仅依赖法律等正式制度无法确保金融或经济的长期发展，信任等非正式制度在其中的作用不可或缺。鉴于此，本文研究信任这一非正式制度在债券市场中的价值。研究发现，信任不仅有助于提高债券信用评级，还有助于降低债券信用利差，该结论在考虑了内生性问题后依然成立。同时，利用最高法“失信被执行人”数据还发现，失信及失信程度的增加会降低债券信用评级，提高债券信用利差。进一步地，路径分析法的结果还发现，信任不仅会直接影响债券评级和定价，还会通过提升公司财务报告质量间接地发挥作用，即不仅投资者主观上更愿相信高信任度地区的企业，客观上这些企业也的确更为可信。本文还发现，信任对债券评级和定价的积极作用在国有企业、金融业更发达地区的企业以及发债次数更多的企业中更为显著，即投资者与发行人之间的重复博弈机会越多，信任的价值也越大。研究表明，通过缓解债券发行人与债券投资者之间的信息不对称问题，信任可以被资本化为财富。本文研究结论提醒政府在推动企业融资成本下降时，应着重加强对信任这种地区乃至国家公共品的培育和建设。

This paper studies the information interpretation of return synchronicity in the context of corporate bond market and examines the specific event intensity rationale that underlie the relationship between bond synchronicity and bond level information environment. We find that investment-grade bonds, bonds without rating splits, and bonds issued by public firms present higher levels of bond return synchronicity. These results hold after we control for bond level characteristics, industry and year fixed effects. By using credit rating change announcements as a unique measure of bond specific event intensity, we corroborate that security under better information environment has lower likelihood of specific event surprise occurrence, and thus is more synchronous with the market. We also verify that once rating change announcements did take place, the corresponding return synchronicity would be lower. Such impact would be more pronounced when the rating is downgraded compared with upgrade rating changes.

Using a proprietary dataset from 2016 to 2019, we find that order flows from foreign investors, facilitated by regulatory liberalization through several channels, present strong predictive power for future stock returns in the Chinese market. Most surprisingly, foreign investors possess the ability to process local firm-level public news, whereas their informational advantages regarding global market-level information are relatively muted. Further, the predictive power of foreign investors is particularly strong on large price movement days when the implications of firm-level information is likely most pronounced. Finally, regulatory reforms that generally relax investment access requirements further improve foreign investors’ predictive power

We examine how sell-side equity analysts strategically disclose information of differing quality to the public versus the buy-side mutual fund managers to whom they are connected. We consider cases in which analysts recommend that the public buys a stock, but some fund managers sell it. We measure favor trading using mutual fund managers’ votes for analysts in a Chinese “star analyst” competition. We find that managers are more likely to vote for analysts who exhibit more “say-buy/whisper-sell” behavior with these managers. This suggests that analysts introduce noise in their public recommendations, making the more-precise information provided to their private clients more valuable. Analysts’ say-buy/whisper-sell behavior results in information asymmetry: the positive-recommendation stocks bought by the managers who vote for the analysts outperform the stocks sold by these managers after the recommendation dates. Our findings help explain several puzzles regarding analysts’ public recommendations.

We document a novel platform effect caused by the emergence of FinTech platforms in financial intermediation. In China, platform distributions of mutual funds emerged in 2012 and grew quickly into a formidable presence. Utilizing the staggered entrance of funds onto platforms, we find a marked increase of performance-chasing, driven by the centralized information flow unique to FinTech platforms. This pattern is further confirmed using proprietary data from a top platform. Examining the platform impact on fund managers, we find that, incentivized by the amplified performance-chasing, fund managers increase risk taking to enhance their probability of getting onto the top ranking.

