Pacific-Basin Finance Journal最新文献

英文中文

Which investor corrects mispricing around earnings announcements?

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-18 DOI: 10.1016/j.pacfin.2025.102745

Jihoon Goh , Byounghyun Jeon

Using daily investor group-level trading data, we investigate whose trades align with anomalies and contribute to the correction of mispricing around earnings announcements. Around earnings announcements, institutions sell overpriced stocks four times more than they do on non-earnings days. Although retail investors purchase overpriced stocks on non-earnings days, such a tendency disappears around the earnings announcements. The overpricing of stocks in the short leg of anomalies is resolved around earnings announcement only if these stocks were sold by institutions, highlighting institutions' role in revealing mispricing. The institutional trades to correct overpricing are stronger when stocks are easier to sell short. On the contrary, during the short selling ban period, there is no evidence that institutions sell overpriced stocks around earnings announcements, reaffirming the role of short selling constraints in hindering mispricing correction.

引用次数: 0

Double edged coverage? The impact of the analyst coverage network on stock price volatility

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-17 DOI: 10.1016/j.pacfin.2025.102753

Lixiang Wang, Zhiyi Fang, Jia Wen, Qi Zhou

Given that investors exhibit greater sensitivity to bad price volatility compared to positive volatility, this paper investigates how securities analysts asymmetrically influence both volatility types. By constructing an analyst coverage network, we find that brokerage analysts enhance good volatility through effective stock identification but exacerbate bad volatility due to their structural hole advantage. In contrast, clique analysts exhibit herding effects that mitigate bad volatility while reducing their stock identification ability, diminishing good volatility. Additionally, star analysts show similar mechanisms. For firms with poor information transparency, brokerage analysts rely more on trading volume for stock identification, which strengthens good volatility but also amplifies losses. This paper extends the research on analyst coverage and also provides practical implications for analyst behavior regulation in the capital market.

引用次数: 0

Optimization-based spectral end-to-end deep reinforcement learning for equity portfolio management

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-17 DOI: 10.1016/j.pacfin.2025.102746

Pengrui Yu , Siya Liu , Chengneng Jin , Runsheng Gu , Xiaomin Gong

We propose a novel approach to equity portfolio optimization that combines spectral analysis and classical equity portfolio optimization theory with deep reinforcement learning in an end-to-end framework. We introduce the End-to-end Frequency Online Deep Deterministic Policy Gradient (EFO-DDPG) algorithm, which leverages discrete Fourier transform to decompose asset return sequences into frequency components. Unlike traditional methods that treat high-frequency components as noise, EFO-DDPG learns to adjust the influence of different frequency components dynamically. Moreover, the algorithm embeds a mean–variance portfolio optimization problem within a deep learning network, enhancing interpretability compared to black-box approaches. The framework models the investment problem as a Partially Observable Markov Decision Process (POMDP), using a state processing block with transformer encoders to capture complex relationships in the market data. By integrating spectral analysis, portfolio optimization theory, and online deep reinforcement learning, EFO-DDPG aims to adapt to non-stationary financial markets and generate superior investment strategies.

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引用次数: 0

Intelligent manufacturing and post-pandemic growth: Evidence from China

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-15 DOI: 10.1016/j.pacfin.2025.102752

Yuchen Wang , Jianjun Yin , Wenlian Gao

This study explores the influence of intelligent manufacturing on the growth potential of enterprises in the post-pandemic era, specifically within the context of the COVID-19 pandemic in China. Our analysis indicates that enterprises equipped with advanced intelligent manufacturing capabilities exhibit enhanced growth capacity once pandemic restrictions are lifted. This positive correlation is largely attributed to their capacity for innovation as well as effective utilization of government subsidies. Notably, the beneficial effects of intelligent manufacturing are most pronounced among smaller, non-state-owned enterprises, as well as those with substantial cash reserves. These findings offer a fresh perspective on enterprise resilience and growth in the aftermath of a public health crisis, highlighting the critical role of intelligent manufacturing in facilitating economic recovery and shaping the future trajectory of businesses.

