{"title":"53rd Konstanz Seminar on Monetary Theory and Policy 2022","authors":"Sebastian Hildebrand, Gero Stiepelmann","doi":"10.3790/ccm.55.3.419","DOIUrl":"https://doi.org/10.3790/ccm.55.3.419","url":null,"abstract":"","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49202674","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Household Inflation Inequality in the United States and Europe","authors":"Daniel Stempel","doi":"10.3790/ccm.55.3.325","DOIUrl":"https://doi.org/10.3790/ccm.55.3.325","url":null,"abstract":"","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45652881","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Central Bank Policies and Climate Change. Where Do We Stand?","authors":"U. Vollmer","doi":"10.3790/ccm.55.3.381","DOIUrl":"https://doi.org/10.3790/ccm.55.3.381","url":null,"abstract":"","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43899875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Does Diversification Protect Bank Lending Against Uncertainty?","authors":"V. Dang, H. Nguyen","doi":"10.3790/ccm.55.3.349","DOIUrl":"https://doi.org/10.3790/ccm.55.3.349","url":null,"abstract":"","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46793487","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Memorial Event for Ansgar Belke, November 25–26th, 2021 in Essen","authors":"Volker Clausen","doi":"10.3790/ccm.55.3.413","DOIUrl":"https://doi.org/10.3790/ccm.55.3.413","url":null,"abstract":"","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48514220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Since the re-opening of the Chinese stock markets in late 1990, it has since developed into a vibrant market with more than twelve trillion USD total market capitalization in 2020, second only to the U.S. Despite the rapid development in the market size, however, information transparency, the rule of laws, market regulations, market efficiency, and institutional discipline remain to be less desirable. To be sure, market frictions also provide researchers ample opportunities to discover the behaviour of market participants, and the findings serve as a mirror for other emerging markets. With that in mind, in this special issue we have collected five papers that study the effect of media on the market expectations, earnings manipulation in a corporate acquisition event, insider’s trading in the fraudulent stock repurchase program, market inefficiency that results in significant arbitrage profit in the Treasury futures markets, and the relation between investor’s inattention and corporate earnings announcement effect.
{"title":"The Chinese Financial System and China’s Role in the Financial World","authors":"Carl R. Chen, Qizhi Tao","doi":"10.3790/ccm.55.2.149","DOIUrl":"https://doi.org/10.3790/ccm.55.2.149","url":null,"abstract":"Since the re-opening of the Chinese stock markets in late 1990, it has since developed into a vibrant market with more than twelve trillion USD total market capitalization in 2020, second only to the U.S. Despite the rapid development in the market size, however, information transparency, the rule of laws, market regulations, market efficiency, and institutional discipline remain to be less desirable. To be sure, market frictions also provide researchers ample opportunities to discover the behaviour of market participants, and the findings serve as a mirror for other emerging markets. With that in mind, in this special issue we have collected five papers that study the effect of media on the market expectations, earnings manipulation in a corporate acquisition event, insider’s trading in the fraudulent stock repurchase program, market inefficiency that results in significant arbitrage profit in the Treasury futures markets, and the relation between investor’s inattention and corporate earnings announcement effect.","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43624745","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The China-US trade frictions brought about many uncertainties to the Chinese economy. This research investigates whether China's state-controlled media played a role in stabilizing investors' expectations by examining the relations between media tone and Chinese stock market reactions in the context of China-US trade frictions. Firstly, even though the media tone of news on trade frictions did not elicit significant reactions at the market level, those firms heavily exposed to export business with the U.S. produced significant positive reactions to a high media tone of the state media. Secondly, investors, especially SME investors, perceived more uncertainties to the high tones of Chinese media in the early days of Trump's presidency and reacted negatively to the media's high stance, as shown in the volatility. Thirdly, after the war was waged, higher-tone news released from the state-controlled press eased people's anxieties and stabilized the market, especially for the large caps, leading to lower volatilities in most subsequent stages. Generally, the official media's tone manipulation is partially effective in preventing a market meltdown and easing investors' worries.
