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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.

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 1,570
2.

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 1,165
3.

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 997
4.

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 911
5.

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 557
6.

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 550
7.

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 505
8.

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 492
9.

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 483
10.

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 477
11.

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 469
12.

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 451
13.

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 333
14.

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 299
15.

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 281
16.

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 273
17.

Leverage Network and Market Contagion

PBCSF-NIFR Research Paper
Number of pages: 58 Posted: 28 Sep 2017 Last Revised: 15 Sep 2018
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 193
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 180
19.

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 175
20.

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 161
21.

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 154
22.

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 135
23.

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 122
24.

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 112
25.

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 111
26.

Investing with Fast Thinking

Kelley School of Business Research Paper No. 18-54
Number of pages: 57 Posted: 20 Jun 2018 Last Revised: 23 Aug 2018
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 107
27.

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 103
28.

Global Effective Lower Bound and Unconventional Monetary Policy

Chicago Booth Research Paper No. 18-05
Number of pages: 44 Posted: 29 May 2018
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 88
29.

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 69
30.

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 67
31.

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 48
32.

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
33.

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 11
34.

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