Hai Lin

Victoria University of Wellington - School of Economics & Finance

P.O. Box 600

Wellington 6001

New Zealand

SCHOLARLY PAPERS

17

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3,165

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (17)

1.

Forecasting Corporate Bond Returns: An Iterated Combination Approach

Number of pages: 33 Posted: 28 Oct 2013 Last Revised: 23 Jun 2016
Hai Lin, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - School of Economics & Finance, State University of New York at Buffalo and Washington University in St. Louis - John M. Olin Business School
Downloads 1,135 (19,670)
Citation 1

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Predictability; corporate bonds; out-of-sample forecasts; utility gains

2.

Extracting Information from the Corporate Yield Curve: A Machine Learning Approach

Number of pages: 58 Posted: 21 Nov 2016 Last Revised: 30 Mar 2020
Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou
State University of New York at Buffalo, Victoria University of Wellington - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 603 (47,752)
Citation 3

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Yield signals; moving averages; cross-sectional predictability; machine learning; corporate bond returns

3.

Investor Sentiment and the Cross-Section of Corporate Bond Returns

Number of pages: 54 Posted: 18 Aug 2018 Last Revised: 23 Sep 2019
Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou
State University of New York at Buffalo, Victoria University of Wellington - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 254 (130,740)

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Sentiment; Residuals; Risk Factors; Cross-Section; Bond Returns

4.

On the Reverse U-Shaped Intraday Pattern of Volume and Volatility: Evidence from CSI 300 Index Futures Market

Number of pages: 39 Posted: 29 Jan 2014
Zhijuan Chen, Hai Lin and Changfeng Ma
Zhejiang Gongshang University (ZJGSU), Victoria University of Wellington - School of Economics & Finance and Zhejiang Gongshang University (ZJGSU)
Downloads 160 (200,483)
Citation 1

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U-shaped, trading volume, realized volatility, ranged volatility, informed

5.

Modeling the Dynamics of Chinese Spot Interest Rates

Journal of Banking and Finance, Forthcoming
Number of pages: 44 Posted: 14 Oct 2008 Last Revised: 26 Nov 2010
Cornell University - Department of Economics, Victoria University of Wellington - School of Economics & Finance and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 155 (205,837)
Citation 1

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Spot rate models, Term structure of interest rates, Market segmentation, Nonparametric specification tests

6.

Utility Indifference Discount of Restricted Stock Value

Number of pages: 50 Posted: 24 Jan 2007
Hai Lin and Zhenlong Zheng
Victoria University of Wellington - School of Economics & Finance and Xiamen University - Department of Finance
Downloads 153 (208,123)

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Short sale constraint, Transaction cost, Resale restriction, Utility indifferent discount, Markov decision process

7.

Are There Gains from Using Information over the Surface of Implied Volatilities?

Journal of Futures Markets (2017)
Number of pages: 54 Posted: 08 Apr 2016 Last Revised: 15 Jan 2018
Biao Guo, Qian Han and Hai Lin
Renmin University of China, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Victoria University of Wellington - School of Economics & Finance
Downloads 110 (268,101)

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implied volatility; price discovery; two-factor stochastic volatility model; out-of-sample forecast; economic significance

8.

Term Structure of Interest Rates: Theory and Empirical Evidence

Handbook of Quantitative Finance and Risk Management, Forthcoming
Number of pages: 70 Posted: 14 Oct 2008
Hai Lin and Chunchi Wu
Victoria University of Wellington - School of Economics & Finance and SUNY at Buffalo - School of Management
Downloads 105 (277,008)

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9.

Iterated Combination Forecast and Treasury Bond Predictability

Number of pages: 52 Posted: 13 Aug 2018
Victoria University of Wellington - School of Economics & Finance, National Taiwan University - Department of Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 90 (306,201)

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Treasury; Iterated Combination Forecast; Predictability; Utility Gain

10.

