Textual sentiment of comments and collapse of P2P platforms: Evidence from China's P2P market

Textual sentiment affects the investment activities of investors in traditional financial markets. Peer-to-Peer (P2P) lending market, as one of the emerging and active Internet financial markets, has recently received considerable attention from academia. However, few related studies are available. This work examines the relationship between the textual sentiment derived from investors’ comments on P2P platforms and probability of platform collapse. We collect comments from an authoritative Chinese third-party P2P lending consulting platform and use a weakly supervised convolutional neural network to calculate the textual sentiment of each comment. Empirical results show that the extracted textual sentiment has a significant influence on a P2P platform's collapse. Furthermore, the “agreement” and “disagreement” from other investors of each comment are pivotal in predicting a P2P platform's failure. We find that the textual sentiment of comments regarding P2P platforms from investor communities provide insights into predicting platforms’ collapse in the near future.     

Competition in two‐sided markets

Many markets involve two groups of agents who interact via “platforms,“ where one group's benefit from joining a platform depends on the size of the other group that joins the platform. I present three models of such markets: a monopoly platform; a model of competing platforms where agents join a single platform; and a model of “competitive bottlenecks” where one group joins all platforms. The determinants of equilibrium prices are (i) the magnitude of the cross‐group externalities, (ii) whether fees are levied on a lump‐sum or per‐transaction basis, and (iii) whether agents join one platform or several platforms.     

The Paradox of Financial Fire Sales: The Role of Arbitrage Capital in Determining Liquidity

How can fire sales for financial assets happen when the economy contains well‐capitalized but nonspecialist investors? Our explanation combines rational expectations equilibrium and “lemons” models. When specialist (informed) market participants are liquidity‐constrained, prices become less informative. This creates an adverse selection problem, decreasing the supply of high‐quality assets, and lowering valuations by nonspecialist (uninformed) investors, who become unwilling to supply capital to support the price. In normal times, arbitrage capital can “multiply” itself by making uninformed capital function as informed capital, but in a crisis, this stabilizing mechanism fails.     

社交媒体上“用嘴投票”对管理层自愿性业绩预告的影响

本文研究了投资者 “股吧”讨论这种“用嘴投票”机制能否发挥治理作用进而促进管理层进行自愿性业绩预告。用上市公司股吧中的发帖量、阅读量和评论量来衡量投资者“用嘴投票”的参与程度,研究发现投资者“用嘴投票”参与度越高,管理层进行盈余预测自愿性披露的概率越大,且更愿意及时披露业绩下滑等坏消息。进一步研究发现,投资者“用嘴投票”是通过对股价产生影响、引发监管层关注和招致媒体报道这三个渠道对管理层产生预警进而发挥治理作用。且这一治理机制在管理层受到互联网信息影响可能性越大、公司中小股东户数越多以及论坛的讨论内容越负面时更为显著。     

Market participation in delegated and intrinsic common‐agency games

We study how competition in nonlinear pricing between two principals (sellers) affects market participation by a privately informed agent (consumer). When participation is restricted to all or nothing (“intrinsic” agency), the agent must choose between both principals' contracts and selecting her outside option. When the agent is afforded the additional possibilities of choosing only one contract (“delegated” agency), competition is more intense. The two games have distinct predictions for participation. Intrinsic agency always induces more distortion in participation relative to the monopoly outcome, and equilibrium allocations are discontinuous for the marginal consumer. Under delegated agency, relative to monopoly, market participation increases (respectively, decreases) when contracting variables are substitutes (respectively, complements) on the intensive margin. Equilibrium allocations are continuous for the marginal consumer and the range of product offerings is identical to both the first‐best and the monopoly outcome.     