{"title":"Could State-Controlled Media Stabilize the Market during the U.S.-China Trade Frictions?","authors":"Wenjia Zhang, Julan Du","doi":"10.3790/ccm.55.2.153","DOIUrl":"https://doi.org/10.3790/ccm.55.2.153","url":null,"abstract":"The China-US trade frictions brought about many uncertainties to the Chinese economy. This research investigates whether China's state-controlled media played a role in stabilizing investors' expectations by examining the relations between media tone and Chinese stock market reactions in the context of China-US trade frictions. Firstly, even though the media tone of news on trade frictions did not elicit significant reactions at the market level, those firms heavily exposed to export business with the U.S. produced significant positive reactions to a high media tone of the state media. Secondly, investors, especially SME investors, perceived more uncertainties to the high tones of Chinese media in the early days of Trump's presidency and reacted negatively to the media's high stance, as shown in the volatility. Thirdly, after the war was waged, higher-tone news released from the state-controlled press eased people's anxieties and stabilized the market, especially for the large caps, leading to lower volatilities in most subsequent stages. Generally, the official media's tone manipulation is partially effective in preventing a market meltdown and easing investors' worries.","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48037996","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A. Mughal, A. Haque, Z. Zahid, Furman Ali, Zheng Li
This study tests the hypothesis that the target firms are involved in earnings management activities in quarters leading to a takeover announcement. Using a sample of 3,455 Chinese listed firms that are targets of successful acquisitions over the period 2007 – 2020, and for a matched sample of non-targets, we find that target firms manipulate earnings in quarters leading to the announcement date. Further, we find evidence of a negative relationship between earnings management and short-term gains to shareholders. Our result remains robust after controlling for various deal characteristics. The study also suggests that pre-merger earnings management in target firms is not fully anticipated by the market before the takeover announcement. We find no evidence of earnings management immediately after the announcement quarter. the target firm’s shareholders gain as a result of a takeover. As for the relationship between EM and shareholders’ gains, the results indicate that the target firms’ shareholders returns are greater in firms that exhibit low EM showing an inverse relationship between pre-merger EM and shareholders’ gains. The addition of control variables in the regression model supports our main results. The results are consistent with previous literature. This study also supports the takeover defense and financial incentive hypothesis found in previous studies. Our findings also indicate that the pre-merger EM by target firms is not fully anticipated by the mar-OPEN
{"title":"Does Target Firm’s Earnings Management Affect Shareholder’s Gains? Evidence from China","authors":"A. Mughal, A. Haque, Z. Zahid, Furman Ali, Zheng Li","doi":"10.3790/ccm.55.2.203","DOIUrl":"https://doi.org/10.3790/ccm.55.2.203","url":null,"abstract":"This study tests the hypothesis that the target firms are involved in earnings management activities in quarters leading to a takeover announcement. Using a sample of 3,455 Chinese listed firms that are targets of successful acquisitions over the period 2007 – 2020, and for a matched sample of non-targets, we find that target firms manipulate earnings in quarters leading to the announcement date. Further, we find evidence of a negative relationship between earnings management and short-term gains to shareholders. Our result remains robust after controlling for various deal characteristics. The study also suggests that pre-merger earnings management in target firms is not fully anticipated by the market before the takeover announcement. We find no evidence of earnings management immediately after the announcement quarter. the target firm’s shareholders gain as a result of a takeover. As for the relationship between EM and shareholders’ gains, the results indicate that the target firms’ shareholders returns are greater in firms that exhibit low EM showing an inverse relationship between pre-merger EM and shareholders’ gains. The addition of control variables in the regression model supports our main results. The results are consistent with previous literature. This study also supports the takeover defense and financial incentive hypothesis found in previous studies. Our findings also indicate that the pre-merger EM by target firms is not fully anticipated by the mar-OPEN","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47049749","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Treasury futures, important tools in interest risk management, need to maintain price equilibrium between different varieties. In this paper, we conduct research on ten-, five-, and two-year Treasury futures in China’s futures market. The auto-regression model is used to fit and predict the spot yield, the CTD (cheapest to deliver) price is used in val-uing Treasury futures, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing the amount of deviation and the equilibrium reversion speed, we analyse the inter-variety price equilibrium between Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully efficient. Through further analysis of the pairwise spread relationship of the futures, we conclude that longer operation of the Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return to equilibrium. The existing literature mainly focuses on the equilibrium relationship between two Treasury futures in statistical terms, but this paper examines the equilibrium relationship between all existing varieties of Treasury futures in China’s market based on pricing, which expands the subject and methods of research on inter-variety equilibrium in Treasury futures. and ideas about inter-variety equilibrium in Treasury futures. On the basis of Treasury bond price data in the interbank market, we use auto-regression models to fit and predict the spot yield, price the three Treasury futures with arbitrage-free pricing models, and then establish the arbitrage-free spread interval with consideration of transaction cost, so as to study the equilibrium between their prices. Our study makes several contributions to current literature as follows.
