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.

Stock Liquidity Risk Pricing Model Driven by Systematic and Unsystematic Risk

In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.

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.

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.

The Association Between Corporate Governance Mechanisms and Stock Investment Risk： Empirical Evidence From Thailand

This study examines the association between corporate governance mechanisms （i.e., internal corporate governance, ownership structure, and external corporate govemance） and stock investment risk （i.e., idiosyncratic risk, systematic risk, and total risk of non-financial listed firms in Thailand in 2007）. The multiple regression analysis is employed to test the hypotheses, and the results suggest that firms with higher market power have lower systematic risk. It implies that firms with higher market power can reduce the unavoidable risk when compared with firms that have lower market power. Firms with more media coverage will have higher systematic risk, which indicates that firms which publish more news will have higher unavoidable risk. This research may be the first to provide the evidence of the association between corporate govemance mechanisms and stock investment risk. Interestingly still, this study has utilized the data of Thailand, which is an emerging market economy with a capital market structure different from those of the developed market economies, and the results of this study are anticipated to be applicable to other similar studies in other emerging market economies.

Model of Risk Forewarn and Investment Decision in Stock Markets and Its Realization

Based on the discussion of characteristic and mechanism of the stock prices volatility in Chinese emerging stock markets, this research designs an index system for risk forewarn, and builds up an investment decision model based on the forewarn of the market risk signal. Then, on probing into the structure and function of the realization of the model, the paper presents the method of data interface.

Risk management of stock index futures

The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measurement of the stock index futures market. The results suggest that under normal market conditions it is feasible to apply the VaR method in the measurement of the market risks of stock index futures. The daily VaR value of the stock index futures provides a foreseeable profit and loss of the stock index futures. Financial supervisors can adjust their supervising strategies according to the daily VaR value. The speculators can adjust risk capital reserve rates in the same way. The application of this method in China's stock index futures market requires the solutions to specific problems: the absence of historical data, the difficult confirmation of non-risk interest rates etc.

Study of the Discount on Private Placements and Risk of Stock Market Crash in Listed Companies

With the gradual completion of the split-share structure reform,private placement has gradually become the mainstream of refinancing. One of the points that the practical and theoretical circles are widely concerned about is that the private placement price is often higher than the market price at the time of the private placement. High discounts are often accompanied by the transmission of benefits,and the increase in insider information will lead to the risk of a stock market crash? This paper intends to use the data of A-share listed companies from 2006 to 2015 to empirically study the relationship between the discount on private placements and the risk of stock market crash. At the same time,this paper examines whether the degree of information asymmetry plays a regulatory role in the relationship between the discount on private placements and the risk of stock market crash. This paper provides a certain reference for the regulatory authorities to improve the relevant laws and regulations in the private placement,and to provide a certain reference for the protection of the interests of small and medium-sized investors.

IMPROVED GENETIC ALGORITHM TO OPTIMAL PORTFOLIO WITH RISK CONTROL

A modified model of optimal investment port folio in a random market with risk constraints is presented. An improved genetic algorithm (GA) is proposed to solve this nonlinear optimal problem. The numerical simulation of a large-scale investment combination for Shanghai stock market shows that GA has the advantage of faster convergence and wider adaptability than traditional optimization algorithm. This result alsodemonstrates that the improved GA performs better than the basic GA.

基于改进的RiskMetrics模型的股票市场风险度量

对RiskMetrics模型两个假设做出改进,并运用改进的RiskMetrics模型对2007年1月至2018年9月的国内外股票指数日收盘价序列进行建模,实证结果表明:改进的RiskMetrics模型可以更加精准刻画三类股指序列的在险价值。美国股市对利空消息的反应非常剧烈,沪深股市与香港股市之间具有趋同性,但两者对新息冲击的反应有所不同,沪深股市对利空消息与利好消息的反应区别不明显,而香港股市对利空消息的反应明显强于利好消息。另外,三类指数的收益率序列均呈“尖峰厚尾”特性;股票价格波动对冲击的反应速度由高到低依次是美国股市、香港股市、内地股市,而对冲击的持久性由强至弱的排序则恰恰相反。

Positive Study on the Risks of Investment

In this paper, an empirical research on the system risks of the Shenzhen Stock Market using capital asset pricing model is conducted. The typical composition stocks on Shenzhen Stock Market in 1998 are taken as samples. Some quantitative analysis results are got, which can measure the risk of stock market.

