Research
Publications
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Gao, Z., Pang, S., Wang, H., & Zhou, Y. (2026). Minimum wage policy uncertainty and bond credit spreads: Evidence from China. Pacific-Basin Finance Journal, 98, 103160.
Abstract: This paper examines how uncertainty surrounding the timing of minimum wage (MW) policy adjustments affects corporate bond credit spreads. Using a novel dataset that links city-level MW policies with bond issuance data for publicly listed Chinese firms from 2007 to 2023, we find that greater MW policy uncertainty significantly increases bond credit spreads. The effect is particularly pronounced for state-owned enterprises, labor-intensive firms, and firms employing lower-skilled workers. In contrast, the effect is weaker for bonds with lower credit ratings or longer maturities and during periods of greater economic or political instability, lower levels of economic development, tighter monetary policy, or heightened trade policy uncertainty. Mechanism analysis suggests that MW policy uncertainty increases firms' operational volatility and financing constraints, thereby raising perceived credit risk and widening spreads. By quantifying city-level uncertainty in MW policy timing, this research provides new evidence on how labor policy dynamics influence corporate credit risk.
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高震男，魏旭，张学勇（2023）. 供应商集中度与股价崩盘风险：理论分析与中国实证. 经济学（季刊）, 5, 1991-2008.
Abstract: 本文研究了公司供应商集中度与其股价崩盘风险之间的关系。通过构造理论模型刻画了供应商与公司间的博弈过程， 证明了供应商集中度的提高会导致公司经营亏损的概率和额度的双双提升，公司估值负偏度随之增加。借助中国上市公司2009—2018年数据的实证检验得到了与理论模型一致的结论： 当供应商集中度增加时，股价崩盘风险确实会显著增加。这一结论在考虑了内生性、样本选择偏误后依然存在，尤其是在制造业和议价能力较弱的公司中更为显著。
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Zhou, Y., Wang, Y., & Gao, Z. (2022). Effects of market liquidity on price dynamics in a heterogeneous belief model. Applied Economics, 1-18.
Abstract: To understand the effect of liquidity on asset pricing, this study constructs a boundedly rational asset pricing model, introducing market liquidity and heterogeneous beliefs. Based on our model, we conduct empirical tests using the S&P 500 index from 1991 to 2021 and the CSI 500 index from 2007 to 2021. We find that market liquidity significantly influences investors' expectations and belief switching. When market liquidity is scarce, fundamentalists in both markets expect the price to converge more quickly to its fundamental value, whereas chartists perceive that the price deviates from its fundamental value less rapidly. Lack of liquidity mitigates the investors' original switching strategy, resulting in positive feedback as a net effect. Moreover, the S&P 500 index is efficient, whereas the CSI 500 index is slightly undervalued in the long run. Both markets exhibit large fluctuations and inefficiency during short periods such as the 2008 financial crisis and COVID-19 pandemic. As such, safeguards should be implemented against sudden shocks and the resulting price deviation and market inefficiency.
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Chen, R., Gao, Z., & Zhang, X. (2019). Return Predictability: Evidence from the US-China Supply Chain. Journal of Portfolio Management, 45(4), 143-151.
Abstract: In this article, by investigating return predictability across a transnational supply chain, the authors present new evidence supporting the hypothesis that value-relevant information diffuses gradually in financial markets because of limited attention from investors. They find that the corresponding trading strategy delivers superior abnormal return. Using a sample of supply chains between Chinese customers and US suppliers from 2009 to 2015 and corresponding financial and return data, the authors show that Chinese customer returns can predict US supplier future return at the firm level. A long-short portfolio strategy based on these findings yields significant abnormal monthly returns of 2.179% (equal-weighted portfolio) in the Fama-French five-factor model. The authors also employ Fama-MacBeth regression analysis and propensity score matching-matched sample analysis, and the conclusions continue to hold.
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高震男，王一鸣，刘俊玮（2019）. 融资结构对经济增长和条件收敛的影响. 上海经济研究, 2019(10), 95-108.
Abstract: 以Solow经济增长模型为基础，重点分析融资结构对于经济增长和经济收敛速度的影响。将人力资本因素、制度因素、中央财政转移支付加入到模型当中，将物质资本投入划分为直接融资和间接融资两部分，构造了一个扩展的Solow模型，通过模型推导发现直接融资和间接融资的替代弹性与经济收敛速度呈现正相关关系。利用2008—2017中国省级层面的面板数据，使用系统GMM估计方法进行实证分析，发现直接融资对于经济增长的促进作用非常明显，但间接融资的积极作用不够显著，人力资本、制度因素以及中央财政转移支付也会影响经济发展；各省之间表现出显著的收敛趋势。
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Chen, R., Gao, Z., Zhang, X., & Zhu, M. (2018). Mutual fund managers' prior work experience and their investment skill. Financial Management, 47(1), 3-24. Top Paper in Financial Management
Abstract: This paper examines the relationship between mutual fund managers' past professional backgrounds and their portfolio performance using Chinese mutual fund data from 2003 to 2016. We focus on managers with prior work experience either as industry analysts or as macroanalysts. We hypothesize that managers who worked as industry analysts exhibit superior stock picking skills, while managers with a background as macroanalysts time the market better. These hypotheses are supported by the data after controlling for observable fund and manager characteristics. Bootstrap analyses suggest that a significant difference in performance between these two types of managers cannot be attributed purely to luck.
Research Projects
National Natural Science Foundation Youth Project: The impact of the restructuring of global supply chain on enterprises and countermeasures.