1. 毕 嘉（2016级博士生）：Large Transactions and the MAX Effect: Evidence from China
2. 王 科（2017级博士生）：CEO Career Concern and ESG Controversies: Evidence from Regression Discontinuity Design
3. 顾博超（2018级博士生）：Social Networks and Fraud Detection: Evidence from the Securities Enforcement Actions
4. 胡云鹏（2018级博士生）：Bank Loan Sales and Stock Price Crash Risk
朱一峰 中央财经大学金融学院 副教授
王 盈 中央财经大学金融学院 副教授
夏 聪 中央财经大学金融学院 助理教授
五、主持人：朱一峰 中央财经大学金融学院 副教授
1. 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.
2. CEO Career Concern and ESG Controversies: Evidence from Regression Discontinuity Design
We use Regression Discontinuity Design (RDD) to identify the effect of CEO career concerns on ESG controversies. Using the ex-ante predicted dismissal probability as a proxy for career concern, we exploit narrowly missing the Relative Performance Evaluation (RPE) target as an exogenous shock to CEO career concern in the RDD setting. Our results suggest that career-concerned CEOs who narrowly miss the RPE target suffer less from negative ESG media exposure in the subsequent year than otherwise similar CEOs who barely beat the target. This effect is more pronounced for firms with higher financial and idiosyncratic risks. However, we find no evidence that CEO career concern actually improves ESG performance. On the contrary, CEO career concern could reduce actual ESG engagement. Our findings imply that career concern induces CEOs to neglect ESG engagement, but to utilize ESG media image as a hedging tool to make up for their failure and mitigate their dismissal risks.
3. Social Networks and Fraud Detection: Evidence from the Securities Enforcement Actions
With a comprehensive overview of fraud and its enforcement in China, this paper examines the relation between social networks and fraud detection. To capture social networks, we directly employ social ties between the enforcement team leaders and corporate leaders by combining unique resume datasets. We find that corporate leaders’ social ties with the regulators make a significant difference in enforcement actions: Compared to firms with weak social ties, on average, firms with strong social ties have a significantly lower hazard rate of being detected for fraud or get enforcement actions. In addition, firms with strong social ties also enjoy big favors on the much lower penalties strength and the understatement of punishment notification. Moreover, we find that those effect goes stronger when the enforcement target is state-owned or the regulator is accused of taking bribes, which further suggests that agency problems embedded in social networks can facilitate rent seeking. Finally, we suggest that the securities regulator should be asked to implement corresponding avoidance measures to avoid favorable enforcements or biased punishments.
4. Bank Loan Sales and Stock Price Crash Risk
We examine whether bank loan sales in the secondary market are associated with the stock price crash risk of borrowing firms from 1996 to 2017. We find that borrowing firms are associated with significantly higher stock price crash risk after bank loan sales, and such effect is concentrated in sales of the term loan, limited line, and banknotes, and loans with longer maturity. Moreover, the increase in stock price crash risk is more pronounced for firms with higher risk-taking behaviors and more financial constraints. The reduced monitoring incentives from lead lenders are identified as the underlying mechanism as it leads to higher information asymmetry and less accounting conservatism in borrowing firms. Overall, our findings provide support to the notion that bank loan sales in the secondary market have strong risk implications for stock prices.