The long-run reversal in the long run: Insights from two centuries of international equity returns

We perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is not subsumed by other established cross-sectional return patterns, including the value effect. The long-term reversal is robust to many considerations but highly unstable through time. Finally, our findings support the overreaction explanation of this anomaly.     

Turning local: Home-bias dynamics of relocating foreigners

Using comprehensive data from Denmark, we study private investors’ preferences for domestic stocks. We compare the equity home bias of foreigners recently relocated to Denmark to the equity home bias of other investors. We find that home bias of recently relocated foreigners is lower than home bias of other investors. Our main result is that when relocated foreigners’ duration of stay increases, their home bias also increases. After 7–8 years, home bias of relocated foreigners does not differ from home bias of other investors. Our results imply that familiarity with domestic stocks develops dynamically with the length of stay in a given country. We discuss implications for explanations of the home-bias puzzle building on information asymmetries.     

众筹平台对创业融资的影响:前沿研究述评与未来展望

关于众筹平台对创业融资的影响，国内外研究主要集中在同一平台内不同项目之间的特征差异方面，即平台内特征分析，且研究结论并不统一；相较之下，关于不同平台之间的特征差异，即平台间特征，现在才开始受到重视。通过对众筹平台与创业融资前沿研究的系统梳理，一方面针对众筹平台内特征，从资金筹措和资金回报两个层面阐释了影响创业融资成功的关键因素，涉及项目特征、创业者特征、投资者互动等；另一方面，针对众筹平台间特征，从平台类型、平台机制、融资渠道3个层面阐释了影响创业融资成功的关键因素。未来，可以从众筹平台间特征对资金回报的影响、综合平台内和平台间特征对资金筹措的影响、众筹平台动态变化机制等多个角度展开深入研究。     

Institutional quality and corporate financing decisions around the world

We investigate the influence of the recent comprehensive institutional quality dimensions of Karolyi (2015), such as market capacity, operational efficiency, foreign accessibility, corporate transparency, legal protection, and political stability, on financing decisions of firms across 56 countries between 2000 and 2015. We find that stronger institutional quality or lower fundamental risks in a country ease firms' access to long-term debt, and equity financing. We attribute our results to institutional environments influencing financing decisions by shaping the severity of market frictions, such as agency conflicts and information asymmetry, and transaction costs. As a result, we conclude that any improvement in a country's institutional environment will boost firms' access to long-term financing, and thus longer-term investments that promote countries' economic growth will be more feasible. Our findings are robust to potential endogeneity issues.     

结构性违约、信用分层与评级机构的策略性反应——来自中国信用债市场的证据

2014年以来，以主要集中于民企的"结构性违约"宣告了中国信用债市场刚性兑付的"结构性打破"，债券市场进入了新的发展阶段。利用2013-2017年债券数据，本文深入分析了结构性违约对评级机构行为和效率的影响，主要有如下发现：首先，信用评级的市场公信力会因政府隐性担保导致的"刚性兑付"而削弱；其次，结构性违约爆发之后，信用评级的整体效率有所提升，但在不同发行主体呈现分化，对于非城投类企业，信用评级对发行利差的影响显著增大，意味着评级公信力的显著提升，而对于城投类企业，评级效率并未明显改善；进一步研究表明，出现这种情况的原因在于评级机构在违约后采取了差异化的评级策略，对于违约风险较大的非城投类债券，评级机构倾向采取"收紧评级"的策略；对于违约风险较低的城投债，评级机构倾向于采取"放宽评级"的策略。这种策略性行为是导致市场"信用分层"的重要原因，并有可能推升民营企业的融资成本。     

Joint tests of contagion with applications

Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily euro zone equity returns from 2005 to 2014 shows that contagion operated mainly through higher order moment channels during the GFC and the European debt crisis, which were not necessarily detected by traditional tests based on correlations. The empirical results have important implications for pricing risk and constructing well diversified portfolios.     

融资渠道与中国区域技术创新

运用2011-2016年中国内地31个省份面板数据，通过固定效应模型检验不同融资渠道对全国以及东中西部地区技术创新的影响。结果表明：①债权融资在整体上对技术创新影响不显著，分地区看，其在东部地区发挥了促进作用，而在中西部地区则起到抑制作用；②从整体及中西部地区看，股权融资对技术创新的影响不显著，且抑制了东部地区技术创新；③对股市板块进行细分后，整体上股权融资中只有创业板股权融资显著促进了技术创新水平提升，主板和中小板的作用均不显著。     

Market reactions to ECB policy innovations: A cross-country analysis

Regulators have been paying increasing attention to governing and steering market fluctuations, with their role in shaping the economic cycle being ever more crucial. The combined effect of the financial and sovereign debt crises, as well as the approach to the zero lower bound, has made actions even more pressing, forcing the European Central Bank to resort to unconventional instruments to revive the economies and counter deflationary pressures. By using a combined event study and panel regression methodology, we investigate whether European Monetary Union equity markets react heterogeneously to standard and non-standard European Central Bank policy innovations. Our results show that conventional policies unevenly affect financial indices in the Eurozone and, hence, are bound to generate asymmetries that reflect on real economies, while unconventional measures, albeit with different intensities, exercise a homogeneous pressure on all markets. Our evidence highlights the beneficial impact of unconventional measures and suggests that they can play a useful role even in non-crisis times.     

Out of control or right on the money? Funder self-efficacy and crowd bias in equity crowdfunding

Our findings extend the entrepreneurship literature by highlighting the mechanism through which self-efficacy can hinder rather than enhance performance in entrepreneurial settings. Using two complementary experimental studies and a third quasi-experimental field study on equity crowdfunding decisions, we demonstrate that self-efficacy is negatively related to decision-making performance. This relationship is mediated by reduced searching effort. Our research also indicates that high self-efficacy funders tend to exhibit a “crowd bias” whereby they over-weight the opinions of the crowd, increasing the likelihood that they will fund poor quality ventures when such ventures are favored by the crowd. We introduce the term crowd bias and explore its effects, establishing that social indicators in the form of crowd cues can exasperate the negative effects of self-efficacy.     

Firm financing and growth in the Arab region

This paper documents how firms in Arab countries use equity, corporate bond and syndicated loan markets to obtain financing and grow. Working with a new dataset on issuance activity in domestic and international markets and firm performance, the paper finds that capital raising through these markets has grown rapidly since the early 1990s and involved an increasing number of firms. Whereas the amounts raised in equity and loan markets (relative to gross domestic product) stand well relative to international standards, bond issuance activity lags behind. However, bond financing has gained importance over time. Equity issuances take place primarily in domestic markets, whereas bonds and loans are mostly issued internationally, display long maturities and entail low levels of credit risk. Issuing firms from the Arab region are very large compared to international standards. They also tend to be larger, faster growing and more leveraged than non-issuing firms in Arab countries.