2023年，对外经济贸易大学中国金融学院教师国际发表再创佳绩，全年共发表国际高水平期刊论文16篇，比2022年同比增长23%，其中国际A类6篇，国际A-类10篇。此外还有国际B类期刊论文发表14篇。这些成果涵盖了资产定价、行为金融、公司金融与公司治理、金融科技、银行管理等多个金融研究领域，为讲好中国故事，向世界传播好中国声音做出了切实的贡献。

国际顶级期刊（A类）论文（6篇）

论文名称：Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

作者：Chen, H；Chen, Z；He, ZG；刘津宇；Xie, RM

刊名：JOURNAL OF FINANCE

发表时间：2023.10

We provide causal evidence on the value of asset pledgeability by exploiting a unique feature of Chinese corporate bond markets: bonds with identical fundamentals are traded on two segmented markets with different rules for repo transactions. Using a policy shock that rendered AA+ and AA bonds ineligible for repo on one market only, we compare how bond prices changed across markets and rating classes around this event. When the haircut increases from 0% to 100%, bond yields increase by 39 bps to 85 bps. These estimates help us infer the magnitude of the shadow cost of capital in China.

论文名称：Superstition and Risk Taking: Evidence from “Zodiac Year” Beliefs in China

作者：Fisman, R；黄薇；Ning, B；Pan, Y；Qiu, JP；Wang, YX

刊名：MANAGEMENT SCIENCE

发表时间：2023.09

We show that superstitions—beliefs without scientific grounding—impact the investment and risk-taking of Chinese firms. We focus on widely held beliefs in bad luck during one’s “zodiac year,” which occurs on a 12-year cycle around a person’s birth year, to study superstitions and risk taking. We first show a direct correspondence between zodiac year and risk taking via survey data: respondents are two percentage points more likely to favor no-risk investments if queried during their zodiac year. Turning to corporate decision making, we find that return volatility declines in the chairman’s zodiac year, suggesting a reduction in risk taking overall. Focusing on specific types of risk taking, investment in R&D and corporate acquisitions both decline during the chairman’s zodiac year; returns around acquisition announcements are also lower, suggesting real allocative consequences of zodiac year beliefs.

论文名称：Fintech Lending and Credit Market Competition

作者：储寅啸；危建行

刊名：JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS

发表时间：2023.05（Online）

This article studies how the rise of financial technology (Fintech) lending affects credit access, interest rates, and social welfare. We consider a lending competition model with two incumbent banks and a Fintech lender, which use different information and technologies to assess borrower creditworthiness. We show that Fintech lending could negatively affect high-quality borrowers’ access to credit when the Fintech lender’s screening accuracy is superior to that of the banks. Furthermore, Fintech lending may worsen the allocative efficiency of credit and reduce social welfare under some conditions. Analytical and numerical results suggest that Fintech lending mostly reduces the expected interest rates.

论文名称：Independent Director Tenure and Corporate Governance: Evidence from Insider Trading

作者：高萌；Huang, S

刊名：JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS

发表时间：2023.04（Online）

Executives trade more profitably and opportunistically over the course of the tenure of independent directors (IDs). IDs’ increased connections with and hence allegiance to executives are likely the channel through which ID tenure can affect executive trading. Executive opportunism is mitigated by disciplinary factors that include the presence of a firm’s internal trading policy, blockholders, and IDs with legal expertise as well as the risk of shareholder-initiated derivative lawsuits. These results point to an association between long-tenured IDs and weakened corporate governance.

论文名称：Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso

作者：Huang,WX；Su,LJ；庄园

刊名：JOURNAL OF BUSINESS ＆ ECONOMIC STATISTICS

发表时间：2023.04

This article proposes a new measure of efficient price as a weighted average of bid and ask prices, where the weights are constructed from the bid-ask long-run relationships in a panel error-correction model (ECM). To allow for heterogeneity in the long-run relationships, we consider a panel ECM with latent group structures so that all the stocks within a group share the same long-run relationship and do not otherwise. We extend the Classifier-Lasso method to the ECM to simultaneously identify the individual’s group membership and estimate the group-specific long-run relationship. We establish the uniform classification consistency and good asymptotic properties of the post-Lasso estimators under some regularity conditions. Empirically, we find that more than 30% of the Standard & Poor’s (S&P) 1500 stocks have estimated efficient prices significantly deviating from the midpoint—a conventional measure of efficient price. Such deviations explored from our data-driven method can provide dynamic information on the extent and direction of informed trading activities.