{"title":"Inter-Variety Equilibrium of Chinese Treasury Futures","authors":"Jinzhong Wang, H. Zhong, Zhenjie Yu","doi":"10.3790/ccm.55.2.261","DOIUrl":"https://doi.org/10.3790/ccm.55.2.261","url":null,"abstract":"Treasury futures, important tools in interest risk management, need to maintain price equilibrium between different varieties. In this paper, we conduct research on ten-, five-, and two-year Treasury futures in China’s futures market. The auto-regression model is used to fit and predict the spot yield, the CTD (cheapest to deliver) price is used in val-uing Treasury futures, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing the amount of deviation and the equilibrium reversion speed, we analyse the inter-variety price equilibrium between Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully efficient. Through further analysis of the pairwise spread relationship of the futures, we conclude that longer operation of the Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return to equilibrium. The existing literature mainly focuses on the equilibrium relationship between two Treasury futures in statistical terms, but this paper examines the equilibrium relationship between all existing varieties of Treasury futures in China’s market based on pricing, which expands the subject and methods of research on inter-variety equilibrium in Treasury futures. and ideas about inter-variety equilibrium in Treasury futures. On the basis of Treasury bond price data in the interbank market, we use auto-regression models to fit and predict the spot yield, price the three Treasury futures with arbitrage-free pricing models, and then establish the arbitrage-free spread interval with consideration of transaction cost, so as to study the equilibrium between their prices. Our study makes several contributions to current literature as follows.","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45545751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study investigates the relationship between investor inattention and earnings announcement effects around a Chinese holiday called Tomb-Sweeping Day, which, unlike other holidays, is short. Not only is investor attention distracted, which can generate emotional fluctuation, but a large number of listed companies issue earnings announcements within two days before the holiday. Using a sample of listed firms from 2008 to 2019 that released earnings announcements on Tomb-Sweeping Day, we first find that earnings announcement effects exist around Tomb-Sweeping Day, which are not studied in the previous literature. Second, because investors are more inclined to ignore negative earnings information around the holiday, we find stronger post drift from negative earnings announcements than from positive ones, in contrast to the conventional view. Final-ly, we confirm that investor inattention causes earnings announcement effects, providing further evidence to support behavioural finance theory. bad news, and the response is more sensitive to bad news during the holiday. Our research investigates investor reactions to earnings announcements during the Tomb-Sweeping holiday. Unlike joyous holidays such as Easter and Christmas, Tomb-Sweeping Day is a sombre though relaxed occasion for commemorating deceased family and friends as well as taking outings and going hiking. We show that investors easily ignore bad news but are more sensitive to good news because of the sad environment surrounding the
{"title":"Investor’s Inattention and Earnings Announcement Effects on Tomb-Sweeping Day in China","authors":"Qingchen Feng, Deng Ning, Wan Zhang, R. Zhou","doi":"10.3790/ccm.55.2.291","DOIUrl":"https://doi.org/10.3790/ccm.55.2.291","url":null,"abstract":"This study investigates the relationship between investor inattention and earnings announcement effects around a Chinese holiday called Tomb-Sweeping Day, which, unlike other holidays, is short. Not only is investor attention distracted, which can generate emotional fluctuation, but a large number of listed companies issue earnings announcements within two days before the holiday. Using a sample of listed firms from 2008 to 2019 that released earnings announcements on Tomb-Sweeping Day, we first find that earnings announcement effects exist around Tomb-Sweeping Day, which are not studied in the previous literature. Second, because investors are more inclined to ignore negative earnings information around the holiday, we find stronger post drift from negative earnings announcements than from positive ones, in contrast to the conventional view. Final-ly, we confirm that investor inattention causes earnings announcement effects, providing further evidence to support behavioural finance theory. bad news, and the response is more sensitive to bad news during the holiday. Our research investigates investor reactions to earnings announcements during the Tomb-Sweeping holiday. Unlike joyous holidays such as Easter and Christmas, Tomb-Sweeping Day is a sombre though relaxed occasion for commemorating deceased family and friends as well as taking outings and going hiking. We show that investors easily ignore bad news but are more sensitive to good news because of the sad environment surrounding the","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45656242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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