Carbon emission trading system and stock price crash risk of heavily polluting listed companies in China:based on analyst coverage mechanism

This study reveals the inconsistencies between the negative externalities of carbon emissions and the recognition condition of accounting statements.Hence,the study identifies that heavily polluting enterprises in China have severe off-balance sheet carbon reduction risks before implementing the carbon emission trading system(CETS).Through the staggered difference-in-difference(DID)model and the propen-sity score matching-DID model,the impact of CETS on reducing the risk of stock price crashes is examined using data from China’s A-share heavily polluting listed companies from 2007 to 2019.The results of this study are as follows:(1)CETS can significantly reduce the risk of stock price crashes for heavily polluting companies in the pilot areas.Specifically,CETS reduces the skewness(negative conditional skewness)and down-to-up volatility of the firm-specific weekly returns by 8.7%and 7.6%,respectively.(2)Heterogeneity analysis further shows that the impacts of CETS on the risk of stock price crashes are more significant for heavily polluting enterprises with the bear market condition,short-sighted management,and intensive air pollution.(3)Mechanism tests show that CETS can reduce analysts’coverage of heavy polluters,reducing the risk of stock price crashes.This study reveals the role of CETS from the stock price crash risk perspective and helps to clarify the relationship between climatic risk and corporate financial risk.

Investor Attention,Analyst Optimism,and Stock Price Crash Risk

This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst optimism,and stock price crash risk.The results indicated that investor attention aggravates the stock price crash risk and has a positive effect on analyst optimism.Meanwhile,the analyst optimism plays a mediating role in the positive correlation between investor attention and stock price crash risk.In addition to that,institutional investor attention also has direct and indirect effects on the crash risk.

Research on Agricultural Product Price Risk and Risk Management

There are a variety of reasons for agricultural product price risk,and drastic volatility in agricultural product price can give a tremendous negative impact on agriculture and even whole society. The paper argues that the agricultural product price risks include( i) price risk caused by decrease in yield and quality of agricultural products due to natural disasters;( ii) price risk caused by actual change of the market supply and demand;( iii) price fluctuation risk caused by the change of the price of the related products;( iv) sharp price volatility risk caused by market speculation;( v) risk caused by periodic property of agricultural products and lack of elasticity of agricultural demand;( vi)risk caused by lack of government management. Agricultural product price risk poses great harm to farmers,small and medium-sized agricultural operators and general consumers. This paper brings forward the specific recommendations for solving agricultural product price risk.

Corporate pledgeable asset ownership and stock price crash risk

We investigate how a firm’s corporate pledgeable asset ownership(CPAO)affects the risk of future stock price crashes.Using pledgeable asset ownership and crash risk data for a large sample of U.S.firms,we provide novel empirical evidence that a firm’s risk of a future stock price crash decreases with an increase in its pledgeable assets.Our main findings are valid after conducting various robustness tests.Further channel tests reveal that firms with pledgeable assets increase their collateral value,thereby enhancing corporate transparency and limiting bad news hoarding,resulting in lower stock price crash risk.Overall,the results show that having more pledgeable assets enables easier access to external financing,making it less likely that managers will hoard bad news.

An Approach to Quantify the Heat Wave Strength and Price a Heat Derivative for Risk Hedging

Mitigating the heat stress via a derivative policy is a vital financial option for agricultural producers and other business sectors to strategically adapt to the climate change scenario. This study has provided an approach to identifying heat stress events and pricing the heat stress weather derivative due to persistent days of high surface air temperature （SAT）. Cooling degree days （CDD） are used as the weather index for trade. In this study, a call-option model was used as an example for calculating the price of the index. Two heat stress indices were developed to describe the severity and physical impact of heat waves. The daily Global Historical Climatology Network （GHCN-D） SAT data from 1901 to 2007 from the southern California, USA, were used. A major California heat wave that occurred 20-25 October 1965 was studied. The derivative price was calculated based on the call-option model for both long-term station data and the interpolated grid point data at a regular 0.1~ x0.1~ latitude-longitude grid. The resulting comparison indicates that （a） the interpolated data can be used as reliable proxy to price the CDD and （b） a normal distribution model cannot always be used to reliably calculate the CDD price. In conclusion, the data, models, and procedures described in this study have potential application in hedging agricultural and other risks.

