本文基于上海证券交易所“沪港通”开通以来三年的投资者账户逐笔交易数据构造了沪港投资者的跨境股票交易的比例, 并首次从微观视角分析了资本市场双向开放后跨境股票交易对A股市场定价效率的影响。研究发现：在横截面上，个股中“沪港通”投资者的跨境股票交易比例越高，其AH股溢价越低。进一步分析表明，跨境股票交易中机构投资者或来自香港的投资者参与程度越高更有助于降低AH股溢价。这一结论在一系列内生性和稳健性的检验之后依旧成立。本文又进一步发现这一效应在信息不对称程度更高的A股中更加明显，且伴随着股票流动性的上升。并且这一效应在资本市场单向开放的QFII和RQFII机制中没有出现。这一系列发现表明资本市场双向开放机制通过鼓励投资者积极参与跨境股票交易，改善了A股的投资者结构和市场信息环境, 并提高了市场定价效率。本文结论支持了在资本市场单向开放的基础上，进一步开放资本市场，将有助于改善A股市场质量。

本文以2005-2016 年中国A 股上市公司为样本考察法律环境与企业股价崩盘风险 间的内在联系，并从治理结构、信息透明度以及企业风险等三个维度探讨了法律环境影响企业股票崩盘风险的潜在机理。研究发现，随着法律环境的改善，未来股价崩盘风险显著下降，且该作用具有长期效应，同时在国企中更加显著。进一步分析发现，法律环境主要通过改善企业的治理结构降低企业崩盘风险。法律环境改善对企业股价崩盘风险的抑制作用在控制内生性等一系列的稳健性检验中依然成立。本文从“法与金融”的视角丰富了法律环境与企业股价崩盘关系的研究。

证券市场中普遍存在交易机制不对称现象。本文研究融资融券不对称交易制度对股票价格发现效率的影响。研究发现，市场定价偏差程度取决于多空力量不对称程度和投资者信念分歧程度，并且在低估和高估时呈现不同的模式。当市场均衡价格处于高估时，融券卖空限制对价格发现效率的负面效果则会随着多空力量不对称程度和投资者信念分歧程度的增大而增大。当市场均衡价格处于低估时，融券卖空限制反而使得股价更快向其内在价值靠近，因而提升价格发现效率。随后，本文通过我国A股交易数据进一步验证了理论模型得出的结论。对于监管层来说，发展和完善融资融券交易机制的首要任务便是使融券卖空发挥其逆向调节市场的基本功能。

基于电商平台的消费信贷的出现，给金融监管者带来了新的挑战。本文利用模型分析了电商平台消费信贷的经济福利影响，并得到四个结论：第一，如果银行无法提供充足的消费信贷，那么电商平台就有激励提供信贷，以支持规模经济并扩大交易量。第二，电商平台提供的消费信贷越多，它们的市场势力就越大，就会带来更多的效率损失。第三，电商平台消费信贷扩充了货币政策的信贷传输渠道。第四，由于消费者存在现时偏见，电商平台相比银行更有可能过度授信。这些结论值得监管机构关注。

We document that firms' strategic reactions could hamper the effectiveness of RegTech. Our paper focuses on one RegTech innovation in China—online platforms launched by stock exchanges for investors to communicate with listed companies. We find that firms provide a number of no-answer replies—answers without clear, specific, or useful information—to investors' questions. Consistent with strategic information hoarding, no-answers are shown to be associated with subsequent unfavorable news. Moreover, firms with higher no-answer rates tend to have lower price efficiency, higher return volatility, and higher stock price crash risk. The evidence suggests regulators' objective of enhancing investor protection is not fully fulfilled.

More than one in five listed firms in China initiate dividend payments during the year right before their initial public offerings (IPOs). This tendency, which seems to contradict the purpose of raising capital, constitutes the pre-IPO dividend puzzle. This paper examines this puzzle using manually collected Chinese data from 2006 to 2019. We find that firms initiating pre-IPO dividends tend to have lower IPO underpricing than non-initiating firms. We also find that the effect of pre-IPO dividend initiation on IPO underpricing is more pronounced for firms with stronger pre-IPO growth and profitability. Additional analyses indicate that initiating firms have better pre- and post-IPO operating performance and post-IPO stock performance. Moreover, initiating firms pay more dividends and have significantly higher investor attention after the IPOs. Collectively, the pre-IPO dividend initiation is not a short-term strategic behavior of low-quality firms but is intended to send positive signals and improve investors’ stock valuation.

We examine the effects of the world’s first comply-or-explain dividend regulation in China’s Shanghai Stock Exchange, which requires firms to either pay at least 30% of profits as dividends or explain the use of funds. We find that many firms increased their payout ratio to comply, by increasing dividends or decreasing earnings. Firms with high profitability, state ownership, and fewer agency conflicts were more likely to comply. However, complying firms subsequently issued more debt and had a decline in accounting performance and firm valuation. The evidence suggests that the comply-or-explain regulation increased firms’ dividends at substantial costs.

By analyzing a hand-collected transaction-level dataset on the finance leases of China’s public firms for the period 2007-2019, this paper sheds light on China’s financial leasing industry. We find that banks use their affiliated leasing firms to provide credit to constrained clients in order to circumvent the government’s targeted monetary tightening policy. Finance Lease offsets the expected decline in traditional bank loans in affected industries, and therefore hampers the effectiveness of the monetary policy. Although this regulatory arbitrage may accumulate systemic risk at the macro level, bank-affiliated leasing firms charge lower leasing rate and exert tighter risk control than non-bank-affiliated leasing firms at the micro level. This finding indicates that banks use finance leases as a channel to keep low-risk clients rather than to make excessive profit.

我国信贷市场存在企业规模歧视，中小企业融资难、融资贵问题长期困扰着我国经济的健康发展。已有研究多是从信息不对称、经营风险、资产质量等方面对其进行阐释，尚未有研究基于财务风险信息扭曲视角对这一现象进行机理阐释。以2009—2018 年我国非金融A 股上市公司数据为样本研究发现：信贷市场的企业规模歧视在信贷规模和成本两方面同时存在；传统财务风险分析体系致使实体经济上市公司财务风险被高估约40%；中小企业面临着更为严重的风险高估问题，且财务风险信息扭曲在信贷市场的企业规模歧视中发挥了部分中介作用；上述机理在不同产权性质、不同市场化程度的分组样本中均得到验证。因此，正视传统财务风险分析体系缺陷，矫正财务风险信息扭曲导致的信贷错配，是缓解信贷市场规模歧视现象的市场化创新路径。

商业银行多元化经营是我国商业银行走向高质量发展的必经之路，而资产管理业务已成为我国商业银行多元化经营的重要试验田。虽然理财子公司是新兴事物，但与其股东结构相似，产品结构相似的商业银行系基金公司已随着我国“影子银行”发展壮大。本文将通过剖析我国商业银行作为最大股东的基金公司的产品特点与优势，发现商业银行控股的基金公司更偏好发行债券型基金产品，其表现不但显著优于非银行系基金，而且与商业银行的属性相关 。本文证明上述债券型产品的超额收益源自于商业银行股东的信息优势，即商业银行体系内存在信息传导机制，使旗下基金可以利用大股东在信贷业务中积累的信息优势从信用评级较低的债券中择出提供稳定收益的债券，既能获得低信用等级债券的高收益率，又规避违约风险，提高收益水平。