一、主讲学生与论文题目：
1. 吴祯姝（2018级博士生）：ESG in China Evidence from the COVID-19 Market Crash
2. 张远（2016级博士生）：Monetary Transmission, Leverage Ratio, and Household Consumption Based on Heterogeneous Classification of Households
3. 毕嘉（2016级博士生）：Large Transactions and the MAX Effect: Evidence from China
4. 武竞雄（2017级博士生）：Loan Sales in China an Alternative Way of Shadow Banking Financing
二、时间：2022年3月12日（周六）下午14:00-16:30
三、地点：腾讯会议
四、点评与讨论教师：
姜富伟 中央财经大学金融学院 教授
王盈 中央财经大学金融学院 副教授
张欣然 中央财经大学金融学院 助理教授
五、主持人：姜富伟 中央财经大学金融学院 教授
六、论文摘要
1. ESG in China Evidence from the COVID-19 Market Crash
We study the effect of environmental, social, and governance (ESG) on firm value during the COVID-19 market crash, using a novel measure of ESG performance covering the entire cross-section of China A-shares. We find that stocks with stronger ESG performance have significantly higher stock returns during the crash. The result is driven by community relations, employee relations, and information transparency. Moreover, the ESG stocks with a higher proportion of holdings by the pension fund, insurance companies, funds, brokers, and qualified foreign institutional investors experience higher stock returns during the crash. We also find, for CSI800 constituents over the period from 2016 to 2020, ESG stocks have significantly higher stock returns, return on assets and net operating margins. Interestingly, all our results confirm that the effects of ESG concentrate on non-state-owned enterprises (non-SOEs) and do not exist for state-owned enterprises (SOEs), suggesting that private ownership affects the value of ESG in China.
2. Monetary Transmission, Leverage Ratio, and Household Consumption Based on Heterogeneous Classification of Households
According to theoretical models, this paper analyzes the relationship between household leverage and Consumption behavior using the four-round survey data of CHFS from 2011 to 2017. The paper analyzes the impact of household debt on consumption from the perspective of the heterogeneity of household asset allocation.
3. Large Transactions and the MAX Effect Evidence from China
In this paper, we first confirm the existence of the maximum daily return (MAX) effect in the Chinese stock market. Furthermore, we find that the existence of a maximum daily return is driven by large transactions whereby their relative transaction values explain the MAX effect. This paper proposes the economic mechanism for the maximum daily return effect as follows: institutional investor trading increases first, which causes individual investors to follow and the total transaction value to increase. As a result, the daily stock return reaches its monthly highest, followed by a quick decay of the institutional trading. In contrast, trading by retail investors decreases much slower after the maximum daily return date.
4. Loan Sales in China an Alternative Way of Shadow Banking Financing
Shadow banking is critical for financially restricted borrowers especially small and medium size firms. However, it has been suppressed in terms of financial risks in China. In this paper, the author believes that loan sales is an alternative way of borrowers’ shadow banking financing. A transaction level study of 848 borrowers reveals that loan sales function as an alternative way to meet the economic growth needs, especially those of small and medium sizes firms and local government financing platforms under the circumstance of shadow banking decline, and the loan sales pricing depends on borrowers’ fundamental risks.
