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从投稿到接收最快不到2个月!JFE最新中国题材论文!

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2021/12/30 05:19发布
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金融学顶刊最近发表了哪些中国题材?哪些论文审稿周期极短?

近年来,国内高度重视“讲好中国故事,传播好中国声音,展示真实、立体、全面的中国”。

 

研究中国经济,讲好中国故事,不仅仅是中国学者的重要工作,也越来越受到全球经济学家的重视。

 

学说平台将推出系列内容,一方面展示我国经济金融管理领域顶级刊物的高产学者和重要论文,另一方面推出国际经济金融管理领域顶级刊物发表的有关中国经济问题的论文,分享那些国际顶刊“偏爱”的中国故事,为对中国问题感兴趣的学者们提供借鉴。

 

最新发表往往反映了期刊和学者当前最为关心或最为重要的话题,不仅有助于我们了解国际研究前沿,也为青年学者或学生明确研究方向和选题提供了有意义的参考。

 

金融学顶刊最近发表了哪些中国题材?

 

哪些论文审稿周期极短?

 

本文旨在展示《Journal of Financial Economics》最新发表的十篇中国题材论文,为对中国故事感兴趣的学者及学生们提供借鉴。

 

* 以下论文为手工整理,如有遗漏,欢迎后台留言补充,共同助力和传播国际顶级刊物中的中国声音。

 

01. Corporate actions and the manipulation of retail investors in China: An analysis of stock splits

公司行为与散户操纵:对于股票分拆的分析

投稿:2020/09/24  接收:2021/08/04

 

 网络首发:2021/09/24

Sheridan Titman 德克萨斯大学奥斯汀分校McCombs商学院

Chishen Wei 新加坡管理大学李光前商学院

赵彬 泰国国立法政大学商学院

 

We identify a group of “suspicious” firms that use stock splits, perhaps along with other activities, to artificially inflate their share prices. Following the initiation of suspicious splits, share prices temporarily increase, and subsequently decline below their presplit levels. Using account level data, we find that small retail investors acquire shares in firms initiating suspicious splits, while more sophisticated investors accumulate positions before suspicious split announcements and sell in the postsplit period. We also find that insiders sell large blocks of shares and obtain loans using company stock as collateral around the initiation of suspicious splits.

 

作者识别了一组“疑似”利用股票分拆结合其他动作,人为地操纵股价上涨的公司。随着可疑拆分的发起,股价短暂上涨而后下降至低于分拆前水平。作者利用账户级数据,研究发现小散户投资者买入发起可疑分拆的公司股票,而成熟投资者会在可疑拆分前积累头寸,并在拆分后卖出。他们还发现,内部人员在可疑分拆前后出售大量股份,以及以股票作为质押获得贷款。

 

02. Machine learning in the Chinese stock market

机器学习在中国股票市场中的应用

投稿:2021/04/07  接收:2021/06/23

 网络首发:2021/08/27

Markus Leippold 苏黎世大学银行与金融系

Qian Wang 苏黎世大学银行与金融系

周闻宇 浙江大学国际联合商学院、金融研究院

 

We add to the emerging literature on empirical asset pricing in the Chinese stock market by building and analyzing a comprehensive set of return prediction factors using various machine learning algorithms. Contrasting previous studies for the US market, liquidity emerges as the most important predictor, leading us to closely examine the impact of transaction costs. The retail investors’ dominating presence positively affects short-term predictability, particularly for small stocks. Another feature that distinguishes the Chinese market from the US market is the high predictability of large stocks and state-owned enterprises over longer horizons. The out-of-sample performance remains economically significant after transaction costs.

