1.王科（2017级博士生）：Putting Speculators on Mute: Does Nomination Restriction Reduce Stock Price Crash Risk?
2.刘艳（2017级博士生）：The Impact of the Failure to Accurately Predict Bond Defaults on Credit Rating Agencies in China
3.曲朗宁（2017级博士生）：Efforts would pay off: female analysts’ corporate site-visiting
4.吴祯姝（2018级博士生）：ESG in China: Evidence from the COVID-19 Market Crash
戴韡 中央财经大学金融学院 副教授
郭俊杰 中央财经大学金融学院 助理教授
金谷 中央财经大学金融学院 助理教授
五、主持人：戴韡 中央财经大学金融学院 副教授
1. Putting Speculators on Mute: Does Nomination Restriction Reduce Stock Price Crash Risk?
This paper provides highly significant evidence that shareholders’ nomination restriction (SNR) reduces stock price crash risk. Taking advantage of recent SNR adoptions in China, we find that SNR creates stable tenure, insulates nomination from marginal shareholders, and reduces potential short-term speculators. Thus, we argue that SNR reduces stock price crash risk through mitigating managerial myopia. Further analysis shows that the positive effects of parachutes on innovation are more pronounced in Non-SOEs, firms with lower executive control, firms with more volatile stock prices, as well as firms with more retail investors. We establish causality with two novel instrumental variables.
2. The Impact of the Failure to Accurately Predict Bond Defaults on Credit Rating Agencies in China
This study examines the impact of the failure to accurately predict bond defaults on credit rating agencies (CRAs) in China. The spreads of bonds rated by reputable CRAs (who have international cooperation) can decrease, on average, by 10 basis points (bps). After a year with many defaults, the market will penalize higher ratings given by reputable CRAs more severely. This tends to reduce the spread differential of adjacent ratings by 34 basis points for every 1% increase in the default rate of reputable CRAs, indicating that the rating distinction decrease. Moreover, the market share of reputable CRAs is reduced after a bond default, indicating that this seems to have a negative impact on the reputation of the relevant CRAs. An increase in the default rate leads to a tightening of rating standards by reputable CRAs and issuing of more prudent credit ratings. The findings also suggest that CRAs with poor reputation tend to adopt a less strict credit rating policy with respect to bond issuers.
3. Efforts would pay off: female analysts’ corporate site-visiting
Focusing on a particular working scenario – site-visiting, this study unveils the gender differences related to equity-analysts’ information acquisition process. Based on an unique database about the records of site-visiting officially announced by listed companies on Chinese stock market from 2012 to 2020, female analysts are found to conduct more site-visiting compared with their male counterparties. Consisting with the previous literatures which present site-visiting is an important activity in information acquisition possess of analysts, this paper further shows that the more site-visiting that female analysts conduct, the more accurate forecasts they present in their following reports, especially under the circumstances of informational-asymmetries between the visited companies and their investors and when the boards are abnormally over optimistic. This paper also contributes to the literatures about gender difference occurs in the process of information interaction between analysts and management team of the company. Furthermore, this paper also finds that the frequency of site-visiting show-ups significantly affect the female analysts’ professional career and monetary welfare. The female analysts who conducted more site-visiting had higher probability to win star analysts in that year. Overall, to survive in their competitive financial career, being more active in site-visiting behavior is an epitome for female endeavor and their efforts would be paid off.
4. 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 employee relations and publicity of greening and environmental protection. Moreover, the effects concentrate on non-state owned enterprises (non-SOEs) and do not exist for state-owned enterprises (SOEs). We also find that ESG stocks have significantly higher operating profit margins during the crash. For CSI800 constituents over the period from 2016 to 2020, ESG-sorted portfolios predict higher stock returns for non-SOEs, but not for SOEs. Our results suggest that private ownership affects the value of ESG in China.