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PBC School of Finance & National Institute of Financial Research (PBCSF-NIFR) Research Paper Series

PBC School of Finance & National Institute of Financial Research
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Viewing: 1 - 29 of 29 papers

1.

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Journal of Banking and Finance, Vol. 33, No. 11, pp. 2036–2049, November 2009, BIS Working Paper No. 281, PBCSF-NIFR Research Paper No. 08-01,
Number of pages: 44 Posted: 01 Feb 2009 Last Revised: 31 Aug 2016
Accepted Paper Series
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)

Multiple version iconThere are 3 versions of this paper

Downloads 1,531
2.

The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Credit Spreads

Georgetown McDonough School of Business Research Paper No. 2603022, Columbia Business School Research Paper No. 15-57, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 53 Posted: 07 May 2015 Last Revised: 31 Aug 2016
Working Paper Series
BlackRock, Inc, Georgetown University - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 941
3.

Good Jumps, Bad Jumps, and Conditional Equity Premium

Asian Finance Association (AsianFA) 2014 Conference Paper, PBCSF-NIFR Research Paper No. 14-05
Number of pages: 43 Posted: 27 Oct 2014 Last Revised: 23 Apr 2017
Working Paper Series
University of Cincinnati - Department of Finance - Real Estate, University of Queensland and Tsinghua University - PBC School of Finance
Downloads 860
4.

Shadow Banking: China's Dual-Track Interest Rate Liberalization

Number of pages: 47 Posted: 14 May 2015 Last Revised: 28 Jun 2016
Working Paper Series
Tsinghua University, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), The Chinese University of Hong Kong (CUHK) - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 716
5.

Short Selling Meets Hedge Fund 13F: An Anatomy of Informed Demand

Asian Finance Association (AsianFA) 2015 Conference Paper, PBCSF-NIFR Research Paper No. 15-01, INSEAD Working Paper No. 2015/12/FIN
Number of pages: 31 Posted: 03 Feb 2015 Last Revised: 19 Feb 2016
Working Paper Series
University of California, Riverside, INSEAD - Finance and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 498
6.

Asset Pricing When Traders Sell Extreme Winners and Losers

Review of Financial Studies, 2016, Vol. 29 (3): 823-861, PBCSF-NIFR Research Paper No. 13-05
Number of pages: 51 Posted: 17 Nov 2013 Last Revised: 19 Feb 2016
Accepted Paper Series
Tsinghua University - PBC School of Finance
Downloads 486
7.

A Study of the Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model

FEDS Discussion Paper No. 2000-45
Number of pages: 44 Posted: 23 Jan 2001
Accepted Paper Series
Tsinghua University - PBC School of Finance
Downloads 443
8.

China's Secondary Privatization: Perspectives from the Split-Share Structure Reform

Journal of Financial Economics (JFE), Forthcoming, PBCSF-NIFR Research Paper No. 12-01
Number of pages: 56 Posted: 09 Apr 2012 Last Revised: 18 May 2016
Working Paper Series
Tsinghua University - School of Economics & Management, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 441
9.

Stock Return Volatility and Capital Structure Decisions

PBCSF-NIFR Research Paper No. 13-04
Number of pages: 42 Posted: 29 Oct 2013 Last Revised: 19 Feb 2016
Working Paper Series
Massachusetts Institute of Technology, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 432
10.

A Market-Based Funding Liquidity Measure

PBCSF-NIFR Research Paper No. 14-01
Number of pages: 77 Posted: 24 Jan 2014 Last Revised: 15 Mar 2017
Working Paper Series
Tsinghua University - PBC School of Finance and The University of Melbourne - Department of Finance
Downloads 369
11.

Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets

PBCSF-NIFR Research Paper No. 13-03
Number of pages: 39 Posted: 13 Oct 2013 Last Revised: 27 Sep 2016
Working Paper Series
Tsinghua University - PBC School of Finance and The University of Melbourne - Department of Finance
Downloads 303
12.

Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

PBCSF-NIFR Research Paper No. 15-04
Number of pages: 61 Posted: 28 Jul 2015 Last Revised: 25 Jan 2017
Working Paper Series
Tsinghua University - PBC School of Finance, University of Delaware, Dallas Fed and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 295
13.

China’s Anti-Corruption Campaign and Credit Reallocation from SOEs to Non-SOEs

PBCSF-NIFR Research Paper No. 17-01
Number of pages: 59 Posted: 01 Feb 2017 Last Revised: 09 Nov 2017
Working Paper Series
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 285
14.

Information Discovery in Share Lockups: Evidence from the Split-share Structure Reform in China

Financial Management, Forthcoming., PBCSF-NIFR Research Paper No. 08-01
Number of pages: 41 Posted: 16 Oct 2008 Last Revised: 18 Feb 2016
Accepted Paper Series
Tsinghua University - School of Economics & Management, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 275
15.

