我们利用中国上市公司的详细银行贷款数据识别银行融资关联，发现存在银行关联的企业之间具有显著的回报可预测性。基于关联企业历史收益率构建的多空组合能为目标企业带来年化5.5%-7.8%的风险调整后收益。这种跨企业预测效应与基于行业、地理位置或分析师覆盖的动量效应存在本质区别，且在投资者关注度较低、套利成本较高或与银行关系更紧密的目标企业中更为显著。总体而言，我们的研究揭示了股票市场溢出效应的独特传导渠道：企业间通过银行融资网络形成的关联关系，与投资者有限关注相互作用，共同导致市场信息传递效率的延迟。

Using detailed bank lending data from Chinese listed firms to identify bank-financing linkage, we find strong evidence of return predictability across bank-financing-linked firms. A long-short portfolio formed on the past returns of linked firms can generate risked-adjusted returns of 5.5%–7.8% annually for focal firms. This cross-firm predictability is distinct from momentum based on industry, geography, or analyst coverage. It is more pronounced for focal firms that receive lower investor attention, exhibit higher arbitrage cost, or have closer relationships with banks. Overall, our findings suggest a unique channel of stock market spillover, where the bank-financing linkage among firms, coupled with limited investor attention, leads to sluggish information diffusion.

Hosted by: Prof. Lijian Sun  

Contact: Ding Qi

2025年3月18日（星期二）18:30

Time:18:30, March 18th 2025 (Tuesday)

Place: Room 209, Think Tank Building