Search

Long-term reversals in U.S. stock returns are better explained as the rational reactions of investors to locked-in capital gains than an irrational overreaction to news. Predictors of returns based on the overreaction hypothesis have no power, while those that measure locked-in capital gains do, completely subsuming past returns measures that are traditionally used to predict long-term returns. In data from Hong Kong, where investment income is not taxed, reversals are nonexistent, and returns are not forecastable either by traditional measures or by measures based on the capital gains lock-in hypothesis that successfully predict U.S. returns. [ABSTRACT FROM AUTHOR]

The selection of suitable locations for rooftop photovoltaic projects (RPVP) is critical for optimizing power generation efficiency and return on investment. However, traditional methods of site selection that rely on subjective assessments of index weights can compromise accuracy, while complex calculations may limit adaptability to changing real-world data. In this study, we proposed a data-driven ensemble learning framework that integrates socio-economic, environmental, climate, and geography factors to optimize RPVP site selection. Using data from 1589 counties in China, we mapped eight criteria to feature variables to facilitate machine learning classification. Furthermore, the K-means algorithm was employed to enhance the model's robustness against outliers. The findings indicate that the proposed stacking model exhibits superior performance in comparison to other classifiers, as evidenced by the higher scores of performance metrics. Specifically, for positive instance prediction, the stacking model achieves the highest Precision scores. According to the rankings of Precision scores derived from the four ensembled models, we categorized counties suitable for RPVP development into five priority tiers. The ensemble learning framework provides a valuable and reusable tool for advancing county-level RPVP site selection and serves as a motivation for selecting other renewable power plant sites. • Ensemble learning is used in site selection of rooftop photovoltaic projects. • Stacking model presents the best performance on minimizing the erroneous selection. • The suitability of power plant siting is divided into several levels. • The proposed site selection tool can adapt to changing real-world environments. [ABSTRACT FROM AUTHOR]

This paper presents a comprehensive system for assessing contaminant emissions, including the dominant contaminant reduction effects, recessive contaminant reduction effects, and contaminant reduction efficiency indexes. The system is used to evaluate the linkage changes in contaminant emissions reduction across different sectors, the ease of regulation, and the returns on emissions reduction efforts. The study's results demonstrate that firstly, COVID-19 initially reduced contaminant emissions across almost all sectors, although this effect waned over time. Secondly, applying conventional regulatory measures to sectors with high reductions in contaminant emissions may not yield the expected results. Thirdly, while some sectors may be more difficult to regulate, they may offer a higher return on investment in terms of emissions reduction. Based on the above results, the paper advocates for timely measures to consolidate environmental gains, prevent rebounding of contaminant emissions, prioritize supervision and management of easily regulated sectors, prioritize upgrading of cleaner production in sectors with high reduction efficiency indices, and increase investment in environmental technology. • Created a new comprehensive system for assessing contaminant emission changes. • Quantified the unique linkage changes of contaminant emissions during COVID-19. • Developed new models to reveal contaminants' regulatory difficulty and return. • The innovative reduction effects of four key contaminant indicators were measured. • Applied WHEM firstly in research across multiple areas of contaminant emissions. [ABSTRACT FROM AUTHOR]

Under the 1996-98 security regulations in China, the accounting rate of return on equity (ROE) has to be greater than 10 percent for three "consecutive" years for a firm to qualify for stock rights offers. Despite declining economic conditions during this period, the percentage of firms reporting ROE between 10 and 11 percent is about "three" times that for 1994-95. This unique regulatory environment provides a natural experimental setting for the empirical assessment of earnings-management behavior and its consequences. This study examines whether listed Chinese firms manage earnings to meet regulatory benchmarks and whether regulators and investors consider the quality of earnings in their respective regulatory and investment decisions. On the basis of a sample of listed Chinese firms from 1996 to 1998. we observe that managers execute transactions involving below-the-line items and use income-increasing accounting accruals to meet regulatory ROE targets for stock rights offerings. The firms that apply for, but fail to receive, regulatory approval manage earnings more significantly than do firms that receive approval and pair-matched control firms. Our market study also suggests that investors differentiate the quality of earnings and put less value on earnings suspected of a greater degree of management. Overall, our results imply that the regulatory bodies and investors to some extent make rational adjustments for the quality of earnings. [ABSTRACT FROM AUTHOR]

Do outside directors on corporate boards make a difference in firm performance during institutional transitions? What leads to the practice of appointing outside directors in the absence of legal mandate? This article addresses these two important questions by drawing not only on agency theory, but also resource dependence and institutional theories. Taking advantage of China's institutional transitions, our findings, based on an archival database covering 405 publicly listed firms and 1211 company-years, suggest that outsider directors do make a difference infirm performance, if such performance is measured by sales growth, and that they have little impact on financial performance such as return on equity (ROE). The results also document a bandwagon effect behind the diffusion of the practice of appointing outsiders to corporate boards. The article not only highlights the need to incorporate multiple theories beyond agency theory in corporate governance research, but also generates policy implications in light of the recent trend toward having more outside directors on corporate boards in emerging economies. [ABSTRACT FROM AUTHOR]

