We propose a novel measure, DOT, to capture belief divergence on extreme tail events in stock returns. Defined as the standard deviation of expected probability forecasts generated by distinct information processing functions and neural network models, DOT exhibits significant predictive power for future stock returns. A value-weighted (equal-weighted) long-short portfolio based on DOT yields an average return of -1.07% (-0.98%) per month. Furthermore, we document novel evidence supporting a risk-sharing channel underlying the negative relation between DOT and the equity premium following extreme negative shocks. Finally, our findings are also in line with a mispricing channel in normal periods.

Climate change and the escalation of extreme weather events jeopardize every corner of the globe. This paper investigates the impact of extreme high temperatures on the spread of newly issued municipal corporate bonds (MCBs) in China, which serves as a crucial instrument for local governments to meet the financial demands. We find that relative to the reference temperature range of 16 ◦C–20 ◦C, the issuing spread of MCBs increases by 2.48 basis points for each extra day where the mean temperature surpasses 32 ◦C. The findings highlight the risk-increasing effects of extreme temperatures in financial markets.

This paper employs a difference-in-differences approach to study whether a Chinese audit firm improves its competencies through organizational learning after one of its audit teams has a client cross-listed in the US. Among a group of companies that are listed only in China, we define those audited by firms that have cross-listed clients as the treatment group, and companies audited by other firms as the control group. We find an improvement in audit quality for the treatment group after their audit firms have cross-listed client experience in the US. A large-scale survey of auditors corroborates these findings and sheds light on specific actions undertaken by audit firms to facilitate learning. Both the empirical and survey results highlight the benefits of auditing crosslisted clients in the US and its positive externality on improving the audit quality of non-US-listed companies.

This paper employs a difference-in-differences approach to study whether a Chinese audit firm improves its competencies through organizational learning after one of its audit teams has a client cross-listed in the US. Among a group of companies that are only listed in China, we define those audited by Chinese audit firms that are not international Big 4 affiliates and have cross-listed clients as the treatment group, and companies audited by other audit firms as the control group. We find an improvement in audit quality for the treatment group after their audit firms have cross-listed client experience in the US, and this improvement is not attributable to the effect of joining an international accounting firm network, registration with the PCAOB, or the consolidation in the audit market. A survey of auditors corroborates these findings and provides evidence on audit firms’ specific actions to facilitate learning. Our findings shed light on the benefits of auditing cross-listed clients in the US and its positive externality on improving the audit quality of non-US-listed companies in China.

The study of interconnections between various sectors of the national economy is crucial for understanding the pattern and pace of macroeconomic growth. This paper analyzes the macroeconomic impact of shocks occurring in specific sectors through both supply and demand perspectives and proposes a combination of bottom-up and top-down structural path analysis approaches to trace the transmission path of network spillover effects, where shocks in this paper refer to microeconomic productivity changes and network spillover is defined as the effect on GDP due to the propagation of shocks to other sectors. The research results found that the total spillover effect of primary and secondary industry sectors in China shows an inverted U-shape, and the total spillover effect of tertiary industry sectors shows an upward trend. A large total spillover effect of a sector does not mean that both upward and downward spillover effects are large; for example, the construction industry has high upward spillover effects and low downward spillover effects. The spillover effect of each production layer decreases as the path lengthens, and the distribution is Lshaped.In addition, by identifying the critical paths of spillover effects, we find that the spillover effects of labor-intensive industries, such as wholesale and retail, are decreasing year by year, and the spillover effects of the paths related to the information technology industry are gradually occupying an important position.

