Asia-Pacific Journal of Financial Studies最新文献

This paper investigates the impact of volatility on expected corporate bond returns in China by using transactional data from 2010 to 2022. Portfolio analysis and Fama-MacBeth regression show that volatility has a negative impact on expected corporate bond returns. After controlling for credit rating, maturity, liquidity, stock volatility and risk exposures, the volatility effect remains significant. By incorporating a new volatility factor and the bond market factor into the term-default two-factor bond pricing model of Fama and French (Journal of Financial Economics, 1993, 33, 3), we construct a new four-factor pricing model of corporate bonds. The proposed model captures the premium of volatility risk well and makes a significant marginal contribution to explaining the excess returns of corporate bonds. In addition, we find that volatility has a predictive effect on the default of corporate bonds.

Based on a sample of Korean public firms in the period 2002–2022, we document that foreign ownership and trading volumes increase in subsequent quarters when firms provide earnings calls in English. Stock price synchronicity also increases in subsequent quarters. We re-examine the effect of English language earnings calls using a sample including only those firms providing English language earnings calls and a matching sample, and find a similar effect. We show that cumulative abnormal returns around call releases are higher when the Questions and Answers sections of the calls exhibit more positive sentiment. Our final analysis reveals that the positive effect of call sentiment is more pronounced within firms with higher foreign ownership.

Few studies have examined the causes of stock price crashes and their economic consequences. This study, using Chinese listed firms as a sample, investigates the impact of stock price crashes on accounting conservatism. The results show that accounting conservatism significantly increases after a stock price crash, with a more pronounced effect in firms with higher levels of external oversight. Our findings support both signaling and resource-dependence theory: after a crash, managers increase accounting conservatism to send a stronger positive signal, rebuild stakeholder confidence, and thereby mitigate the adverse valuation effects of the crash.

This study explores the relationship between organizational culture and firm performance by applying a machine learning-based text analysis to a large corpus of employee reviews. Inspired by an intuitive framework of Myers-Briggs Type Indicator personality dimensions, we propose a novel representation of organizational culture using Korean employee narratives from JobPlanet. Using doc2vec, we derive eight continuous culture scores and investigate their associations with firm valuation metrics. The findings suggest that specific culture dimensions, such as extroversion and judging, are significantly related to firm value. Robustness checks using alternative embeddings confirm that the results are not model-specific. We contribute to the growing literature on culture by providing scalable, language-aware methods for quantifying organizational traits in emerging markets.

Using China's three waves of low-carbon pilot cities (2010, 2012, 2017) as a quasi-natural experiment, we employ a multi-period difference-in-differences on A-shares firms (2008–2020) to assess environmental regulation's effects on market and sustainability performance. The pilots significantly improve both, with dynamic effects. In terms of mechanisms, the policy boosts research and development and eco-innovation, thereby supporting the Porter hypothesis; however, it simultaneously tightens financing constraints, which dampens market performance but not long-term sustainability. Regarding heterogeneity, state-owned enterprises outperform in sustainability while lagging in market performance, and higher market concentration amplifies market gains yet suppresses sustainability; conversely, institutional investors strengthen long-term orientation and significantly enhance sustainability performance.

Using a large sample of transcripts of corporate site visits (CSV) to Chinese public listed firms from 2012 to 2021, we examine whether the management uses more euphemisms when hosting non-site visits, which obfuscates the information integration of analysts. Our results suggest that managers tend to use euphemisms more frequently when hosting non-site visits and when they become more pessimistic, suggesting that managers may strategically muddle their message to investors and obfuscate the extent of bad news. Furthermore, more euphemism usage by managers in non-site visits distorts analysts' information integration and leads to greater analyst forecast dispersions. Our study adds to the literature on the impact of online corporate communication on analysts' information acquisition and, therefore, provides important implications on information disclosure obligations and information obstacles in emerging markets.

I examine the underpricing of private bonds from U.S. issuers under Rule 144A and its relation to information asymmetry. The evidence shows that informationally opaque issuers prefer private placements, offering higher initial returns to attract informed investors and avoiding the elevated default premium they would face in public markets. On average, private bonds deliver 0.54% higher initial excess returns than public bonds. While underpricing is positively related to information asymmetry for public bonds, the relationship is weak for private bonds, as informed investors are less sensitive to dispersed market information. The underpricing of private bonds is stronger for an issuer's first private offering, but the higher returns do not persist beyond the first trading day. Overall, private bond issuance reflects firm incentives to target informed institutional investors in the bond market.

This paper reviews the economic foundations of green finance and how it works in practice. Public policy is essential for addressing climate externalities, but its impact is often limited by policy swings and the difficulty of coordinating across countries. These gaps have raised expectations for private investors, yet common channels such as divestment and engagement face structural hurdles: heterogenous investor preferences, fiduciary constraints, and weak links between ESG metrics and real economic outcomes. Recent research finds that sustainable investing tends to shift portfolios more than it cuts emissions. Transition-focused tools, including sustainability-linked bonds, show more promise. Overall, we argue that green finance is most effective as a complement to public policy and technological innovation, not a substitute for them.

This study examines whether and how fund networks influence the disposition effect of fund managers. We use quarterly data from Chinese open-ended equity funds for the period from 2013 to 2024. First, we demonstrate a negative relationship between fund networks and fund managers' disposition effects, indicating that the higher the centrality of the fund network, the lower the disposition effect of fund managers. Second, fund managers' stock-picking and market-timing abilities play a U-shaped moderating role in the relationship between network centrality and the disposition effect. Finally, higher fund performance ranking, industry concentration, and economic policy uncertainty weaken the negative impact of fund networks on the disposition effect of fund managers. This study provides better insights into how fund networks affect fund managers' dispositions.