We find value premium in the Chinese stock market using a conventional buy-and-hold approach which longs the portfolio with the highest BM ratio and shorts the one with the lowest BM ratio. Based on the finding, we test a new strategy by combining the value premium effect and technical analysis. During the sample period (1995 to 2015), we trade the objective portfolio or risk-free asset according to the moving average timing signals, and we find excess return from such a zero-cost trading strategy. We perform various robustness tests and find that the excess returns remain significantly positive after adjusting for risks (on three factor models) and transaction costs. In general, we find that the combined trading strategy can generate significant positive risk-adjusted returns after the transaction costs.

This paper investigates the impact of green credit policy (GCP) on the green technological innovation capacity of heavily polluting enterprises (HPEs) from the perspectives of external financing and internal concerns. Using data from companies in China’s A-share market from 2008 to 2021, we study the shocks of Green Credit Guidelines to the green technological innovation in HPEs based on the difference-in-differences (DID) model. The baseline regression result reveals that the GCP significantly motivates HPEs to engage in green technological innovation. Moreover, the efficiency of capital utilization has an adverse moderating effect on the impact of GCP, while commercial credit financing has a positive moderating effect. Mechanism analysis shows that the GCP stimulates green technological innovation in HPEs by reinforcing short-term loan dependence and strengthening executive green awareness. In a further study, the policy effects are heterogeneous for enterprises with different characteristics. Regionally, green credit policy affects enterprises in China’s eastern region more strongly. The effect is also more pronounced for Chinese domestic enterprises and those with low financial background heterogeneity within top management teams. Overall, the findings in this study have important implications for policymakers in implementing green finance policies.