Good News | Paper Publication of Prof. Zhang Jinfan and Graduates of MSc in Finance Programme Published with Co-authorship
Prof. Zhang Jinfan of the School of Management and Economics (SME), The Chinese University of Hong Kong, Shenzhen (CUHK-Shenzhen) led Liu Qing and Xu Mengxia, graduates of MSc in Finance Programme, Shenzhen Finance Institute (SFI), co-authored the paper "Study on the Excess Rate of Return on ST Stocks". The paper was published in the seventh issue of Review of Investment Studies.
Review of Investment Studies publishes the research results of basic and applied theory of the macro control and micro management of investment, discusses the development of financial investment, long-term bank credit investment, enterprise and securities investment management, and introduces new trends and academic achievements in foreign investment researches.
MSc in Finance Programme of Class 2018 of SFI, CUHK-Shenzhen
Ph.D. Candidate of the Finance Programme of Antai College of Economics and Management (ACEM), Shanghai Jiao Tong University
MSc in Finance Programme of Class 2018 of SFI, CUHK-Shenzhen
Data Engineer at Shenzhen Research Institute of Big Data
Q1: Could you briefly introduce the paper?
Xu Mengxia: This paper focuses on the special treatment (ST) in the A-share market. ST stock is a very interesting phenomenon, a bit similar to Lottery Stock. On the one hand, if there is a risk warning, the special treatment will face a great risk of delisting. On the other hand, according to media reports, investors are keen to speculate on ST shares in the past few years because they expect that some ST shares will be uncapped through mergers and acquisitions in the short term and bring huge profits. This contradiction is worthy of a further exploration. Through empirical research, we found that ST stocks as a whole do not have significant positive excess returns, but ST stocks with small market value have very significant excess returns. Then we proposed the IPO effect and the financial report effect to explain this excess return, and conducted some robust tests.
Q2: Why did you choose this topic?
Liu Qing: Xu Mengxia has given two reasons as above. However, I thought that whether ST stocks generally have pricing deviations needs to be examined by the empirical research. On the one hand, the research results of this paper can provide some references for the improvement of the ST system, which is the core of the delisting system. On the other hand, it can interpret the investment logic of poorly performing stocks to investors, hence this topic has a value both in academic research and practice.
Q3: What kind of guidance Prof. Zhang Jinfan provided to you during the research process?
Liu Qing: The original idea of the paper was actually put forward by Prof. Zhang. He proposed several key hypotheses, and then we verified these hypotheses through the empirical research. During the paper writing, we basically had a discussion on research process with Prof. Zhang every two weeks. Prof. Zhang has an accurate intuition for economics even with the complex data and can point out problems precisely. This is what we need to learn from Prof. Zhang.
Xu Mengxia: Prof. Zhang played a crucial role in this project. At the beginning, he talked to us about the phenomenon that some investors are keen to speculate in ST stocks, and put forward research ideas and several key hypotheses. At the beginning, I was in charge of the programming and I kept reporting the results to Prof. Zhang, and he could always find out the problem in some details, making my back-testing more realistic and accurate. In the empirical process, in addition to verifying the hypotheses proposed by Prof. Zhang, we also proposed some of our own ideas and assumptions, and Prof. Zhang tirelessly discussed with us. After the first draft was completed, He reorganized the structure of the paper, and the logic of the thesis was instantly smoother and more convincing. I felt so fortunate to meet such an excellent professor like him at the first step of my academic career. From how to discover problems, putting forward hypotheses, to what details should be paid attention to in the demonstration, how to write articles, etc., Prof. Zhang gave us all-round guidance. I hope that I could continue to work together with Prof. Zhang in the future.
Q4: What was the biggest difficulty or the most important outbreak during the research process?
Liu Qing: Generally speaking, it was relatively smooth, and the results came out significant from the beginning. We were very interested in the topic of this paper, and also very passionate in writing. In fact, we avoided the major obstacles thanks to Prof. Zhang's guidance.
Xu Mengxia: I think there were no big difficulties in completing the paper. Our results were obtained on the basis of continuously improving the method and code. Therefore, every modification of algorithm, model and debug is a very important breakthrough. After all, any small step that is wrong will not lead to such a perfect result.
