Asia-Pacific Journal of Financial Studies最新文献

In this paper, we examine the January effect in China's A-share stock market from January 1995 to December 2019 using both the solar and lunar calendars. Consistent with the existing literature, we find the absence of a traditional January effect in the solar calendar; however, we observe a strong January effect in the lunar calendar. Moreover, the effect is much stronger in small firms. We demonstrate that the tax-loss selling and window dressing hypotheses cannot explain the turn-of-the-year effect in China. Instead, the turn-of-the-year effect in trading volume and buy orders help to explain the strong lunar January effect. As a falsification test, we examine the B-share market that is predominantly composed of foreign investors and find no evidence of the lunar January effect. Our results show that Chinese financial markets are more closely aligned with the traditional lunar calendar than the standard solar calendar.

Using textual information regarding innovation in the annual reports of Chinese listed firms for the period from 2007 to 2019, we examine how firms alter their innovation activities in response to the tone of peer firms' discussions of innovation in their annual reports (“innovation tone”). We find that a positive innovation tone in peer firms' annual reports results in a significant reduction in R&D investments by the focal firm, especially when such a tone pertains to the future. Our cross-sectional analyses show that peers' innovation tone strongly affects R&D investments when the focal firm operates in a non-high-tech or highly competitive industry, or is readily willing to adjust its innovation strategy. Further investigation shows that the marginal benefits of a focal firm's R&D investments decline when annual peer reports adopt relatively positive innovation tones. Our results enrich the literature on the peer effects of textual information on innovation and have implications for firms' innovation strategies.

Based on the survey data from the China National SME Survey Database in 2019, we analyze the relationship between executive financial literacy and the performance of Chinese small and medium-sized enterprises (SMEs). We find that executive financial literacy helps improve corporate performance, especially for companies with weak external supervision and low competitive pressure. After controlling for the effects of the variables at the individual executive and enterprise levels, addressing possible endogenous problems in the analysis, robustness tests and heterogeneity analyses indicates that our findings remain unchanged. We further show that executive financial literacy improves corporate performance by alleviating corporate financing constraints and improving corporate risk management. Our findings have important policy implications for stimulating the vitality of economy and promoting high-quality economic development.

This study employs data from Chinese firms between 2017 and 2019 to explore how government–business relations affect corporate cash holdings. We find that healthy government–business relations have a significantly positive impact on corporate cash holdings. The mechanism test reveals that the former affects the latter via investment opportunities. Furthermore, product market competition positively moderates the relationship between government–business relations and corporate cash holdings, but financial constraints negatively moderate this relationship. The results of our research have implications for the government to optimize the quality of governance and for enterprises to adjust their business strategies.

This study introduces a new BEKK-CARR model to explore the volatility spillover effects among mainland China, Hong Kong, and Taiwan stock markets during the COVID-19 pandemic. We also extend the approach of Diebold and Yilmaz (2009, 2012) to infer a brand-new volatility spillover index to discuss the bi-directional volatility transmission. Our results show that the trading information flow among these three markets has changed significantly as a result of the COVID-19 pandemic. The strength of volatility spillover is increasing during this momentous period. The Hong Kong stock market plays a pivotal role in volatility transmission. The values for half-lives by exogenous shocks keep relatively low during the pandemic period. A reasonable explanation is that the trading information transmissions among stock markets are quicker than in the non-pandemic period.

We study the impact of intended use of proceeds disclosed in the section of “Use of Proceeds” in prospectuses on ChiNext IPOs' initial underpricing. After splitting the entire period into two non-overlapping sub-periods to control for regulatory changes and after controlling for the firm-level characteristics and market conditions, we find that the overall information disclosed from “Use of Proceeds” affects IPO initial underpricing significantly over the two sub-periods. Moreover, the intended use of IPO proceeds in several specific categories affects underpricing too. The proceeds raised for IPO firms' information platform and research and development over the second sub-period while the proceeds to promote marketing and sales and to expand existing products over the first sub-period are significantly and positively related to initial underpricing. The significance changes for the IPOs with the opportunity to change their use of proceeds after IPOs. We explore the causes and effects to explain our findings.

This study was designed to determine the nature of the association between the financial structure decision and shareholders' wealth—dividend payments—of firms listed on one of the largest stock markets in oil-based economies, the Saudi stock market. The study used panel data for all nonfinancial firms listed in Saudi Arabia's primary stock market (TASI) during the period from 2000 to 2018. The pooled ordinary least squares, quantile, generalized method of moments and U-tests were conducted to evaluate the association between the financial structure decision and dividend payment. The preliminary findings revealed a positive effect of financial leverage on dividend payments using a linear model. However, when a nonlinear model was used, the study found a nonlinear relation between the financial structure decision and dividend payouts, which exhibited an inverted U-shaped curve driven by levels of debt. This nonlinear relation verifies the tenets of the trade-off theory of optimum debt level based on the costs and benefits of the debt. Further, the study found a negative influence of firm performance, size, and age on dividend payments. The outcomes of this study may provide useful insights for policymakers, managers, and lenders into the optimal level of financial leverage and efficient dividend policies.

We assume a hypothetical defined benefit (DB) pension plan that reflects the characteristics of the occupational pension in South Korea and propose a surplus optimization strategy using a regime-switching model. Using conditional surplus at risk, we construct an optimized portfolio that limits extreme tail risks. Furthermore, we identify the surplus risk and return conditional on global macroeconomic status using a hidden Markov model. The main results are that (i) the DB pension portfolio should move from principal-protected products to diverse capital market products, and (ii) the DB pension portfolio using the regime-switching model outperforms an unconditional static portfolio.

We examine the influence of political uncertainty on the corporate social responsibility (CSR) of local firms in China. Political uncertainty refers to government officials' turnover. We find that these firms significantly increase their CSR activities when city government officials are changed or replaced. We also find that political uncertainty increases firms' attention to employee responsibilities, supply chain responsibilities, and environmental responsibilities. In addition, the turnover of government officials increases CSR activities due to the reduction or loss of political connections. The anti-corruption campaign has also strengthened the influence of political uncertainty on CSR.

Based on the perspective of market attention, this study investigates financial analysts' performance in the presence of corporate philanthropy in China. We find that the involvement of corporate philanthropy is associated with lower analyst forecast error. Additionally, our results show that the favorable effect of philanthropy on analyst forecast accuracy is stronger for firms with higher and easier information exposure in the face of engaging in corporate philanthropy. Collectively, our findings have important implications for academics and practitioners in understanding the function of corporate philanthropy in financial markets.