The effect of fraud experience on investment behavior

Given the recent increases in fraud targeted at households, we examine the effect of household-level fraud experience on investment behavior for a representative sample of Chinese households. Using a difference-in-differences approach with matching, we find that households exposed to fraud are less likely to invest in high-risk assets such as stocks and derivatives and allocate less of their portfolio to high-risk assets. We find that the relationship between fraud experience and investment behavior is driven by households with high risk aversion and not low trust.     

The cyclical behavior of household and corporate credit in emerging economies

Standard consumption-investment theory predicts counter-cyclical (pro-cyclical) behavior of household (corporate) credit whereby households' consumption smoothing and firms' investment motives are aligned. Counter to the theoretical symbiosis consistent with U.S. data, we demonstrate not only in South Korea, but also in 19 emerging economies that the pro-cyclical behavior of household credit dominates that of corporate credit. Our analysis further reveals that dominant, pro-cyclical household credit accompanied by (collateral) assets and fueled by external debt generates counter-cyclical behavior in interest rates, amplifies credit market fluctuation, and hinders the growth of small- and medium-size businesses in the South Korean economy.     

Diversification and financialization of non-financial corporations: Evidence from China

This paper examines whether and how business diversification affects financialization in non-financial corporations. Using data from the Chinese market, we find that business diversification strategy will significantly increase non-financial corporations' investment in financial assets. Furthermore, exacerbated agency problems, increased investment inefficiency and high operational risk are found to be the consequences of business diversification, which induce companies to hold high-risk financial assets. The impact of business diversification on financial investment is stronger in small-cap firms, SOEs, and firms with weak monitoring mechanisms. Finally, the diversification effect on corporate financialization is more significant where regional economic development and regulatory environment is weak.     

风险态度、金融教育与家庭金融资产选择

文章基于中国城市居民消费金融调查数据,研究了风险态度、金融教育对家庭金融资产选择和家庭金融市场参与的影响。结果发现,风险态度显著影响家庭金融资产组合分散化程度,风险厌恶程度越高,金融资产组合分散化程度越低。风险态度对家庭正规金融市场参与有显著影响,风险厌恶程度的提高会显著降低家庭在股票、基金、债券、储蓄性保险市场的参与概率,风险厌恶程度增加一单位,家庭参与股票市场的可能性会降低10.5%。风险厌恶程度对股票、基金、债券、储蓄性保险资产在家庭金融资产中的比例具有显著的负向影响。家庭的金融教育投入对风险资产持有比重条件分布的影响上,呈先上升后下降趋势,中间分位的要大于两端。文章相应的政策含义是,政府及金融管理部门需要普及金融教育知识,提高居民的金融风险认知水平,从而优化家庭金融资产选择,改善居民金融福利。     

基于风险预算的新疆居民家庭金融资产的风险资产配置

通过对新疆2013-2017年的居民家庭金融总资产以及投资和储蓄的分析,从宏观的家庭金融资产视角使用Markowitz的投资组合的均值-方差模型在风算预算的基础上,进一步计算出实际新疆居民每年应当用于储蓄或者用于投资与固定风险和较大风险的比例,即得出风险资产的配置,从而提高新疆居民的储蓄向投资的转化,加强居民金融资产的管理和风险资产的分配,提高居民的风险收益,为新疆居民家庭获取更多金融资产投资于风险性收入提供更好的政策建议。     

保险资金投资管理中的风险分散问题研究

组合投资是利用投资组合内各个风险资产之间的相关性来分散风险的,而均值—方差投资组合模型采用的相关性度量—相关系数无法准确地度量风险资产之间的相关性,这必将对组合投资的风险分散效果产生不利影响。本文提出,用理论性质更好的相关性度量来度量风险资产之间的相关性,并建立基于Kendallτ的投资组合模型。通过实证研究发现,在保险资金投资管理中,采用基于Kendallτ的投资组合模型能够取得比均值—方差投资组合模型更好的风险分散效果。     

