This study examines the impact of quantitative investment on stock price crash risk from the perspective of quantitative mutual funds holdings. The results show that quantitative mutual funds holdings can significantly reduce stock price crash risk, and this effect is more pronounced in subsamples characterized by executives with overseas backgrounds, higher internal governance efficiency, greater analyst attention, and higher profit volatility. Further research finds that quantitative mutual funds holdings can suppress the risk of stock price crash by smoothing the volatility of stock returns and optimizing the valuation of firms. This study sheds light on the effects of quantitative investment on stock price crash risk.

We track the fundamental informed traders' (FITs) behavior and show the fundamental momentum effect in the Chinese stock market. We train the deep learning model with a set of fundamental characteristics to extract fundamental implied component from realized returns. The fundamental part characterizes the price movement driven by FITs. Fundamental momentum differentiates from the fundamental trend and is not quality minus junk (QMJ) factor. Underreaction bias helps explain the strategy, as it generates stronger profit during periods of low investor sentiment and aggregate idiosyncratic volatility. Fundamental momentum is not sensitive to changing beta and robust in subsamples and machine learning models.

This study examines the effect of mandatory corporate social responsibility (CSR) on firm excess perks by exploiting China’s 2008 mandate requiring firms to disclose CSR activities with a difference-in-differences design. We find that firms mandated to report CSR experience a decrease in excess perks subsequent to the mandate. Our empirical results also reveal that the decrease in abnormal perks is more pronounced for firms with worse information environments and lower CSR disclosure quality, suggesting that mandatory CSR disclosure significantly reduces executive abnormal perks and restricts managers’ unethical behavior by improving the quality of the information environment for investors. Our main finding does not change using the subsample before 2012, indicating that the reduction of abnormal perks is driven by the enaction of mandatory CSR rather than the anti-corruption campaign started in 2012. The last but not the least, the reductions of excess perk consumption are primarily driven by non-SOE firms and competitive industries, and mandatory CSR firms are subject to a significant and stronger pay-to-performance, which again confirm the well-governed view of corporate social responsibility.

Using daily news tone data between 2017 and 2020, we examine whether news tones can predict stock returns in Chinese A-share market. We first document that the news tones significantly and positively predict the cross-sectional stock returns over next day and over the next 12-weeks. When we separate the news into online news and paper news, the online news exhibit strong predictive power for future returns, while the printed news only displays marginal predictive power. We hypothesize that the online news is more related to firm fundamentals, while the paper news is more linked to political aspects of firm information. Our results using earnings surprises and SOE subsamples provide supportive evidence for the hypothesis.

We investigate the impact of the geographic proximity of underwriters on bond characteristics by using corporate and enterprise bonds issued in China from 2009 to 2019. We find bonds underwritten by underwriters in close geographic proximity are associated with lower financing costs, longer maturity in high and medium credit rating firms, shorter maturity in low credit rating firms, and lower default risk. Further, we find substitution effects between the geographic proximity of underwriter and underwriter reputation, and also between the geographic proximity of underwriter and firm transparency on reducing the costs of bond financing; i.e., a better reputation of the underwriter or higher transparency of the firm will weaken geographical proximate underwriters’ effects. Our results are robust in subsamples when firms have different degrees of local government connections.

This study examines the price discovery patterns in the three BRICS countries’ stock index futures markets that were launched after 2000 – China, India, and Russia. We detect two structural breaks in these three futures price series and their underlying spot price series, and use them to form subsamples. Employing a Vector Error Correction Model (VECM) and the Hasbrouck (1995) test, we find the price discovery function of stock index futures markets generally improves over time in China and India, but declines in Russia. A closer examination not only confirms the findings of Yang et al. (2012) and Hou and Li (2013) regarding price discovery in China’s stock index markets, but also reveals the inconsistency of futures’ leading role in the price discovery process. Further, we find some evidence of day-of-the-week effects in earlier part of the sample in China, but not in India or Russia. And our GARCH model results show bidirectional volatility spillover between futures and spot in China and India, but only unidirectional in Russia.

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.

Using a comprehensive dataset of Chinese corporate bond issuances, we uncover substantial evidence of issuance overpricing: the yield spread of newly issued bonds at their first secondary-market trading day is on average 5.35 bps higher than the issuance spread. This overpricing is robust across subsamples of bond issuances with different credit ratings, maturities, issuance types, and issuer status. We further provide extensive evidence to support a hypothesis that competition among underwriters drives this overpricing through two specific channels—either through rebates to participants in issuance auctions or through direct auction bidding by the underwriters for themselves or their clients.

This paper investigates the link between firm headquarters location and firm stock return co-movements in a sample of Chinese firms spanning the years 1999 to 2007. The empirical results show a strong co-movement pattern of firms located in the same province. Moreover, both firm-level and provincial-level factors are found to influence this co-movement, including firm size and ownership structure at firm level and GDP per capita and financial depth at provincial level. A subsample of firms listed in the Shenzhen Stock Exchange shows that better firm-level information quality reduces local co-movements.

投资组合保险策略因其规避下方风险同时不失去从上升市场中获利而受到欢迎。正是由于对下方风险的规避其收益率不再服从对数正态分布的假设，因此，传统的绩效评价准则如方差、SHARPE比率不再适用，而基于分布的随机占优准则是一个良好的替代。由于投资组合保险策略之间具有较强的相关性，本文在随机占优准则实证中采用subsample方法考察不同投资组合保险策略绩效之间的关系，表明投资组合保险策略随机占优于其他策略，OBPI策略优于CPP策略，CPPI策略优于TIPP策略；同时本文考察了以沪深300、上证50、上证180等不同指数作为风险资产的投资组合保险策略绩效的差异，实证表明沪深300作为风险资产的投资组合保险策略要优于其他指数作为风险资产的投资组合保险策略。