Asia-Pacific Journal of Financial Studies最新文献

Economic value added (EVA) is a useful concept for creating investment strategies for fund managers and scholars. This paper analyzes an alpha-seeking strategy with EVA. We use a long-short portfolio with high EVA and low EVA stocks. Using the normalized EVA, we construct a portfolio from the first to the fifth quintile and test the effectiveness of the strategy with the Carhart four-factor model. We find the following: (1) The portfolios with high EVA stocks outperform those with low ones; (2) EVA-based long-short portfolio generates 6.5% return per annum. This paper provides an empirical basis for launching a new equity fund with EVA in Korea. This strategy suggestion could also be extended to introduce new EVA investment strategies in other global markets.

This study uses data from Chinese A-share listed firms from 2009 to 2021 to explore how enterprise digital transformation affects stock price delays. We find that implementing enterprise digital transformation significantly alleviates stock price delays. The mechanism analysis shows that enterprise digital transformation significantly alleviates stock price delays in enterprises with high information transparency and robust internal control. Heterogeneity analysis indicates that digital transformation's alleviating effect on stock price delays is stronger for non-SOEs and enterprises with high industry competition. This study provides valuable insights into alleviating stock price delays, thus enhancing capital market pricing efficiency.

Using data from 34 Chinese industries from January 2007 to February 2024, we examine risk spillover in the economic system and the channels through which geopolitical risk (GPR) influences contagion effects. Risk spillover measurements are calculated for both the short and long term by combining variational mode decomposition with the variance decomposition of vector autoregression. Our findings provide evidence of significant and time-varying spillovers among industries over time. The results on densities and assortativity coefficients indicate the presence of structural changes in the risk network during geopolitical crises. Furthermore, we find that the real linkage (input–output nexus) is an important determinant of long-term spillovers during periods of high GPR, and the information channel (market sentiment) is associated with risk contagion caused by GPR in both the short and long term. Overall, this paper offers valuable insights to prevent and mitigate the negative consequences triggered by geopolitical events on the stability of the economic system.

We investigate the primary and secondary market reactions of US corporate bonds to the mandatory Environmental, Social, and Governance (ESG) Disclosure Act of 2021 (hereafter, the ESG Disclosure Act). We compare ESG bonds with non-ESG bonds through a yield spread analysis for the primary market and a bond event study for the secondary market, assessing the impact on a sustainable premium (“sustainium”) following the enactment. Sustainium disappears from the primary market after the ESG Disclosure Act. Abnormal corporate bond returns in the secondary market are negative, and the impact on the sustainium is not economically different from zero. We also find that long-term corporate bonds are more vulnerable to the ESG Disclosure Act. These findings indicate that investors should assess ESG bonds according to long-term horizons if the sustainium is expected to persist.

We study the relation between CEO restricted stock, CEO incentives, and firm innovation. We first show that restricted stock is negatively associated with R&D investment. We also show that CEO restricted stock is positively related to the number of patents granted and citations received. However, further investigation shows that CEO restricted stock has a positive relation with firm exploitation but a negative relation with firm exploration and breakthrough innovation. The results suggest that restricted stock appears to incentivize CEOs to make efficient R&D investments and produce more innovative outputs in general, but only through exploitation rather than exploration and breakthrough innovations.

This study empirically examines the relationship between “investor attention” and aggregate stock returns, seeking to determine whether interest in South Korea can predict the returns of the Korean stock market. The results confirm a positive relationship between interest in Korea and future stock market returns. Furthermore, this relationship is observed to have emerged with the widespread dissemination of Korean culture starting in 2017. This impact is found to be more significant on the KOSDAQ market compared to the KOSPI market. Within the KOSPI market, the influence of interest on stock returns is particularly pronounced in the case of small-cap stocks. It is also observed that since 2017, as interest in South Korea has increased, information related to the improvement of Korea's corruption index has begun to significantly affect stock returns.

This paper investigates the underlying causes of the nonlinear link between financial asset holdings and innovative efficiency. It identifies an inverted U-shaped pattern linking corporate financialization to innovation, with financing restrictions, agency costs, and business risk serving as some of the relationship's partial mediating factors. By categorizing financial assets into short-term monetary and long-term nonmonetary types, it reveals heterogeneous effects on innovative efficiency, suggesting that the impact is not solely crowding out or a pulling effect but varies based on asset type and proportion. Additionally, it argues for continual adjustment of proper corporate financialization levels based on firm-specific factors and changing external conditions. Notably, excessive financialization appears less prevalent among Chinese firms, with internal governance and external environmental enhancements recommended to optimize financialization for innovation.

We examine the empirical performance in the Korean stock market of three new asset pricing factor models: the Stambaugh–Yuan (2017) mispricing factor model, the Daniel et al. (2020) three-factor model, Barillas-Shanken (2018) six-factor model and the Hou et al. (2021) q5-factor model. We find that all factors in these factor models have significantly positive risk premiums and are not explained by the Fama–French six-factor model. Compared to other prevalent models, the q5 model shows the highest maximum Sharpe ratio, mainly due to its profitability and expected growth factors. Further, the q5 model exhibits superior performance in explaining the returns of 97 anomaly portfolios in the Korean market.