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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 - 34 of 34 papers

1.

Variance Risk Premiums in Emerging Markets

Number of pages: 83 Posted: 25 Jun 2018 Last Revised: 01 Oct 2018
Working Paper Series
Tsinghua University - PBC School of Finance, Syracuse University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 155
2.

Investing with Fast Thinking

Kelley School of Business Research Paper No. 18-54
Number of pages: 57 Posted: 20 Jun 2018 Last Revised: 17 Apr 2019
Working Paper Series
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, DePaul University and Indiana University - Kelley School of Business - Department of Finance
Downloads 134
3.

Trademarks in Entrepreneurial Finance

Number of pages: 72 Posted: 12 Jun 2018 Last Revised: 21 Sep 2018
Working Paper Series
Boston College - Carroll School of Management, Boston College, Carroll School of Management, Department of Finance, Tsinghua University - PBC School of Finance and Lehigh University
Downloads 215
4.

Carrot or Stick? Evidence from a Pair of Natural Field Experiments Testing Lender Information Sharing Hypotheses

Kelley School of Business Research Paper No. 18-48
Number of pages: 54 Posted: 06 Jun 2018 Last Revised: 15 Jun 2018
Working Paper Series
Tsinghua University - PBC School of Finance, Washington University in Saint Louis - Olin School of Business, The Quant Group, Tsinghua University - PBC School of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 86
5.

Global Effective Lower Bound and Unconventional Monetary Policy

Chicago Booth Research Paper No. 18-05
Number of pages: 45 Posted: 29 May 2018 Last Revised: 10 Apr 2019
Working Paper Series
University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 142
6.

Active Monetary or Fiscal Policy and Stock-Bond Correlation

Number of pages: 59 Posted: 28 Jan 2018 Last Revised: 29 Jun 2018
Working Paper Series
Cheung Kong Graduate School of Business, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 100
7.

Leverage Network and Market Contagion

PBCSF-NIFR Research Paper
Number of pages: 58 Posted: 28 Sep 2017 Last Revised: 13 Mar 2019
Working Paper Series
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, London School of Economics & Political Science (LSE) and Tsinghua University - PBC School of Finance
Downloads 227
8.

Diffusing Coordination Risk

PBCSF-NIFR Research Paper No. 2999636
Number of pages: 34 Posted: 11 Jul 2017 Last Revised: 23 Mar 2019
Working Paper Series
Indian School of Business and Tsinghua University - PBC School of Finance
Downloads 58
9.

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 165
10.

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 and Tsinghua University - PBC School of Finance
Downloads 149
11.

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

PBCSF-NIFR Research Paper No. 17-01
Number of pages: 69 Posted: 01 Feb 2017 Last Revised: 06 Jul 2018
Working Paper Series
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 566
12.

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

PBCSF-NIFR Research Paper No. 15-04
Number of pages: 71 Posted: 28 Jul 2015 Last Revised: 31 Jul 2018
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 542
13.

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

Number of pages: 56 Posted: 14 May 2015 Last Revised: 12 Jun 2018
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 1,084
14.

The Funding Cost of Chinese Local Government Debt

Georgetown McDonough School of Business Research Paper No. 2603022, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 48 Posted: 07 May 2015 Last Revised: 19 Jul 2018
Working Paper Series
Georgetown University - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 1,237
15.

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 564
16.

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 173
17.

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 12
18.

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

Journal of Money, Credit, and Banking, Forthcoming, PBCSF-NIFR Research Paper No. 14-06, Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No. 211
Number of pages: 47 Posted: 02 Nov 2014 Last Revised: 28 Feb 2018
Accepted 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 310
19.

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: 53 Posted: 27 Oct 2014 Last Revised: 18 Feb 2019
Working Paper Series
University of Cincinnati - Department of Finance - Real Estate, University of Queensland and Tsinghua University - PBC School of Finance
Downloads 934
20.

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 186
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 127
22.

A Market-Based Funding Liquidity Measure

PBCSF-NIFR Research Paper No. 14-01
Number of pages: 60 Posted: 24 Jan 2014 Last Revised: 08 May 2018
Working Paper Series
Tsinghua University and The University of Melbourne - Department of Finance
Downloads 515
23.

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: 05 Sep 2018
Accepted Paper Series
Tsinghua University - PBC School of Finance
Downloads 576
24.

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 526
25.

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 and The University of Melbourne - Department of Finance
Downloads 341
26.

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: 15 Sep 2018
Working Paper Series
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 116
27.

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 and The University of Melbourne - Department of Finance
Downloads 116
28.

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, The University of Melbourne - Department of Finance and University of Washington - Henry. M. Jackson School of International Studies
Downloads 276
29.

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 and Tsinghua University
Downloads 488
30.

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 27
31.

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

32.

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 1,578
33.

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 and Tsinghua University
Downloads 285
34.

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 457