引用次数: 0

City doing-business environment and stock price crash risk

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-14 DOI: 10.1016/j.pacfin.2025.102743

Bowen Yang , Wenfeng Wu , Jibin Yang

By constructing a city-level Doing Business Environment Index for China from 2011 to 2022 and analyzing A-share listed firms, this paper finds that improvements in the local doing-business environment reduce the risk of stock price crashes for local firms. This effect is more pronounced for firms with greater government influence, weaker corporate governance, and higher potential risk. During the COVID-19 pandemic, a better doing-business environment helps offset the negative impacts of the outbreak in non-central cities. Furthermore, an improved doing-business environment mitigates the increase in crash risk associated with policy changes, promotes the standardization of business practices, and enhances information transparency, thereby reducing both the emergence and concealment of negative news. These findings suggest that a favorable doing-business environment can effectively counteract the adverse effects of local government intervention on firms.

引用次数: 0

China's debt market: Evolution, regulation, and global integration

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-13 DOI: 10.1016/j.pacfin.2025.102751

Feiyang Cheng , Haoyu Gao , Xiaofei Pan , Meijun Qian , Qing (Clara) Zhou

This review article for the Pacific Basin Finance Journal's Special Issue on the Chinese Capital Market examines the literature on China's debt markets. We review the development of the debt market from a centrally controlled system to a multifaceted framework, including government debt, corporate bonds, bank loans, and alternative finance. We analyze the size, roles, and economic impacts of these instruments and evaluate the effects of major institutional reforms—such as interest rate liberalization, debt-swap programs, and enhanced regulatory oversight—on credit allocation and risk management. The review incorporates empirical and theoretical evidence on local government financing vehicles, market segmentation, shadow banking, and fintech developments. Although recent reforms have improved market transparency and efficiency, issues such as fiscal sustainability, credit misallocation, and systemic risk remain. The study provides insights for policymakers and scholars, highlighting the impact of state policies and regulatory changes in integrating China's debt market into the global financial system and identifying areas for future research.

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引用次数: 0

Corporate dividend behavior under uncertainty: A study of Chinese firms

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-13 DOI: 10.1016/j.pacfin.2025.102747

Chien-Chiang Lee , Chih-Wei Wang , Chun-Wei Huang , Susan Sunila Sharma

This paper investigates the impact of Trade Policy Uncertainty (TPU) on the cash dividend policies of Chinese firms from 2000 to 2019. The findings reveal that TPU negatively influences firms' cash dividend policies, prompting firms to reduce cash dividends under heightened uncertainty. Furthermore, firms and industries in different regions exhibit varied responses to TPU's effects on cash dividends. In R&D-intensive firms, the study finds a consistent negative impact of TPU on cash dividends, regardless of whether the firms face financial constraints. Conversely, firms with reduced R&D spending and financial constraints tend to increase cash dividends under TPU, potentially due to agency-related issues. Overall, TPU significantly affects firms' cash dividend policies, and these effects remain robust when accounting for R&D intensity, financial constraints, and agency problems. This study provides valuable insights, highlighting the importance of incorporating cash dividend policies into corporate strategies during periods of high uncertainty.