We provide new empirical evidence that certain institutional investors have private information that they use to profit from initial public offerings (IPOs). In this study, we analyze the bidding information related to five types of institutional investors in China's ChiNext market to examine the impact of private information and investor sentiment on first-day IPO returns. The results show that private information and institutional investor sentiment are positively correlated with initial returns. The analysis of the different institutional sectors shows that some securities companies may profit from IPOs by using private information. It was also found that qualified foreign institutional investors (QFII) may be at an informational disadvantage on the Chinese stock market. [ABSTRACT FROM AUTHOR]

In order to maximize the return on equity (ROE) of wind-hydrogen system investors, take full advantage of the wind power as well as smooth the wind power output of a wind farm, an optimal sizing model of a coupled wind-hydrogen system (CWHS) is established considering the requirements of wind power grid-connection technology. The fluctuating cost of wind power is calculated by an "equal-kWh following load" method and the chance-constrained programming is introduced to deal with the uncertainty generated by the wind power. The optimal capacity of each unit for a CWHS, including the wind power transmission project, electrolyser, compressor and so on, is acquired and the economic analysis is evaluated under comprehensive aspects, e.g. wind curtailment decisions, hydrogen prices, the correlations between wind power output and system load, and the fluctuation degrees of wind power generation. The simulation is established by the realistic historical data from a wind farm in Fujian, China. When the confidence level is 92%, the capacity of electrolysers increases with the increase of the hydrogen price when it is larger than the equivalent value 4.34 €/kg. In addition, the smaller the correlation between wind power output and load and the bigger the volatility index of wind power output, the less the smoothing benefit of the CWHS, where the smaller capacity of the transmission project and bigger capacities of electrolysers and compressors are required. • An optimized model for a wind-hydrogen system is built from the perspective of system investors. • The smoothing benefit is calculated based on the "equal-kWh following load" method. • The chance-constrained programming is adopted when making wind curtailment decision. • The optimal sizes of a wind-hydrogen system and transmission project are obtained. • It's not cost-effective for fuel cells to regenerate electricity. [ABSTRACT FROM AUTHOR]

We examine the short-term effects of the liberalization of the Chinese stock market on returns. We find a positive and significant abnormal return associated with the announcement of the liberalization of the Shanghai Stock Exchange. Exploiting  features of the reform, we are able to compare stocks directly and indirectly affected by the liberalization. We find that all stock prices reflect this announcement premium equally, suggesting that the premium does not reflect an increase in expected liquidity. We further find that observed liquidity, as measured by volume and price impact, did not increase following the liberalization. We conclude that the observed premium reflects a diversification benefit for Chinese investors. [ABSTRACT FROM AUTHOR]

Motivated by the rationale that market inefficiency arises from a combination of less than fully rational demand and limits to arbitrage, this paper investigates the profitability of pairs trading across Mainland China and Hong Kong on highly liquid large‐cap and midcap stocks from January 1996 to July 2017. We have three main findings. First, we find that pairs trading constrained within each market generates no significant abnormal returns. However, if investors can trade across Mainland China and Hong Kong, pairs trading is profitable after adjusting for risk and transaction costs, where the annualized abnormal return is 9% over the full sample. Second, by using a rolling‐window regression, we find that the profitability of the strategy is time‐varying. The bootstrap simulations suggest that the decline in profitability of the strategy since 2012 is due to random chance rather than poor ability of identifying mispriced stocks. However, the vast majority of profitable periods reflect the strategy's ability to choose profitable stocks rather than random chance. Third, the profitability of the strategy is somewhat sensitive to market conditions, most notably, the strategy is more profitable during longer term market turbulence. Overall, our empirical findings are consistent with the Adaptive Market Hypothesis in that the integration of financial markets and market conditions determine the level of market efficiency. [ABSTRACT FROM AUTHOR]

Using data on private placements in China from 2007 to 2014, we show that abnormal returns of issuing companies' stocks are significantly positive on the announcement day, but they become significantly negative during the event window [-20, +20]. Participation by institutional investors has a significant and negative impact on the short-term stock returns. This negative effect is also present in issuing companies' long-term stock returns and profitability. Furthermore, we find that participation by institutional investors reduces dividend payments after private placements. Overall, our findings do not support the monitoring hypothesis of institutional investors' role in corporate finance but are consistent with the management entrenchment hypothesis and shareholder pessimism hypothesis. [ABSTRACT FROM AUTHOR]

The objective of this study is to analyze systemic importance of Chinese financial institutions and its influential factors based on return spillover network. We first investigate the return spillover effects among financial institutions and construct the return spillover networks by Granger causality in vector autoregressive (VAR) models. Then we calculate six network centralities (degree centrality, closeness centrality, betweenness centrality, modified Katz centrality, eccentricity centrality and information centrality) to measure systemic importance of financial institutions. Because different centrality measures are correlated with each other, we use the principal component analysis method to obtain comprehensive information about systemic importance of financial institutions. Finally, we identify the major factors, including market and accounting variables, which affect systemic importance of the financial institutions with panel data regression analysis. We find that financial institutions with larger tail risk of stock return, higher return on equity, lower turnover rate and lower assets growth rate tend to be associated with greater systemic importance. [ABSTRACT FROM AUTHOR]

