Webinar Series

|

Capital Market Development: China and Asia

|

Nov 2024

Large Language Models and Return Prediction in China

Lin TAN, Huihang WU, Xiaoyan ZHANG
We examine whether large language models (LLMs) can extract contextualized representation of Chinese public news articles to predict stock returns. Based on representativeness and influences, we consider seven LLMs: BERT, RoBERTa, FinBERT, Baichuan, ChatGLM, InternLM, and their ensemble model. We sh...
Keywords: return prediction, news articles, large language models, information efficiency, Chinese stock market
  • View
  • Download
  •    |   

Webinar Series

|

Capital Market Development: China and Asia

|

Sep 2024

Empowering through Courts: Judicial Centralization and Municipal Financing in China

Jiayin HU, Wenwei PENG, Yang SU
This study finds that reducing political influence over local courts weakens local government debt capacity. We establish this result by exploiting the staggered roll-out of a judicial centralization reform aimed at alleviating local court capture in China and find reduced judicial favoritism toward...
Keywords: judicial centralization, court capture, lawsuit, public finance, information asymmetry, municipal corporate bond
  • View
  • Download
  •    |   

Webinar Series

|

Capital Market Development: China and Asia

|

Apr 2024

The Mandarin Model of Growth

Zheng Michael SONG, Wei XIONG
In China’s hybrid economy, the central government employs economic performance evaluations to guide career advancements of local officials. When local governments face stringent debt constraints, these career incentives can spur growth. However, when debt constraints are relaxed, such incentives m...
  • View
  • Download
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Digital Transmission of Financial Knowledge: Evidence from Stock Market Investment

Xiaomin GUO, Yi HUANG, Qi SUN, Bernard YEUNG
This paper studies how a digital platform’s transmission of financial knowledge influences users’ stock market participation and investment performance. Lever-aging a Chinese platform’s randomly distributed nudges as an instrument, we find that the resultant increase in exposure to financial k...
Keywords: Digital Technology Adoption, FinTech, Portfolio Choice, Individual In-vestors, Financial Literacy
  • View
  • Download
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

What Triggers Stock Market Jumps?

Scott R. BAKER, Nicholas A. BLOOM, Steven J. DAVIS, Marco SAMMON
We examine next-day newspaper accounts of large daily jumps in 19 national stock markets to assess their proximate cause, clarity as to cause, and geographic source. Our sample of over 8,000 jumps, reaching back to 1900 for the United States, yields several novel findings. First, news about monetary...
Keywords: Stock market jumps, clarity about jump reason, monetary policy, government spending shocks, Fed put, global impact of US, market volatility, text analysis, human readings
  • View
  • Download
  •    |