Pacific-Basin Finance Journal最新文献

英文中文

Quantile auto-encode narrative asset pricing model in the Chinese stock market 中国股市分位数自动编码叙述性资产定价模型

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2026.103060

Xing Chen , Rui Huang , Chongfeng Wu

This paper investigates the predictive power of news topics for stock returns in the Chinese equity market. The Quantile Auto-Encode (QAE) model is innovatively employed to extract latent factors embedded in media news, addressing challenges such as heavy-tailed distributions, conditional heteroskedasticity, and quantile heterogeneity in asset pricing. Using monthly Chinese stock return data from April 2005 to December 2022, the QAE model significantly outperforms both the IPCA and AE models in out-of-sample evaluations, achieving higher total and predictive R-squared values as well as improved annualized Sharpe ratios. The narrative-based factors estimated by these models exhibit smaller pricing errors than those from traditional asset pricing models, indicating superior accuracy in capturing the systematic risk structure. Moreover, topics concerning firms' business activities, operations, strategies, and profitability exhibit stronger pricing power.

本文研究了新闻话题对中国股市股票收益的预测能力。分位数自动编码（QAE）模型创新地用于提取嵌入在媒体新闻中的潜在因素，解决了资产定价中的重尾分布、条件异方差和分位数异质性等挑战。利用2005年4月至2022年12月的中国月度股票收益数据，QAE模型在样本外评估中显著优于IPCA和AE模型，获得更高的总r平方值和预测r平方值，并提高了年化夏普比率。与传统的资产定价模型相比，这些模型估计的基于叙述的因素的定价误差更小，表明在捕捉系统风险结构方面具有更高的准确性。此外，与企业经营活动、运营、战略和盈利能力相关的主题表现出更强的定价能力。

引用次数: 0

Board gender diversity and default risk in a bank-based financial system: A pre-registered study 以银行为基础的金融体系中的董事会性别多样性与违约风险：一项预注册研究

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2025.103007

Hideaki Sakawa , Naoki Watanabel , Searat Ali

This pre-registered study examines the empirical analyses to reveal how close bank-firm relationships and women on boards (WOB) affect default risk in the bank-based (financial) system, which is approved in the pre-registered report (Sakawa et al., 2024). Using Japan's Corporate Governance (CG) code as an exogenous shock to affect gender diversity on the board, we also implement the Difference-in-Difference (DiD) approach and sub-sample analyses in the pre-CG and post-CG (code) period. Our study documents three key results: 1) the main banks perform effective monitoring to mitigate default risk for their client firms. 2) The monitoring role of WOB does not affect default risk in the full sample; however, we find some support for the effective role of WOB in mitigating default risk in the post-CG period. 3) The monitoring role of the main bank is a substitute for WOB in mitigating default risk. These findings answer a big research question: “Who are the effective monitors of mitigating default risk?”. Overall, our results show that the main bank is more effective in monitoring than WOB in the bank-based system.

这项预先登记的研究检验了实证分析，以揭示银行与公司之间的密切关系和董事会女性（WOB）如何影响银行（金融）系统中的违约风险，这在预先登记的报告中得到了批准（Sakawa等人，2024）。使用日本的公司治理（CG）代码作为影响董事会性别多样性的外生冲击，我们还在CG前和CG后（代码）时期实施了差异中的差异（DiD）方法和子样本分析。我们的研究记录了三个关键结果：1)主要银行执行有效的监控，以减轻客户公司的违约风险。2)在全样本中，WOB的监测作用不影响违约风险；然而，我们发现了一些支持WOB在缓解后cg时期违约风险方面的有效作用。3)主银行的监督作用可以替代WOB来缓解违约风险。这些发现回答了一个重要的研究问题：“谁是减轻违约风险的有效监督者？”总体而言，我们的研究结果表明，在以银行为基础的体系中，主银行在监测WOB方面比银行更有效。

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引用次数: 0

Which factors in China? A pre-registered study 哪些因素在中国？预注册研究

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2025.103012

Philip Gharghori , Annette Nguyen

We evaluate the ability of the asset pricing models of Liu, Stambaugh and Yuan (2019), hereafter LSY, and Fama and French (2018) to price Chinese stocks. Following the methodology specified in the pre-registered report (Gharghori and Nguyen, 2025), we employ spanning regressions and maximum Sharpe ratios to compare models. Our results show that the LSY models exhibit higher Sharpe ratios and outperform both conventional and modified Fama-French models in spanning regressions. In contrast to developed markets, the investment factor carries a negative premium in China. Additionally, the LSY models do not span this factor. Consequently, the model that delivers the highest Sharpe ratio is the one that augments the LSY four-factor model with the investment factor of Fama-French.

