Pub Date : 2025-07-31DOI: 10.1016/j.jempfin.2025.101640
Po-Hsuan Hsu , Mark P. Taylor , Zigan Wang , Yan Li
This study examines whether 13 influential carry-trade strategies retain profitability after being published in the academic literature. We first implement several bootstrap methods to correct for the presence of data snooping and find that the pre-publication profitability of these strategies is not due to selection bias, demonstrating their original capacity to exploit market inefficiencies. On the other hand, their profitability has declined since their publication years. Our empirical evidence suggests that, although academic researchers may sometimes uncover market anomalies, their publication reduces inefficiencies in currency markets.
{"title":"On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance","authors":"Po-Hsuan Hsu , Mark P. Taylor , Zigan Wang , Yan Li","doi":"10.1016/j.jempfin.2025.101640","DOIUrl":"10.1016/j.jempfin.2025.101640","url":null,"abstract":"<div><div>This study examines whether 13 influential carry-trade strategies retain profitability after being published in the academic literature. We first implement several bootstrap methods to correct for the presence of data snooping and find that the pre-publication profitability of these strategies is not due to selection bias, demonstrating their original capacity to exploit market inefficiencies. On the other hand, their profitability has declined since their publication years. Our empirical evidence suggests that, although academic researchers may sometimes uncover market anomalies, their publication reduces inefficiencies in currency markets.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101640"},"PeriodicalIF":2.4,"publicationDate":"2025-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144841530","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-29DOI: 10.1016/j.jempfin.2025.101639
Jue Gong, Gang-Jin Wang, Yang Zhou, Chi Xie
We propose a cross-market volatility forecasting framework by applying attention-based spatial–temporal graph convolutional network model (ASTGCN) to forecast future volatility of stock indices in 18 financial markets. In our work, we construct cross-market volatility networks to integrate interrelations among financial markets and the corresponding features of each market. ASTGCN combines the spatial–temporal attention mechanisms with the spatial–temporal convolutions to simultaneously capture the dynamic spatial–temporal characteristics of global volatility data. Compared with competitive models, ASTGCN exhibits superiority in multivariate predictive accuracies under multiple forecasting horizons. Our proposed framework demonstrates outstanding stability through several robustness checks. We also inspect the training process of ASTGCN by extracting spatial attention matrices and find that interrelations among global financial markets perform differently in tranquil and turmoil periods. Our study levitates empirical findings in financial networks to practical application with a novel forecasting method in the deep learning community.
{"title":"Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks","authors":"Jue Gong, Gang-Jin Wang, Yang Zhou, Chi Xie","doi":"10.1016/j.jempfin.2025.101639","DOIUrl":"10.1016/j.jempfin.2025.101639","url":null,"abstract":"<div><div>We propose a cross-market volatility forecasting framework by applying attention-based spatial–temporal graph convolutional network model (ASTGCN) to forecast future volatility of stock indices in 18 financial markets. In our work, we construct cross-market volatility networks to integrate interrelations among financial markets and the corresponding features of each market. ASTGCN combines the spatial–temporal attention mechanisms with the spatial–temporal convolutions to simultaneously capture the dynamic spatial–temporal characteristics of global volatility data. Compared with competitive models, ASTGCN exhibits superiority in multivariate predictive accuracies under multiple forecasting horizons. Our proposed framework demonstrates outstanding stability through several robustness checks. We also inspect the training process of ASTGCN by extracting spatial attention matrices and find that interrelations among global financial markets perform differently in tranquil and turmoil periods. Our study levitates empirical findings in financial networks to practical application with a novel forecasting method in the deep learning community.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101639"},"PeriodicalIF":2.4,"publicationDate":"2025-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144757869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-22DOI: 10.1016/j.jempfin.2025.101637
George Bulkley , Richard D.F. Harris , Vivekanand Nawosah
We use expectations of the short rate inferred from the term structure of interest rates to test several well-known models of behavioral biases and information frictions. We classify signals about future short rates by their cost of acquisition and find evidence of overreaction to high-cost signals and underreaction to low-cost signals, providing support for the overconfidence bias. We show that our results are unlikely to be driven by time-varying risk premia. The biases are so large that the market’s forecast errors are larger at all horizons than for forecasts obtained by assuming that the short rate follows a random walk.