产业政策扶持对企业金融资产配置——基于“五年规划”变更的自然实验

以产业政策“五年规划”的变更构建双重差分与中介效应检验，分析了政策扶持对企业“主观投资意愿”和“客观投资机会”的双重影响，以及在两种影响的共振作用下，如何进一步影响企业金融资产配置决策的微观逻辑。研究发现：产业政策扶持对企业金融资产配置具有显著促进作用。一方面，产业政策扶持不仅会通过融资约束缓解效应提升企业投资意愿，还会通过庇护效应提高企业风险容忍度、强化风险承担，从而进一步提升“主观投资意愿”。另一方面，政策扶持引发投资潮涌会恶化市场竞争、政策前瞻性及其社会价值性，又对企业短期经济价值产生抑制，从而导致企业“客观投资机会”下滑。最终，企业在客观投资不确定性加剧而主观投资意愿上升的共振作用下选择转向具有替代性的金融资产投资。异质性方面，主业投资机会、主业经营收益率和主业经营风险越高的企业增加金融资产投资的意愿更弱，说明企业进行金融资产配置更像是锦上添花，而非根本上的“脱实向虚”。     

Executive compensation incentives,risk level and corporate innovation

This paper explores the innovation of Chinese listed companies from the perspectives of CEOs' compensation and corporate risk. We find that executives' salary can effectively promote firms' investment in research and development (R&D), while equity compensation failed to promote corporate R&D investment. Besides, the level of corporate risk has a mediating effect between executives' salary and corporate R&D investment. However, corporate risk level has a moderating effect between equity compensation and corporate R&D investment. When the level of risk is higher than a certain level, the negative impact of executives' equity compensation on innovation input becomes more obvious.     

On the corporate social responsibility perceptions of equity analysts

The importance of communicating corporate social responsibility (CSR) not only to socially responsible investors but also to the mainstream of the financial community is gaining importance in a more competitive capital market environment. This article looks at how equity analysts at the German stock exchange in Frankfurt – individuals who are not particularly involved in socially responsible investment (SRI) research – perceive economic, legal, ethical and philanthropic responsibility strategies. The evidence obtained in our interviews suggests that responsibility issues are increasingly becoming part of mainstream investment analysis. However, for them to play a larger part in the future, investor relations personnel must frame responsibility strategies in a way that is more consistent with the financial community's perspective. In particular, the impact of CSR measures on strategic development, competitive anticipation and creating trust with stakeholders are key in leveraging CSR in financial communications.     

CEO facial masculinity,fraud, and ESG: Evidence from South Korea

Researchers in finance and accounting find that male CEOs' high facial masculinity (fWHR: facial width-to-height ratio), which is known to be related to aggressiveness to achieve higher social status in the neuroendocrinology literature, shows dual impacts on corporate outcomes. For example, firms led by more masculine-faced CEOs have better financial performance (ROA) but are more likely to have a higher likelihood of financial misreporting. The harnessing of the strong achievement drive of masculine-faced CEOs to minimize potentially adverse corporate outcomes is of primary concern. We hypothesize that a well-designed environmental, social, and governance (ESG) practice could serve this purpose. Using a sample of South Korean public companies from 1998 to 2015, we find supporting evidence that a one-standard-deviation increase in fWHR is associated with a three-fold higher likelihood of corporate fraud and that the association is attenuated for firms with stronger ESG performance that includes voluntarily disclosing sustainability reports, holding less cash, and incentivizing with stock options.     

Executive Compensation and Corporate Fraud in China

This study investigates the relation between CEO compensation and corporate fraud in China. We document a significantly negative correlation between CEO compensation and corporate fraud using data on publicly traded firms between 2005 and 2010. Our findings are consistent with the hypothesis that firms penalize CEOs for fraud by lowering their pay. We also find that CEO compensation is lower in firms that commit more severe frauds. Panel data fixed effects and propensity score methods are used to demonstrate these effects. Our results also indicate that corporate governance mechanisms influence the magnitude of punishment. We find that CEOs of privately controlled firms, firms that split the posts of CEO and chairman, and CEOs of firms located in developed regions suffer larger compensation penalties for committing financial fraud. Finally, we show that CEOs at firms that commit fraud are more likely to be replaced compared to those at non-fraud firms.     