我们评估了Liu， Stambaugh和Yuan(2019)（以下简称LSY）以及Fama和French（2018）的资产定价模型对中国股票定价的能力。按照预注册报告中指定的方法（Gharghori和Nguyen， 2025），我们采用跨越回归和最大夏普比率来比较模型。我们的研究结果表明，LSY模型在跨越回归中表现出更高的夏普比率，并且优于传统和改进的Fama-French模型。与发达市场相比，投资因素在中国的溢价为负。此外，LSY模型不涵盖这个因素。因此，提供最高夏普比率的模型是将LSY四因素模型与Fama-French的投资因素相结合的模型。

引用次数: 0

Fintech revolution in banking: A double-edged sword? 金融科技革命：一把双刃剑？

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2026.103075

Habib Hussain Khan , Fiza Qureshi , Mohammad Rais Ahmad , Ayesha Anwar

We develop a novel bank-level index of fintech integration by mitigating media bias in index construction. We then explore its relationship with bank stability across 56 economies from 2010 to 2022. We uncover a U-shaped relationship between this index and bank stability. Initially, fintech increases bank fragility, but as integration deepens, it ultimately enhances stability. Interestingly, this pattern is influenced by both bank-level and industry-level factors. Strong, foreign-owned banks experience a milder initial decline in stability, reflecting their ability to navigate the fintech landscape effectively. Furthermore, banks operating in developed, competitive markets show a flatter relationship, emphasizing the importance of a supportive ecosystem. The role of regulatory sandboxes varies depending on factors such as bank competition, economic growth, regulatory strength, financial development, and access to credit information. We further validate our findings using an instrumental variables approach and an alternative index of fintech integration, reinforcing the robustness of the identified U-shaped relationship between fintech and bank stability.

通过减轻媒体在指数构建中的偏见，我们开发了一个新的银行级金融科技整合指数。然后，我们探讨了从2010年到2022年56个经济体的银行稳定性与通胀的关系。我们发现该指数与银行稳定性之间呈u型关系。最初，金融科技会增加银行的脆弱性，但随着一体化的深化，它最终会增强银行的稳定性。有趣的是，这种模式受到银行层面和行业层面因素的影响。实力雄厚的外资银行最初的稳定性下降幅度较小，反映出它们有效驾驭金融科技格局的能力。此外，在发达的竞争性市场中运营的银行表现出更平坦的关系，强调了支持性生态系统的重要性。监管沙盒的作用因银行竞争、经济增长、监管力度、金融发展和信贷信息获取等因素而异。我们使用工具变量方法和金融科技整合的替代指数进一步验证了我们的发现，加强了金融科技与银行稳定性之间确定的u型关系的稳健性。

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引用次数: 0

Does gender diversity on boards improve bank financial performance in a bank-based financial system? A pre-registered study 在以银行为基础的金融体系中，董事会性别多元化是否能改善银行的财务业绩？预注册研究

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2025.103046

Hideaki Sakawa, Naoki Watanabel, Yoshio Kuroki

We examine whether bank performance is enhanced by the degree of gender diversity on boards, measured by the ratio of women on boards (WOB), the ratio of women serving as outside director on boards (outside WOB), and the Blau index (BLAU), in bank-based (financial) systems, following our pre-registered report (Sakawa et al., 2025). Using data on Japan's listed banks in the period (2010−2021), we analyze the relationship between women on boards (WOB) and bank performance. To focus on the effect of Japan's Corporate Governance (CG) Code, we also use a difference-in-differences method. First, WOB are not effective to enhance bank-performance for the examined period. Second, the role of outside WOB may be effective in enhancing bank performance. Third, the introduction of Japan's CG code has not strengthened the monitoring or advisory roles of both WOB and outside WOB. These findings answer the research question: “Who monitors the monitors in a bank-based system?” Overall, the results imply that outside WOB may be effective in functioning as monitors.

根据我们的预注册报告（Sakawa et al., 2025），我们研究了董事会性别多样性程度是否会提高银行绩效，通过董事会女性比例（WOB）、董事会女性外部董事比例（外部WOB）和以银行为基础的（金融）系统中的Blau指数（Blau）来衡量。利用2010 - 2021年期间日本上市银行的数据，我们分析了董事会女性成员（WOB）与银行绩效之间的关系。为了关注日本公司治理准则的效果，我们还使用了差异中的差异方法。首先，在所调查期间，WOB对提高银行绩效没有效果。其次，外部WOB的作用可能对提高银行绩效有效。第三，日本CG规范的引入并没有加强WOB和WOB外部的监测或咨询作用。这些发现回答了研究的问题：“在以银行为基础的系统中，谁来监督监控器？”总的来说，结果表明，外部WOB可能有效地发挥监测作用。