Abstract To alleviate the high risks to oil supply caused by high dependency on oil imports, China is actively seeking alternative energy sources to reduce its imported oil (IO). Coal-to-liquid (CTL) is regarded as an option in China. However, few analyses have examined the net energy impact of substituting IO with CTL and determined how effective the substitution would be. Energy return on investment (EROI) analysis, an important index to characterise the viability of a natural resource from an energy standpoint, can provide insights into these issues. This paper first introduces new methods to calculate the EROIs between CTL and IO from a life-cycle perspective. Then, based on the EROI values, a new, simple method is provided to calculate the net energy change resulting from the substitution of IO with CTL. The results show that without considering the environmental inputs, the mean EROI of CTL with/without internal energy inputs is 0.29/1.44, and that of IO is approximately 5.60. When environmental inputs are considered, these values decrease to 0.27/1.09 and 5.07, respectively. In general, IO has a better net energy return than CTL. Moreover, substituting 1 MJ IO with CTL would lead to a net energy loss of 0.3–4.6 MJ. The above results suggest that China should be more cautious in developing the coal liquefaction industry from a net energy perspective. Highlights • New methods are provided to estimate the EROI of IO and CTL from a life-cycle perspective. • This paper considers the impact of the energy inputs to control GHG emissions on EROI. • The EROIs of IO and CTL are about 0.86–1.79 and 4.28–6.50 respectively. • Substituting 1 MJ IO with CTL would lead to a net energy loss of 0.3–4.6 MJ. [ABSTRACT FROM AUTHOR]

Stock returns play an important role in the empirical study of asset pricing, and are often applied in portfolio allocation and performance evaluation. The effect of macroeconomic and financial variables on stock returns is a hot topic and many studies have utilized these variables in time series models to improve the forecasts of stock returns. This study imposes macroeconomic and financial variables as weighting factors on kernel density and establishes a new prediction model - the time-varying factor weighted density model. We apply this model to monthly price data of the Chinese stock index and employ the rolling window strategy for out-of-sample forecasting. The result shows that this method improves both statistical and economic measures of out-of-sample forecasting performance. [ABSTRACT FROM AUTHOR]

China’s Belt and Road Initiative (BRI) aims to promote greater development and connectivity between 64 Eurasian countries. To accomplish this, China must increase its investments in the countries involved as well. The BRI’s investments are expected to positively influence the development and connectivity of countries along the BRI, but a low return of investment cannot reflect investment risks. This study proposes the assessment of the BRI’s investments through the lens of sustainable investing risk. Sustainable investing is an investment discipline that considers environmental, social and governance (ESG) dimensions to generate long-term competitive financial returns and positive societal impact. A data envelopment analysis (DEA) model is used to calculate the composite indicators for each ESG dimension and country, and the average of the three indicators represents the sustainable investing risk score of each country. Results of the DEA reveal that Afghanistan has the lowest environmental rating (i.e. highest risk), Syria has the lowest social and governance ratings, Yemen has the lowest average rating, and Singapore has the highest rating. Moreover, no significant relationship is found between the BRI’s investment efforts and a country’s risk ratings, and an adequate risk ratio reflects the investments of the BRI. [ABSTRACT FROM AUTHOR]

Abstract This study conducts a theoretical analysis about effects of China's financial markets on the global commodity prices, and employs ARDL model and SVAR model to test it empirically. Results illustrated that: CNY NDF rate has exerted impact on some industrial metals before the Global Financial Crisis of 2008, while impact of China's stock market on commodity prices is insignificant. We find the influence of China's stock market and CNY NDF market significantly increased after the crisis, which means the fluctuations of China's financial markets do influence the commodity prices. However, such effect is still weak comparing with US stock market and FX market. Highlights • China's financial markets are supposed to influence commodity price through "macro-economy reflection", financial market information transmission and market sentiment contagion channel. • The impact of China's stock market on some industrial metals is significant while the stock market is insignificant before the GFC. • The influence of China's financial market significantly increased after the GFC • Chinese financial markets' impact is still weak. [ABSTRACT FROM AUTHOR]

Abstract Using stock market returns of two stock exchanges in China, this paper employs MF-DCCA to investigate the non-linear cross-correlation between individual investor sentimentand Chinese stock market return. We find that there exists a power-law cross-correlation between individual investor sentiment and Chinese stock market return, and the cross-correlations are significantly multifractal. In addition, the cross-correlation between individual investor sentiment and Shenzhen Component Index (SZSE) return is more anti-persistent than that between individual investor sentiment and Shanghai Composite Index (SSEC) return, implying that individual investor sentiment has a stronger impact on small stocks. Besides, long-range correlations, fat-tailed distribution and extreme value all contribute to the multifractality for cross-correlation between individual investor sentiment and SSEC return, while long-range correlation is the main source of multifractality for the cross-correlation between individual investor sentiment and SZSE return. Highlights • Cross-correlation between investor sentiment and stock return is investigated. • Yu'ebao Sentiment Index and Shenzhen stock market return is more anti-persistent. • The sources of multifractal features are investigated. [ABSTRACT FROM AUTHOR]