Using the Family Self‐Sufficiency Program to Help Families with Housing Assistance Improve Earnings,Credit Score,and Debt Levels: A Quasi‐Experimental Analysis

HUD's Family Self‐Sufficiency (FSS) program aims to help housing assistance recipients increase their earnings and build savings to make progress toward economic security. This study examines an asset‐building nonprofit's innovative financial coaching‐based approach to FSS that adds an additional focus on helping clients build assets and financial capability. We use a quasi‐experimental approach to estimate the program's impact on earnings and cash assistance receipt and analyze credit and debt outcomes against a benchmark group. The findings show substantial, significant gains in households' earnings and significant decreases in receipt of some cash benefits. Participants also saw increases in credit score, and success in paying down credit card and derogatory debt. Our results indicate that FSS can be an effective platform for helping participants in subsidized housing make real progress toward economic security and financial health.     

Financial socialization's impact on investment orientation and household net worth

This study investigates the role of financial socialization for investment orientation and household net worth. Combining consumer socialization literature with findings in the behavioural finance literature, survey data were analysed to (1) investigate the relationship among household net worth, financial socialization, indicators of investment orientation and socio-demographic investor characteristics; (2) examine the influence of socio-demographic investor characteristics and financial socialization on indicators of investment orientation; and (3) test whether financial socialization affects household wealth above and beyond socio-demographic and investment orientation factors. Parents emerged as a relevant socialization agent of investors, influencing investment regularity and household net worth above and beyond other factors. This result extends earlier findings about parents' role for a person's financial management and savings behaviour to the investment context. Based on our findings, educators may want to involve parents in their efforts. They may want to emphasize the importance of starting investing regularly at an early age and of continuing to increase involvement in investing over the years. Financial planners and financial counsellors may consider emphasizing these two practices for their clients and involve children of their clients when and where appropriate.     

Fund Loyalty Among Socially Responsible Investors: The Importance of the Economic and Ethical Domains

The corporate social responsibility literature has emphasized the importance of both economic and ethical domains of corporate behavior. Analyzing unprecedented survey data from investors in a socially responsible (SR) mutual fund, this article considers how economic and ethical concerns shape shareholder investment behavior. In particular, this article analyzes levels of investor fund loyalty, defined as the continued investment in a mutual fund despite the belief that one is earning a lower return on investment. Building upon existing research that shows SR fund assets are more stable than conventional fund assets, this article leverages within respondent comparisons to clarify that dual investors (i.e., those who invest in both SR and conventional funds) are more loyal to their SR fund than to their conventional fund. This suggests that a corporation’s ethical behavior attracts more patient investment capital, an important consideration for any corporation that is deciding to what degree it should engage in corporate social responsibility. In addition, this article empirically demonstrates that economic motivations reduce SR fund loyalty and that ethical motivations induce SR fund loyalty. This evidence that ethical motivation is associated with fund loyalty advances research on morality in the market by yielding empirical evidence to a largely theoretical debate.     

Did Investors Herd during the Financial Crisis? Evidence from the US Financial Industry

We examine the herding behavior of investors in the US financial industry, especially commercial banks, S&Ls, investment and insurance firms during global financial crisis of 2008 towards own sub‐sector and market consensus using augmented cross sectional absolute deviation of returns (CSAD) model. After distinguishing between fundamental and non‐fundamental information, we find a greater influence of global financial crisis on spurious herding for commercial and investment banks, and such herding increases in the down market and with conditional volatility of returns, but adverse herding is prevalent among investors during normal period in response to fundamental information. We also find that herding intensity on fundamental information is relatively high with market consensus for all financial institutions except insurance firms in high volatility regime, and intentional herding is only significant and limited to S&Ls and investment banks in high volatility regime. Our findings suggest limited spillover effects of herding when investors face non‐fundamental information.     

