capital (VC) in China during 1999-2013. Using difference-in-difference methodology, I find that the central government program leads to an increase in local investment from both government and private VCs, which doubles the number of successful companies. The positive impact is most pronounced in relatively less developed regions and during the early development of the VC sector. I present two micro-level transmission channels of the crowding-in effects, through networks formed by previous investments and through co-ownership in VC affiliates.

We identify both dynamic and long-run relationships between each of the level, slope and curvature factors of the Treasury and corporate bond markets yield curve in China. We aim at determining which market plays a leading role in the discovery of each factor of the yield curve. We obtain three main results. First, we document for the first time the presence of a long-run relationship between the corporate and Treasury bond markets in China both for the level and the slope of their yield curve. Second, such a long-run relationship appears to be stable between the slopes over the full sample 2006-2017, but shows a break for the level factor in 2012. Third, the source market for price discovery varies with the parameters of the yield curve. While the corporate bond market is the source of price discovery for the level factor, this function is fulfilled by the government bond market for the slope parameter. The finding that the Treasury bond market is not fully dominant in level bond-pricing may not come as a surprise. Although China’s corporate bond market has developed rapidly in the past fifteen years, there were few default cases during that period. It is believed investors treat the default risk of corporate bonds as similar to that of Treasury bonds, and benefit from the high corporate spread. Our results for the slope parameter imply that market-oriented reform has progressed enough for the Treasury bond market to already provide a benchmark slope for the yield curve of corporate bonds. When the reform progresses further, we would expect corporate bonds to be priced according to their risk profile which should make the Treasury market lead in price discovery also for the level of the yield curve.