Q5: Did other experiences give you a deep impression, such as the design, writing, revision and publication of this paper?
Liu Qing: Although the completion of this paper is accomplished at a stretch, the subsequent submissions were not so smooth. We submitted the paper many times, and encountered some problems, such as not matching with the journal's topic selection and positioning. Even if we think the quality of this paper is not bad, we have found that there are very few domestic journals that accept pure asset pricing articles. Therefore, the most impressive thing was the roughness encountered in the article submission process.
Xu Mengxia: What impressed me the most was "the luck". I think I am a very lucky person. I have worked with Prof. Zhang ever since I began the research. The empirical results of the first paper I completed were very good. I didn't encounter too many setbacks except changing the code and got a perfect result. Although the submission process was full of difficulties, we all liked this paper very much. The publication of this paper means a lot to our hard work.
Q6: Why did you choose CUHK-Shenzhen, SFI?
Liu Qing: Because SFI has a first-class faculty team and scientific research environment at home. During the past years, SFI has gradually accumulated abundant resources and built a good reputation in industries. So whether you want to get employment or continue for further study, SFI is a good choice.
Xu Mengxia: At first I participated in the information session of CUHK-Shenzhen while I was in my undergraduate. I think this university is very new, but it has great potential. I want to pursue a Ph.D., and my undergraduate teacher introduced me to his co-author, Prof. Zhang Jinfan. I think SFI enjoys a strong faculty team and they are definitely a good choice for my academic career. After receiving the offer of SFI, I did not hesitate to refuse other opportunities and chose SFI.
Q7: Could you share some experiences in academic research to younger students?
Liu Qing: Liu Qing: Personally, I feel that my academic research has just started, and I do not have rich academic experiences. However, speaking of personal feelings, I think that first, you need to be interested in research. Second, it is necessary to communicate with professors. The professors all have experiences in teaching or studying from world-renowned universities. Their experience and insights can benefit us a lot.
Xu Mengxia: I am still just a newcomer who has pushed open the door to the academic world and is looking inside with curiosity. I can only share some of my personal feelings. First, to read more literature review in your interest fields, which is beneficial for you to increase theoretical knowledge and enhance practical skills (such as programming). Second, to observe your life and find some interesting topics. The most important thing is to communicate with professors and peers. Don’t work hard behind closed doors. Collisions of thoughts sometimes can generate more ideas.
Q8: Xu Mengxia, as the Research Assistant (RA) of Prof. Shu Tao, what kind of helps Prof. Shu provided for you on the path of academic research?
Xu Mengxia: Prof. Shu is another important people in my academic research path. I am also honored to be able to conduct academic researches with Prof. Shu. I am now working as a data engineer in the government big data laboratory led by Prof. Shu. I have done a lot of data processing work under the guidance of Prof. Shu. He has shared a lot of data processing experience with me. He always reminds me of some very detailed but extremely important data processing methods in academic research, which will be useful to me in my whole life. In addition, I also completed several research project proposals under the guidance of Prof. Shu. During the discussion, he always pointed out my problems sharply and gave me many useful suggestions. The most important thing is that he didn't simply see me as a RA to assign tasks, but let me think independently to gradually change the role from a RA to a researcher. I plan to apply for a Ph.D. this year, and Prof. Shu has helped me select universities and given me a lot of help. I really appreciate Prof. Shu.
In the cooperation with Prof. Shu and Prof. Zhang, I found that successful scholars shared similar characteristics which I suppose to learn from, such as paying particular attentions to details and working hard.
Q9: Liu Qing, you are currently a Ph.D. candidate at Shanghai Jiao Tong University, did you have some difficulties when apply for the Ph.D., and could you share some experiences in the Ph.D. application?
Liu Qing: I personally feel that there are still difficulties, because the pandemic in the past year has a big impact on my Ph.D. application. According to my personal experience, it is necessary to communicate more with professors and consider carefully their suggestions and opinions. If you are applying for a domestic university, you need to contact the supervisor in advance to understand research fields and directions. If you apply for a international university, you also need to prepare several strong recommendation letters. There will always be a lot of uncertainties in the application. You have to believe in yourself and keep going. Even if you are frustrated for the time being, there will always be a bright future.
Proofreading: Ella, Yifei