Economic growth convergence, one of the classical assumption in regional economic growth, has been perplexing. There are many empirical studies trying to test if there is regional convergence in China. In this article, we bring new information of the finer spatial scale to the existing literature by using neoclassical convergence analysis, cross-sectional specifications, panel data models, and spatial econometric techniques to test the convergence hypothesis across 2,286 cities and counties in China. Empirical findings from cross-sectional data and spatial panel data show that significant absolute β and conditional β convergence are present in gross domestic product per capita after controlling for investment return rate, human capital, savings rate, population growth, technology advancement, capital depreciation rate, and initial technology level. We also find spatial agglomeration in urban and county economic growth is strong, and spatial effects are significant. Urban and county economic growth convergence rates for 1992–2010 show a gradually accelerated development trend. We present significant evidence that levels of investment, human capital, and initial technology impose significant facilitating effects on city and county economic growth, while savings and population growth have significant negative effects. And city and county economic growth differ in terms of convergence levels and influential factors. [ABSTRACT FROM AUTHOR]

In this paper, we modify the multivariate nonlinear causality test to be panel nonlinear causality test and we apply these and other existing related tests to examine the causal relationship between growth in economic policy uncertainty (EPU) and real housing returns in China and India using quarterly data from 2003:01 to 2012:04. Both panel linear and nonlinear Granger causality tests suggest the existence of only linear and nonlinear unidirectional causality relationships from growth in EPU to real housing returns in both China and India, and bivariate linear Granger causality tests suggest the existence of only linear unidirectional causality relationship from growth in EPU to real housing returns only in China. However, nonlinear bivariate Granger causality tests conclude the existence of nonlinear bidirectional causality relationships between growth in EPU and real housing returns in both China and India and cross bivariate linear and nonlinear Granger causality tests discover that there is only a linear causality relationship from Indian growth in EPU to Chinese housing returns. The results confirm the relevance of EPU data to better understand and predict the future behaviour of housing market returns in these countries. [ABSTRACT FROM AUTHOR]

This article examines the relation between order imbalances and stock returns in China during the extreme market situations in 2007 and 2008. We find that order imbalances are positively and significantly related to contemporaneous stock returns but have limited predictability for subsequent returns in extreme market situations. Moreover, order imbalances significantly predict returns in normal market environment, especially for small stocks. This may be attributed to the investor structure in the Chinese market. A trading strategy utilizing the relation between order imbalances and stock returns generates positive returns. Overall, the information contents of order imbalances vary with the market environment. [ABSTRACT FROM AUTHOR]

This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH–MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market. [ABSTRACT FROM AUTHOR]

Energy return on energy invested (EROI) might be considered a measure of net energy, and most current studies focus on standard EROI (EROI ST ). If the energy inputs required to obtain a fuel was extended from a wellhead to the point of use, the energy delivered decreases, and the energy input of delivering the fuel increases. These factors combine to reduce the EROI ST to what is referred to as the point of use EROI (EROI POU ). This study calculates the direct and indirect energy (embodied energy) inputs for energy production sectors (including extraction, processing and delivery) by means of an Input-Output table to calculate China's EROI POU and the net energies from 1987 to 2012. Based on calculations in this study, the EROI POU of China's energy production sector declined from 11.01:1 to 5.26:1 between 1987 and 2012. In 1987, the energy production sectors consumed 1 ton standard coal equivalent (TCE) energy inputs for every 10.01 TCE of produce net energy. However, in 2012, this number declined to 4.25. Additionally, this study simulates and forecast economic Gross Domestic Product (GDP) trends in China using net energy production function. The results reveal how declining EROI POU for Chinese fossil fuels influence China's GDP growth. [ABSTRACT FROM AUTHOR]

This study investigates how adopting new performance measures affects the decision process through which supervisors make subjective adjustments. In our setting, the Chinese government substituted economic value added (EVA) for return on equity (ROE) in the performance score formula it uses to evaluate State-Owned Enterprises (SOEs). In accordance with the Chinese government's objective to increase the capital efficiency of SOEs, supervisors shifted the weight in subjective adjustment decisions from ROE to EVA after EVA adoption. Consistent with EVA adoption creating fairness concerns, however, supervisors did not penalize SOEs for performing poorly on EVA when they performed well on ROE, and accomplished this by shifting the weight from EVA back to ROE. Additional analyses suggest that personal preferences motivated supervisors to make these lenient subjective adjustments. Overall, our findings indicate that adopting new performance measures creates fairness concerns that motivate supervisors to consider their personal preferences in subjective adjustment decisions. [ABSTRACT FROM AUTHOR]

This article examines the effects of institutional holdings and state ownership on hotel firm performance in China by employing panel regression analysis. The results show that institutional holdings as a whole and domestic institutional holdings have different effects on the performance of Chinese hotel firms. There is an inverted U-shaped relationship between institutional holdings/domestic institutional holdings and hotel performance measured by Tobin’s Q, and an upright U-shaped relationship between domestic institutional holdings and return on assets/return on equity. However, the level of foreign institutional holdings was found to have no significant impact on hotel firm performance in China. Finally, state ownership has a negative impact on Tobin’s Q. Implications for the Chinese hotel industry are discussed. [ABSTRACT FROM AUTHOR]