 

作者使用各种机器学习算法构建和分析了一系列股票回报率预测因子,丰富了中国股票市场实证资产定价领域的前沿文献。与已有的关于美国市场的研究不同,流动性指标在预测中国股票市场回报率方面具有更加重要的作用。散户投资者偏好会提高股票回报率的短期可预测性,尤其对于小盘股而言。此外,中国和美国市场的另一个重要区别是大盘股和国有股在更长期具有高可预测性。考虑了交易成本的样本外策略表现仍然具有显著的经济意义。

03. Ripples into waves: Trade networks, economic activity, and asset prices

涟漪成波:贸易网络、经济活动与资产定价

投稿:2021/03/25  接收:2021/06/10

 网络首发:2021/08/15

张劲帆 香港中文大学(深圳)经管学院

杜涣程 中央财经大学金融学院

楼栋 伦敦政治经济学院、经济政策研究中心CEPR

Christopher Polk 伦敦政治经济学院、经济政策研究中心CEPR

 

We exploit information in sovereign CDS spreads and the international trade network to provide causal evidence of the propagation of global economic shocks. We show that trade links are an important source of shock transmission using the natural experiments of the Japanese tsunami and the COVID-19 lockdown in China. We then confirm more general and gradual information flows along the trade network by showing extensive country-level credit/equity cross-sectional return predictability. News about country fundamentals flows primarily from importers to exporters, depends on both direct and indirect links in the trade network, and is magnified by the exporting country's financial vulnerability.

 

文章通过研究主权信用违约掉期息差包含的信息和国际贸易网络,证明了全球经济冲击传导的因果关系。作者利用日本海啸和中国新冠疫情封城作为自然实验,研究发现贸易联系是重要的冲击传播来源,信息沿着贸易网络渐进流动,对国家层面信用或权益的横截面收益率具有可预测性。关于国家基本面的消息通过贸易网络中的直接和间接联系从进口方流向出口方,并被出口国的金融脆弱性放大。


 

04. Issuance overpricing of China's corporate debt securities

中国公司信用债券发行溢价

投稿:2020/01/29  接收:2021/05/14

 网络首发:2021/06/15

丁一 香港中文大学(深圳)

熊伟 普林斯顿大学、香港中文大学(深圳)

张劲帆 香港中文大学(深圳)

 

We document issuance overpricing of corporate debt securities in China, which is robust across subsamples with different credit ratings, maturities, and issuers. This phenomenon contrasts with underpricing of equity and debt securities in Western countries and reflects China's distinct institutional environment. The average overpricing dropped from 7.44 basis points to 2.41 basis points after the government prohibited underwriters from using rebates in issuances in October 2017. By analyzing overpricing before and after the rebate ban and across different issuers and underwriters, we uncover two channels for underwriters, who compete for future underwriting business, to drive up overpricing: rebates and self-purchases.

 

本文研究发现中国公司信用债券存在发行溢价,这一结果在不同信用级别、期限以及发行人的子样本中都是稳健的。这一现象与西方国家股票和债券折价发行截然不同,反映了中国独特的制度环境。2017年10月起承销商被禁止在发行中使用回扣,平均溢价从7.44个基准点降至2.41个基准点。通过分析回扣禁令前后、不同发行人和承销人的溢价情况,作者揭示了承销商为了竞争未来的承销业务,抬高发行价格的两个渠道:回扣和自购。

 

 


 

05. Taming the bias zoo

“驯服”偏差动物园

投稿:2021/02/05  接收:2021/03/17

 网络首发:2021/06/08

刘洪七 香港中文大学(深圳)

Cameron Peng(彭程) 伦敦政治经济学院

Wei A. Xiong 深圳证券交易所

熊伟 普林斯顿大学

 

The success of behavioral economics has led to a new challenge: many biases offer observationally similar predictions for a targeted financial anomaly. To tame this bias zoo, we combine subjective survey responses with observational data to propose a new approach, one that is robust to question-specific biases introduced through surveys. We illustrate this approach by administering a nationwide survey of Chinese retail investors to elicit their trading motives. In cross-sectional regressions of respondents’ actual turnover on survey-based trading motives, perceived information advantage and gambling preference dominate other motives, though they are not the most prevalent biases based on survey responses.

