中文目錄
1.基于機(jī)器學(xué)習(xí)的中國(guó)股票市場(chǎng)資產(chǎn)定價(jià)
2.媒體公司聯(lián)結(jié)董事、融資與外部治理
3.高管過(guò)度自信
4.傾聽(tīng)投資者的想法和對(duì)話
5.本地報(bào)紙關(guān)閉與企業(yè)不端行為
6.ESG評(píng)級(jí)不確定性與負(fù)責(zé)任投資

1.Machine learning in the Chinese stock market（JFE2022）

We add to the emerging literature on empirical asset pricing in the Chinese stock market by building and analyzing a comprehensive set of return prediction factors using various machine learning algorithms. Contrasting previous studies for the US market, liquidity emerges as the most important predictor, leading us to closely examine the impact of transaction costs. The retail investors’ dominating presence positively affects short-term predictability, particularly for small stocks. Another feature that distinguishes the Chinese market from the US market is the high predictability of large stocks and state-owned enterprises over longer horizons. The out-of-sample performance remains economically significant after transaction costs.

2.The effect of media-linked directors on financing and external governance（JFE2022）

Firms sharing a board member with a media company receive more news coverage. This in turn affects those firms’ financing choices: they issue more bonds, rely less on bank loans, and have lower blockholder ownership. These findings are consistent with media coverage acting as an external governance mechanism that substitutes for monitoring by banks and equity blockholders. The effect of media-linked directors on financing is evident in panel and time series analyses and using two different?instrumental variable?analyses, suggesting a causal relation.

3.What is CEO overconfidence? Evidence from executive assessments（JFE2022）

We use detailed assessments of CEO personalities to explore the nature of CEO overconfidence as it is commonly measured.?Longholder, the option-based measure of CEO overconfidence introduced by Malmendier and Tate (2005a) and widely used in the behavioral corporate finance and economics literatures, is significantly related to several specific characteristics that are associated with overconfident individuals as well as individuals with lower ability. Similar relations hold for overconfidence measures based on CEOs’ earnings guidance. Investment-cash flow sensitivities are larger for both?Longholder?and less able CEOs. After controlling for ability and other characteristics,?Longholder?CEOs’ investments remain significantly more sensitive to cash flows. These results suggest that overconfidence, as measured by?Longholder, is correlated with lower ability but still reflects empirically distinct aspects of overconfidence.

4.Listening in on investors’ thoughts and conversations（JFE2022）

A large literature in neuroscience and social psychology shows that humans are wired to be meticulous about how they are perceived by others. In this paper, we propose that impression management considerations can also end up guiding the content that investors transmit via word of mouth and inadvertently lead to the propagation of noise. We analyze server log data from one of the largest investment-related websites in the United States. Consistent with our proposition, we find that investors more frequently share articles that are more suitable for impression management despite such articles less accurately predicting returns. Additional analyses suggest that high levels of sharing can lead to overpricing.

5.When the local newspaper leaves town: The effects of local newspaper closures on corporate misconduct（JFE2022）

We examine whether the?local?press is an effective monitor of corporate misconduct. Specifically, we study the effects of local newspaper closures on violations by local facilities of publicly listed firms. After a local newspaper closure, local facilities increase violations by 1.1% and penalties by 15.2%, indicating that the closures reduce firm monitoring by the press. This effect is not driven by the underlying?economic conditions, the underlying local fraud environment, or the underlying firm conditions. Taken together, our findings indicate that local newspapers are an important monitor of firms’ misconduct.

6.Sustainable investing with ESG rating uncertainty（JFE2022）

This paper analyzes the asset pricing and portfolio implications of an important barrier to sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market premium increases and demand for stocks declines under ESG uncertainty. In addition, the?CAPM?alpha and effective beta both rise with ESG uncertainty and the negative ESG-alpha relation weakens. Employing the?standard deviation?of ESG ratings from six major providers as a proxy for ESG uncertainty, we provide supporting evidence for the model predictions. Our findings help reconcile the mixed evidence on the cross-sectional ESG-alpha relation and suggest that ESG uncertainty affects the risk-return trade-off, social impact, and economic welfare.