1. 逯晓玮（2016级博士生）：Litigation Risk, Political Connections, and Corporate Governance
2. 姚薇（2017级博士生）：On the transmission mechanism between inventory arbitrage activity, speculative activity, and commodity prices under U.S. QE policy: Evidence from a TVP-VAR model
3. 吴祯姝（2018级博士生）：Carbon Risk and Corporate Cash Holdings
尹力博 中央财经大学金融学院 教授
魏旭 中央财经大学金融学院 副教授
丁娜 中央财经大学金融学院 助理教授
五、主持人：尹力博 中央财经大学金融学院 教授
1. Litigation Risk, Political Connections, and Corporate Governance
This study first document models that measure litigation risk in China and to benchmark these models against the industry measure widely used in the literature. While the industry measure alone does a relatively poor job of predicting litigation, supplementing this variable with measures of firm capital market characteristics (such as stock return, and stock volatility) and political connection factor considerably improves predictive ability. Moreover, I examine the impact of litigation risk on corporate investment policies, and in shaping corporate performance. I document a negative association between litigation risk and corporate investment expenditures, and also a negative relationship between litigation risk and corporate performance. Lastly, I investigated the mediating impact of the political connection factor, concluding that having political connections to the government could mitigate the negative impacts of litigation risk on corporate investment policy, and also mitigate the negative impacts caused by litigation risk on corporate performance.
2. On the transmission mechanism between inventory arbitrage activity, speculative activity, and commodity prices under U.S. QE policy: Evidence from a TVP-VAR model
We investigate the transmission that relates speculative activity, inventory arbitrage activity, and commodity price volatilities under U.S. quantitative easing (QE) policy. In this direction, a TVP-VAR model is adopted to test the transmission effect on seven commodities’ prices using monthly data over the period 2003:4 to 2018:6. The results suggest that U.S. easing monetary policy and QE policy has a strong impact on precious metals and energy commodity price volatilities, whilst for industrial metals and agricultural stuffs' price volatilities, the impact is rather subdued. Even though easing and QE policy affects energy commodity price volatilities through inventory arbitrage activity and speculative activity simultaneously, the impact of inventory arbitrage activity appears to be stronger than that of speculative activity. The effects of monetary policy, inventory arbitrage activity and speculative activity on commodities’ price volatilities are rather mixed. Moreover, Granger causality indicates that some commodities’ prices may lead inventory arbitrage activities and speculative activities. The evidence also shows that speculative activity does not seem to have exerted a weaker impact on commodities’ prices during the de-financialization period of commodity market.
3. Carbon Risk and Corporate Cash Holdings
The adoption of Paris agreement to reduce carbon emission in response to global climate change exacerbates the uncertainty of high-carbon emitters. We use the adoption of Paris Agreement as a quasi-natural experiment to investigate the effect of corporate carbon risk on cash holdings in the context of Chinese listed industrial firms. We document a significant increase of high-carbon emitter’s cash holdings after the adoption of Paris Agreement. Economically, in contrast to the low-carbon emitters, high-carbon emitters’ cash holding increases about 2.6% on average after the adoption of Paris Agreement. Further analysis shows that the positive relationship between carbon risk and cash holdings is more pronounced for the firms with high external financial constraints and high volatile cash flows. Moreover, we find that cash holdings are more valuable for high-carbon emitters in face of high carbon risk. Meanwhile, we find the increased cash holdings are not due to high-carbon emitters’ capability to generate cashes. The evidence supports the pre-cautionary argument in response to carbon risk. Our results also indicate that high-carbon emitters tend to commit to green transition to alleviate the impact of carbon risk.