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中财-蒂尔堡项目博士生论坛第25期

[发布日期]:2022-11-24  [浏览次数]:

一、主讲学生与论文题目:

1. 刘俊(2015级博士生):Stock Liquidity and Price Disparity: Evidence from China A-H Cross-Listed Firms

2. 张远(2016级博士生):Housing Price and Consumer Spending: An Asset Allocation Approach

3. 王科(2017级博士生):Director Nomination Requirement and Stock Price Crash Risk

二、时间:20221126日(周六)下午14:00-16:00

三、地点:腾讯会议

四、点评与讨论教师:

丁娜 中央财经大学金融学院 助理教授

杜涣程 中央财经大学金融学院 助理教授

王曰涵 中央财经大学金融学院 助理教授

五、主持人:丁娜 中央财经大学金融学院 助理教授

六、论文摘要

1. Stock Liquidity and Price Disparity: Evidence from China A-H Cross-Listed Firms

This study investigates the association between stock liquidity and the A-H premia using a sample of China A-H cross-listed stocks. We examine the liquidity hypothesis by employing depth and trading activity variables. Our results suggest that stocks with a higher (low) level in depth (active trading) of A-shares relative to H-shares are associated with less (more) H-shares discount. Such effect is more pronounced in stocks that are non-state-owned and with low product market competition and ownership concentration. Moreover, we provide supportive evidence that the Stock Connect introduced in April 2014 significantly uplifted the market liquidity, thus dampening A-H cross-listed shares' disparity. Overall, our findings highlight that differential liquidity explains a large proportion of variation in H-shares discount and discuss the implications of our results for the debate on market liberalization.

2. Housing Price and Consumer Spending: An Asset Allocation Approach

This paper analyzes the effect of housing prices on the consumption of urban households in China based on their asset allocations. We identify household types based on their liquid and illiquid asset allocations and focus on households unique to China, i.e., poor non-hand-to-mouth households, who save most of their income for buying houses in the future due to the high minimum down payment. since the classification of household type and the consumption of all types of households are affected by housing prices, more accurate measurement needs to include both aspects. We find that for each percentage point increase in the housing prices, the probability of choosing P-HTM and P-NHTM households increases by 0.043 and 0.02 percentage points, respectively, while the probability of choosing W-HTM and W-NHTM households decreases by 0.007 and 0.055 percentage points. The housing price and housing price growth rate promote P-HTM and P-NHTM households’ consumption; While the two factors generally hinder W-NHTM households’ consumption.

3. Director Nomination Requirement and Stock Price Crash Risk

This paper finds highly significant evidence that setting higher Director Nomination Requirements (DNR) mitigates stock price crash risk (SPCR). We hand-collect the change in DNR from the thousands of Chinese corporate charters and measure its impact on SPCR over time. We also use a novel instrumental variable to establish a negative causal link between DNR and SPCR. Our mechanism analysis shows that higher DNR reduces SPCR by deterring finance-background directors nominated by institutional investors, who may intervene in corporate financial opacity for short-term profits. By contrast, higher DNR could attract business-background directors with industry expertise to promote corporate business development. Further heterogeneous analysis shows that this effect is more pronounced in the firms with Non-SOEs, lower executive control, more volatile stock price, and more retail investors.

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