科研成果 by Type: 期刊论文

研究手稿
Agglomeration, Geographic Industry Distributions and Local Industry Policies. 研究手稿.
Jiang F, Meng L. The Asset Pricing Implications of Geopolitical Risk. 研究手稿.Abstract
We investigate the role of geopolitical risk in the cross-sectional pricng of equities. We estimate the exposure of assets to the geopolitical risk and show that the highest geopolitical risk beta portfolio can generate 3.99\% more annual excess return than the lowest one, which cannot be explained by the three-factor and five-factor models. We separate the geopolitical risk into geopolitical threats and acts and find that threat is the main driver of geopolitical risk premium. Furthermore, geopolitical risk premium is related to investor sentiment and cannot be explained or subsumed by other economic factors (i.e., economic policy uncertainty). These findings suggest that geopolitical risk is an economically important risk factor.
Wang X. Asset Pricing with Endogenous Entry. [Internet]. 研究手稿. linkAbstract
I build a tractable dynamic stochastic general equilibrium model embedded with endogenous entry. In this economy, successful implementation of heterogeneous production innovations by entrepreneurs contributes to economic growth. Facing barrier to entry, entrepreneurs with products of sufficiently high productivity successfully enter the market. The volatility in the endogenous selection of entrants gives rise to an increase in long-run uncertainty of growth prospects. With recursive preference, the household requires a high risk premium to compensate the long-run risk. The calibrated endogenous entry model can produce an equity premium of 4.08%, and a low and stable risk-free rate of 0.60%. If I introduce another exogenous shock -- entry shock that fluctuates the barrier to entry, I find an even higher level of equity premium. Moreover, when the entry shock is pro-cyclical, it amplifies the effect of endogenous entry on long-run risk and enhances equity premium. In particular, if the correlation between entry shock and aggregate shock is 0.4, the calibrated equity premium is 5.72%. When I extend the baseline model to incorporate fiscal policy and pro-cyclical industrial policy, the extended model quantitatively replicates key features of equity premium and risk-free rate.
Zhao* C, Wu L. Breaking the Factor Zootopia: Factor Selection via Significant Tests of Multi-Task Lasso. 研究手稿.
Ma X, Wu X, Zhang Y. The Bridge in Doctor-Patient Relations: Factors Influencing Patients’ Trust and Anti-violence attitude towards Medical Professionals. 研究手稿.
Deng Y, Han S, Kvist K, Zhou X-H. Causal Estimand and Inference in Clinical Trials with Time-to-Event Outcomes. 研究手稿.
Deng Y, Guo Y, Zhou X-H. Causal Pathways of Truncation-by-Death Using Sure Outcomes of Random Events Models. 研究手稿.Abstract
Truncation-by-death refers to a situation in clinical trials where mortality happens before the primary outcomes are collected, leaving the primary outcomes undefined. By principal stratification, a meaningful causal estimand termed the survivor average causal effect is defined in a subpopulation who will always survive regardless of being treated or controlled. We consider estimation and inference of this estimand using the sure outcomes of random events model. The sure outcomes of random events model visually exhibits core identification assumptions by introducing some latent variables, with explicit connection between latent variables and principal strata. Causal pathways from the treatment to outcome are established via observed variables and latent variables. The survival and outcome are considered to be consequences of a natural cause and a treatment-induced cause. Since survival is measured before the outcome, we allow the natural cause of survival to modify the natural cause of outcome. We also consider interventionist estimands by manipulating the causes. The proposed method is applied to investigate the effect of transplantation type on leukemia relapse undergoing allogeneic stem cell transplantation.
Zhang Y, Ma J. Discount Rates and Revenue Composition in Centralized Governance: Evidence from China. 研究手稿.
Qin F, et al. Emergent Nonlinear Anomalous Hall Effect via Symmetry Engineering. 研究手稿.
Environmental Change, Water Scarcity and Farmers' Differentiated Adaptations: Evidence from the Three Gorges Dam. 研究手稿.
Environmental protection tournaments and economic costs: Evidence from China. 研究手稿.
Export and Innovation: Quantifying the Value of Inter-Firm Knowledge Networks. 研究手稿.
Yao W, et al. Hidden-Spin-Polarization Induced Band Asymmetry in a PT-Symmetric Antiferromagnet. 研究手稿.