{"title":"Behavioral biases, information frictions and interest rate expectations","authors":"George Bulkley , Richard D.F. Harris , Vivekanand Nawosah","doi":"10.1016/j.jempfin.2025.101637","DOIUrl":"10.1016/j.jempfin.2025.101637","url":null,"abstract":"<div><div>We use expectations of the short rate inferred from the term structure of interest rates to test several well-known models of behavioral biases and information frictions. We classify signals about future short rates by their cost of acquisition and find evidence of overreaction to high-cost signals and underreaction to low-cost signals, providing support for the overconfidence bias. We show that our results are unlikely to be driven by time-varying risk premia. The biases are so large that the market’s forecast errors are larger at all horizons than for forecasts obtained by assuming that the short rate follows a random walk.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101637"},"PeriodicalIF":2.4,"publicationDate":"2025-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144724020","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-24DOI: 10.1016/j.jempfin.2025.101636
Xiao Li, Yuan Li, Xiaoxu Yu, Chun Yuan
Exploiting the setting of public data openness in China, we demonstrate a significant trade credit provision increase following the data platforms’ introduction. Our mechanism tests confirm that the rise is driven by enhanced suppliers’ willingness and capability. We document that suppliers with more substantial incentives to offer trade credit before establishing the data platforms experience a more pronounced increase in trade credit usage. Additionally, we examine the economic consequences of public data openness, demonstrating that it not only strengthens supply chain financing but also generates spillover benefits. The impact of public data openness on trade credit provision extends to firm sales, productivity, and supply chain efficiency, resulting in significant increases in revenues and total factor productivity, and leading to significant decreases in interest expense ratio and receivable turnover days. Our results reveal that public data openness substantially improves financial conditions and fosters growth throughout the supply chain.
{"title":"Public data openness and trade credit: Evidence from China","authors":"Xiao Li, Yuan Li, Xiaoxu Yu, Chun Yuan","doi":"10.1016/j.jempfin.2025.101636","DOIUrl":"10.1016/j.jempfin.2025.101636","url":null,"abstract":"<div><div>Exploiting the setting of public data openness in China, we demonstrate a significant trade credit provision increase following the data platforms’ introduction. Our mechanism tests confirm that the rise is driven by enhanced suppliers’ willingness and capability. We document that suppliers with more substantial incentives to offer trade credit before establishing the data platforms experience a more pronounced increase in trade credit usage. Additionally, we examine the economic consequences of public data openness, demonstrating that it not only strengthens supply chain financing but also generates spillover benefits. The impact of public data openness on trade credit provision extends to firm sales, productivity, and supply chain efficiency, resulting in significant increases in revenues and total factor productivity, and leading to significant decreases in interest expense ratio and receivable turnover days. Our results reveal that public data openness substantially improves financial conditions and fosters growth throughout the supply chain.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101636"},"PeriodicalIF":2.1,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144510953","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-23DOI: 10.1016/j.jempfin.2025.101635
Devendra Kale , Vikram Nanda , Anin Rupp
We investigate the information and strategic aspects of corporate tweets. Despite limits on message length, tweets stimulate information acquisition by investors, as indicated by post-tweet downloads from the SEC-EDGAR website. Corporations appear to be effective at leveraging tweets to enhance their information environment. Specifically, tweets are associated with reduction in firms’ earnings surprise and stock return volatility. There is a decrease in negative skewness of stock returns, suggesting a more uniform release of favorable and unfavorable news, especially in high litigation industries. These effects are more evident when the CEO has greater equity incentives and when firms are smaller and less visible.
