No. 43, Chengdu Road
Haidian District
Beijing 100083
China
Tsinghua University - PBC School of Finance
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stock return predictability, option-implied volatility smirks, cross-sectional asset pricing
Systematic risk, stochastic volatility, idiosyncratic volatility
hedge fund performance, manager characteristics, hedge fund flows
short selling, financial crisis, Section 12(k)(2)
idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics
idiosyncratic volatility, Fama-MacBeth regression
short selling, return predictability, informed trading
Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration
International diversification, correlation dynamics, country debate, factor models, comovements
Uncertainty, Volatility, Straddle, Earnings Announcement
short-selling, earnings news, analyst recommendations, analyst forecasts
investor sentiment index, return predictability, business cycle
retail investor, price improvements, return predictability
risk-shifting, idiosyncratic volatility puzzle, profitability, agency conflict
Peer-to-Peer Lending Platforms, Fintech, Government Affiliation, State-Owned Enterprise, Emerging Markets
interference, short sales, short interest, tick test, Regulation SHO
Efficiency, Liquidity, Market Development, Short Sale Regulations, Short Selling
Stochastic Discount Factor, Specification Tests, Model Selection, HJ distance, Arbitrage
multinational companies, international diversification, returns
Variance risk premium, emerging markets, stock return predictability, market integration, economic uncertainty
asset pricing, arbitrage, contingent claims
Hedge Fund, Risk-Taking, Incentive Fee, Management Fee, High-Water Mark
Hedge funds, high-water mark, incentive fee, competition, asymmetric information
return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, state variables
Variance Risk Premium,Higher Order Risk Premium,Option Returns