The leverage pro-cyclical behavior of commercial banks is one of the important reasons for the burst of the financial crisis in 2008. The microscopic data of commercial banks in China during the period of 2006-2015 was used for the empirical research of the leverage cyclical behavior on commercial banks in China and the affecting factors. Moreover, the asymmetry of the banks' leverage pro-cyclical behavior during different business cycles was also investigated. The results of this study indicated that, the leverage of the commercial banks in China has apparent pro-cyclical behaviors and foreign capital banks have stronger pro-cyclical behaviors. For the commercial banks in China, enhancing the ROE will reduce the leverage for these commercial banks. A larger LD indicator means the leverage level is enhanced. The influence of the NPL on bank leverage has a higher degree of uncertainty. A positive LIQ coefficient indicates that the liquid ratio changes in the same direction as the bank leverage. When considering the asymmetry of bank leverage, it is found that the increase in bank leverage cases is faster during the economic upturn period. On the other hand, the decrease in bank leverage cases during the economic downturn period is slower. Finally, it is expected to provide the bank industry with some recommendations and references on the back leverage pro-cyclical behavior during different economic cycles. [ABSTRACT FROM AUTHOR]

Social and economic systems are complex adaptive systems, in which heterogenous agents interact and evolve in a self-organized manner, and macroscopic laws emerge from microscopic properties. To understand the behaviors of complex systems, computational experiments based on physical and mathematical models provide a useful tools. Here, we perform computational experiments using a phenomenological order-driven model called the modified Mike-Farmer (MMF) to predict the impacts of order flows on the autocorrelations in ultra-high-frequency returns, quantified by Hurst index $$H_r$$ . Three possible determinants embedded in the MMF model are investigated, including the Hurst index $$H_s$$ of order directions, the Hurst index $$H_x$$ and the power-law tail index $$\alpha _x$$ of the relative prices of placed orders. The computational experiments predict that $$H_r$$ is negatively correlated with $$\alpha _x$$ and $$H_x$$ and positively correlated with $$H_s$$ . In addition, the values of $$\alpha _x$$ and $$H_x$$ have negligible impacts on $$H_r$$ , whereas $$H_s$$ exhibits a dominating impact on $$H_r$$ . The predictions of the MMF model on the dependence of $$H_r$$ upon $$H_s$$ and $$H_x$$ are verified by the empirical results obtained from the order flow data of 43 Chinese stocks. [ABSTRACT FROM AUTHOR]

This paper reviews China's future fossil fuel supply from the perspectives of physical output and net energy output. Comprehensive analyses of physical output of fossil fuels suggest that China's total oil production will likely reach its peak, at about 230 Mt/year (or 9.6 EJ/year), in 2018; its total gas production will peak at around 350 Bcm/year (or 13.6 EJ/year) in 2040, while coal production will peak at about 4400 Mt/year (or 91.9 EJ/year) around 2020 or so. In terms of the forecast production of these fuels, there are significant differences among current studies. These differences can be mainly explained by different ultimately recoverable resources assumptions, the nature of the models used, and differences in the historical production data. Due to the future constraints on fossil fuels production, a large gap is projected to grow between domestic supply and demand, which will need to be met by increasing imports. Net energy analyses show that both coal and oil and gas production show a steady declining trend of EROI (energy return on investment) due to the depletion of shallow-buried coal resources and conventional oil and gas resources, which is generally consistent with the approaching peaks of physical production of fossil fuels. The peaks of fossil fuels production, coupled with the decline in EROI ratios, are likely to challenge the sustainable development of Chinese society unless new abundant energy resources with high EROI values can be found. [ABSTRACT FROM AUTHOR]

This article presents the author's comments on the article "Market Consequences of Earnings Management in Response to Security Regulations in China," by In-Mu Haw, Daqing Qi, Donghui Wu, and Woody Wu. They examined the minimum 10 percent return on equity (ROE) requirement in China for stock rights issues that may provide firms with clear incentives to manage earnings. They found evidence that indicates persuasively that firms are responding to these incentives. However, the author describes some challenges in the investigation of earnings management.

Online Pear-to-Pear lending has developed rapidly recently. In this article, an empirical study was conducted by using public dataset from Paipaidai, the largest online P2P lending in China. We analyze the factors that determine the probability of obtaining the loan in online P2P lending. The result indicates that annual interest rate, repayment period, description, credit grade, successful loan number, failed loan number, gender, and borrowed credit score are significant factors to loan funded successful on Paipaidai platform. [ABSTRACT FROM AUTHOR]

Copyright of Transformations in Business & Economics is the property of Vilnius University and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper examines the impacts of agricultural cooperative membership on output price, gross income, farm profit, and return on investment (ROI) utilizing a recent household survey data of 481 apple producers in China. We employ a treatment effects model to account for potential selection bias that arises from the fact that cooperative members and nonmembers are systematically different in terms of both observable and unobservable factors. Our analysis reveals that cooperative membership has a positive and statistically significant impact on apple price, gross income, farm profit, and ROI. In addition, we find that the highest profit effect of cooperative membership does not in fact result in the highest ROI effect of the membership, revealing differences in farm income and profitability of investment. [EconLit citations: C35, D71, Q12, Q13]. [ABSTRACT FROM AUTHOR]

Using 5-minute high frequency data from the Chinese stock market, we employ a non-parametric method to estimate Fama-French portfolio realized jumps and investigate whether the estimated positive, negative and sign realized jumps could forecast or explain the cross-sectional stock returns. The Fama-MacBeth regression results show that not only have the realized jump components and the continuous volatility been compensated with risk premium, but also that the negative jump risk, the positive jump risk and the sign jump risk, to some extent, could explain the return of the stock portfolios. Therefore, we should pay high attention to the downside tail risk and the upside tail risk. [ABSTRACT FROM AUTHOR]