论文名称：Attention and Underreaction-Related Anomalies

作者：Chen, X；He, W；陶利斌；Yu, JF

刊名：MANAGEMENT SCIENCE

发表时间：2023.01

Recent studies have proposed a large set of powerful anomaly-based factors in the stock market. This study examines the role of investor inattention in the corresponding anomalies underlying these factors and other underreaction-related anomalies. Using media coverage as a proxy for investor attention, we show that the anomalies underlying many recently proposed prominent factors are much more pronounced among firms with low media coverage in portfolio-formation periods. In addition, we find many other prominent anomalies that previous literature has attributed to underreaction also tend to perform much better among firms with low media coverage. The average Fama-French five-factor alpha spread of these anomalies is about 0.97% per month among firms with low news coverage and only 0.24% per month among firms with high news coverage. Moreover, most of the alpha spread comes from the short leg of the anomalies and from the firms that are more difficult to arbitrage. Overall, our evidence indicates that investor inattention at least partially drives many of the recently proposed factors.

国际权威期刊（A-类）论文（10篇）

论文名称：Goodhart’s law in China: Bank branching regulation and window dressing

作者：宫迪；Huizinga, H；Li, TS；Zhu, JG

刊名：JOURNAL OF EMPIRICAL FINANCE

发表时间：2023.12

After the removal of geographic restrictions on branching in 2006, China’s city commercial banks (CCBs) can apply for permission to branch outside their province. This paper shows that CCBs report a higher provision coverage ratio (PCR) before filing an application, thereby making the bank look safer to regulators. Our finding is robust to controlling for possible endogeneity of the branching application decision by employing propensity score matching estimators, and it is confirmed when we consider a quasi-natural experiment of deregulation reversal. Tests of the dynamic effects show evidence of reversals in PCR adjustment after applications. Higher PCR before branching applications cannot be explained by alternative rationales for manipulating loan loss reserves such as fundamental provisions, earnings management, capital management, and market signaling. Window dressers receive more supervisory penalties after filing applications relative to other branching banks. Our finding of window dressing in response to bank branching regulation confirms Goodhart’s insight that when a regulatory metric becomes a target, it ceases to be a good measure.

论文名称：Corporate social responsibility and excess perks

作者：席丹；Wu,YZ；王雪；Fu,Z

刊名：JOURNAL OF EMPIRICAL FINANCE

发表时间：2023.12

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 excessive perks is more pronounced for firms with worse information environments, suggesting that mandatory CSR disclosure significantly reduces executive excessive perks and restricts managers’ unethical behavior by improving the quality of the information environment for investors. Also, we investigate an alternative channel from a managerial human capital dimension and find that reputed CEOs are more likely to regulate their behavior when mandated to disclose more non-financial information. Finally, we find that the mandatory CSR disclosure seems to improve firms’ sensitivity of pay-for-performance but show no impact on excess total cash compensation, suggesting that the improved performance-driven incentives are mainly driven by the reduced excessive perks.

论文名称：The effects of economic uncertainty on financial volatility: A comprehensive investigation

作者：Tong, C；Huang, Z；王天一；Zhang,C

刊名：JOURNAL OF EMPIRICAL FINANCE

发表时间：2023.09

We provide new empirical evidence of how financial volatility responds to an increase in economic uncertainty. Consistent with the implications derived from a theoretical equilibrium model in which investors are uncertain about the true state of the economy, our estimates for the contemporaneous effects of uncertainty on volatility are significantly positive, and their magnitudes critically depend on the economic situation and degree of investors’ risk aversion. Specifically, stock return volatility tends to overreact to increased uncertainty during good times when investors are more risk-averse. All these relations remain robust to different uncertainty measures. We further build a simple reduced-form predictive model augmented with uncertainty measure, and find the uncertainty displays additional predictive power for future volatility. Moreover, this improvement is concentrated around bad times with high risk aversion, most of which are located in the NBER-dated recession periods.

论文名称：Investor attention and stock price efficiency: Evidence from quasi-natural experiments in China

作者：李志冰；Liu, J；Liu, XY；Wu, CL

刊名：FINANCIAL MANAGEMENT

发表时间：2023.09（Online）

We examine whether increasing investor attention affects stock price efficiency. To identify the causal effect, we employ daily repeated quasi-natural experiments in China where investor attention difference is purely driven by price rounding effect without information regarding stock fundamentals. Stocks tend to draw significant more attention and show higher price efficiency after being exposed to the Winner List. We also find supporting evidence for two nonexclusive channels through which investor attention enhance stock price efficiency: increasing stock liquidity and stronger net inflows from large orders. The positive relationship between investor attention and price efficiency is more pronounced among stocks with lower institutional shareholdings, stocks without overseas or Big Four audit firms, and stocks without B- or H-shares. Our findings further shed light on the significant impact of saliency on the capital market.