社交媒体上“用嘴投票”对管理层自愿性业绩预告的影响

本文研究了投资者 “股吧”讨论这种“用嘴投票”机制能否发挥治理作用进而促进管理层进行自愿性业绩预告。用上市公司股吧中的发帖量、阅读量和评论量来衡量投资者“用嘴投票”的参与程度,研究发现投资者“用嘴投票”参与度越高,管理层进行盈余预测自愿性披露的概率越大,且更愿意及时披露业绩下滑等坏消息。进一步研究发现,投资者“用嘴投票”是通过对股价产生影响、引发监管层关注和招致媒体报道这三个渠道对管理层产生预警进而发挥治理作用。且这一治理机制在管理层受到互联网信息影响可能性越大、公司中小股东户数越多以及论坛的讨论内容越负面时更为显著。     

要素市场化配置视域下数据要素交易平台发展研究

从所在地区、业务模式、数据来源、服务领域和产品特点五个方面,对国内政府参与型数据交易平台、企业主导型数据交易平台进行比较分析.政府参与型数据交易平台更多分布于经济发达地区,第三方数据平台多数为政府参与型数据交易平台,政府特色鲜明;企业主导型数据交易平台的优势领域各异.针对我国数据交易平台存在的定位不清晰、缺乏监管和指导...     

Alliances and corporate governance

We study the link between a firm's quality of governance and its alliance activity. We consider alliances as a commitment technology that helps a company’ Chief Executive Officer overcome agency problems that relate to the inability to ex ante motivate division managers. We show that well-governed firms are more likely to avail themselves of this technology to anticipate ex post commitment problems and resolve them. The role of governance is particularly important when the commitment problems are more acute, such as for significantly risky/long-horizon projects (“longshots”) or firms more prone to inefficient internal redistribution of resources (conglomerates), as well as in the absence of alternative disciplining devices (e.g., low product market competition). Governance also mitigates agency issues between alliance partners; dominant alliance partners agree to a more equal split of power with junior partners that are better governed. An “experiment” that induces cross-sectional variation in the cost of the alliance commitment technology provides evidence of a causal link between governance and alliances.     

The Theory of Bank Risk Taking and Competition Revisited

There is a large body of literature that concludes that—when confronted with increased competition—banks rationally choose more risky portfolios. We argue that this literature has had a significant influence on regulators and central bankers. We review the empirical literature and conclude that the evidence is best described as “mixed.” We then show that existing theoretical analyses of this topic are fragile, since there exist fundamental risk‐incentive mechanisms that operate in exactly the opposite direction, causing banks to become more risky as their markets become more concentrated. These mechanisms should be essential ingredients of models of bank competition.     

Regulation,financial crises,and liberalization traps

This paper examines how financial regulation and institutional quality affect the probability of a banking crisis using a panel of 138 countries over the period 1996–2017. Our key inference is that the probability of a financial crisis fits an inverted U-shaped curve: it rises as regulation stringency moves from low to medium levels and falls from medium to high levels. Countries located in the intermediate level of regulatory stringency face more financial instability than either loosely or severely regulated countries, which are caught in a “liberalization trap” and a “regulation trap,” respectively. Institutional quality interacts significantly with the regulatory environment, implying a trade-off with regulatory stringency.     

Preemptive Bidding and the Role of the Medium of Exchange in Acquisitions

The medium of exchange in acquisitions is studied in a model where (i) bidders' offers bring forth potential competition and (ii) targets and bidders are asymmetrically informed. In equilibrium, both securities and cash offers are observed. Securities have the advantage of inducing target management to make an efficient accept/reject decision. Cash has the advantage of serving, in equilibrium, to “preempt” competition by signaling a high valuation for the target. Implications concerning the medium of exchange of an offer, the probability of acceptance, the probability of competing bids, expected profits, and the costs of bidders are derived.     