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。

公司ESG表现与防范股票市场风险——基于股价同步性的路径分析

本研究选取2010—2021年我国A股上市公司的面板数据,以固定效应模型深入探讨公司的环境、社会和治理(ESG)表现与股价崩盘风险间的联系;并进一步分析了面对外部风险冲击时,ESG表现出色的公司是否展现出更强的韧性,即能够降低股价崩盘风险。同时,本研究通过股价同步性进行路径分析,以更深层次地理解公司的ESG表现和股价崩盘风险间的逻辑联系。研究表明,当公司的ESG表现更为出色时,其股价崩盘的风险也相应降低;相比于国有企业,拥有更出色ESG表现的非国有企业,在减少股价崩盘这方面的效果更优;在面对公共卫生等突发事件时,ESG表现出色的公司,拥有更强的抵御冲击的能力,股价崩盘的可能性更低。股价同步性在ESG表现和股价崩盘风险间产生了遮掩作用,使ESG表现与股价崩盘风险间的负相关性减弱。本研究为探讨股价崩盘的影响因素提供新的研究视角,帮助理解公司ESG表现在资本市场中的作用,对预防和化解金融风险并促进我国资本市场的进一步发展具有理论和现实意义。

企业提高ESG表现能够降低股价崩盘风险吗?

本文以2011—2020年沪深A股上市公司为对象,运用企业ESG表现对股价崩盘风险影响的处理效应模型(Treatment effect model)考察ESG表现对股价崩盘风险的影响。研究结果表明,企业提高ESG表现会抑制股价崩盘风险,符合“价值假说”。影响机制检验表明,媒体与分析师关注度正向调节ESG表现对股价崩盘风险的抑制作用,发挥“互补效应”;企业提高ESG表现通过缓解委托代理冲突抑制股价崩盘风险。进一步分析发现,ESG表现对股价崩盘风险的抑制作用仅在非国有企业和所处地区市场化水平较低的企业中成立,且抑制股价崩盘风险是ESG表现提升企业价值的重要路径。上述结论为推动上市公司履行ESG投资责任、完善风险管理机制和实现企业长期价值提供了经验参考。

中国股票市场风险因子研究综述

【背景】股票市场在现代金融体系中扮演着关键的角色,为国家经济发展提供了有利的融资环境和健康的融资渠道。但作为风险投资市场,股票市场具有较高的敏感性和波动性,因此对其系统风险进行量化和防范显得尤为重要。【方法】风险因子作为度量股市风险的重要指标,对构建有效的中国股市风险因子具有重要意义。本文分析和总结国内学者基于统计学和机器学习方法构建风险因子的相关研究,并对未来的发展方向进行展望。【结论】目前国内基于高频数据构建具有中国特色风险因子的相关研究仍较少。随着高频交易数据的应用,机器学习在构建风险因子领域有着广阔的应用前景。

A prospect theory-based methodfor linguistic decision making under risk

Based on the prospect theory, a novel linguisticdecision method under risk is proposed. First, the alternativesunder each risk state are rated using linguistic terms, and＇ thelinguistic decision matrix is constructed. Secondly, thelinguistic terms are transformed into triangular fuzzy numbers,so that the linguistic evaluations can be changed into numericalforms. Thirdly, with the aid of the prospect theory, theprobability weight functions and the linguistic value functionscan be computed, based on which the prospective values of thealternatives are obtained. Finally, the alternatives are rankedwith respect to the prospective values combined of probabilityweight and linguistic value functions. Thus, the optimalchoice is made. The decision process takes the psychologicalpreferences of the decision maker into consideration. Thepracticality of the proposed method is illustrated through anapplication on stock selection problems.

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。

企业海外扩张与股票崩盘风险——基于审计质量和企业创新渠道的实证分析

以股票崩盘风险作为衡量中国资本市场稳定性的关键指标,选取2000-2022年沪深A股上市公司为研究样本,探究企业海外扩张与股票崩盘风险之间的作用机理。研究结果表明:海外扩张能够显著降低企业的股票崩盘风险;企业海外扩张能够通过有效提高审计质量的外部渠道和提高企业创新绩效的内部渠道降低股价崩盘风险;海外扩张对股票崩盘风险的抑制作用在制造业、房地产业和科学研究与技术服务业等行业以及大市值、信息不对称程度低和外部关注度低的企业中更为显著。

基金抱团与股价崩盘——基于行为金融的视角证据

近年来,公募基金抱团现象相当普遍,引起了市场的广泛关注。这种基金抱团现象对资本市场的稳定性会产生怎样的影响?本文以2003—2019年我国A股市场的上市公司为例,研究了公募基金经理的抱团行为对股价崩盘风险的影响。文章发现:(1)基金抱团持股比例的增加会显著提高所在公司的股价崩盘风险;(2)从行为金融角度,基金经理曝光度、分析师关注度与投资者情绪这三个因素都会进一步加剧由基金抱团引起的股价崩盘风险。本文的研究结论对公募基金行业的发展与监管具有一定的启示意义。

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。