【CFRI 第十二卷 第1期】

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第十二卷第一期

CFRI期刊2022年第1期共8篇文章，本期文章汇聚了来自澳大利亚，新西兰，瑞士，南非，中国香港，巴基斯坦的多位优秀学者的高质量论文，结合“财务报表分析”，“加密货币”，“企业社会责任”，“公司债券利差”，“养老金”，“中国的对外投资”等话题进行了深入的研究和探讨，扫描文中二维码可快速下载文章全文，感谢您对CFRI的关注与支持！

01

财务报表分析：回顾与当前问题

Financial statement analysis: a review and current issues

Andrew B. Jackson 

UNSW Business School, Australia.

Abstract 

The literature on financial statement analysis attempts to improve fundamental analysis and to identify market inefficiencies with respect to financial statement information. In this paper, the author reviews the extant research on financial statement analysis. The author then provides some preliminary evidence using Chinese data and offer suggestions for future research, with a focus on utilising unique features of the Chinese business environment as motivation. The author notes that there has been no work that the author could locate specifically on Chinese FSA research. The unique business environment in China, relative to the US where the vast majority of this work has been conducted, should motivate any studies, especially given the author documents the robust finding in terms of the mean reversion in profitability. 

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02

新兴市场中的加密货币和投资组合多样化

Cryptocurrencies and portfolio diversification in an emerging market

Lehlohonolo Letho 

University of South Africa;

Grieve Chelwa

University of Cape Town Graduate School of Business, South Africa;

Abdul Latif Alhassan 

University of Cape Town Graduate School of Business, South Africa.

Abstract 

This paper examines the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments within an emerging market economy. The paper documents evidence to support the diversification benefits of cryptocurrencies by utilising the mean-variance tests, improving the efficient frontier and the risk-adjusted returns of the emerging market economy portfolio of investments.

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03

加密货币作为新冠病毒期间投资组合的避险天堂——以比特币、以太坊和莱特币为例

Cryptocurrency as a safe haven for investment portfolios amid COVID-19 panic: cases of Bitcoin, Ethereum and Litecoin

Mutaju Isaack Marobhe 

Tanzania Institute of Accountancy and Swiss School of Management, Switzerland.

Abstract 

This article examines the susceptibility of cryptocurrencies to coronavirus disease 2019 (COVID-19) induced panic in comparison with major stock indices. The article provides evidence to support the cryptocurrency as a safe haven during COVID-19 school of thought given their resistance to subsequent shocks during COVID-19. Thus, the author stresses the need for diversification of investment portfolios by including cryptocurrencies given their uniqueness and resistance to shocks during crises.

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04

中国股市最后一小时势头

Last hour momentum in the Chinese stock market

Lu Yang

Shenzhen University, China.

Abstract 

To capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the Tþ0 trading rule. In this study, the authors identify a last hour momentum pattern in whichthe sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF. Overall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days. Noise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon. 

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05

企业社会责任报告信息丰富吗？来自中国银行文本分析的证据

Are corporate social responsibility reports informative? Evidence from textual analysis of banks in China

Jerry C. Ho

Queensland University of Technology, Australia;

Ting-Hsuan Chen and Jia-Jin Wu 

National Taichung University of Science and Technology, Taiwan.

Abstract 

The authors investigate the association of the constructed corporate social responsibility (CSR) measures with the banks’ profitability, social contributions and CSR spending as well as the market reaction to CSR spending. The findings suggest that banks with stronger engagements and interests in the business-related CSR domain experience higher profitability, while those that are more committed to the corporate governance and charity-related domains create larger social contributions. Banks tend to incur higher CSR spending when they are more active in corporate governance. Although the stock market reacts positively to CSR expenditures, the reaction is less favorable for banks with CSR expenditures above the industry norm.

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06

公司债券利差与被低估的养老金负债

Corporate bond spreads and understated pension liabilities

Huan Yang 

Southwestern University of Finance and Economics, China;

Jun Cai 

City University of Hong Kong, Hong Kong, China. 

Abstract 

The question is whether debt market investors see through managers' attempts to hide their pension obligations. The results support the idea that bond market investors are not being misled by the use of high pension liability discount rates by some companies to lower their reported pension obligations.The authors establish a robust relation between corporate bond yield spreads and measures of understated pension liabilities after controlling for issue-specific features, firm characteristics, other pension information (funded status and mandatory contributions), macroeconomic conditions, calendar effects and industry effects.

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07

双重和单一套期保值策略：直接套期保值和交叉套期保值的新比较

Dual and single hedging strategy: a novel comparison from the direct and cross hedging perspective

Yun Feng 

Shanghai Jiao Tong University, China;

Yan Cui 

Shanghai Jiao Tong University, China.

Abstract 

The purpose of this paper is to deeply study and compare the dual and single hedging strategy, from the direct and cross hedging perspective. Results show that in the direct hedging background, a dual hedge cannot outperform the single hedge. But in the cross dual hedging setting, a dual hedge performs much better, possibly because the dual hedge brings different levels of advantages and disadvantages in the two different settings and the superiority of the dual hedge is more obvious in the cross dual hedging setting.

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08

中国对外直接投资与双边出口成熟度：

跨国面板数据分析

China’s outward foreign direct investment and bilateral export sophistication: a cross countries panel data analysis

Faheem Ur Rehman 

University of Haripur, Pakistan;

Abul Ala Noman 

Kohat University of Science and Technology, Pakistan.

Abstract 

China's outward foreign direct investment (OFDI) has risen remarkably over the past two decades. The purpose of this study is to investigate the impact of Chinese OFDI on bilateral export sophistication of China and its OFDI receiving partner countries during 2003–2017 by applying Poisson pseudo-maximum likelihood approach based on gravity model. The results confirmed the significant and positive effect of Chinese OFDI on bilateral export sophistication in total sample, regions-wise and income groups sample.

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