{"title":"Strategic implications of corporate disclosure via Twitter","authors":"Devendra Kale , Vikram Nanda , Anin Rupp","doi":"10.1016/j.jempfin.2025.101635","DOIUrl":"10.1016/j.jempfin.2025.101635","url":null,"abstract":"<div><div>We investigate the information and strategic aspects of corporate tweets. Despite limits on message length, tweets stimulate information acquisition by investors, as indicated by post-tweet downloads from the SEC-EDGAR website. Corporations appear to be effective at leveraging tweets to enhance their information environment. Specifically, tweets are associated with reduction in firms’ earnings surprise and stock return volatility. There is a decrease in negative skewness of stock returns, suggesting a more uniform release of favorable and unfavorable news, especially in high litigation industries. These effects are more evident when the CEO has greater equity incentives and when firms are smaller and less visible.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101635"},"PeriodicalIF":2.1,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144490873","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-11DOI: 10.1016/j.jempfin.2025.101625
Jing-Zhi Huang , Peipei Li , Ying Wang , Yuan Wang , Xiangkun Yao , Licheng Zhang
This paper investigates the reaching-for-yield behavior of corporate bond mutual fund investors by analyzing how fund flows respond to changes in interest rates. We find that investment-grade (IG) bond funds experience increased inflows following lower interest rates, while high-yield (HY) bond funds show no significant response. Bond fund investors tend to seek higher yields during periods of lower interest rates by assuming greater interest rate risk through the purchase of longer-maturity IG funds, rather than by taking on additional credit risk. Our findings are robust to potential endogeneity concerns and alternative explanations—including investors’ flight-to-safety behavior, liquidity considerations, and fund managers’ skill—indicating that fund flows are primarily driven by investors’ reaching-for-yield behavior in response to expansionary monetary policy. Overall, this study advances the understanding of monetary policy transmission and its implications for financial stability in the corporate bond market.
{"title":"Do investors reach for yield? Evidence from corporate bond mutual fund flows","authors":"Jing-Zhi Huang , Peipei Li , Ying Wang , Yuan Wang , Xiangkun Yao , Licheng Zhang","doi":"10.1016/j.jempfin.2025.101625","DOIUrl":"10.1016/j.jempfin.2025.101625","url":null,"abstract":"<div><div>This paper investigates the reaching-for-yield behavior of corporate bond mutual fund investors by analyzing how fund flows respond to changes in interest rates. We find that investment-grade (IG) bond funds experience increased inflows following lower interest rates, while high-yield (HY) bond funds show no significant response. Bond fund investors tend to seek higher yields during periods of lower interest rates by assuming greater interest rate risk through the purchase of longer-maturity IG funds, rather than by taking on additional credit risk. Our findings are robust to potential endogeneity concerns and alternative explanations—including investors’ flight-to-safety behavior, liquidity considerations, and fund managers’ skill—indicating that fund flows are primarily driven by investors’ reaching-for-yield behavior in response to expansionary monetary policy. Overall, this study advances the understanding of monetary policy transmission and its implications for financial stability in the corporate bond market.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101625"},"PeriodicalIF":2.1,"publicationDate":"2025-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144500851","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-27DOI: 10.1016/j.jempfin.2025.101634
Jing Zhao
Following Kempf et al. (2017), this study employs an identification strategy that exploits exogenous shocks to unrelated parts of institutional shareholders’ portfolios to measure “distraction.” I find institutional shareholder “distraction” significantly and positively affects future innovation output and input. This positive effect exhibits considerable cross-sectional and intertemporal heterogeneity. Further, the positive effect is stronger in firms where institutional shareholder monitoring is less important or efficient, or firms subject to greater managerial myopia. These include innovative firms, firms with lower product market competition, weaker managerial power and stronger monitoring, and lower institutional ownership such that any given distraction is more impactful. Consequently, distraction enhances shareholder value through its positive impact on innovation. Taken together, the evidence suggests that managers respond to reduced myopic pressures, induced by exogenous shocks to institutional investors’ portfolios that shift their attention away, by pursuing long-term, risky and value-increasing investments such as innovation. Potential limitations of this study and their implications for future research are also thoroughly discussed.