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引用次数: 0

Understanding researchers' perceptions and experiences in finance research replication studies: A pre-registered study 了解研究人员在金融研究复制研究中的看法和经验：一项预注册研究

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2026.103061

Daniel Chai , Searat Ali , Mark Brosnan , Tim Hasso

This pre-registered study executes the empirical design approved in the associated pre-registered report (Chai et al., 2024) to survey authors of replication studies at the Pacific-Basin Finance Journal (PBFJ). The survey aims to understand their motivations, challenges encountered, and perceived benefits, as well as their evaluations of the replication framework. The findings reveal strong support for replication studies, with participants emphasizing their role in fostering a more robust research culture in financial economics. However, challenges in reproduction and replication frequently arise due to issues with the accessibility and quality of open-source materials provided in the original studies. Our results also suggest that PBFJ's initiative offers a replicable model for other journals, providing actionable insights to address the replication crisis. Key recommendations include providing academic recognition for replication work, standardizing data transparency mandates, and promoting cross-disciplinary dialogue on robust research practices.

这项预注册研究执行了相关预注册报告（Chai et al., 2024）中批准的实证设计，以调查太平洋-盆地金融杂志（pbj）复制研究的作者。该调查旨在了解他们的动机、遇到的挑战和感知到的好处，以及他们对复制框架的评价。研究结果显示了对重复性研究的有力支持，参与者强调了他们在培养金融经济学中更强大的研究文化方面的作用。然而，由于原始研究中提供的开源材料的可及性和质量问题，在复制和复制方面经常出现挑战。我们的研究结果还表明，pbj的倡议为其他期刊提供了一个可复制的模式，为解决复制危机提供了可操作的见解。主要建议包括为复制工作提供学术认可、标准化数据透明度指令以及促进关于可靠研究实践的跨学科对话。

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引用次数: 0

Beyond market stress: Incremental long-term information in geopolitical tension for gold volatility 超越市场压力：地缘政治紧张局势对黄金波动的增量长期信息

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2026.103074

Yang Liu , Shun Li

Against the backdrop of a reshaping global economic landscape and escalating U.S.-China geopolitical tensions, gold's significance as a traditional safe-haven asset has become increasingly prominent. This study constructs and applies the GJR-GARCH-MIDAS model based on the U.S.-China Tension Index (UCT) to systematically analyze the impact of geopolitical tensions on the long-term volatility of daily log returns in the gold spot market. Empirical results indicate that UCT has a significant positive influence on gold's long-term volatility, suggesting that heightened geopolitical tensions substantially increase long-term volatility in the gold market. This conclusion remains robust even after controlling for monthly realized volatility. Furthermore, decomposing the UCT into positive shocks (UCT⁺) and negative shocks (UCT⁻) reveals that both escalations and de-escalations in U.S.-China relations significantly amplify gold's long-term volatility, with UCT⁺ exerting a notably stronger effect than UCT⁻. Finally, out-of-sample forecasting tests demonstrate that models incorporating both realized volatility (RV) and UCT⁺/UCT⁻ exhibit superior predictive power and robustness in forecasting gold's long-term volatility.

在全球经济格局重塑和中美地缘政治紧张局势升级的背景下，黄金作为传统避险资产的重要性日益凸显。本研究构建并应用基于中美紧张指数（UCT）的GJR-GARCH-MIDAS模型，系统分析地缘政治紧张对黄金现货市场日对数收益率长期波动的影响。实证结果表明，UCT对黄金的长期波动具有显著的正向影响，这表明地缘政治紧张局势加剧大大增加了黄金市场的长期波动。即使在控制了月度已实现波动后，这一结论仍然是强有力的。此外，将UCT分解为正冲击（UCT+）和负冲击（UCT -）表明，中美关系的升级和降级都显著放大了黄金的长期波动，其中UCT+的影响明显强于UCT -。最后，样本外预测测试表明，结合实际波动率（RV）和UCT+/UCT -的模型在预测黄金的长期波动率方面表现出卓越的预测能力和稳健性。

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引用次数: 0

Sentiment and uncertainty: Evidence from China 情绪与不确定性：来自中国的证据

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2025.102993

Xun Lei , Jiexiang Huang , Xinfeng Ruan

This study examines the predictive power of investor sentiment under varying levels of market-wide uncertainty by replicating and extending the framework of Birru and Young (2022). Consistent with their findings, our analysis demonstrates that sentiment most strongly predicts market returns during periods of heightened uncertainty. Expanding the investigation to the Chinese market, we identify a significant interactive effect between sentiment and uncertainty on both aggregate and cross-sectional returns across six- to twelve-month horizons. Overall, the findings underscore the critical role of sentiment in return predictability, particularly in high-uncertainty environments.