Zhang R, Zhao* C, Chen Y, Wu L, Dai Y, Chen E, Yao Z, Zhou Y, Wu L. High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants. 研究手稿.Abstract
We explore a broad range of high-frequency liquidity measures for the Chinese stock market based on a comprehensive tick-level dataset consisting of approximately 16.7 billion events. We summarize their liquidity levels and key distributional, time-series, and cross-sectional patterns. Order interarrival times follow Weibull---not exponential---distributions, implying that Poisson flow is not an appropriate model for order flow. We find novel intraday periodicities in liquidity at 1-minute, 5-minute, and 10-minute frequencies. We propose the aggressive-passive imbalance (API) and develop a model for the change in bid-ask spread that sheds light on the universal mechanism of spread formation with respect to order flows.
Shen W, Wang J. Minimal length of nonsimple closed geodesics on hyperbolic surfaces. 研究手稿.
Lo AW, Wu L, Zhang R, Zhao* C. Optimal Impact Portfolios with General Dependence and Marginals. [Internet]. 研究手稿. 访问链接Abstract
Impact investing typically involves ranking and selecting assets based on a non-financial impact factor, such as the environmental, social, and governance (ESG) score, the amount of carbon emissions, and the prospect of developing a disease-curing drug. We develop a framework for constructing optimal impact portfolios and quantifying their financial performance. Under general bivariate distributions of the impact factor and residual returns in excess of other factors, we demonstrate that the construction and performance of optimal impact portfolios depend only on two quantities: the dependence structure (copula) between the impact factor and residual returns, and the marginal distribution of residual returns. When the impact factor and residual returns are jointly normally distributed, the performance of optimal impact portfolios depends on the correlation between the two, and variations in this correlation over time contribute negatively to performance. More generally, we explicitly derive the optimal portfolio weights under two widely-used copulas---the Gaussian copula and the Archimedean copula family. The optimal weights depend on the tail dependence characteristics of the copula. In addition, when the marginal distribution of residual returns is skewed or heavy-tailed, assets with the most extreme impact factors should have lower weights than non-extreme assets due to their high risk. Overall, these results provide a recipe for constructing and quantifying the performance of optimal impact portfolios for any impact factor with arbitrary dependence structures with asset returns.
Liu Q, Wang X. Those Born in the Winter Know How to Weather the Storm: An Empirical Investigation on Firms Born in Recession. 研究手稿.Abstract
This paper investigates corporate history as a specific source of firm fixed effects by comparing firms born in one of the NBER recession periods with other firms. We find strong empirical evidence that firms born in recession have stronger operating performance, and perform particular better in the stock market during the recession periods. We also find that a significant extent of the heterogeneity in corporate innovation, investment, financing, organizational, and risk taking policies can be attributed to firm birth years. Our findings suggest that the otherwise unavailable creative destruction opportunities and the adverse founding conditions may have imprinted their marks on firms. These imprinted marks have a long-lasting effect on firms' approach toward decision making, leading to large variation in firm performance.
Wang X. Trade Barrier and Asset Prices. 研究手稿.Abstract
This paper identifies changes in trade barrier as a pricing factor for domestic firms in importing countries. I first build a dynamic stochastic general equilibrium with international trade. In the model, an exogenous shock that decreases trade barriers of the importing country has a negative effect on the cash flows of domestic companies in that country. The investors of the domestic firms exposed to the sudden reduction in trade barriers require positive risk premia to compensate for the displacement risk. The effect of displacement risk is strongest when the importing industry has high transportation cost, and when the importing industry is more concentrated. Using data of U.S. industry-level import tax to measure changes in trade barriers, I find that (i) industries with more severe tariff reduction have higher average returns; (ii) this effect of tariff changes on stock returns is largest for industries with high freight and insurance costs and industries with high Herfindahl index.
张逸凡. 多面向的政治制度观——现代语境理解下叶适制度思想的内在结构. 研究手稿.
高明, 刘玉珍, 张宇. 金融教育:理论基础与实验证据. 研究手稿.Abstract
学术界和政策制定者希望通过金融教育提升金融素养,改善家庭和社会福利。金融教育在英文文献中已有非常丰富的研究,但尚未引起中文文献的足够重视。本文系统回顾了发表于权威英文学术期刊的随机控制实验和准实验金融教育文献,并结合关于金融素养的理论和实证研究,探讨金融教育的有效性及其影响因素。本文发现,学术文献虽然有一定分歧,但总体上认为金融教育显著提升金融素养,改善储蓄、借贷、保险、退休计划等金融行为,有助于家庭财富积累;教育时点、内容、方式是影响金融教育效果的重要因素。早期的金融教育和金融决策对财富积累具有持续性的影响;数学训练可以改善认知水平,是金融教育的基础;持续和个性化教育、支持和激励有助于可持续的行为变化。基于实验和准实验证据,本文提出改善金融教育的政策建议,并讨论了进一步研究方向。

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