Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China

We find that cumulative abnormal returns adjusted by size, book-to-market, and momentum around the earnings announcement date (DGTW_CAR3 hereafter) significantly and positively predict stock returns in the 6-month period from May 2005 to October 2020 in the China's A-shares market. The monthly equally-weighted DGTW_CAR3 premiums are 0.47% and 0.67% after risk adjustment. Although stock price delay fails to fully account for the DGTW_CAR3 premium, we find that the DGTW_CAR3 premium is more significant for illiquid stocks and during periods with high investor sentiment. This result suggests that market inefficiency explains the DGTW_CAR3 premium. Further analysis shows that, in addition to earnings information, the optimism reflected in the management discussion and analysis section of the annual or half-year report also contributes to the DGTW_CAR3 premium. This finding implies that DGTW_CAR3 may contain new fundamental information that correlates significantly and positively with future stock performance. Finally, we find that the institutional ownership change of a stock associated with DGTW_CAR3 also significantly and positively predicts the stock's return, suggesting that institutional investors adjust their holdings according to DGTW_CAR3 and consequently influence the demand for the stock in the China's A-shares market.     

Influence of dividend tax policy tied to investment horizon on stock price stability: Evidence from the 2015 dividend tax reform in China

We examine how the dividend tax cut policy tied to the investment horizon enforced on September 8, 2015, influences stock price stability in China's A-share market. As the new dividend tax policy waives the tax on cash dividends for investors holding a stock for more than a year, it encourages long-term investment behavior. From 2013 to 2017, we find that stock turnover, return volatility, and turnover volatility decrease after the policy enforcement, especially for stocks with high dividend yields. This result shows that dividend tax reforms increase investors' stock investment horizons and help stabilize the market. However, our findings demonstrate that stock crash risk increases after policy enforcement. Further analysis shows that earnings management through real activities manipulation for stocks with a higher dividend yield contributes to an increase in stock crash risk. Therefore, one externality of the dividend tax cut policy tied to the investment horizon is that top managers of firms with a higher dividend yield may take advantage of investors' passive longer-term investment behavior and engage in more earnings management. This result suggests that regulatory agencies should pay attention to top managers' earnings management behavior after enacting policies that encourage long-term investment.     

对外开放程度度量方法的研究综述

从贸易方面度量开放程度的指标有外贸依存度、关税率、有效保护率和数量限制平均覆盖率、非关税壁垒覆盖率、价格扭曲度等。从金融角度来研究开放的指标有外汇黑市溢价、本国对外投资和吸收外资的流量、存量、增长率以及它们占GDP的比重等。有些学者运用计量方法测算选定指标的理论预测值,通过比较实际值与理论预测值的差异来度量开放程度。国内学者一般选择3至6个分指标的加权平均值来度量我国经济的对外开放程度。     

Foreign Ownership Restriction and Momentum – Evidence from Emerging Markets

This study investigates the impact of foreign investors on stock price efficiency and return predictability in emerging markets. It finds that stocks fully investible for foreign investors exhibit stronger price momentum than non‐investible stocks. The difference in momentum effects between stocks with different levels of investibility cannot be fully explained by world market risk, size, turnover, or country‐specific factors. Further tests show that fully investible stocks have no post‐earnings‐announcement drift (PEAD), and their short‐term momentum reverses over a longer horizon. These results show that the stronger momentum of highly investible stocks does not appear to be driven by foreign investors' underreaction to firm‐specific information, but is more likely to be generated by their positive feedback trading.     

Volatility Spillovers and the Risk-Return Relation Between Stock and Foreign Exchange Markets in Brazil

We examine the evidence of mean and volatility spillovers between stock and foreign exchange markets in Brazil with multivariate GARCH models and nonlinear Granger causality tests. We also use a multivariate GARCH-in-mean model to assess the relationship between risk and return in these markets. The results indicate that the stock market leads the foreign exchange market in price formation and that nonlinear Granger causalities from the exchange market to the stock market do occur. Part of these nonlinear causalities are explained by volatility spillovers. We show that exchange rate volatility affects not only stock market volatility but also stock returns.     

Dynamic return predictability in the Russian stock market

This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with information flow. In general, predictability of the Russian stock market return is at a high level. Autocorrelation increases during periods of low information flow. During periods of high information, conditional exposure to the local market risk and changes in oil price influence the expected return on the Russian stock market. The lagged global stock market factor and currency returns have insignificant influence.     

ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE

In this paper, we propose a model of financial markets in which agents have limited ability to trade and no probability is given from the outset. In the absence of arbitrage opportunities, assets are priced according to a probability measure that lacks countable additivity. Despite finite additivity, we obtain an explicit representation of the expected value with respect to the pricing measure, based on some new results on finitely additive measures. From this representation we derive an exact decomposition of the risk premium as the sum of the correlation of returns with the market price of risk and an additional term, the purely finitely additive premium, related to the jumps of the return process. We also discuss the implications of the absence of free lunches .     

Ex-dividend day price behavior and liquidity in a tax-free emerging market

This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices drop less than the dividend amount on the ex-day; this market inefficiency is generally attributed to the tax-induced clientele effect and various structural frictions. We show that, even in a tax-free market characterized by the presence of large block holders and the absence of the usual microstructure impediments, abnormal returns persist. Using a newly defined free-float adjusted measure of market fluidity, we find that liquidity is economically and statistically significant in the determination of the ex-dividend day price anomaly, indicating that trading restrictions can partially explain the ex-dividend return puzzle.     

Weak-Form Market Efficiency of the Nigerian Stock Market in the Context of Financial Reforms and Global Financial Crises

The weak-form efficient market hypothesis for the Nigerian Stock Market (NSM) is explored using different statistical tests. The analyses use overall stock market returns collected over the period 2000–2010. It is shown that the NSM is not weak-form efficient which questions the benefits of the 2004 financial reforms. It is also shown that the degree of market inefficiency varies across the periods corresponding to the financial reforms and 2007 global financial crisis, for daily and monthly returns. The results are important to security analysts, investors, and security exchange regulatory agencies in their investment, stock market development, and policy-making decisions.     

Dispersion in Analysts’ Earnings Forecasts and Market Efficiency

Recent studies show that firms with higher analysts’ earnings forecasts dispersion subsequently have lower returns than firms with lower forecasts dispersion. This paper evaluates alternative explanations for the dispersion–return relation using a stochastic dominance approach. We aim to discriminate between the hypothesis that some asset pricing models can explain the puzzling negative relation between dispersion and stock returns, and the alternative hypothesis that the dispersion effect is mainly driven by investor irrationality and thus is an evidence of a failure of efficient markets. We find that low dispersion stocks dominate high dispersion stocks by second‐ and third‐order stochastic dominance over the period from 1976 to 2012. Our results imply that any investor who is risk‐averse and prefers positive skewness would unambiguously prefer low dispersion stocks to high dispersion stocks. We conclude that the dispersion effect is more likely evidence of market inefficiency, rather than a result of omitted risk factors.     

机构投资者的羊群行为能降低投资风险吗?——来自中国上市公司的证据

机构投资者的羊群行为对投资风险影响的实证分析结果表明: 机构投资者存在羊群行为,卖出羊群行为的程度大于买入羊群行为的程度,而且卖出羊群行为加大了投资风险、降低了投资回报率; 买入羊群行为减少了投资风险、提高了投资回报率。因此,加大监管机构投资者卖出羊群行为有利于降低投资风险,并促进证券市场稳定发展。     

股票市场发展与国家资源配置效率:基于股市信息效率视角的研究

中国股票市场发展已经经历20年的历程,很多方面都取得了巨大的发展成就,然而对于股票市场发展对中国经济增长是否产生了显著的正向促进作用,现有研究文献并没有达到一致结论.文章基于股价波动非同步性测度方法,从股票市场信息效率这一新的视角入手,实证检验股票市场发展与国家资源配置效率的因果影响关系,为这一领域研究提供了新的实证证据.实证结果表明:中国股票市场信息效率与国家资源配置效率显著正相关,且这种正相关关系在效益上升行业与下降行业没有显著差别,即高信息效率股票市场能引导社会在高资本回报率的行业内继续追加投资,在低资本回报率的行业内及时削减资本投入,从而提高资源配置效率.因此中国股票市场发展具有较好的经济效应,它对经济增长产生了显著正向促进作用.     

中国房地产市场过热与风险预警

从消费与投资两方面来说，1998年以来中国房地产市场的快速发展仅是以往“存量需求”的释放，而不是潜在需求真正地转化为有效需求。这一过程又主要依赖于银行信贷的支撑和代际收益的转移，这自然导致了中国房地产市场的虚假繁荣和价值的严重高估，造成房地产市场资产价格与价值的严重背离和房地产泡沫的出现。面对中国房地产价格快速飚升的威胁，为了避免房地产价格波动影响金融稳定以及国内经济的未来发展，首先要从金融体系的稳定性入手，建立房地产价格失衡预警指标体系、建立金融体系与宏观经济失衡的预警指标并提高金融机构风险测量能力。同时政府要在土地政策、信贷政策、税收政策和住房政策等方面采取积极的应对措施。     

China's segmented stock market: An application of the conditional international capital asset pricing model