The development of the wealth management market is based on the needs of investors. The logic of market regulation should also be based on the interests of investors. On the basis of summarizing the regulatory experience of the global wealth management market, suggestions are put forward to improve the system of China's wealth management market . The fundamental driving force for the establishment of a regulatory legal system for the wealth management market comes from the needs of the development of the wealth management market. Moreover, the structure and process of this institutional construction are also closely related to the structure and development of market demand. China's current wealth management market has become a huge financial sector, and the deepening of the market and the diversification of participants all put forward requirements for the construction of a fair and scientific regulatory system. Wealth management business is different from traditional financial business in many aspects such as function, business standard and business model, and its basic legal relationship is also far from traditional business. The commonality of business in China's current wealth management market is in line with the basic elements of the legal relationship of trust. From the perspective of the realistic basis and the nature of the industry, it is appropriate to define the basic legal nature of wealth management business as a trust relationship. Due to factors such as information asymmetry and economic scale, financial investors are in a serious imbalance and imbalance when they trade with financial institutions. Therefore, the financial supervision system should grasp this core contradiction, give investors the status of consumer protection, and establish the concept of protecting wealth consumers. The regulation of wealth management operators should grasp the requirements of the basic trust relationship, take the basic principle of supervising the performance of trustee duties by financial management institutions, and implement a series of rules for trustees to be loyal and prudent in financial management. These rules should focus on risk prevention, and include establishment of access standards for wealth management business, supervision of independent development of wealth management business, supervision of full performance of prudent management duties by wealth management institutions, and guidance for healthy development of wealth management institutions. The experience in the supervision of developed wealth management markets such as the United States, the United Kingdom, Japan, and Singapore shows that the establishment of a legal system for the protection of wealth management consumers is an inevitable result of the development of the financial market, and it is necessary to set up special institutions and mechanisms to implement the concept of wealth management investor protection, and emphasize wealth management products. Providers' fiduciary obligations to investors, and functional supervision based on a unified system in the regulatory system can be used as a reference for China . China's wealth management market regulatory system include inconsistent rules, weak protection, biased guidance, and lack of independence. Due to the separate regulatory system, different game rules apply to homogeneous wealth management business operated by different types of financial institutions, resulting in rule conflicts and market injustice. However, the substantive rights of wealth management investors still exist in a vacuum that cannot be confirmed. At the same time, the status of consumers is far from being officially confirmed, and the consumer protection mechanism cannot truly achieve justice. As regulatory guidance still favors the concept and tools of supervising traditional businesses, wealth management institutions mainly expand extensively by selling products, and wealth management products also present serious "bond-like" characteristics. The "non-neutral " positioning of financial regulatory agencies has externalized into phenomena such as rule conflicts, "policy following suit" and "excessive maintenance of stability". Constructing and continuously improving China's wealth management market supervision system is: the purpose of supervision is to restore the effective operation of the market mechanism. The basic legal relationship in China's wealth management market should be recognized as a trust relationship. This is not only an essential requirement of the wealth management market, but also a practical need to integrate regulatory chaos. It is the trend of financial and economic development that the regulatory system positions the position of wealth management consumers. It should start with legislative policies, make key breakthroughs around consumers' substantive rights and protection mechanisms, and gradually improve investor protection mechanisms. The regulatory system should focus on supervising financial institutions to fulfill their fiduciary obligations, and establish sound access rules, business independence rules, prudent management rules, and strict market exit mechanisms. China's wealth management market supervision system should be based on unified legislation and gradually implement functional supervision in order to achieve effective management and harmonious development of the wealth management market.

Blockchain mania occurs in response to the quick rise of Bitcoin price in markets with cryptocurrencies circulation. However, Chinese government policies regarding the development of blockchain are inconsistent--block access to the offerings and exchanges of cryptocurrencies such as Bitcoins, but raise the blockchain technology to a strategic position. We empirically investigate whether the government’s inconsistent policies will lead to blockchain mania and how it affects the blockchainrelated firms’ activities and performance. Our results are threefold: First, the supportive policy can fully offset the negative effect due to the national boycott of cryptocurrencies. Second, Nonspeculative firms experience a stronger and long-standing positive reaction, while the effect on Speculative firms is transient and vanishes after receiving a definitive warning ten days later. Third, the market reaction to government support appears more pronounced among firms having established blockchain technology alliances, or being endorsed officially.

An optimal tax and borrowing plan determines the marginal cost of servicing government debt, p', and makes the government’s debt risk-free. An option to default restricts debt capacity. Optimal debt-GDP ratio dynamics are driven by 1) a primary deficit, 2) interest payments, 3) GDP growth, and 4) hedging costs. Hedging influences debt capacity and debt transition dynamics. For plausible parameter values, we make comparative dynamic quantitative statements about debt-GDP ratio transition dynamics, debt capacity, and how long it would take our example economy to attain that calibrated equilibrium debt capacity.

China commodity futures market network is constructed. Commodity is the node of the network, and the network link is defined by the price correlation matrix. We analyze the relationship between the centrality of each commodity in the commodity futures market network and the optimal weight of the commodity portfolio, empirically examine the market system factors and commodity personalized factors that affect the centrality of commodity, and evaluate the effect of network structure on the optimization of commodity portfolio selection under the mean-variance framework. It is found that the commodities with high network centrality are often related to industrial products and have high volatility. Commodities with higher centrality have lower portfolio weights. We put forward a kind of commodity futures investment strategy based on network, according to the network centricity grouping the commodities, the network centricity lower edge of the commodity structure of the portfolio, cumulative yield is better than that of centricity higher core product portfolio, the whole market portfolio yield, but due to large maximum retracement, lead to the stability and ability to resist risk compared with the other two groups of goods combination. The main contribution of this paper is to optimize portfolio selection by establishing the relationship between portfolio weight and commodity centrality by using commodity futures market network as a tool.

The goal of this paper is to discuss how we establish the “Hammer (CAFÉ) Credit System” by applying Gibbs sampling algorithm under the framework of bigdata approach to extract features in depicting bad or illegal behaviors by following the “five step principle” applying international credit rating standards. In particular, we will show that our Hammer (CAFÉ) Credit System is able to resolve three problems of the current credit rating market in China which rate: “1) the rating is falsely high; 2) the differentiation of credit rating grades is insufficient; and 3) the poor performance of predicting early warning and related issues”. In addition the Hammer (CAFÉ) credit is supported by clearly defining the "BBB" as the basic investment level with annualized rate of default probability in accordance with international standards in the practice of financial industries, and the credit transition matrix for “AAA-A” to “CCC-C” credit grades.