继Kempf et al.（2017）之后，本研究采用了一种识别策略，利用对机构股东投资组合中不相关部分的外生冲击来衡量“分心”。我发现机构股东的“分心”显著且正向地影响未来的创新产出和投入。这种积极效应表现出相当大的横断面和跨期异质性。此外，在机构股东监督不太重要或效率较低的公司，或管理近视程度较高的公司，积极效应更强。这些企业包括创新型企业、产品市场竞争程度较低的企业、较弱的管理权力和较强的监督、较低的机构所有权，因此任何给定的分散注意力都更有影响力。因此，分散注意力通过其对创新的积极影响来提高股东价值。综上所述，证据表明，管理者通过追求创新等长期、高风险和增值的投资，来应对机构投资者投资组合受到的外源性冲击所导致的短视压力减轻。本研究的潜在局限性及其对未来研究的启示也进行了深入的讨论。
{"title":"(In)Attention: distracted shareholders and corporate innovation","authors":"Jing Zhao","doi":"10.1016/j.jempfin.2025.101634","DOIUrl":"10.1016/j.jempfin.2025.101634","url":null,"abstract":"<div><div>Following Kempf et al. (2017), this study employs an identification strategy that exploits exogenous shocks to unrelated parts of institutional shareholders’ portfolios to measure “distraction.” I find institutional shareholder “distraction” significantly and positively affects future innovation output and input. This positive effect exhibits considerable cross-sectional and intertemporal heterogeneity. Further, the positive effect is stronger in firms where institutional shareholder monitoring is less important or efficient, or firms subject to greater managerial myopia. These include innovative firms, firms with lower product market competition, weaker managerial power and stronger monitoring, and lower institutional ownership such that any given distraction is more impactful. Consequently, distraction enhances shareholder value through its positive impact on innovation. Taken together, the evidence suggests that managers respond to reduced myopic pressures, induced by exogenous shocks to institutional investors’ portfolios that shift their attention away, by pursuing long-term, risky and value-increasing investments such as innovation. Potential limitations of this study and their implications for future research are also thoroughly discussed.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101634"},"PeriodicalIF":2.1,"publicationDate":"2025-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144563623","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-23DOI: 10.1016/j.jempfin.2025.101626
Tao Zhang , Ke Tang , Taoxiong Liu , Tingfeng Jiang
In the digital era, the information value of online prices, characterized by weak price stickiness and high sensitivity to economic shocks, deserves more attention. This paper integrates the high-frequency online inflation rate into the dynamic Nelson-Siegel (DNS) model to explore its relationship with the term structure of interest rates. The empirical results show that the weekly online inflation significantly predicts the yield curve, especially the slope factor, whereas the monthly official inflation cannot predict the yield curve and is instead predicted by the yield curve factors. The mechanism analysis reveals that, due to low price stickiness, online inflation is more sensitive to short-term economic fluctuations and better reflects money market liquidity, thereby having significant predictive power for short-term interest rates and the slope factor. Specifically, online inflation for non-durable goods and on weekdays shows stronger predictive power for the slope factor. The heterogeneity in price stickiness across these categories explains the varying impacts on the yield curve.