引用次数: 0

Non-financial information uncertainty, firm growth, and market value during crisis: Evidence from China 危机期间的非财务信息不确定性、企业成长和市场价值：来自中国的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-13 DOI: 10.1016/j.pacfin.2025.102748

Pengzhi Kong , Louis T.W. Cheng , Lulu Pan , Jianfu Shen , Qing Yu

This study investigates the impact of non-financial information uncertainty on market valuation during times of crisis. Using a sample of the largest listed firms in China and measuring non-financial information uncertainty through governance rating divergence, we find that firms with higher non-financial information uncertainty experienced a more significant and negative market reaction during the COVID-19 crisis compared to firms with low non-financial information uncertainty. Although stock prices of firms with robust growth opportunities are more resilient to the pandemic, non-financial information uncertainty mitigates the positive effect of firm growth on stock market reactions to the COVID-19 outbreak, indicating that corporate resilience to crisis is compromised by non-financial information uncertainty. A further analysis suggests that dual listing in mainland China and Hong Kong stock markets mitigates the negative effect of non-financial information uncertainty on stock market valuation, attributable to the higher quality of non-financial disclosure by these firms. Overall, this study sheds light on the unique role of non-financial information uncertainty in stock market valuation and stock price resilience during crises.

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引用次数: 0

Macroprudential policy, financial risk and innovation: Cross country evidence

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-12 DOI: 10.1016/j.pacfin.2025.102749

Si-Tao Ren , Wei Wei , Jun-Wei Zhang , Sheng-Hao Yang

Macroprudential policy aims to reduce systemic financial risk and ensure financial market stability, making it an important factor influencing national innovation development. Existing research primarily focuses on the effects of innovation policies or financial policies, while the impact of macroprudential policy on innovation has been largely overlooked. Using cross-country panel data from 63 countries between the years 1990 and 2021, this paper pioneers the exploration of the impact of macroprudential policy on technological innovation and the channel of financial risk. This paper documents the strong evidence that the implementation of macroprudential policy can significantly promote technological innovation. After the execution of several robustness test procedures, such as using alternative dependent and independent variables and different empirical strategies, the significant effect of macroprudential policy on innovation remains robust. In addition, the implementation of macroprudential policies can promote innovation level significantly by reducing financial risk. Last but not least, this paper finds that the significant positive impact of macroprudential policy on innovation exists in non-OECD countries and the Emerging Market and Developing Economies (EMDE) but not in OECD countries and the Advanced Economies (AE). These insight can aid policymakers in designing more targeted macroprudential measures that support both financial stability and innovation.

宏观审慎政策旨在降低系统性金融风险，确保金融市场稳定，是影响国家创新发展的重要因素。现有研究主要关注创新政策或金融政策的影响，而宏观审慎政策对创新的影响在很大程度上被忽视。本文利用 1990 年至 2021 年间 63 个国家的跨国面板数据，开创性地探讨了宏观审慎政策对技术创新的影响以及金融风险的渠道。本文有力地证明了宏观审慎政策的实施能够显著促进技术创新。在使用替代因变量和自变量以及不同的实证策略等多个稳健性检验程序后，宏观审慎政策对创新的显著影响仍然是稳健的。此外，宏观审慎政策的实施可以通过降低金融风险来显著促进创新水平。最后但并非最不重要的一点是，本文发现宏观审慎政策对创新的显著积极影响存在于非经合组织国家和新兴市场与发展中经济体，但不存在于经合组织国家和发达经济体。这些见解有助于政策制定者设计更有针对性的宏观审慎措施，以支持金融稳定和创新。

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引用次数: 0

Independent directors with auditing expertise, overconfident CEOs and overinvestment in China

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2025-03-09 DOI: 10.1016/j.pacfin.2025.102733

Yunying Li , Naihao Li , Lei Hong Weng Lawrence

This study examines how independent directors with different types of auditing expertise affect listed companies' inefficient investment behavior. We posit that the independent directors with auditing expertise will reduce agency risk and improve companies' governance on investment. Consequently, a high proportion of independent directors with auditing expertise can significantly inhibit companies' overinvestment behavior. We then further explore the effect of independent directors with different characteristics, namely certified public accountants (CPAs), senior accountants and professors (or associate professors) of finance accounting on companies' investment. Moreover, we also argue that overconfident CEOs will curb the governance effects of independent directors with auditing expertise on CEOs' overinvestment behavior. Our empirical findings support our propositions.

引用次数: 0

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