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62 records from EconBiz based on author Name
1. Replicating and digesting anomalies in the Chinese A-share market
Li, Zhibing; Liu, Laura Xiaolei; Liu, Xiaoyu; Wei, K. C. John;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
2. Replicating and Digesting Anomalies in the Chinese A-share Market
abstractWe replicate 469 anomaly variables similar to those studied by Hou, Xue, and Zhang (2020) using Chinese A-share data and a reliable testing procedure with mainboard breakpoints and value-weighted returns. We find that 83.37% of the anomaly variables do not generate significant high-minus-low quintile raw return spreads. Further adjusting risk increases the failure rate slightly to 84.22% based on CAPM alphas and 86.99% based on Fama–French 3-factor alphas. We show that the conventional procedure using all A-share breakpoints with equal-weighted returns for the anomaly test is indeed problematic, as it assigns too much weight to microcaps and has a very limited investment capacity. The CH3-factor, CH4-factor, and q-factor models show the best performance over the whole sample period. The q-factor model is the best performer in the post-2007 subsample period, after significant improvements occurred in China’s financial market environment, such as the completion of the split-share structure reform and the implementation of new accounting standards conforming to the IFRS. The non-SOE subsample in the post-2007 period is a cleaner sample, in which the CH4-factor and q-factor models are the best performers
Li, Zhibing; Liu, Laura Xiaolei; Liu, Xiaoyu; Wei, K. C. John;2023
Availability: Link Link
3. Expectation disarray : analysts' growth forecast anomaly in China
Liu, Laura Xiaolei; Zhu, Yandi; Zhang, Xinyu; Zhang, Yingguang;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
4. IPO underpricing and limited attention : theory and evidence
Liu, Laura Xiaolei; Lu, Ruichang; Sherman, Ann E.; Zhang, Yong;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
5. Bankruptcy Resolution and Cost of Debt : Evidence from Bond Market in China
abstractUsing the staggered introduction of regional specialized debt recovery courts as a quasi-natural experiment, we estimate the impact of bankruptcy resolution on the financing cost of corporate bonds in China. We find that the introduction of specialized courts reduces the bond financing cost by around 10%. Next, we examine the heterogeneous effects across ex-ante default risk at regional-, firm-, and bond-level, as well as the unexpected bond default event associated with Yongcheng Coal Power Holding Group Co., Ltd (YCP) in November 2020. We show that the decrease in bond financing cost after the introduction of specialized courts is stronger when the ex-ante default risk is high. We further investigate the debt resolution channel and show that specialized courts are associated with higher debt recovery rate as well as short duration in bankruptcy procedure. Our findings indicate that the enhancement in bankruptcy resolution strengthens the creditors protection, which contributes to the debt financing of firms in China
Li, Bo; Li, Mai; Li, Songnan; Liu, Laura Xiaolei;2022
Availability: Link Link
6. Local Government Implicit Debt and the Pricing of LGFV Bonds
abstractChinese local governments have issued a large number of local government financing vehicle (LGFV) bonds since 1994 when the Budget Law was promulgated, where local governments were prohibited from raising debt on their own. Although LGFV bonds are implicitly backed by governments, there has been no consensus on which level of government is expected to bail out the issuer in the event of financial distress. Based on the public disclosures of bond-issuing firms, we create a proxy for total municipal implicit debt using the total outstanding interest-bearing debt of LGFVs under the jurisdiction of a local government, and further analyze the impact of this debt on a LGFV bond’s credit spread in both the primary and secondary markets. In this way, we can also identify the level of government that is considered as an implicit guarantor. We find that a LGFV bond’s credit spread is positively correlated with local governments’ implicit debt ratios and that their correlation changes with government policies and macroeconomic conditions. The Yunnan Highway default event focused investors’ attention on the implicit debt of municipal governments. After the later release of the State Council Directive No. 43, which governs local governments’ debt swap arrangements, provincial governments’ implicit debt ratios became another key pricing factor. These results suggest that investors’ views about which level of government is the implicit guarantor change over time
Liu, Laura Xiaolei; Lyu, Yuanzhen; Yu, Fan;2022
Availability: Link Link
Citations: 1 (based on OpenCitations)
7. Customer Risk and Corporate Financial Policy : Evidence from Receivables Securitization
abstractThe risk of customers affects corporate financial policy by limiting the ability of firms to securitize customer receivables. We find that firms with riskier receivables, based on the credit risk and diversification of the firms' principal customers, have lower financing capacity and lower leverage in their asset-backed securitizations. Because securitizations are designed to create a very safe claim by separating the risk of the securitized assets from the risk of the originating firms, increases in the risk of the receivables directly inhibit originating firms' ability to securitize assets and indirectly inhibit the originating firms' access to external finance. The study highlights a novel link between the financing of supplier firms and the financial health of their customers and shows how an increase in risk can limit access to external capital
Liu, Laura Xiaolei; Mao, Mike Qinghao; Nini, Gregory P.;2018
Availability: Link
8. The Impacts of Political Uncertainty on Asset Prices : Evidence from the Bo Scandal in China
abstractModels of political risk predict that increases in political uncertainty cause stock prices to fall, especially for politically sensitive firms. We use the event of the Bo Xilai political scandal in 2012 in China as an exogenous shock to identify the impact of political uncertainty on asset prices. We document that the Bo scandal caused a significant drop in stock prices, especially for firms that are more politically sensitive. Further analysis shows that the stock price drop is mainly driven by a change in discount rate, providing strong support for the existence of priced political risk
Liu, Laura Xiaolei; Shu, Haibing; Wei, K. C. John;2017
Availability: Link
9. Customer risk and corporate financial policy : evidence from receivables securitization
Liu, Laura Xiaolei; Mao, Mike Qinghao; Nini, Gregory P.;2018
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 20 (based on OpenCitations)
10. Limited Attention, Legalized Bribery and the Initial Public Offering Process
abstractAn initial public offering (IPO) is one time when a company can legally lsquo;bribe' institutional investors to pay attention to it ndash; investors that regularly attend road shows and give reliable feedback can expect allocations of underpriced shares in hot offerings. Our model generates a novel set of predictions regarding the relationship between initial returns and attention, retention, expansion and the benefits of attention, plus the asymmetry of the relationship with attention. Consistent with our model, investors' attention is positively related to both initial returns and the magnitude of price revision. The relationship between attention and underpricing is asymmetric, and stronger when ex ante uncertainty is greater. Our work has implications regarding direct listings, is consistent with partial adjustment to public information, explains the relative unpopularity of grey market/when-issued trading and predicts that, even if the JOBS Act leads to more active pre-IPO trading (through crowdinvesting/equity crowdfunding), underpricing will still occur
Liu, Laura Xiaolei; Lu, Ruichang; Sherman, Ann E.; Zhang, Yong;2020
Availability: Link Link
Citations: 1 (based on OpenCitations)
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