Growing Pains: International Instability and Equity Market Returns

PBCSF-NIFR Research Paper No. 12-02
Number of pages: 47 Posted: 02 May 2012 Last Revised: 27 Sep 2016
Working Paper Series
Tsinghua University - PBC School of Finance, The University of Melbourne - Department of Finance and University of Washington - Henry. M. Jackson School of International Studies
Downloads 263
16.

Hot Money and Quantitative Easing: The Spillover Effects of U.S. Monetary Policy on the Chinese Economy

Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No. 211 , PBCSF-NIFR Research Paper No. 14-06
Number of pages: 47 Posted: 02 Nov 2014 Last Revised: 28 Nov 2017
Working Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 234
17.

Belief Uncertainty, Volatility Risk Premium, and Speculative Trading

PBCSF-NIFR Research Paper No. 14-03
Number of pages: 45 Posted: 21 Jul 2014 Last Revised: 19 Feb 2016
Working Paper Series
ShanghaiTech University and Tsinghua University - PBC School of Finance
Downloads 203
18.

Barriers to Long-Term Cross-Border Investing: A Survey of Institutional Investor Perceptions

Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014, Columbia Business School Research Paper No. 14-43, PBCSF-NIFR Research Paper No. 14-04
Number of pages: 11 Posted: 17 Sep 2014 Last Revised: 19 Feb 2016
Working Paper Series
Committee on Global Thought, Columbia University, Columbia Business School - Department of Economics, Columbia University, Tsinghua University - PBC School of Finance and SWF Research Initiative, Amundi
Downloads 158
19.

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

FRB International Finance Discussion Paper No. 1083
Number of pages: 60 Posted: 30 May 2017
Working Paper Series
DePaul University - Driehaus College of Business, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 147
20.

Overselling Winners and Losers: How Mutual Funds Trading Affects Asset Prices

PBCSF-NIFR Research Paper No. 14-07
Number of pages: 46 Posted: 09 Dec 2014 Last Revised: 28 Apr 2017
Working Paper Series
Tsinghua University - PBC School of Finance and Brigham Young University - Department of Finance
Downloads 124
21.

The Real Effects of Government Liquidity Provision: Evidence from the Commercial Paper Funding Facility

PBCSF-NIFR Research Paper No. 14-02
Number of pages: 40 Posted: 26 Mar 2014 Last Revised: 22 Feb 2016
Working Paper Series
Tsinghua University - PBC School of Finance
Downloads 111
22.

Do Behavioral Biases Affect Order Aggressiveness?

Asian Finance Association (AsianFA) 2015 Conference Paper, PBCSF-NIFR Research Paper No. 13-01
Number of pages: 61 Posted: 19 Aug 2013 Last Revised: 19 Feb 2016
Working Paper Series
Independent, CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 98
23.

Seeing the Unobservable from the Invisible:The Role of CO2 in Measuring Consumption Risk

PBCSF-NIFR Research Paper No. 12-03
Number of pages: 47 Posted: 16 Aug 2012 Last Revised: 19 Feb 2016
Working Paper Series
Tsinghua University - PBC School of Finance and The University of Melbourne - Department of Finance
Downloads 97
24.

Rent Seeking, Brokerage Commissions, and Pricing and Share Allocation in Initial Public Offerings

PBCSF-NIFR Research Paper, Forthcoming
Number of pages: 61 Posted: 19 Apr 2017 Last Revised: 19 Oct 2017
Working Paper Series
Boston College - Carroll School of Management, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 68
25.

Leverage Network and Market Contagion

PBCSF-NIFR Research Paper
Number of pages: 48 Posted: 28 Sep 2017 Last Revised: 30 Oct 2017
Working Paper Series
University of International Business and Economics, University of Notre Dame - Mendoza College of Business, London School of Economics & Political Science (LSE) and Tsinghua University - PBC School of Finance
Downloads 47
26.

On the Size Distribution of Macroeconomic Disasters

NBER Working Paper No. w15247
Number of pages: 46 Posted: 18 Aug 2009 Last Revised: 17 Jan 2016
Working Paper Series
Harvard University - Department of Economics and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 26
27.

Diffusing Coordination Risk

PBCSF-NIFR Research Paper No. 2999636
Number of pages: 53 Posted: 11 Jul 2017 Last Revised: 15 Jul 2017
Working Paper Series
Indian School of Business and Tsinghua University - PBC School of Finance
Downloads 22
28.

Overselling Winners and Losers: How Mutual Funds Trading Affects Asset Prices

PBCSF-NIFR Research Paper No. 14-07
Number of pages: 46 Posted: 09 Dec 2014
Working Paper Series
Tsinghua University - PBC School of Finance and Brigham Young University - Department of Finance
Downloads 4
29.

A Framework for Assessing the Systemic Risk of Major Financial Institutions

CAREFIN Research Paper No. 11/08
Posted: 22 Mar 2009 Last Revised: 17 Jan 2016
Working Paper Series
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)

Multiple version iconThere are 3 versions of this paper