Re-examining the Futures Market Efficiency using a New Approach in the Presence of a Time-Varying Risk Premium

Number of pages: 46 Posted: 14 Mar 2013 Last Revised: 30 Oct 2014
University of Otago - Department of Accountancy and Finance, Victoria University of Wellington - School of Economics & Finance and University of Otago - Department of Accountancy and Finance
Downloads 80 (329,213)

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Commodity Futures; Market Efficiency; Futures Risk Premium; State Space Model; Kalman Filter.

11.

Price Discovery in the Round-the-Clock U.S. Treasury Market

Journal of Financial Intermediation, Forthcoming
Number of pages: 48 Posted: 14 Oct 2008 Last Revised: 16 Dec 2009
Yan He, Hai Lin, Junbo Wang and Chunchi Wu
Indiana University Southeast - School of Business, Victoria University of Wellington - School of Economics & Finance, Dept. of Economics and Finance, City Univ. of HK and SUNY at Buffalo - School of Management
Downloads 68 (360,730)
Citation 1

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Price discovery, asymmetric information, liquidity provision, variance decomposition, after-hours trading

12.

Are Tightened Trading Rules Always Bad? Evidence from the Chinese Index Futures Market

Quantitative Finance, Forthcoming
Number of pages: 38 Posted: 12 Aug 2016 Last Revised: 24 Jan 2018
Hai Lin and You Wang
Victoria University of Wellington - School of Economics & Finance and Xiamen University
Downloads 60 (384,509)

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Tightened Trading Rules; Index Futures; Market Efficiency; Price Discovery; Manipulation

Information Diffusion and the Predictability of New Zealand Stock Market Returns

Accounting and Finance, Forthcoming
Number of pages: 45 Posted: 24 Jul 2014
Hai Lin and Daniel Quill
Victoria University of Wellington - School of Economics & Finance and AMP Services (NZ) Limited
Downloads 47 (437,158)

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International predictors; liquidity; stock return predictability; out-of-sample; information diffusion.

Information Diffusion and the Predictability of New Zealand Stock Market Returns

Accounting & Finance, Vol. 56, Issue 3, pp. 749-785, 2016
Number of pages: 37 Posted: 02 Sep 2016
Hai Lin and Daniel Quill
Victoria University of Wellington - School of Economics & Finance and AMP Services (NZ) Limited
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Information diffusion, International predictors, Liquidity, Out‐of‐sample, Stock return predictability

14.

Disaster Risks in Bond Returns

Number of pages: 64 Posted: 18 Nov 2019
Hai Lin, Liya Liu, Hao Su and Xiaoneng Zhu
Victoria University of Wellington - School of Economics & Finance, Shanghai University of Finance and Economics, Shanghai University of Economics and Finance and Shanghai University of Finance and Economics
Downloads 46 (433,163)

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disaster risks; treasury bond; risk premium; predictability

15.

The Trend Premium Around the World: Evidence from the Stock Market

Number of pages: 52 Posted: 26 May 2020
Hai Lin, Pengfei Liu and Cheng Zhang
Victoria University of Wellington - School of Economics & Finance, Victoria University of Wellington and Victoria University of Wellington
Downloads 37 (470,196)

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Trend premium; Momentum; Information uncertainty; International

16.

Legislative Changes and Abnormal Trading Around Earnings Announcements: Evidence from New Zealand Market

Number of pages: 41 Posted: 27 Aug 2015
Nick Barry and Hai Lin
Deloitte New Zealand and Victoria University of Wellington - School of Economics & Finance
Downloads 37 (470,196)

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Abnormal trading; legislative change; earnings announcement; probability of informed trading

17.

Does the Brexit Referendum Affect the Integration between the UK and other European Countries? Evidence from the Sovereign Bond Market

Number of pages: 50 Posted: 31 Jul 2017
Hai Lin and Zhuyao Zhuo
Victoria University of Wellington - School of Economics & Finance and Xiamen University
Downloads 25 (531,268)

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Brexit Referendum, Cointegration, Dynamic Spillover Analysis, Event Analysis