A well-developed financial market system is crucial for supporting high-quality development in the new era.Initial Public Offerings(IPOs)are essential for enabling financial markets to facilitate new industrialization...A well-developed financial market system is crucial for supporting high-quality development in the new era.Initial Public Offerings(IPOs)are essential for enabling financial markets to facilitate new industrialization while accelerating the development of a manufacturing powerhouse.Therefore,research on IPO mechanism reform holds significant practical implications.This paper examines the impact of China’s IPO mechanism reform by studying the equilibrium relationship between the primary market and the lending market.Using empirical analysis,we compare the average return on online subscriptions for newly listed shares using the risk-free rate before and after China’s 2015 IPO mechanism reform,as well as analyze the underlying mechanisms driving excess returns during both periods.Our findings indicate a gradual alignment of returns in the primary and lending markets,with institutional arbitrage opportunities between them diminishing.The reforms have effectively enhanced market mechanisms,improved pricing capabilities,rationalized participant behavior,and optimized the securities market ecosystem.These improvements have contributed to the market’s equilibrium and enhanced the market’s ability to interpret information.However,further improvements to the IPO mechanism are necessary,including deeper market-oriented reforms,standardization of participant behavior,acceleration of a comprehensive registration system,and stronger information disclosure and quality management.展开更多
Performance of hospitality stocks and financial ratios are relatively well discussed topics in hospitality finance. The current study contributes to the body of knowledge by attempting to identify if certain groups of...Performance of hospitality stocks and financial ratios are relatively well discussed topics in hospitality finance. The current study contributes to the body of knowledge by attempting to identify if certain groups of hospitality stocks continually outperform market and if selected financial ratios can predict excess returns. Hospitality stocks betas were computed and most recent five-year annual returns were utilized for analysis. Study used Jensen＇s alpha to determine excess returns for various hospitality segments studied. Six major ratios were operationalized to determine the predictability of excess returns in hospitality stocks. Overall, the excess returns in hospitality company stocks were positive but no significance was found with an exception of one year. Out of six selected ratios, cash flow per share was determined to have significant predictive power for excess returns. In conclusions, study provides important implications for the investors and industry decision makers.展开更多
This paper examines the role of innovation in firm performance by drawing empirical evidence from the capital market. The current study analyzes risk premiums and risk-adjusted excess returns of a portfolio of the mos...This paper examines the role of innovation in firm performance by drawing empirical evidence from the capital market. The current study analyzes risk premiums and risk-adjusted excess returns of a portfolio of the most innovative firms in the US from 2006 to 2010. The results show that average risk premiums of an equal-weighted portfolio of the most innovative finns in the US are economically larger than the CRSP2 value-weighted index risk premiums four years in a row from 2006 to 2009 and are economically greater than the standard and poor （S＆P） 500 index risk premiums from 2006 to 2010. The portfolio exhibits average statistically significant and positive risk-adjusted excess returns for the 3-year and 5-year holding period intervals. The findings serve as evidence of the favorable role of innovation in firm performance.展开更多
Using unbalanced panel data on 3326 Chinese listed companies from 2014 to 2021,this study investigates the impact of corporate environmental performance on China’s excess stock returns.The results show that stocks of...Using unbalanced panel data on 3326 Chinese listed companies from 2014 to 2021,this study investigates the impact of corporate environmental performance on China’s excess stock returns.The results show that stocks of companies with better environmental performance earn significantly higher excess returns,indicating the existence of green returns in the Chinese stock market.We further reveal that heightened climate-change concerns can boost the stock market’s green returns,while tightened climate policies decrease green returns by increasing long-term carbon risk.Our findings are robust to endogeneity problems and hold great implications for both investors and policymakers.展开更多
This paper analyzes the influence of downside risk on defaultable bond returns.By introducing a defaultable bond-trading model,we show that the decline in market risk tolerance and information accuracy leads to tradin...This paper analyzes the influence of downside risk on defaultable bond returns.By introducing a defaultable bond-trading model,we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside conditions.Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads and contains almost all valid information on liquidity risk.As the credit level decreases,the explanatory power of downside risk increases significantly.We also investigate the predictive power of downside risk in cross-sectional defaultable bond excess returns using a portfolio-level analysis and Fama-Mac Beth regressions.We find that downside risk is a strong and robust predictor for future bond returns.In addition,due to the higher proportion of abnormal transactions in the Chinese bond market,downside risk proxy semi-variance can better explain yield spreads and predict portfolio excess returns than the proxy value at risk.展开更多
We derive higher-order expansions of L-statistics of independent risks X1,..., Xn under conditions on the underlying distribution function F. The new results are applied to derive the asymptotic expansions of ratios o...We derive higher-order expansions of L-statistics of independent risks X1,..., Xn under conditions on the underlying distribution function F. The new results are applied to derive the asymptotic expansions of ratios of two kinds of risk measures, stop-loss premium and excess return on capital, respectively. Several examples and a Monte Carlo simulation study show the efficiency of our novel asymptotic expansions. Keywords smoothly varying condition, second-order regular variation, tail asymptotics, value-at-risk, con- ditional tail expectation, largest claims reinsurance, ratio of risk measure, excess return on capital展开更多
基金funded by the Shanghai Planning Office of Philosophy and Social Science under the project“Evaluation of Shanghai’s Practices in Modernizing the National Economic Governance System and Governance Capacity”(No.2020BJB020)。
文摘A well-developed financial market system is crucial for supporting high-quality development in the new era.Initial Public Offerings(IPOs)are essential for enabling financial markets to facilitate new industrialization while accelerating the development of a manufacturing powerhouse.Therefore,research on IPO mechanism reform holds significant practical implications.This paper examines the impact of China’s IPO mechanism reform by studying the equilibrium relationship between the primary market and the lending market.Using empirical analysis,we compare the average return on online subscriptions for newly listed shares using the risk-free rate before and after China’s 2015 IPO mechanism reform,as well as analyze the underlying mechanisms driving excess returns during both periods.Our findings indicate a gradual alignment of returns in the primary and lending markets,with institutional arbitrage opportunities between them diminishing.The reforms have effectively enhanced market mechanisms,improved pricing capabilities,rationalized participant behavior,and optimized the securities market ecosystem.These improvements have contributed to the market’s equilibrium and enhanced the market’s ability to interpret information.However,further improvements to the IPO mechanism are necessary,including deeper market-oriented reforms,standardization of participant behavior,acceleration of a comprehensive registration system,and stronger information disclosure and quality management.