Reason Analysis and Risk Prevention of Soaring Price of Traditional Chinese Medicinal Materials

In recent years,the price of traditional Chinese medicinal materials soars continuously,and the resulting price risk increasingly looms large,which has critically affected midstream and downstream industries and peoples' demand for drug,and imperiled healthy and orderly development of traditional Chinese medicinal industries.Based on the status quo of continuous skyrocketing price of traditional Chinese medicinal materials at present,we winkle out the root cause of soaring price as follows:the supply and demand lose balance;the production costs hike up;there are other factors responsible for soaring price.This paper further analyses the impact of sharp increase in price of traditional Chinese medicinal materials on all links of industry chain as follows:the medicinal herb growers never benefit from soaring price;the counterfeiters and forgers in midstream industry increase;the gross profit rate of Chinese medicine enterprises declines.In accordance with the risk arising from abnormal fluctuation in price of traditional Chinese medicinal materials,corresponding precautionary measures are put forward as follows:promote the quality of traditional Chinese medicinal materials through management of value chain;curtail the production and management cost of traditional Chinese medicinal materials through management of organization chain;stabilize price of traditional Chinese medicinal materials through management of information chain;reduce transaction cost of traditional Chinese medicinal materials through management of logistics chain.

极端天气场景下基于天气衍生品的电价风险管理

极端天气会导致线路跳闸,发电能力损失,负荷激增。市场环境下用户将承受高昂电价冲击,危及社会稳定。此时抑制电价飙升,管理电价风险十分重要。为此,设计了一种基于电价和发电损失容量的电力天气衍生品,可有效管理电价风险。首先,依据风险分解结构原理从源网荷及发电商报价角度分析了极端天气对电价的影响。其次,设计了考虑电价、天气为执行条件和基于损失容量与电价为收益函数的天气衍生品,并从理论层面分析了其效果。最后,结合预期效用最大化目标和电力市场出清模型进行发电商决策与电价模拟,使用条件风险价值(CVaR)指标评估了电价风险及衍生品效果。结果显示,所提电力天气衍生品使极端天气对发电商收入的冲击降低80%以上,用户电价均值降低约0.2%,用户电价风险降低20%以上,说明可有效控制电价风险,助力电力市场建设以及新型电力系统构建。

Opportunities and Risks of Natural Gas Investment in China under the Circumstance of Low Oil Prices

After more than 30 years of rapid growth, the Chinese economy has entered the "new normal" of moderately high growth. Due to the effects of multiple factors, the international oil price has remained consistently low. The low oil price has exerted critical effects on international natural gas investment. At the same time, the market-oriented price mechanism of natural gas in China is gradually taking shape; the concept of low carbon development is widely advocated; and the use of natural gas gains popularity in the city. Such factors provide great opportunities for investment in the natural gas market of China, including boiler coal-to-gas transformation, natural gas distributed energy and natural gas vehicles. However, risks also exist, such as the lower competitiveness of natural gas, its excess production capacity and dwindling consumption in some gas consumption industries, an insufficient driving force for facilitating the coal-to-gas transformation of industrial fuel users, reverse substitution of "coal in place of gas" in some enterprises, nontransparent costs of the downstream link of the natural gas price chain, and mismatches and nonsynchronous adjustments in natural gas prices and electricity prices.

Rapid Price Hike and Tumble of Cocoon Risks in Chinese Silk Industry

Back to 1994, a transient price hike of cocoon silk eventually led to a predicament for Chinese silk industry in the following years. A decade later, is that slump going to happen again?