A number of studies have shown that the variance risk premium (VRP), defined as the difference between risk-neutral and physical expected variances, has strong predictive power for the excess stock market return, and this predictability peaks at 3- to 6-month prediction horizons. However, little research presents empirical evidences for Chinese stock market due to the absence of option market. Under general equilibrium asset pricing framework, this article estimates time-varying VRP using the Chinese stock market data. We find that the estimated VRP predicts the excess Chinese stock market return, and this forecasting power is stronger at 4- and 5-month horizons, which is consistent with the findings of existing literature. [ABSTRACT FROM PUBLISHER]

The utilization of fuel cell vehicles can significantly reduce the greenhouse gas emissions in urban areas. However, huge investments are needed to construct the hydrogen infrastructure to produce, store and distribute hydrogen fuel to fuel cell vehicles. The present study conducted an analysis of a roll-out strategy to introduce fuel cell vehicles and hydrogen stations in Shenzhen, China between 2016 and 2025. An accurate estimation to develop hydrogen economy in Shenzhen in the near-term was provided. Three different scenarios of fuel cell vehicle penetration rate in the new car sales market were employed to predict the number of fuel cell vehicles and daily hydrogen demand in Shenzhen. The capital investment and operation/maintenance cost of on-site steam methane reforming hydrogen fueling stations was estimated. For a station with 100, 500 and 1000 kg/day capacity, the capital investment is $1.04, 4.15 and 7.84 million, respectively, while the corresponding hydrogen fuel price at 20 years of return on investment (ROI) is 7.7, 7.0 and 6.8 $/kg, respectively. A roll-out strategy of ten hydrogen stations in Shenzhen by 2020 was proposed, taking into consideration the population density, average income, locations of grocery stores and shopping malls, and locations of existing gas stations. The total capital investment required to construct 10 hydrogen stations is $19.7 million. The fuel costs and life cycle greenhouse gas emissions of hydrogen, gasoline and electricity vehicles were assessed to justify the benefits of introducing fuel cell vehicles in Shenzhen. Local industry and government can use the results to make decisions about possible future H 2 utilization and infrastructure construction. [ABSTRACT FROM AUTHOR]

Examination of the causal relationship between housing price and transaction intensity helps us understand the housing market dynamics better. The housing market is a very unique asset market as demand for housing comes from both demand for investment return and demand for a shelter/accommodation. Empirical analysis on this causal relationship therefore provides government with important policy considerations. In this paper, we will examine such correlation between housing price movements and transaction intensity in Hong Kong with a core objective of getting a better understanding of the housing market behavior in this city so that more effective government housing policy could be devised. We examine the price-transaction correlation observed in the Hong Kong housing market by means of a bivariate vector autoregressive (VAR) model, with a time series spanning over the period from 1993 to 2014. Without examining other macroeconomic variables such as employment and gross domestic product, our Granger causality test shows a strong evidence, suggesting that housing price Granger causes transaction intensity in the housing market of Hong Kong, but not vice versa. The findings buttressed by the autoregressive distributed lag (ARDL) model and the bounds test results on cointegration relationships support our conclusion. Based on these results, we question the current government housing policy which aims mainly at suppressing demand and hence transaction intensity, if the objective of government intervention is to bring housing price level to a more affordable level. Housing policy therefore should aim at effectuating the supply channel so that there is a clearer signal of constant and effective supply of housing units, which will eventually help stabilize housing price. [ABSTRACT FROM AUTHOR]

In this paper, we hand-collect the performance measures adopted in performance-vested stock option plans in China. We find that return on equity (ROE) is a widely used performance measure. Different from most of the other performance measures, ROE is affected by the number of shares outstanding. When executive compensation contracts are explicitly tied to ROE performance, in order to avoid the reduction in reported ROE through the issuance of additional common shares (i.e., ROE dilution), managers have an incentive to influence ROE performance through financing decisions. We find that managers are more likely to avoid ROE dilution related to debt-versus-equity choice when their performance-vested stock option plans are explicitly tied to ROE performance and when firms have a high level of access to bank loans. However, there is no such link for firms with a low level of access to bank loans. Our study shows that the association between executive compensation design and corporate financing decisions depends on the accessibility of bank loans, demonstrating the importance of institutional factors in China. The results hold after controlling for potential endogeneity in executive compensation and corporate financing decisions. Our study contributes to both the executive compensation and corporate finance literature. [ABSTRACT FROM AUTHOR]

Energy-intensive firms are confronted with increasing pressure to improve energy efficiency and reduce energy consumption. This paper explores the relationship between the energy efficiency and financial performance of a sample of firms in China based on a panel dataset for the period 2010-2014. Six financial indicators representing the benefits of different stakeholders are used in the analysis. Our empirical results show that energy efficiency is positively related to return on equity, return on assets, return on investment, return on invested capital and return on sales but has no significant relationship with Tobin's q. In addition, we examine the interaction effect between energy intensity and firm growth and find that firm growth helps to enhance the positive relationship between energy intensity and financial performance. Our findings provide incentive for firms to be proactive in their efforts towards energy conservation and emissions reduction. [ABSTRACT FROM AUTHOR]