 

行为经济学的成功带来了新的挑战,即对于某种特定的金融异象存在多种行为学偏差解释。作者提出了一种问卷调查结果和交易数据相结合的新方法,能够克服单一方法的缺陷。他们在全国范围内对个人投资者的交易动机进行问卷调查,以被调查者的实际换手率对基于调查得到的交易动机进行横截面回归,发现投资者主观认定的信息优势和赌博偏好是主导动机,尽管它们并不是调查结果得到的最普遍的偏差。

 

 


 

06. Subnational debt of China: The politics-finance nexus

地方政府债务:政治-融资连结

投稿:2019/11/16  接收:2020/07/23

 网络首发:2021/05/28

高昊宇 中国人民大学

Hong Ru (茹弘) 南洋理工大学

汤勇军 香港大学

 

We provide direct evidence that governments selectively default on debt when they can identify creditors. Analyzing a comprehensive data set of subnational debt, we show that Chinese local governments choose to default on banks with weaker political power. A reduction in a bank's political power relative to other banks increases the likelihood of selective default by local governments. Such default selections are driven by banks’ influence over politician promotion. When local politicians are highly ranked or connected to national leaders, they engage less in selective default as their promotion is less affected by bank loan defaults. Our findings suggest a politics-finance nexus through which government defaults are restrained.

 

本文为当地方政府能够识别债权人时有选择地进行债务违约提供了直接证据。通过对一组地方债数据进行分析,作者证实了中国地方政府选择政治权利更弱的银行进行违约。银行政治权利相对下降会增加其被地方政府选择性违约的概率。这种选择性违约由银行对官员晋升的影响力驱动,当地方官员级别更高或与国家领导人关联时则更少参与到选择性违约,因为其晋升更少受到银行贷款违约的影响。本文的结论揭示了一个限制政府违约的政治-融资连结机制。

 


 

07. The telegraph and modern banking development, 1881–1936

电报机与现代银行发展, 1881-1936

投稿:2019/12/02  接收:2020/07/29

 网络首发:2021/04/16

林晨 香港大学经管学院

马驰骋 香港大学经管学院

孙宇辰 对外经济贸易大学金融学院

徐宇晨 北京大学汇丰商学院

 

The telegraph was introduced to China in the late 19th century, a time when China also saw the rise of modern banks. Based on this historical context, this paper documents the importance of information technology in banking development. We construct a data set on the distributions of telegraph stations and banks across 287 prefectures between 1881 and 1936. The results show that the telegraph significantly expanded banks’ branch networks in terms of both number and geographic scope. The effect of the telegraph remains robust when we instrument it using proximity to the early military telegraph trunk.

 

电报机于19世纪末引入中国,同时中国也见证了现代银行的兴起。基于此历史背景,本文研究了信息技术在银行发展中的重要性。作者构建了一个1881年至1936年间覆盖287个县的电报站和银行分布情况的数据集。结果表明,电报机在数量和地理范围方面都显著扩大了银行的分支网络。使用邻近早期军用电报干线作为工具变量时,该效应仍然稳健。

 


 

08. Internet searching and stock price crash risk: Evidence from a quasi-natural experiment

互联网搜索与股价崩盘风险:来自准自然实验的证据

投稿:2019/05/01  接收:2020/06/02

 网络首发:2021/03/07

徐永新 莫纳什大学商学院

Yuhao Xuan 西南财经大学会计学院

Gaoping Zheng 皇家墨尔本理工大学 经济、金融与市场营销学院

 

In 2010, Google unexpectedly withdrew its searching business from China, reducing investors’ ability to find information online. The stock price crash risk for firms searched for more via Google before its withdrawal subsequently increases by 19%, suggesting that Internet searching facilitates investors’ information processing. The sensitivity of stock returns to negative Internet posts also rises by 36%. The increase in crash risk is more pronounced when firms are more likely to hide adverse information and when information intermediaries are less effective in assisting investors’ information processing. In addition, liquidity (price delay) decreases (increases) after Google's withdrawal.

