Zobrazeno 1 - 10
of 68
pro vyhledávání: '"Yanjian Zhu"'
Publikováno v:
Journal of Corporate Finance. 76:102262
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5ee09eeef84e565ad70ec2db6d6334bc
https://doi.org/10.1016/j.jcorpfin.2022.102262
https://doi.org/10.1016/j.jcorpfin.2022.102262
Publikováno v:
Pacific-Basin Finance Journal. 56:162-178
In this study, we construct three proxies for tail risk observed in 39 markets between 1980 and 2015 to examine its effects on global pricing: TRKJ, following Kelly and Jiang (2014), TRVZ, following Van Oordt and Zhou (2016), and TRHL, following Huan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26a29a10053d98c33e66849897212c46
https://doi.org/10.1016/j.pacfin.2019.06.001
https://doi.org/10.1016/j.pacfin.2019.06.001
Autor:
Yanjian Zhu
Publikováno v:
Emerging Markets Finance and Trade. 55:2409-2424
The article investigates the relationship between banks, agency costs, and innovation ability of listed firms. The role of banks in affecting innovation is a very important topic especially in China where banks play more important roles than equity m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cbfbc7cb5f37b6c8b1ec65cd0e5efe93
https://doi.org/10.1080/1540496x.2018.1483229
https://doi.org/10.1080/1540496x.2018.1483229
Publikováno v:
Emerging Markets Finance and Trade. 54:3081-3099
Institutional investors, especially public funds, play an important role in governing listed firms as they grow in Chinese stock markets. We classify each fund as “dedicated,” “transient,” ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab62dc71bac7bb7acaccdfdc580a2659
https://doi.org/10.1080/1540496x.2018.1472078
https://doi.org/10.1080/1540496x.2018.1472078
Publikováno v:
The Singapore Economic Review. 65:1579-1599
We investigate the compensation plans during China’s split share structure reform, a unique event that affected the entire market and in which investors’ opinions over stock values can be measured. We find that anchoring effects and accruals bias
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::637c6aea8de61ccf813167977fde0e39
https://doi.org/10.1142/s0217590818500078
https://doi.org/10.1142/s0217590818500078
Publikováno v:
Finance Research Letters. 24:129-136
We estimate idiosyncratic tail risk according to the extreme value theory. Both portfolio analyses and cross-sectional regressions suggest a significant negative relationship between the idiosyncratic tail risk and the expected returns in Chinese sto
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4e34d279c41658cca19434c25e52f0e0
https://doi.org/10.1016/j.frl.2017.07.009
https://doi.org/10.1016/j.frl.2017.07.009
Publikováno v:
Accounting & Finance. 57:1635-1670
Using a large sample of firm‐level media reports data, we examine whether and how media reports affect the probability of stock price crash in China. We find that positive media reports reduce the probability of stock price crash, while the relatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::69ba5724822b6dce7f86344246209542
https://doi.org/10.1111/acfi.12355
https://doi.org/10.1111/acfi.12355
Publikováno v:
SSRN Electronic Journal.
Our study is the first to examine the pricing effect of U.S. trade policy uncertainty (TPU) on Chinese stocks. We estimate the U.S. TPU beta, which measures Chinese stock exposure to the U.S. TPU index. Both portfolio analyses and cross-sectional reg
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fd3e0e431ab6762531e5b509ed9ff55e
https://doi.org/10.2139/ssrn.3620040
https://doi.org/10.2139/ssrn.3620040
Publikováno v:
SSRN Electronic Journal.
We propose a Realized-GARCH-Kernel model to predict realized volatilities of 50 ETF in China and S&P500 index in U.S..The Kernel density fitting on disturbance term and semi-parametric method make our model perform well both statistically and economi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e68d5a440b34ecf01cd8656cdd3e8d9c
https://doi.org/10.2139/ssrn.3316068
https://doi.org/10.2139/ssrn.3316068