As the largest shale gas resources holder in the world, China has set ambitious goals for its shale gas development. To better understand the environmental impacts and the net energy return of shale gas development in China, this paper develops a hybrid life cycle inventory (LCI) model to estimate the energy use and greenhouse gas (GHG) emissions of China’s shale gas development, and presents an energy return on investment (EROI) analysis for estimating its net energy return. Results suggest a total average energy use per well of 123 TJ (range: 74–165 TJ) and total average GHG emissions per well of 9505 tCO 2 e (range: 5346–13551 tCO 2 e). Most of the energy use and GHG emissions are indirect impacts embodied in fuels and materials. Energy use and GHG emissions from the drilling stage comprise the largest share in both totals due to large amounts of diesel used as fuel in the well drilling process and the materials used in the well casing process. The EROI of China’s shale gas is estimated to be about 33 (range: 31–42), which is higher than China’s conventional oil & gas but lower than U.S. shale gas. [ABSTRACT FROM AUTHOR]

This study examines trends in energy input and output in China's crop production. Trends are also observed in energy use efficiency and economic return on energy use from 1991 to 2012. The results indicate that energy input increased from 3647.1 PJ to 7919.5 PJ and energy output increased from 7222.0 PJ to 10954.0 PJ between 1991 and 2012. Given the growth in the sowing area, energy input and output per unit of area sown also increased during this period. Energy use efficiency was estimated at 1.98 in 1991 and 1.38 in 2012, with an average annual decrease of 1.69%. The economic return on crop production in China increased from 1991 to 2012 whereas agricultural labor input decreased; consequently, the economic return on energy use, sowing area, and labor all increased stably. Given a larger growth rate and higher production of high-value and low-energy crops when compared with low-value and high-energy crops, an increase in the economic return on energy use occurred but so did a decline in energy use efficiency. This phenomenon indicates the need to increase investments in technological development and technological innovation, adopt new policies to optimize China's crop production structure, and establish sustainable production systems. [ABSTRACT FROM AUTHOR]

In this article, profitability, asset quality, debt risk, and sales growth are used as measurement indices of corporate operating performance. On the basis of panel data of 630 companies for 2008-2014, which is after the completion of China's split-share structure reform, an entity fixed-effects model is used to study the effect of qualified foreign institutional investor (QFII) shareholdings on the operating performance of Chinese non-financial transnational corporations. The results show that the QFII shareholdings ratio and shareholdings checks and balances degree are significantly positively correlated with return on equity and total assets turnover, but they have no significant correlation with asset liability ratio and sales growth rate. The evidence therefore suggests that the higher the QFII shareholdings ratio is, the higher the enthusiasm is for QFII shares participating in corporate governance, and the better the general corporate operating performance. The findings provide an important reference for Chinese transnational corporations to introduce QFII shares to improve governance structure and corporate operating performance. [ABSTRACT FROM AUTHOR]

In this paper, we advocate the provincial TV audience rating as the novel proxy for the provincial investor sentiment (PIS) and investigate its relation with stock returns. The empirical results firstly show that the PIS is positively related to stock returns. Secondly, we provide direct evidence on the existence of home bias in China by observing that the provincial correlation coefficient is significantly larger than the cross-provincial correlation coefficient. Finally, the PIS can explain a large proportion of provincial comovement. To sum up, all these findings support the role of the non-traditional information sources in understanding the “anomalies” in stock market. [ABSTRACT FROM AUTHOR]

This study offers a theoretical model of how and when investment in employee development affects employee entrepreneurship. Drawing from the creativity theory of knowledge spillover entrepreneurship, we examined whether employee creativity mediates the relationship between investment in employee development and employee entrepreneurship. We also examined the moderating effects of the institutional environment for entrepreneurship and the corporate entrepreneurial environment on this mediated relationship. Two time-lagged studies were conducted in China to test our hypotheses. Study 1 involved 219 full-time employees from five high-technology companies, and the results showed that investment in employee development was positively associated with employee entrepreneurship through employee creativity. Study 2 replicated this mediation finding with 289 full-time employees from organizations in a variety of industries. The results also showed the moderated mediation effects of investment in employee development on employee entrepreneurship via employee creativity, which was contingent on the institutional environment for entrepreneurship and the corporate entrepreneurial environment. We discuss the theoretical and practical implications of these results for investment in employee development and employee entrepreneurship. • Investment in employee development facilitates employee entrepreneurship via employee creativity. • The mediated relationship becomes stronger when the institutional environment is more favorable for entrepreneurship. • The mediated relationship becomes weaker when the corporate environment is more favorable for entrepreneurial activities. [ABSTRACT FROM AUTHOR]

As a carbon reduction technology, CCUS (Carbon Capture, Utilization and Storage) is an important way to achieve the goal of "carbon peak and carbon neutrality" in China. In order to change the situation of slow commercialization and large-scale development of CCUS, this paper proposes to establish a CCUS cooperative alliance. Taking alliance organizers, institutional investors, upstream operators and downstream operators as research objects, the evolutionary game model is developed to reveal the dynamic evolution mechanism of CCUS cooperative alliance and analyze the impact of exogenous variables on the strategic choices of alliance members. The results show that: (1) establishing a strong market-oriented alliance can promote the large-scale deployment and commercialization of CCUS, (2) when return on investment is greater than or equal to 6%, it can effectively promote the investment of institutional investors in CCUS field, (3) when the government subsidy rate is greater than or equal to 75%, the willingness of downstream operators to operate independently is significantly enhanced. This study reveals the operation mechanism of the alliance, provides theoretical and methodological support for the operation and management of the alliance, and is of great significance to promote the cooperative operation and development of the alliance. • A CCUS cooperative alliance with commercial characteristics is proposed. • An evolutionary game model is developed to reveal evolution mechanism of alliance. • ROI of 6% or more can promote institutional investors' investment in CCUS. • Subsidy rate of 75% or more can urge downstream operators to operate independently. [ABSTRACT FROM AUTHOR]