Banks' consumer lending reaction to fintech and bigtech credit emergence in the context of soft versus hard credit information processing

Access to credit information and the ability to process this information effectively determine the conditions of competition in the credit market. Traditionally, local banks have had an advantage in relationship lending (based on soft credit information), whereas foreign banks are considered to base on hard credit information. With the advent of financial technology (or “fintech”) companies (or “fintechs”) and giant technology (or “bigtech”) companies (or “bigtechs”) providing alternative credit, the conditions of competition in the credit market have changed. In this empirical study, we shed light on the nature of the information advantages fintech and bigtech companies have compared to banks and how alternative lenders use them. We analyze competition in the consumer lending segment between banks and fintechs as well as bigtechs providing alternative lending. We used a database combining bank-level characteristics and country-level proxies for 72 countries from 2013 to 2018. We find that in developed markets, the relationships between fintech and bigtech credit providers and banks are similar and competitive in nature. However, banks' consumer lending grows simultaneously with fintech credit market development in emerging economies, but decreases in the aftermath of the emergence of bigtech credit. Fintech credit seems to penetrate market segments not serviced by banks; thus, it plays a complementary role, however only in emerging economies. Bigtech companies compete even more with banks and push some banking offers out of the market, both in emerging and developed economies. Furthermore, we show that domestic and privately-owned banks are more negatively affected by competition from technology-based lending, particularly bigtech, than foreign banks. Thus, bigtech lending may be treated as a serious competition for banks' relationship lending based on soft credit information processing, traditionally provisioned by local banks.     

Characteristics and mechanisms of not-fully marketized interest rates: Evidence from Chinese online lending

Most of the online lending rate are predominately determined by the platform, especially in the Chinese online lending markets, which indicates that the online lending rate is “not-fully marketized”. Based on a sample of 20 representative online lending platforms with daily data during June 1, 2017 to May 31, 2018 collected from Net credit eye and Lingyicaijing, our results, first, show that the average duration of loans, pending balance, newly added investors, and relative repayment amount are all significant factors for online lending rates. Second, from the view of the whole industry, the increase of the new investors also attracts more risk-seeking investors enter into the industry, who have considerable influences on online lending rates. Finally, when considering the credit rating of each individual platform, the explanatory power of the above factors is gradually weakened as the platform rating declines. This interesting finding suggests that the online lending rate of any platform can reasonably reflect its risks if the platforms keep better regulatory compliance. Our results provide theoretical and empirical supports for both regulators and investors.     

网络借贷平台风险:宏观驱动因素与监管

本文尝试从网贷平台风险的角度,讨论宏观驱动因素和监管政策对网络借贷市场的影响。首先,利用我国网贷市场有代表性的651家平台近两年的日度交易数据,我们发现网贷平台停业风险与增长速度呈负向关系。进一步分析平台增长背后的宏观驱动因素,我们发现互联网技术供给和普惠金融需求共同影响行业发展,而平台增速低于预期将增大停业风险。其次,我们发现监管政策的出台有效降低了平台停业风险,并且降低了平台正常经营对高增长的依赖。但监管政策对于高风险省份的作用弱于或不显著区别于低风险省份,表明监管效果的针对性需要加强。本文对进一步完善网贷行业监管政策及产业政策有参考意义。     

The Evolution of Integrating ESG Analysis into Wealth Management Decisions

Retail investors rely heavily on the advice of their financial advisors. But relatively few of those advisors have begun to incorporate investment strategies based on environmental, social and governance (ESG) factors for their client's portfolios. The author attributes this lack of interest to the disappointing returns of the “first generation” of ESG retail investment products, which approached the topic through a “socially responsible investing” (SRI) lens with mandates to exclude companies and industries viewed as having negative impact on society. These early “negative screening” directives had the effect of reducing the size of the manager's investable universe, which effectively ensured that SRI portfolio would underperform the overall market. The author, who is himself a practicing financial advisor, proposes that an innovative evolutionary process is underway in which investment managers are shifting away from a penchant for “negative screening” to a more inclusive approach he refers to as “best‐in‐class ESG Factor Integration.” And he identifies three main catalysts for this evolution: (1) greater disclosure of ESG data by public companies; (2) the growing accuracy and accessibility of ESG research, from commercial as well as academic sources; and (3) the inclusion of ESG factors with the traditional value drivers emphasized by the fundamental and quantitative methods used by portfolio managers. Although such integration is yet in its early stages, the author is optimistic that this growing trend will become an important part of an overall sustainable investing movement. No longer confined to large institutional investors, ESG factor integration is now available through a growing number of products and investment platforms.     