风险投资在最终退出阶段取得的收益以及对被投企业的影响长期以来是国内外学术界研究的空白点。通过对2007年-2017年A股新上市公司公开市场交易中大股东的减持收益进行测算，并对风险投资最终退出对被投资公司的影响进行实证分析，本文发现：风险投资减持可以获得比其他大股东减持更大的上市日至减持日的购买并持有异常收益率（BHAR）和减持期累计异常收益率（CAR），风险投资的实力越强，风险投资减持的收益越大；在高铁直通和风投投资人出任董事的情况下，风险投资可以获取更大的减持收益，形成了“监管逆转”现象；通过信息操纵，盈余管理和财务违规等途径，风险投资获取了更大的减持收益，实现了风险投资对被投公司的“价值剥削”，造成了风投退出后被投公司的业绩下滑。本文对于风险投资最终减持阶段的行为刻画具有重要贡献，对于全面认识风险投资最终退出的影响具有现实意义，对于解读中国发展现实丰富国外经典金融理论具有重要启示。

Exploiting staggered COVID-19 lockdowns and reopening across different regions in China, we study how lockdowns affect the investment decisions of venture capital (VC) investors and whether such changes are temporary or enduring in the post-pandemic era. Contrary to the conventional wisdom that lockdowns exacerbate the “tyranny of distance” (i.e., VCs avoid investing in remote ventures), our findings suggest the “death of distance”: VCs invest in remoter ventures during a lockdown and such effects persist even after the economy reopens. Such lockdown effects are more pronounced when there is better internet infrastructure, when the level of information asymmetry between VCs and entrepreneurs is lower, and when VCs are more experienced. The lockdown effects can be explained by the advancement and adoption of remote communication technology as a response to the social distancing requirements. As geographic boundaries of VC investment are shattered by remote communication technology, local competition among VCs has been intensified, the monopoly power of VCs has been curtailed, and the regional inequality of entrepreneurial access to VC financing has been mitigated.

We examine the impact of mixed ownership on the performance of venture capital (VC) firms in China. We use successful/unsuccessful exits from VC-financed entrepreneurial companies and number of patent applications by VC-financed companies as proxies for VC firms’ performance. Consistent with existing research on the inferior performance of SOEs relative to non-SOEs, we find that on average government-controlled VC firms (GVCs) underperform domestic private investors-controlled VC firms (PVCs). More importantly, we find that introducing minority private investors (i.e., mixed ownership) helps improve the performance of GVCs. However, we find no evidence that introducing minority government investors (i.e., mixed ownership) helps improve the performance of PVCs. Our results provide relevant information to the ongoing debate on the role of the government investors and private investors in developing the VC industry in emerging markets.

In recent years, with the rapid expansion of commercial banks' non-standardized business, the systematic correlation between shadow banking and commercial banks in China has been gradually enhanced, which enables the partial liquidity crisis of shadow banking to spread rapidly to commercial banks, leading to the increased vulnerability of China's financial system. Based on this, we built shadow banking indexes of trusts, securities, private lending and investment, introduced the dynamic correlation coefficient calculated by the dynamic conditional correlation multivariate GARCH model into the improved CoVaR model, and used the DCC-BEKK-MVGARCH-Time-Varying CoVaR Model to measure the risk overflow contribution of shadow banking in China. We find that shadow banking and commercial banks have an inherent relationship. Due to their own risks, different types of shadow banking contribute to the risk spillover to commercial banks in different degrees. The risk correlation between shadow banking and commercial banks fluctuates.

：本文手工整理了2010 年~2017 年非上市银行数据，利用集成机器学习技术测算中国商业银行的系统性风险，弥补了V-Lab 仅包含部分上市银行的缺陷。发现：总体系统性风险不断上升，2016 年底出台的一系列政策有效控制了这一上升趋势，2017 年显著下降10.3%；SRISK 份额最高的5 大国有商业银行仅占54.78%，城市商业银行的系统性风险份额不断上升、已成为中国系统性风险的潜 在累积点；区域性演进上呈现向东南沿海积聚的特点。控制区域性发展的回归模型进一步揭示了商业银行系统性风险出现和上升的影响机制：资产规模有显著的正向影响，支持“大而不能倒”的观点；杠杆率和期限错配是重要影响因素，银行的杠杆率上升1%，系统性风险上升的概率显著上升0.34%，支持了“降杠杆”政策，这一结论对是否是系统重要性银行都稳健；提高流动性有利于显著降低系统性风险，调控效果没有降杠杆强，但对小规模银行更有效。我们还观察两个银行机构特征，银行主动承担风险使得银行自身系统性风险上升，帮助企业发现债券没有显著影响基本对非系统重要性银行也不会影响系统性金融风险。最后利用省级和城市层面累计的系统性金融风险，发现系统性金融风险对经济的增长和发展质量的确存在显著负作用，风险上升的省份和城市经济作用更显著，系统性金融风险是关乎经济发展的关键因素。