China's three-decade infrastructure investment boom shows few signs of abating. Is China's economic growth a consequence of its purposeful investment? Is China a prodigy in delivering infrastructure from which rich democracies could learn? The prevalent view in economics literature and policies derived from it is that a high level of infrastructure investment is a precursor to economic growth. China is especially held up as a model to emulate. Politicians in rich democracies display awe and envy of the scale of infrastructure Chinese leaders are able to build. Based on the largest dataset of its kind, this paper punctures the twin myths that (i) infrastructure creates economic value, and that (ii) China has a distinct advantage in its delivery. Far from being an engine of economic growth, the typical infrastructure investment fails to deliver a positive risk-adjusted return. Moreover, China's track record in delivering infrastructure is no better than that of rich democracies. Investing in unproductive projects results initially in a boom, as long as construction is ongoing, followed by a bust, when forecasted benefits fail to materialize and projects therefore become a drag on the economy. Where investments are debt-financed, overinvesting in unproductive projects results in the build-up of debt, monetary expansion, instability in financial markets, and economic fragility, exactly as we see in China today. We conclude that poorly managed infrastructure investments are a main explanation of surfacing economic and financial problems in China. We predict that, unless China shifts to a lower level of higher-quality infrastructure investments, the country is headed for an infrastructure- led national financial and economic crisis, which is likely also to be a crisis for the international economy. China's infrastructure investment model is not one to follow for other countries but one to avoid. [ABSTRACT FROM AUTHOR]

Using monthly data from China’s Shanghai Stock Exchange (SSE) A-share market between 2005 and 2012, this article performs an empirical study on the applicability of the three-factor model to China’s stock market. After testing twenty-five size-BE/ME stock portfolios and four stock sector portfolios, we found that the three-factor model, adjusted for the unique features of China’s stock market, generally fits the SSE A-share market well. The results show that size and value premiums are significant in China’s stock market, although there exist modest differences among industrial sectors. In addition, our empirical results are robust to factor sorting and construction methods. [ABSTRACT FROM AUTHOR]

This study compares the forecast performance of volatilities between two types of hybrid ANN and GARCH-type models. The findings show that EGARCH-ANN model performs better than other models to forecast the volatilities of log-returns series in Chinese energy market, and there are significant leverage effects in Chinese energy market. [ABSTRACT FROM AUTHOR]

The empirical results of the risk-return relationship are mixed for both mature and merging markets. In this paper, we develop a new volatility model to revisit the risk-return relation of the aggregate stock market index by extending the Realized GARCH model of Hansen et al. (2012) with the Wang and Yang (2013) framework, in which the overall risk-return relation is decomposed into a risk premium and a volatility feedback effect. An empirical analysis of three major Chinese stock indices reveals positive risk premium and negative volatility feedback effect, and those findings are stable across different markets and sub-samples. However, their relative magnitudes differ between markets and varies through time. [ABSTRACT FROM PUBLISHER]

Purpose – The purpose of this paper is to: first, test if information-adjusted noise model (IANM) can be applied in China; second, quantify noise trader risk, overreaction, underreaction and information pricing errors in that market; and third, explain the relationship between noise trader risk and return. Design/methodology/approach – The authors use a behavioural asset pricing model (BAPM), CAPM, the information-adjusted noise model and model proposed by Ramiah and Davidson (2010). Findings – The findings show that noise traders are active 99.7 per cent of the time on the Shenzhen A-share market. Furthermore, our results suggest that the Shenzhen market overreacts 41 per cent of the time, underreacts 18 per cent of the time and information pricing errors occur 40 per cent of the time. Originality/value – Various methods have been applied to the Chinese stock market in an effort to measure noise trading activities and all of them failed to account for information arrival. Our study uses a superior and alternative model to detect noise trader risk, overreaction and underreaction in China. [ABSTRACT FROM AUTHOR]

Purpose – The purpose of this paper is to test whether there is higher return rate of investment for poor farmers than for un-poor farmers and to discuss its implication for poverty reduction microcredit rate policy. Design/methodology/approach – By using the household-level data of six provinces of China, farmer household production function is used in this paper to estimate the investment return rate of farmer. Findings – The paper indicates that regardless which kind of grouping standard is adopted, the investment return rates of poor farmer households in general are far lower than the non-poor. In general, the richer a farmer household, the higher is the return rate of his household productive operations. Practical implications – The study of this paper reminds policy makers that poverty reduction microcredit rate should really take endurance capacity of poor farmers for credit rate into accounting because of the low return rate of their family investment. Exorbitant credit rate should be avoided to protect the credit right of poor farmers. Originality/value – There is seldom study on the comparison of return rates of family operation investment between poor and un-poor farmers; there is also unenough empirical study on the rationality of high interest rate on poor households from the return rate of investment point of view. The authors expect this paper will have some contribution on these two points. [ABSTRACT FROM AUTHOR]