文摘Performance of hospitality stocks and financial ratios are relatively well discussed topics in hospitality finance. The current study contributes to the body of knowledge by attempting to identify if certain groups of hospitality stocks continually outperform market and if selected financial ratios can predict excess returns. Hospitality stocks betas were computed and most recent five-year annual returns were utilized for analysis. Study used Jensen＇s alpha to determine excess returns for various hospitality segments studied. Six major ratios were operationalized to determine the predictability of excess returns in hospitality stocks. Overall, the excess returns in hospitality company stocks were positive but no significance was found with an exception of one year. Out of six selected ratios, cash flow per share was determined to have significant predictive power for excess returns. In conclusions, study provides important implications for the investors and industry decision makers.
文摘This paper examines the role of innovation in firm performance by drawing empirical evidence from the capital market. The current study analyzes risk premiums and risk-adjusted excess returns of a portfolio of the most innovative firms in the US from 2006 to 2010. The results show that average risk premiums of an equal-weighted portfolio of the most innovative finns in the US are economically larger than the CRSP2 value-weighted index risk premiums four years in a row from 2006 to 2009 and are economically greater than the standard and poor （S＆P） 500 index risk premiums from 2006 to 2010. The portfolio exhibits average statistically significant and positive risk-adjusted excess returns for the 3-year and 5-year holding period intervals. The findings serve as evidence of the favorable role of innovation in firm performance.
基金Supports from the National Natural Science Foundation of China under Grant Nos.72348003,72022020,72203016,71974181 and 71974159 are acknowledged.
文摘Using unbalanced panel data on 3326 Chinese listed companies from 2014 to 2021,this study investigates the impact of corporate environmental performance on China’s excess stock returns.The results show that stocks of companies with better environmental performance earn significantly higher excess returns,indicating the existence of green returns in the Chinese stock market.We further reveal that heightened climate-change concerns can boost the stock market’s green returns,while tightened climate policies decrease green returns by increasing long-term carbon risk.Our findings are robust to endogeneity problems and hold great implications for both investors and policymakers.
基金supported by the National Natural Science Foundation of China under Grant No.71471129,71501140
文摘This paper analyzes the influence of downside risk on defaultable bond returns.By introducing a defaultable bond-trading model,we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside conditions.Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads and contains almost all valid information on liquidity risk.As the credit level decreases,the explanatory power of downside risk increases significantly.We also investigate the predictive power of downside risk in cross-sectional defaultable bond excess returns using a portfolio-level analysis and Fama-Mac Beth regressions.We find that downside risk is a strong and robust predictor for future bond returns.In addition,due to the higher proportion of abnormal transactions in the Chinese bond market,downside risk proxy semi-variance can better explain yield spreads and predict portfolio excess returns than the proxy value at risk.
基金supported by the Swiss National Science Foundation(Grant Nos.2000211401633/1,200021-134785 and 200021-1401633/1)Marie Curie International Research Staff Exchange Scheme Fellowship within the 7th European Community Framework Programme(Grant No.RARE-318984)+1 种基金National Natural Science Foundation of China(Grant No.11171275)the Natural Science Foundation Project of Chongqing(Grant No.cstc2012jjA00029)
文摘We derive higher-order expansions of L-statistics of independent risks X1,..., Xn under conditions on the underlying distribution function F. The new results are applied to derive the asymptotic expansions of ratios of two kinds of risk measures, stop-loss premium and excess return on capital, respectively. Several examples and a Monte Carlo simulation study show the efficiency of our novel asymptotic expansions. Keywords smoothly varying condition, second-order regular variation, tail asymptotics, value-at-risk, con- ditional tail expectation, largest claims reinsurance, ratio of risk measure, excess return on capital