 

2010年,谷歌出人意料地将其搜索业务撤出中国,降低了投资者在线查找信息的能力。在其退出前谷歌搜索更多的公司的股价崩盘风险随后增加了19%,表明互联网搜索有利于投资者信息处理。股票回报对负面网络帖子的敏感度也上升了36%。当公司更可能隐藏不利信息,且信息中介在协助投资者处理信息方面的效率更低时,崩盘风险的增加更加明显。此外,谷歌撤出后,流动性(价格延迟)也随之减少(增加)。

 


 

09. Eye in the sky: Private satellites and government macro data

天空之眼:私人卫星与政府宏观数据

投稿:2019/10/16  接收:2020/04/21

 网络首发:2021/03/06

Abhiroop Mukherjee 香港科技大学

George Panayotov 香港科技大学

Janghoon Shon 香港科技大学

 

We develop an approach to identify whether recent technological advancements—such as the rise of commercial satellite-based macro estimates—can provide an alternative to government data. We measure the extent to which satellite estimates affect the value of a government macro announcement using its asset price impact. Our identification relies on cloud cover, which prevents satellites from observing economic activity at a few key hubs. Applying our approach, we find that some satellite estimates are now so effective that markets are no longer surprised by government announcements. Our results point to a future in which the resolution of macro uncertainty is smoother and governments have less control over macro information.

 

作者开发了一种方法,用以识别最近的技术进步(如基于商业卫星的宏观估计的兴起)是否可以替代政府数据。他们使用卫星估计对资产价格的影响来衡量其对政府宏观公告价值的影响程度。因为云量会阻碍卫星对于几个关键枢纽经济活动的观测,作者基于云量来识别卫星估计的影响。通过应用这一方法,作者发现一些卫星估计现在非常有效,削弱了市场对于政府公告的反应。本文的研究结果表明,在未来解决宏观不确定性将更加顺畅,而政府对于宏观信息的管控也将减少。

 


 

10. Contracting without contracting institutions: The trusted assistant loan in 19th century China

无契约制度下的契约:中国19世纪的荐仆官债

投稿:2019/12/03  接收:2020/05/26

 网络首发:2021/02/06

苗萌 中国人民大学汉青研究院(现:财政金融学院)

牛贯杰 中国人民大学历史学院

Thomas Noe 牛津大学赛德商学院、贝利奥尔学院

 

This paper documents the emergence of a large bank loan market in the absence of contracting institutions: the trusted assistant loan market in 19th century China. These loans were legally unenforceable, one-shot loans to poor scholars that funded the costs of assuming lucrative administrative appointments offering ample opportunities for corruption. The trusted assistant loan’s distinguishing feature was a legally unenforceable stipulation that the borrower incorporate an agent of the creditor into his administrative cadre. We model the enforcement of these loans through expertise leverage and test the model’s predictions using data from officials’ diaries and a bank loan book.

 

文章研究了一个存在于19世纪中国的大型金融市场: 荐仆官债市场。荐仆官债是由账局等民间金融机构给那些新选官员提供的贷款,用以支付其首次离京就任所产生的相关费用。它不依赖于任何外部契约制度的支持,即没有国家和法院的强制力、声誉机制和亲缘血缘关系,而是利用了清代官员在政治生涯初期由于缺乏地方治理经验这一特征,由债权人(账局)向官员推荐具有专业治理知识且代表银行利益的仆人(即荐仆)来帮助官员完成地方治理,荐仆也得以使用自己的人力资本对于官员进行约束。基于此,文章构建了无限期离散纳什谈判模型来分析账局、荐仆和官员之间的双层代理关系,并利用贷款官员的日记和账局贷款账簿中的数据进行了检验。

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