Global firms finance themselves through foreign subsidiaries, often shell companies in tax havens, which obscures their nationality in aggregate statistics. We associate the universe of traded securities with their issuer's ultimate parent and restate bilateral investment positions to better...

Global firms finance themselves through foreign subsidiaries, often shell companies in tax havens, which obscures their true economic location in official statistics. We associate the universe of traded securities issued by firms in tax havens with their issuer’s ultimate parent and restate...

Using a proprietary dataset from 2016 to 2019, we find that order flows from foreign investors, facilitated by regulatory liberalization through several channels, present strong predictive power for future stock returns in the Chinese market. Most surprisingly, foreign investors possess the...

This paper investigates the potential benefits of international diversification with short-selling constraints from the perspective of Chinese investors. Based on a stream of time-rolling realized portfolios, we show that Chinese investors can gain substantially in terms of portfolio risk...

The aim of this paper is to analyze the influence of the Qualified Foreign Institutional Investors (QFII) scheme announcement on the Chinese A- and B-share markets, using an event study method with the GARCH (Generalized Autoregressive Conditional Heteroskedasticity) process. The results...

The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to...

Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. Second, the absence of momentum returns following UP markets in China...

This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...

We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...

We study the relationship between the Fama and French (2015) five factors’ betas and the expected overnight versus intraday stock returns in China’s A-share markets. We find that factor betas and expected returns exhibit contrasting relationships overnight versus intraday. The market, value,...