Using a comprehensive factor zoo, we document a notable factor MAX premium in the Chinese market. Factors with high maximum daily returns consistently outperform those with low maximum returns by 0.82% per month in the future, on a risk-adjusted basis. This premium remains robust controlling for various factor characteristics, and is not sensitive to the selection of factors. The factor MAX anomaly stands apart from lottery-type stock anomalies and contributes to elucidate most of these anomalies. The factor MAX premium concentrates in high-eigenvalue principal component factors, shedding light on the prevalent lottery preferences for factor investing in China’s A-share market.

为规范证券市场，证监会发布《关于严格执行退市制度的意见》。但退市后如何持续保护中小投资者权益，在具体实践过程中仍存在一些盲点。本文以山东航空股份有限公司修改公司章程为例，探讨上市公司退市后关于规章制度的一些盲点。具体如下：第一，修改公司章程中与大股东的关联交易时，并未明确指出大股东及其关联方是否应该回避表决。实践中，山东航空股份有限公司的控股股东及其关联方并未回避，导致修改公司章程中关联交易议案通过。第二，退市公司关联交易比例并无明确规定，由此可能导致关联交易比例过大。第三，控股股东利用自己绝对控股地位，否决中小股东合理提案。作者认为，针对本文提到的盲点，监管部门必须出台明确规定大股东及关联方在修改公司章程时应回避事项，而且还要明确规定关联交易的上限，持续保护退市后中小投资者权益。

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Using official information published by Central Commission for Discipline Inspection (CCDI) of the CPC, we construct a database of officials who have been found guilty of corruption in China in the period 2012-21 with their personal characteristics and the amount of embezzled funds. We use it to investigate the correlates of corruption, estimate the effects of corruption on inequality, and find the expected increase in officials’ income due to corruption and the gain in income distribution ranking. We find that the amount of corruption is positively associated with education, administrative (hierarchical) level of the official, and years of membership in the Communist Party. The sample of corrupt officials belongs to the upper income ranges of Chinese income distribution even without corruption. But corruption is a significant engine of upward mobility. While only one-half of the corrupt official would be in the top 5 percent of urban distribution without illegal incomes, practically all are in the top 5 percent when corrupt income is included.

In the context of promoting high-quality economic development, using digital technology to empower industrial transformation and upgrading, thus driving consumption growth has become a key problem that needs to be solved urgently. By using data at the prefecture-level cities in China from 2011 to 2020, the paper has discussed the influence of the digital economy on residents' consumption and its internal mechanism. Theoretical analysis and empirical test results have shown that first of all, the digital economy has significantly improved residents' consumption, and this conclusion is still valid after the endogenous test and robustness test. Secondly, mechanism analysis has shown that the digital economy can increase residents' consumption by promoting the upgrading of the industrial structure. Thirdly, the promotion effect of the digital economy on residents' consumption is heterogeneous between urban and rural areas and between different regions. Compared with urban, and eastern and central regions, the digital economy has a more significant incentive for residents' consumption in rural areas and western regions, indicating that its development is beneficial to narrowing the gap of consumption between urban and rural areas and between regions. Finally, the improvement effect of the digital economy on residents' consumption has marginal increment nonlinear characteristics, which is continuously strengthened with the upgrading of industrial structure. The above research conclusions can provide a theoretical basis for further improving the infrastructure of the digital economy, accelerating the integration of the digital economy with traditional industries, and building a consumer Internet.

This study documents how the political hierarchy plays a significant role in determining corporate environmental governance. By conducting difference-in-differences analysis to investigate listed firms in China, this study demonstrates that local and central SOEs headquartered in jurisdictions far removed from central government supervision have worse environmental governance than POEs. Verticalization reforms implemented in 2016 enable provincial environmental protection bureaus to direct lower-level bureaus. Local governments cannot control environmental protection bureau leaders for economic development. This study finds that the corporate environmental governance of local SOEs has significantly improved following the reform, as local environmental protection bureaus no longer have conflicts of interest with local governments. However, the reform has not resulted in improvements to corporate environmental governance in central SOEs, whose executives occupy higher status than provincial Environmental Protection Bureau leaders, nor in POEs, which were already managed before the reform. Further evidence indicates that local SOEs experience an increase in abatement investments and relationship building expenses following the reform. Lastly, our study reveals that verticalization reform costs are negligible. Local SOEs have not experienced a decline in financial performance or corporate valuation. This study suggests that policymakers should consider the political ranking of government agencies and enterprises to improve environmental governance.

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.

Using a proprietary database of stock transactions in China, we document significant trading disparities between retail and institutional investors around important macro announcements. These disparities are driven by differences in information positions. We find that before the monthly releases of China’s key monetary aggregates data, institutional investors reduce their stock exposure and shift towards riskier, smaller-cap stocks. In contrast, retail investors increase their stock exposure and avoid riskier stocks. The risk positions of institutional investors are compensated by the pre-announcement premium in smaller stocks. Following the announcements, institutional investors trade in line with news surprises, contributing to price discovery and reinforcing monetary policy transmission into asset prices. Our findings have implications for understanding announcement-related equity premium and for evaluating the general efficiency of stock market in China.

This paper studies a novel channel through which climate risks affect households’ choices of risky asset allocation: a stringent climate change regulation elevates labor income risk for households employed by high-emission industries which in turn discourages households' financial risk-taking. Using staggered adoptions of climate change action plans across states, we find that climate change action plans lead to a reduction in the share of risky assets by 15% for households in high-emission industries. We also find a reduction in risky asset holdings after the stringent EPA regulation. These results are stronger with experiences of climate change-related disasters. Our study implies an unintended consequence of climate regulations for wealth inequality by discouraging low-wealth households' financial risk-taking.

This paper investigates the causal effects of air pollution on housing prices in China using a dataset of 65 cities from 2014 to 2021. We employ the central environmental protection inspection (CEPI) as a quasi-natural experiment for air pollution index to show a negative causal relationship between air pollution and housing prices. We also find that this causal relationship is more pronounced for less-developed, manufacturing-intensive and tourismrelied cities. Our results reveal the response to central environmental protection inspection on improvement in regional air pollution protection but its by-effects on housing markets, as the impact is limited if the inspection is conducted repeatedly, suggesting its unsustainability as a regulatory tool.