本研究通过复制和扩展Birru和Young（2022）的框架，检验了投资者情绪在不同市场不确定性水平下的预测能力。与他们的发现一致，我们的分析表明，在不确定性加剧的时期，情绪最能预测市场回报。将调查扩展到中国市场，我们发现情绪和不确定性之间在6至12个月的总回报和横截面回报之间存在显著的互动效应。总的来说，研究结果强调了情绪在回报可预测性中的关键作用，特别是在高度不确定性的环境中。

引用次数: 0

Do bank ties influence stock repurchases in a bank-based financial system during financial distress? A pre-registered study 在金融危机期间，银行关系会影响以银行为基础的金融体系中的股票回购吗？预注册研究

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2025.103018

Hideaki Sakawa , Naoki Watanabel , Konari Uchida

This pre-registered study implements the empirical analyses approved in the pre-registered report (Sakawa et al., 2024) to reveal the effects of bank ties on both corporate repurchase decisions and stock price reactions to buyback announcements. Using the COVID-19 pandemic as an exogenous shock, our study offers three key findings. First, main banks with shareholder views tend to promote stock repurchase decisions of their client firms during the pandemic. Second, the announcement effect of stock repurchases is smaller for firms with (vs. without) a main bank relationship during the COVID-19 pandemic. Finally, stock repurchases of financially constrained firms with main bank relationships are supported by the cash-holding view of their main banks. These findings provide a deeper understanding of how extreme financial distress, like that which occurred during the COVID-19 pandemic, affects the motive for stock repurchase in financially constrained firms.

本预登记研究实施了预登记报告（Sakawa et al., 2024）中认可的实证分析，揭示了银行关系对公司回购决策和股票价格对回购公告反应的影响。将COVID-19大流行作为外源性冲击，我们的研究提供了三个关键发现。首先，在疫情期间，持有股东观点的主要银行倾向于推动客户公司的股票回购决策。其次，在COVID-19大流行期间，与主要银行有关系的公司（与没有关系的公司）的股票回购公告效应较小。最后，有主银行关系的财务受限公司的股票回购得到其主银行现金持有观点的支持。这些发现让我们更深入地了解了极端的财务困境（如在COVID-19大流行期间发生的情况）如何影响财务受限公司的股票回购动机。

引用次数: 0

Board ownership representativeness and trade credit: Evidence from China: A pre-registered study 董事会所有权代表性与贸易信用：来自中国的证据：一项预注册研究

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal

Pub Date : 2026-02-01 DOI: 10.1016/j.pacfin.2025.103041

Fuxiu Jiang, Jia Ma, Bin Gu

This pre-registered study implements the empirical design approved in the associated pre-registered report (Jiang and Ma, 2025) to analyze the impact of board ownership representativeness on corporate trade credit. The key findings are as follows: 1) board ownership representativeness significantly increases a firm's trade credit. 2) the increase in trade credit is primarily driven by the enhanced monitoring role of directors, which alleviates agency problems and reduces concerns among both customers and suppliers. 3) the positive relationship between board ownership representativeness and trade credit is more pronounced in firms operating in weaker legal environments and facing higher levels of information asymmetry. 4) independent directors do not significantly impact the positive effect of board ownership representativeness. 5) the positive influence of board ownership representativeness on trade credit contributes to improved firm performance. 6) board ownership representativeness emerges as the more salient governance mechanism compared to board independence in enhancing trade credit. This study expands the investigation into the economic implications of board structure by focusing on board ownership representativeness and offers a new perspective on enhancing firms' access to trade credit.

本预登记研究采用了相关预登记报告（Jiang and Ma, 2025）中认可的实证设计，分析董事会所有权代表性对企业贸易信用的影响。主要发现如下：1)董事会所有权代表性显著增加了企业的贸易信用。2)贸易信贷的增加主要是由于董事监督作用的增强，这缓解了代理问题，减少了客户和供应商之间的担忧。3)在法律环境较弱、信息不对称程度较高的公司中，董事会所有权代表性与贸易信用之间的正相关关系更为明显。4)独立董事对董事会股权代表性的正向效应影响不显著。5)董事会股权代表性对贸易信用的正向影响有助于企业绩效的提升。6)与董事会独立性相比，董事会所有权代表性在提高贸易信用方面表现出更为突出的治理机制。本研究通过关注董事会所有权代表性，扩展了对董事会结构的经济影响的研究，并为提高企业获得贸易信贷的机会提供了一个新的视角。

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