Chenjie Xu

Shanghai University of Finance and Economics - Department of Finance

Shanghai, 200433

China

SCHOLARLY PAPERS

5

DOWNLOADS

1,286

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

Asset Pricing with a Financial Sector

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 62 Posted: 16 Feb 2013 Last Revised: 28 Aug 2022
Kai Li and Chenjie Xu
Peking University HSBC Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 411 (106,004)
Citation 4

Abstract:

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Financial Intermediary, Equity Premium, Return Predictability, TED spread, Global Method

2.

Learning and the Capital Age Premium

Number of pages: 105 Posted: 16 Aug 2018 Last Revised: 03 Oct 2022
Peking University HSBC Business School, University of ManchesterUniversity of Manchester - Alliance Manchester Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 309 (145,083)

Abstract:

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parameter learning, capital age, cross-section of expected returns, capital misallocation, cash flow duration

3.

Regime Shifts in a Long-run Risks Model of Stock and Treasury Bond Markets

Number of pages: 54 Posted: 30 Jun 2022 Last Revised: 28 Aug 2022
Kai Li and Chenjie Xu
Peking University HSBC Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 293 (153,317)

Abstract:

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Regime Switching Model, Long-Run Risks, Inflation Risks, Stock-Bond Correlation

4.

Intermediary-Based Equity Term Structure

Number of pages: 66 Posted: 07 Oct 2019 Last Revised: 09 Nov 2021
Kai Li and Chenjie Xu
Peking University HSBC Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 192 (230,201)
Citation 1

Abstract:

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equity term structure, financial intermediary, mean reversion, discount rate

5.

Idiosyncratic Tail Risk and the Credit Spread Puzzle

Number of pages: 62 Posted: 08 Dec 2018
Chenjie Xu
Shanghai University of Finance and Economics - Department of Finance
Downloads 81 (433,714)

Abstract:

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Idiosyncratic Tail Risk, Labor Income, Incomplete Market, Credit Spread