论文名称：Estimating contagion mechanism in global equity market with time-zone effect

作者：武伯尧；Huang, DF；Chen, MZ

刊名：FINANCIAL MANAGEMENT

发表时间：2023.09

This paper proposes a time-zone vector autoregressive(VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static analysis and the COVID-19 crisis through a rolling window method. Our study of comovements using VAR coefficients reveals a resonance effect in the global system. Findings on densities and assortativities suggest the existence of the transmission mechanism in all periods and abnormal structural changes during the crises. Strength analysis uncovers the information transmission mechanism across continents over normal and turmoil periods and emphasizes specific stock markets’ unique roles. We examine dynamic continent strengths to demonstrate the contagion mechanism in the global equity market over an extended period. Incorporating the time-zone effect significantly enhances the VAR model’s interpretability. Signed networks provide more information on global equity markets and better identify critical contagion patterns than unsigned networks.

论文名称：Pricing strategies in BigTech lending: Evidence from China

作者：Lu,L；危建行；吴卫星；Zhou,Y

刊名：FINANCIAL MANAGEMENT

发表时间：2023.06

This paper analyzes a BigTech lender’s pricing strategies in the business-to-customer unsecured loan market using a proprietary data set of consumer loans in China.We find that the credit rating constructed by the BigTech lender is informative of the customers’ default risk. Moreover, the interest rate decreases and the credit limit increases with the credit rating. Interestingly, the BigTech lender charges different interest rates to its customers based on the customer channel, although it does not provide information about the customers’ default risk. Following the passage of the China Banking Regulatory Commission Act, which reduced credit market competition, the BigTech lender increased the current rate and decreased the credit limit.We rationalize these empirical findings in a simple model of credit contract design.

论文名称：Time series momentum and reversal: Intraday information from realized semivariance

作者：Liu,ZY；卢尚霖；Li,B；Wang,SX

刊名：JOURNAL OF EMPIRICAL FINANCE

发表时间：2023.06

The presence of time series momentum has been widely documented in financial markets across asset classes and countries. In this study, we find a predictable pattern of the realized semivariance estimators for the returns of commodity futures, particularly during the reversals of time series momentum. Based on this finding, we propose a rule-based time series momentum strategy that has a statistically significant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy in the out-of-sample data. The results are robust to different subsamples, lookback windows, volatility scaling, execution lag, and transaction cost.

论文名称：Disseminating information across connected firms-Analyst site visits can help

作者：曹正宇；Wang,RD；肖欣荣；尹澄溪

刊名：JOURNAL OF EMPIRICAL FINANCE

发表时间：2023.06

When information is disseminated across fundamentally connected firms at a fast pace, limited investor attention should be mitigated. We investigate whether analyst site visits to public firms have any impact on the lead-lag effect, a well-known phenomenon induced by limited investor attention. We find that analyst site visits to a focal firm's connected firms almost eliminate the lead-lag effect between the visited connected firms and the focal firm at weekly frequency. The Fama-French five-factor alpha drops from 0.365% （t-statistic=3.26） per week for the strategy based on lagged returns of a firm's non-visited connected firms to-0.082% （t-statistic=-0.97） per week for the strategy based on lagged returns of visited connected firms. We further provide evidence that analyst site visits to connected firms help improve forecast accuracy for the forecasted firm. These results indicate that analyst site visits help disseminate information across connected firms.

论文名称：Gate Fees: The Pervasive Effect of IPO Restrictions on Chinese Equity Markets

作者：Lee, CMC；屈源育；Shen,T

刊名：REVIEW OF FINANCE

发表时间：2023.05

From 2007 to 2020, unlisted Chinese firms paid an average of over US $500 million to listed firms for their shell value in reverse merger transactions. We show that this large shadow price for a public listing sheds light on other features of Chinese markets, including (i) near-zero mortality rates, (ii) frequent major-asset restructurings (MARs), (iii) insensitivity of small-firm prices to corporate earnings, and (iv) a large size effect. A firm-level measure of expected shell probability (ESP) predicts stock returns, MARs, earnings-to-price sensitivity, and short-window returns to initial public offering-related regulatory news. Furthermore, adding ESP to existing pricing models for Chinese stocks significantly improves model performance.

论文名称：The trade and welfare effects of the belt and road initiative

作者：高萌；Jin, CX；Jin, W；Sheng, B；Xu, LP

刊名：REVIEW OF INTERNATIONAL ECONOMICS

发表时间：2023.03（Online）

This paper evaluates the general equilibrium trade and welfare effects of the Belt and Road Initiative (BRI). We estimate the partial trade effect of the BRI using the synthetic control method. By feeding the implied trade cost reduction into counterfactual equations, we simulate the general equilibrium trade and welfare effects of the BRI based on the structural gravity model. We find that the BRI has greatly increased China’s and BRI members’ trade and welfare, with little impact on non-BRI members.

国际B类期刊发表（14篇）