China's segmented stock market provides an opportunity to study conditional international asset pricing from multiple viewpoints—domestic and foreign. We use the multivariate GARCH-M framework of De Santis and Gérard [De Santis, G., and Gérard, B., 1998. How big is the premium for currency risk? Journal of Financial Economics 49, pp. 375–412.], but add conditional local specific risk and find global, local, and currency risk to be priced and time-varying in Chinese markets, suggesting mild segmentation for developing country markets. The time-varying price of currency risk indicates that the strict currency restrictions in China do not sufficiently reduce currency risk to stabilize the price of currency risk. We also find that the price of local risk in the Chinese A stock market is non-time-varying relative to the developed market, but time-varying relative to the emerging market. This finding implies that the Chinese A stock market is more comparable to a developed market than an emerging market. However, results on Chinese B shares show the opposite relationship: from a foreign investor's perspective, Chinese B shares are better categorized as being emerging than developed. This is further supported by an Engle–Granger cointegration test.     

Military regimes and stock market performance

We examine whether military regimes harm stock market performance by investigating stock returns in ten emerging markets under military and civilian rule. We find no evidence of military regimes having a significantly negative impact on stock returns. In the case of Thailand and Pakistan, we find a significant positive military return premium. These returns cannot be explained by economic cycles, stock market cycles, or returns volatility. Our findings are robust to worldwide stock market movements, tests for spurious regression bias and randomization-bootstrap tests. Our results contradict the common view that military rule has a negative impact on stock market performance.     

A、B股市场信息价值的比较研究

中国证券市场具有在全世界资本市场都堪称独特的A、B、H股市场分割体制 ,对这一问题的研究具有重要的学术价值和现实意义。从会计盈余信息价值的角度研究我国证券市场分割 ,即通过比较A、B股市场中双重上市公司的股价和成交量对不同会计准则下盈余信息的反应 ,发现两个市场在信息传递、信息评价、信息反应模式等方面体现出明显的信息价值差异 ,同时就证券市场分割下信息价值差异的成因及解决对策进行了探讨。     

Stock Price Informativeness and Corporate Governance: An International Study

This study investigates the cross‐country relationship between firm‐level corporate governance and stock price informativeness. Using firm‐level data from 22 developed countries, we find that stock price informativeness, as measured by firm‐specific stock return variation and future earnings response coefficients, increases with the quality of a firm's corporate governance. Further analyses show that all mechanisms except board‐related governance relate positively to stock price informativeness. Finally, firm‐level corporate governance plays a more significant role in strengthening the stock return–earnings associations for firms in countries with strong institutional environments. This evidence highlights the role of country‐level legal investor protections in shaping the relationship between firm‐level corporate governance and stock price informativeness.     

Decomposing the value premium: The role of intangible information in the Chinese stock market

Compared with other developed stock markets, the Chinese stock market has a unique informational and trading environment. Given this unique environment, we find that intangible information (which is orthogonal to past accounting information) and arbitrage risk are potential sources of the value premium. In particular, our single and multivariate decomposition analyses suggest that intangible information directly contributes at least 40% to the value premium over a one-year investment horizon. Further, idiosyncratic volatility, a proxy for arbitrage risk, also influences the value premium. However, its contribution becomes insignificant once we account for the impact of intangible information on idiosyncratic volatility. Overall, our findings indicate that intangible information, which is unrelated to the firm's “fundamental” accounting-based performance measures, is the key driver of the value effects in the Chinese stock market.     

Does foreign investment liberalisation enhance women's economic status? Micro‐evidence from urban China

This paper analyses the effects of inward foreign direct investment (FDI) on female earnings and women's economic status in households using Chinese Urban Household Survey data from 1997 to 2008. The identification exploits the substantial relaxation of foreign investment regulations immediately after China's accession to the WTO in 2002. The difference‐in‐differences estimation results show that FDI liberalisation has improved women's economic status significantly by increasing female earnings in sectors more exposed to FDI. Further analyses indicate that foreign investment liberalisation facilitates the promotion of female employees in their career ladders and increases their skill premium, which are two important channels through which women enhance their economic independence.     

Strategic behavior of insiders in initial underpricing and long-run underperformance

We study strategic behavior of insiders in ChiNext IPOs. Since traditional initial underpricing is not appropriate due to the jawbone P/E ratio approach and maximum initial return cap we propose two alternative measures. We identify a significantly positive relationship between insiders' shareholdings and initial underpricing. With no discretion on IPO offer price, the insiders implement earnings management to maintain higher stock prices induced by regulatory changes and high market demand and to facilitate selling their unlocked shares after lockup expiration. We confirm a negative impact from insiders' share sales on long-term performance but don't observe a dramatic underperformance as documented.