{"title":"High frequency online inflation and term structure of interest rates: Evidence from China","authors":"Tao Zhang , Ke Tang , Taoxiong Liu , Tingfeng Jiang","doi":"10.1016/j.jempfin.2025.101626","DOIUrl":"10.1016/j.jempfin.2025.101626","url":null,"abstract":"<div><div>In the digital era, the information value of online prices, characterized by weak price stickiness and high sensitivity to economic shocks, deserves more attention. This paper integrates the high-frequency online inflation rate into the dynamic Nelson-Siegel (DNS) model to explore its relationship with the term structure of interest rates. The empirical results show that the weekly online inflation significantly predicts the yield curve, especially the slope factor, whereas the monthly official inflation cannot predict the yield curve and is instead predicted by the yield curve factors. The mechanism analysis reveals that, due to low price stickiness, online inflation is more sensitive to short-term economic fluctuations and better reflects money market liquidity, thereby having significant predictive power for short-term interest rates and the slope factor. Specifically, online inflation for non-durable goods and on weekdays shows stronger predictive power for the slope factor. The heterogeneity in price stickiness across these categories explains the varying impacts on the yield curve.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101626"},"PeriodicalIF":2.1,"publicationDate":"2025-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144170805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-17DOI: 10.1016/j.jempfin.2025.101615
Sharon Y. Ross
Persistent credit distortions have warped equity returns in Japan, where decades of subsidized bank credit to “zombie firms” suppressed momentum premiums. Controlling for zombies revives Japan’s momentum effect: momentum earns significant alpha after adjusting for zombies, and momentum’s expected return and Sharpe ratio triple. The zombie-adjusted factor commands a positive price of risk, becomes unspanned by other factors, and aligns more closely with international patterns. Why? Zombies depend on forbearance from their banks, and zombie losers’ outsized betas to bank returns depress momentum. Analysis of syndicated loan data confirms that firms with forbearance-prone lenders drive Japan’s persistently low momentum returns.
{"title":"Credit distortions in Japanese momentum","authors":"Sharon Y. Ross","doi":"10.1016/j.jempfin.2025.101615","DOIUrl":"10.1016/j.jempfin.2025.101615","url":null,"abstract":"<div><div>Persistent credit distortions have warped equity returns in Japan, where decades of subsidized bank credit to “zombie firms” suppressed momentum premiums. Controlling for zombies revives Japan’s momentum effect: momentum earns significant alpha after adjusting for zombies, and momentum’s expected return and Sharpe ratio triple. The zombie-adjusted factor commands a positive price of risk, becomes unspanned by other factors, and aligns more closely with international patterns. Why? Zombies depend on forbearance from their banks, and zombie losers’ outsized betas to bank returns depress momentum. Analysis of syndicated loan data confirms that firms with forbearance-prone lenders drive Japan’s persistently low momentum returns.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101615"},"PeriodicalIF":2.1,"publicationDate":"2025-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144131312","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-05-14DOI: 10.1016/j.jempfin.2025.101624
Lu Jolly Zhou , Nan Deng , Chenchen Li
This study examines the granular impact of capital market liberalization on the real economy, utilizing the distinctive context of the Chinese market as a quasi-natural experimental setting. Our analysis demonstrates that capital market liberalization positively influences firm-level productivity. We further explore the mechanisms and provide empirical evidence that capital market liberalization improves asset pricing efficiency by enhancing informed trading effectiveness and rectifying stock mispricing. It also optimizes corporate governance from four distinct perspectives: mitigating agency costs, augmenting operational profitability, bolstering labor productivity, and enhancing transparency. These factors collectively contribute to improved productivity at the firm level, confirming the granular impact of financial liberalization in the product market.
{"title":"Unlocking efficiency: How capital market liberalization shapes firm productivity","authors":"Lu Jolly Zhou , Nan Deng , Chenchen Li","doi":"10.1016/j.jempfin.2025.101624","DOIUrl":"10.1016/j.jempfin.2025.101624","url":null,"abstract":"<div><div>This study examines the granular impact of capital market liberalization on the real economy, utilizing the distinctive context of the Chinese market as a quasi-natural experimental setting. Our analysis demonstrates that capital market liberalization positively influences firm-level productivity. We further explore the mechanisms and provide empirical evidence that capital market liberalization improves asset pricing efficiency by enhancing informed trading effectiveness and rectifying stock mispricing. It also optimizes corporate governance from four distinct perspectives: mitigating agency costs, augmenting operational profitability, bolstering labor productivity, and enhancing transparency. These factors collectively contribute to improved productivity at the firm level, confirming the granular impact of financial liberalization in the product market.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101624"},"PeriodicalIF":2.1,"publicationDate":"2025-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144098664","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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