可变风险溢价结构下跳扩散模型的期权定价

风险溢价结构是真实测度与风险中性测度间的纽带,能够帮助提取投资者的风险偏好特征。本文针对跳扩散模型构建了灵活的风险溢价形式,允许期权市场隐含信息参与校准跳跃风险的市场价格,进而研究存在跳跃情形下的期权定价,并探索市场风险溢价结构。数值分析和实证研究表明,可变风险溢价结构有助于准确刻画市场定价核曲线,且市场风险溢价结构具有明显的时变特征,跳跃风险溢价能够较好解释隐含波动率曲面。此外,跳扩散模型的可变风险溢价结构在样本内外都具有明显的期权定价优势。考虑了不同样本长度、定价方法、定价区间以及期权产品后,以上结论均是稳健的。本研究有助于系统了解不同市场风险溢价结构与定价规律,有利于深入探索跳跃风险溢价补偿机制。

甘肃省苹果“保险+期货”价格风险管理研究

采用EGARCH模型实证分析了2017—2021年甘肃省苹果价格波动特征,结果表明,甘肃省苹果价格序列呈现“尖峰厚尾”特征,当期苹果价格上涨对下期市价波动的影响更大。甘肃省通过建立苹果“保险+期货”价格风险管理机制增强了苹果产业链规避价格风险的能力,为农户防范苹果价格波动风险构筑了屏障。甘肃省全面推行苹果“保险+期货”还存在制约因素:资金不足,补贴依赖性强,期货基差风险、期货对冲风险影响保险效果。全面推广苹果“保险+期货”业务需要进一步增加政府资金支持、拓宽保险资金筹集渠道、创新保单设计和场外期权产品、加强农户的金融知识培训、优化参与主体的协同机制及加强新一代信息技术应用。

异质资本持股、内外部治理与国有企业股价崩盘风险

防范系统性金融风险是经济健康发展的重要保障。鉴于股价崩盘风险与系统性金融风险的关联性,以2014~2020年国有企业为样本,实证检验不同性质的非国有资本参股对国有企业股价崩盘风险的影响,并进一步考察企业内外部治理对非国有资本参股与国有企业股价崩盘风险之间关系的调节效应。研究结果表明,民营资本参股降低了股价崩盘风险,机构投资者参股增加了股价崩盘风险,而外资参股不存在显著影响。在进行一系列稳健性检验之后,结果仍然成立。就内外部治理而言,内部治理水平仅对民营资本持股比例与股价崩盘风险之间的关系有显著的正向调节作用,外部治理环境仅对机构投资者持股比例与股价崩盘风险之间的关系有显著的负向调节作用。

企业安全生产影响审计定价吗?

员工是企业竞争力提升的重要引擎,其待遇和保护愈发受到企业利益相关者和资本市场的重视。本文以2008-2020年我国沪深A股九大重点监管行业的上市公司为研究样本,首次实证考察了企业安全生产对审计定价的影响,并基于审计风险视角探索其作用机制。研究发现:企业的负面安全生产事件会显著提高审计定价;在考虑内生性及稳健性检验后,研究结论仍然成立。机制探索发现,负面安全生产事件增加了企业的经营风险、财务风险以及法律风险,这些风险作用于审计风险,进而导致审计定价提高。进一步研究发现,负面安全生产事件对审计定价的影响在规模较大的事务所以及法治水平较高的地区更为显著。本文从员工待遇的视角丰富了审计定价相关研究,拓展了审计决策的理论依据,同时也为投资者及监管部门理解企业安全生产的后果提供了有益借鉴。