Disclosure “Bunching”

This paper studies managers' preferences among information acquisition and disclosure policies when their firms are required to engage in “real‐time” or “continuous” financial reporting. The paper predicts that for many, but not all, processes describing the distribution of their firms' cash flows, when subject to such reporting requirements, managers will engage in disclosure “bunching,” that is, they will bunch the discretionary component of the information they acquire and disclose into a single point in time rather than spread the acquisition and disclosure of that information over time. We show that managers' preferred bunching period depends on managers' strategy for trading in their firms' shares, managers' risk aversion, the risk premium the capital market attaches to firms' shares, and the size of managers' initial ownership stakes in their firms. We also study and characterize how the equilibrium prices of firms' shares vary over time and also how managers' optimal trading strategies vary with their most preferred “bunching” strategies. Several extensions confirm the robustness of the optimality of disclosure “bunching.”     

Aggressive leaders

I characterize the incentives to undertake strategic investments in markets with Nash competition and endogenous entry. Contrary to the case with an exogenous number of firms, when the investment increases marginal profitability, only a “top dog” strategy is optimal. For instance, under both quantity and price competition, a market leader overinvests in cost reductions and overproduces complement products. The purpose of the strategic investment is to allow the firm to be more aggressive in the market and to reduce its price below those of other firms. Contrary to the post‐Chicago approach, this shows that aggressive pricing strategies are not necessarily associated with exclusionary purposes.     

Corporate transparency and firm value: Does market competition play an external governance role?

We investigate whether market competition affects the relationship between corporate transparency and firm value in the United States using a sample of 12,665 firm-year observations, representing 1,644 individual firms for the period 1996–2018. The results show that stronger transparency enhances firm value, and market competition has a significantly positive effect on that relationship. More importantly, we use hierarchical linear models further to explore the cross-level interaction impact of market competition, and we find evidence suggesting that the industry-level competition has a significant cross-level moderating effect. Additionally, consistent with the substitute perspective, we also find that the disciplinary power of competition on the relationship between transparency and value is more pronounced for firms with weak corporate governance. Overall, our evidence supports the “bright side” of the competition view and highlights the active external governance role that competition plays in the value promotion effect of corporate transparency at both the individual and the industry levels.     

THE DETERMINANTS AND DYNAMICS OF BID-ASK SPREADS ON THE LONDON STOCK EXCHANGE

We analyze the effect of various factors on the size of spreads on the London Stock Exchange since “Big Bang” and find that the price of a security, volume of transactions, risk associated with security returns, and degree of competition among market makers explain 91 percent of the cross-sectional variation in spreads. The results are consistent with the argument that the inside spread encompasses the order-processing, inventory-adjustment, and adverse-information cost of spreads. We also investigate the speed at which spreads move toward their normal levels after a temporary deviation. Although the speed of adjustment varies across firms, the cross-sectional median of 0.896 indicates it takes more than one period (day) for the adjustment to be completed. The volume of transactions and the degree of competition among market makers are the significant factors that affect the speed of correction in spreads toward their normal levels. This implies private information is incorporated more quickly into prices for stocks with greater competition and high trading volume.     

Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation

This paper analyzes the impact, on both welfare and equilibrium prices, of changes in the financial market in a general equilibrium, two-period context. Previous papers have focussed on the “securities effect,” tending to essentially ignore the equally important “endowment effect” that arises when market structure changes are implemented. Two forms of endowment neutrality and market structure changes which either preserve, expand, or shift allocational feasibility differentiate the main theorems, which are based on arbitrary preferences and beliefs and substantially extend and modify extant results; in particular, earlier statements identified with value conservation are sharply moderated. Very roughly, the paper yields the following implications for some of the more common changes in the market: nonsynergistic corporate spinoffs and the opening of option markets have, on balance, strongly positive welfare effects; nonsynergistic mergers tend to have strong negative welfare effects, while the welfare effects of alternative risky debt structures tend to be ambiguous. All of the preceding, however, may under plausible conditions be redistributive.