Default risk, state ownership and the cross-section of stock returns: evidence from China

Liu, Lanlan; Luo, Dan; Han, Liang

doi:10.1007/s11156-018-0771-0

Cited by 20 publications

(24 citation statements)

References 70 publications

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“…It has been proved that BC has high security, strong stability, non-tamper ability, and audibility. It can record transactions efficiently to protect bond corporates (Liu et al 2019 ).…”

Section: Introductionmentioning

confidence: 99%

RETRACTED ARTICLE: Applying blockchain technology in the corporate bond model for default risk assessment under the marketization principle

Gao

2022

Oper Manag Res

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This work expects to solve the problem that the traditional corporate bond model for default risk assessment has low accuracy and poor data collection and storage robustness. Firstly, this work uses the mature Kealhofer, McQuown, and Vasicek (KMV) model to evaluate the default risk of corporate bonds. Secondly, Blockchain (BC) technology's Information Security (SEC) performance in default risk assessment is studied. Finally, it analyzes the default disposal mechanism of Chinese bond corporates. The Wind database is selected to verify the proposed model. The results show that the proposed BC-based corporate bond model for default risk assessment has a good fitting effect and can meet practical needs. The BC-based data encryption only needs 14.1 ms to obtain a key from an 821-bytes public key. The encryption time and decryption time of the Number Theory Research Unit (NTRU) system are 7.9 ms and 2.9 ms, respectively. Therefore, BC technology shows good performance in data encryption and can improve ISEC. According to the KMV model, corporate bonds have certain default risks. The Distance to Default (DtD) of corporate bonds is 20.8% lower than that of companies. Thus, corporates have higher default risk. Therefore, methods are needed to reduce the default risk and improve the earnings. The finding provides important technical support for effectively reducing the default risk of bond corporates in China and ensuring the healthy development of bond markets.

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“…It has been proved that BC has high security, strong stability, non-tamper ability, and audibility. It can record transactions efficiently to protect bond corporates (Liu et al 2019 ).…”

Section: Introductionmentioning

confidence: 99%

RETRACTED ARTICLE: Applying blockchain technology in the corporate bond model for default risk assessment under the marketization principle

Gao

2022

Oper Manag Res

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“…In the meantime, China's insurers have answered the government's call to join the bailout of listed companies mired in the country's ongoing pledged-share crisis by planning to raise 68 billion yuan (US$9.8 billion) (https://www.asiatimes.com/2018/11/article/share-pledge-bailout-funds-now-exce ed-us71-96-bn/, https://www.caixinglobal.com/2018-11-15/insurers-join-bailout-effort-as-pledgedshare-crisis-continues-101347637.html). 13,15]. The Naïve model substitutes the distant-to-default measure from Merton [17] into a cumulative standard normal distribution to calculate the probability that the value of a firm's asset will be less than the face value of its debt.…”

Section: Measures Of Corporate Default Riskmentioning

confidence: 99%

Share Pledging and Corporate Default Risk: Evidence from the Chinese Stock Market

Xu¹

2021

JFA

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In this paper, we assess the economic impact of share pledging by focusing on corporate debt default risk, the most disruptive events in the life of a corporation. Using Instrumental Variables and a regulatory change that increasing the possibility of share pledging as a quasi-exogenous shock, we establish that increased share pledging decreases corporate default risk. The baseline results are robust by eliminating the effect of financial crises, adding other control variables, constructing new PSM samples and use other proxies for default risk. Further tests show that the relation is attenuated in higher ownership concentration and lower ex-ante institutional ownership firms. Our results indicate that share pledging can be beneficial to shareholders and important stakeholders like creditors by reducing the likelihood of corporate default. Our paper throws additional light on the economic impact of share pledging. Although several studies argue that share pledging incentivizes corporate insiders to use corporate resources for private benefits and destroy firm value on the Taiwanese stock market, our findings indicate that share pledging facilitates external monitoring and enables creditors to protect themselves. Our overall findings are consistent with prior literature which shows that share pledging improves market value of Chinese A-share listed firms. We believe that as strong government intervention during market downturns may limit A-share listed firms' exposure to downside risk associated, share pledging can play a more positive role in our setting.

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“…Government ownership is the percentage of shares owned by a government agency (Chen et al 2006;Liang et al 2013;Fan et al 2013;Lin et al 2016). A governmentcontrolled company is a dummy variable that is equal to 1 if the largest shareholder is a government agency and 0 otherwise (Fan et al 2007;Kwak et al 2009;Zhang, 2009;Liu et al 2019). Foreign ownership is the percentage of shares owned by foreign investors (Ferreira and Motas, 2008;Aggarwal et al 2011;Chen et al 2013;Chen et al 2016;Lin and Fu, 2017;Singla et al 2017).…”

Section: Ownership Structurementioning

confidence: 99%

Does ownership structure affect performance? Evidence from Chinese mutual funds

Mamatzakis

2020

Rev Quant Finan Acc

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This paper examines the impact of ownership structure on Chinese mutual fund performance and market share. We focus on two dimensions of ownership structure, namely the background of the owners and the degree of ownership concentration. Using a hand-collected dataset comprising 731 observations for 94 fund management companies over the period from 2005 to 2015, we provide evidence with panel estimation shows that the government ownership ratio and government-controlled companies have a positive effect on funds' performance. On the other hand, foreign ownership has a negative impact on performance and market share. Having a higher ownership concentration is more likely to increase the company's market share, whereas government-controlled companies experience a negative impact on their market share.

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Default risk, state ownership and the cross-section of stock returns: evidence from China

Cited by 20 publications

References 70 publications

RETRACTED ARTICLE: Applying blockchain technology in the corporate bond model for default risk assessment under the marketization principle

RETRACTED ARTICLE: Applying blockchain technology in the corporate bond model for default risk assessment under the marketization principle

Share Pledging and Corporate Default Risk: Evidence from the Chinese Stock Market

Does ownership structure affect performance? Evidence from Chinese mutual funds

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