CEO变更是降低股价崩盘风险的“灵药”吗?——基于财务困境公司的实证研究

结合财务困境的特殊背景,从CEO的角度探讨2007—2020年我国财务困境公司CEO变更对股价崩盘风险的影响。研究发现,财务困境公司的CEO变更与股价崩盘风险之间呈显著负相关关系。将CEO变更分为正常变更和非正常变更后发现,这种负相关关系在非正常变更的情况下更为显著。机制检验显示,CEO变更能够降低财务困境公司的融资约束和代理成本,进而作用于股价崩盘风险。进一步分析发现,CEO变更和非正常变更对股价崩盘风险的降低效应仅在非国有公司、股权制衡度较高以及外部审计质量较低的情况下存在,而正常变更的降低效应却在国有公司更加显著。

高管激励调整、会计信息质量与公司股价崩盘风险

高管作为企业运营的核心主体,其薪酬激励方式的选择与调整是决定公司风险防控和未来发展的关键因素。以2007—2020年中国沪深A股上市公司为研究对象,实证检验了高管激励调整对公司股价崩盘风险的影响及作用机制。研究发现,高管激励调整、高管激励方式由现金调整为股票期权、高管激励调整次数上升均能够显著降低上市公司股价崩盘风险,且会计信息质量在高管激励调整对公司股价崩盘风险的影响中发挥了部分中介效应。异质性分析表明,高管激励调整对股价崩盘风险的缓解效应仅显著存在于处于成长期或成熟期(而非衰退期)以及分析师关注度较高的企业中。因此,企业应建立相对灵活的薪酬激励长效机制,根据不同生命周期设计合理的奖惩制度,并适度调整契约条款,进而防范公司股价崩盘风险。

考虑成本风险的装备科研激励约束定价设计

带有激励约束机制的装备科研合同定价模式能够较好地适应因科研项目不确定性所带来的成本风险,而激励系数的确定是其中的关键设计。在总结和比较典型的激励约束定价设计的基础上,针对激励系数设计与科研成本风险分析未能有效结合的问题,基于项目工作分解结构(WBS),采用模拟仿真方法得到项目成本概率分布,考虑成本风险大小给出装备科研价格激励约束原则,结合成本概率分布的分位数选择成本上下限,进而确定激励系数和约束系数。同时,还进行了实例分析,结果验证了研究方法的有效性。

基于深度学习的投资者情绪挖掘及其对股价崩盘风险的影响

本文基于网络爬虫挖掘东方财富股吧中个股的发帖文本,搭建卷积神经网络和长短时记忆神经网络特征融合模型(LSTM-CNN),对样本股的股吧发帖文本进行情感识别,构建投资者情绪指标并分析了其对股价崩盘风险的影响效应及其机制。实证发现,当期投资者情绪对下一期股价崩盘风险存在显著的正向影响效应,投资者情绪高涨加剧了未来股价崩盘风险;不同市场环境下,情绪对股价崩盘风险影响具有不对称性,熊市状态下投资者情绪对崩盘风险的正向影响效应更为明显。进一步的异质性分析表明,规模较小、股权集中度较低、卖空限制大、公司所在地市场化水平低的样本公司中投资者情绪对股价崩盘风险的影响更为明显。此外,我们发现股票流动性是投资者情绪影响股价崩盘风险的一个重要的中介变量。研究结论有助于从投资者情绪视角来解释股价崩盘风险的形成机理,丰富了对股价崩盘风险影响因素的认识。

共同机构所有权与股票市场稳定:协同治理还是合谋垄断?

随着我国资本市场的快速发展,机构投资者在同一行业持股多家公司(共同机构所有权)的经济现象日益普遍。从股价崩盘风险视角研究共同机构所有权如何影响股票市场稳定,实证研究发现:共同机构所有权显著加剧股价崩盘风险,支持合谋垄断的观点。异质性检验发现:共同机构所有权对股价崩盘风险的影响在产业资本持股更高和信息环境较差的公司样本中更显著。作用机制检验发现:存在共同机构所有权的公司会显著减少年报中负面语调的披露,并且《中华人民共和国反垄断法》的实施能够显著抑制共同机构所有权对股价崩盘风险的影响,从而验证合谋垄断动机下的坏消息隐藏机制。