金融部门人力资本配置与实体企业金融资产投资

在实体经济“冷”与虚拟经济“热”的大背景下,中国实体企业投资于金融资产的比例快速提升,经济金融化格局正在加速形成。本文试图从金融部门的人力资本配置视角对实体企业金融资产配置的形成逻辑进行诠释。本文以人均受教育年限来衡量金融部门的人力资本配置,采用2008年经济普查微观数据库的数据构造地级市层面的度量指标,并匹配至2009—2018年非金融类上市公司进行实证检验。计量结果显示,金融部门的人力资本水平越高,实体企业金融资产配置越多,且该效应在信息不对称企业中尤为显著。进一步的机制检验发现,在金融部门人力资本提高的条件下,实体企业债务期限显著缩短,具体表现为短期负债增加而长期负债减少。本文研究结论表明,人力资本偏向金融部门增强了其在信贷合约中的市场势力,信贷供给短期化是实体企业金融化的重要原因之一。     

International comparison of household asset allocation: Micro-evidence from cross-country comparisons

Asset allocation, an important part of household finance, attracts constant attention across countries. Due to the differences between countries, asset allocation presents different characteristics in various countries. This paper compares and analyzes the differences in household asset allocation around the world based on the data of 23 developing and developed countries, such as China, the United States, 20 EU countries, and Australia, at the micro-level. This paper finds that in all of these countries, except for the United States, housing assets often occupy a large proportion of household total assets, which we give the name ‘Valuing Housing’, mainly attributed to the high housing value-to-income ratios (especially in developing countries). Further analysis shows that, with the increase in household income, the proportion of housing assets in most countries presents an inverted ‘U' shape, which first increases and then decreases, and where the inflection point appears in the top 20% of households. Also, with increases in income, China, the United States, and some other countries see an increasing proportion of financial assets. The top 20% of households tend to invest in financial assets. In addition, as the ages of household heads increase, the proportion of housing assets tends to first rise and then level off, and that of financial assets tends to first decrease and then level off. The conclusions of this paper help to better understand the differences in the allocation of household assets across countries and explain the underlying causes.     

Escaping financial crises? Macro evidence from sovereign wealth funds' investment behaviour

This paper investigates the determinants of the investment activity of Sovereign Wealth Funds (SWFs) at a macro level, with special emphasis on the possible reaction to a financial crisis in a potential target economy. The analysis relies upon a specially built proprietary database, which encompasses 1,903 acquisition deals spanning the period 1995–2010 and involving 29 out of the 79 existing SWFs. According to a three-step modelling approach, we find that this class of investors prefers to invest in countries with a higher degree of economic development, larger and more liquid financial markets, institutions that offer better protection of legal rights, and a more stable macroeconomic environment. Most importantly, and in stark contrast with the existing empirical literature on other major institutional investors, SWFs seem to engage in ‘contrarian’ investment behaviour, i.e. increasing their acquisitions in countries where crises hit. The results are shown to be valid if we consider both the likelihood of a country being the target of SWFs' investments and the amount SWFs choose to invest in each country. Capital flows stemming from SWFs' acquisition activity worldwide may therefore have a stabilizing effect on local markets during periods of financial turmoil, protecting the targeted countries from foreign shocks instead of propagating them globally.     

Are business groups different from other family firms? Evidence from corporate investments during political uncertainty

Using a large sample of Indian family firms, we examine the investment behaviour of group-affiliated family firms versus standalone family firms during local state elections. While state elections negatively affect corporate investments, family firms invest more than non-family firms. Therefore, using a difference-in-difference estimation, we find that group-affiliated family firms invest significantly more than standalone family firms. Additionally, we find no evidence of distortive investments by group-affiliated family firms due to political pressure; rather, it appears that the unique structure allows these firms to make value-relevant investments when other firms adopt a conservative approach. Overall, our study improves the understanding of family firm investments during periods of political uncertainty.     

Measuring Investors’ Socially Responsible Preferences in Mutual Funds

The aim of this study is to analyze investor behavior towards socially responsible mutual funds. The analysis is based on an experimental study where a sample of individuals takes investment decisions under different parameters of information about the investment alternatives and expected returns. In the experiment, each participant decides how to distribute an investment budget between two funds, returns on which are uncertain and change over time. Two treatments are conducted, each providing a different degree of information on the socially responsible (SR) character of one of the two investment alternatives. The results obtained suggest that although individuals’ criteria for investment are essentially guided by returns and diversification, participants invest significantly more in a fund when they are explicitly informed about its SR nature. In particular, participants who declare being concerned about SR actually invest significantly more in the SR alternative. Furthermore, the level of SR faithfulness among a small group of investors is such that they invest the main share of their budget in the SR fund, even when the return differential is highly unfavorable. Providing clear information about the SR characteristics of an investment is crucial to help investors express their preferences.