Hai Lin

Victoria University of Wellington - School of Economics & Finance

P.O. Box 600

Wellington 6001

New Zealand

SCHOLARLY PAPERS

15

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Scholarly Papers (15)

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 1,080 (19,335)
Citation 1

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

2.

Cross-Sectional Predictability of Corporate Bond Returns

Number of pages: 83 Posted: 21 Nov 2016 Last Revised: 13 Mar 2019
Hai Lin, Chunchi Wu and Guofu Zhou
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 498 (55,698)
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trend signals; moving averages; cross-sectional predictability; corporate bond returns

3.

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 153 (192,497)
Citation 1

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

4.

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 151 (194,639)

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

5.

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 148 (197,784)

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

6.

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 104 (258,340)

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

7.

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 102 (261,852)

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8.

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 81 (303,224)

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Treasury; Iterated Combination Forecast; Predictability; Utility Gain

9.

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 76 (314,815)

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

10.

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 66 (340,177)
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Price discovery, asymmetric information, liquidity provision, variance decomposition, after-hours trading

11.

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 55 (372,479)

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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 45 (413,766)

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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

13.

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 32 (458,564)

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

14.

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 16 (546,202)

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Brexit Referendum, Cointegration, Dynamic Spillover Analysis, Event Analysis

15.

Investor Sentiment and the Cross-Section of Corporate Bond Returns

Number of pages: 54 Posted: 18 Aug 2018
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 152

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