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中财-蒂尔堡项目博士生论坛第10期

[发布日期]:2022-01-12  [浏览次数]:

一、主讲365网站生与论文题目:

1. 刘俊(2015级博士生):Market Liquidity and Price Disparity: Evidence from Chinese Cross-Listed Firms

2. 毕嘉(2016级博士生): Alternative Lottery Measures and cross-sectional returnsEvidence from China

3. 曲朗宁(2017级博士生)Efforts would pay off: female analysts’ corporate site-visiting

4. 姚薇(2017级博士生):On the transmission mechanism between inventory arbitrage activity, speculative activity, and commodity prices under unconventional monetary policy: Evidence from a generalized SVAR model

二、时间:2022115日(周六)下午14:00-16:30

三、地点:腾讯会议

四、点评与讨论365网站:

陈锐 中央财经大365网站金融365网站院 副教授

朱一峰 中央财经大365网站金融365网站院 副教授

王盈 中央财经大365网站金融365网站院 副教授

五、主持365网站:陈锐 中央财经大365网站金融365网站院 副教授

六、论文摘要

1. Market Liquidity and Price Disparity: Evidence from Chinese Cross-Listed Firms

This study investigates the association between stock liquidity and the H-share discount using a sample of Chinese cross-listed stocks in A- and H-shares markets. We examine the liquidity hypothesis by employing depth and trading activity variables. Our results suggest that stocks with a higher level in depth (active trading) of A-shares relative to H-shares are associated with less (more) H-shares discount. Such effect is more pronounced in stocks that are non-state-owned and with low product market competition and ownership concentration. Moreover, we provide supportive evidence that the Stock Connect Program introduced in 2015 significantly dampens the association between stock liquidity and H-share discount. Overall, our findings highlight that cross-listed stocks' liquidity differences explain a large proportion of variation in price disparity and identify the stock-specific factors affecting the price disparity.

2. Alternative Lottery Measures and cross-sectional returnsEvidence from China

We build a new proxy to evaluate extreme stock returns called the Alternate Lottery Measures (ALM). We focus on the Chinese stock market and find that the relationship between the Alternate Lottery Measures (ALM) and excess returns is negative. This negative relationship between the ALM and excess returns cannot be explained by momentum, short-term reversal, idiosyncratic volatility, and maximum daily returns in the Chinese stock market. We further find that for different levels of investor sentiment, this relationship changes. At a time of high sentiment period, ALM is negatively related to the excess return. This relationship comes weaker during low-sentiment periods. However, the change is not as severe as it has been in the U.S. stock markets.

3. Efforts would pay off: female analysts’ corporate site-visiting

Focusing on a particular working scenario – site-visiting, this study unveils the gender differences related to equity-analysts’ information acquisition process. Based on an unique database about the records of site-visiting officially announced by listed companies on Chinese stock market from 2012 to 2020, female analysts are found to conduct more site-visiting compared with their male counterparties. Consisting with the previous literatures which present site-visiting is an important activity in information acquisition possess of analysts, this paper further shows that the more site-visiting that female analysts conduct, the more accurate forecasts they present in their following reports, especially under the circumstances of informational-asymmetries between the visited companies and their investors and when the boards are abnormally over optimistic. This paper also contributes to the literatures about gender difference occurs in the process of information interaction between analysts and management team of the company. Furthermore, this paper also finds that the frequency of site-visiting show-ups significantly affect the female analysts’ professional career and monetary welfare. The female analysts who conducted more site-visiting had higher probability to win star analysts in that year. Overall, to survive in their competitive financial career, being more active in site-visiting behavior is an epitome for female endeavor and their efforts would be paid off.

4. On the transmission mechanism between inventory arbitrage activity, speculative activity, and commodity prices under unconventional monetary policy: Evidence from a generalized SVAR model

In the realm of unconventional monetary policy, we explore the transmission that relates speculative activity, inventory arbitrage activity, and commodity prices. In this direction, a generalized SVAR model is adopted to test the transmission effect on eleven commodities’ prices using monthly data over the period 2002:6 to 2018:6. The results suggest that unconventional monetary policy has a strong impact on precious metals and energy commodity prices, causing them to deviate from their equilibrium level, whilst for industrial metals and agricultural stuffs' prices the impact is rather subdued. Even though unconventional monetary policy affects precious metals and energy commodity prices through inventory arbitrage activity and speculative activity simultaneously, the impact of inventory arbitrage activity appears to be stronger than that of speculative activity. Furthermore, gold’s and platinum’s prices respond to unconventional monetary policy by overshooting, whilst crude oil’s and heating oil’s prices respond positively to the easing of monetary policy over the period 2002 to 2018. The evidence also shows that quantitative easing (QE)1 (2008:11-2010:4) may have had a more pronounced effect on most commodities' prices than QE2 (2010:11-2011:6) and QE3 (2012:9-2012:12), whilst speculative activity does not seem to have exerted a weaker impact on commodity prices during U.S. unconventional monetary policy periods.

 



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