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Sipeng Chen

Hong Kong Polytechnic University - School of Accounting and Finance

Hung Hom

Kowloon

Hong Kong

  • Hong Kong Polytechnic University - School of Accounting and Finance

SCHOLARLY PAPERS

3

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1

Scholarly Papers (3)

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1.

A Novel Algorithm for Generating GVKEY-CIK Link Table

K.C. Kenneth CHU, Sipeng CHEN, and Tommy Leung (2020) A Novel Algorithm for Generating GVKEY-CIK Link Table. Journal of Information Systems In-Press. , DOI: 10.2308/isys-18-068
Number of pages: 33 Posted: 11 Jun 2020
K.C. Kenneth Chu, Sipeng Chen and Tommy Leung
Macau University of Science and Technology, Hong Kong Polytechnic University - School of Accounting and Finance and The Hang Seng University of Hong Kong - Department of Accountancy
Downloads 1,726 (25,939)

Abstract:

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Compustat, EDGAR, 10-K, Link Table

2.

Why does Option Implied Volatility Forecast Realized Volatility? Evidence from News Events

Number of pages: 50 Posted: 18 Aug 2021
Sipeng Chen and Gang Li
Hong Kong Polytechnic University - School of Accounting and Finance and Hong Kong Polytechnic University
Downloads 778 (81,903)
Citation 1

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implied volatility, realized volatility, news arrival intensity, news magnitude, scheduled and unscheduled news, fundamental and non-fundamental news

3.

Monetary Policy, Stock Market Tail Risks, and the FOMC Announcement Premium

Number of pages: 53 Posted: 18 Jun 2023 Last Revised: 01 Feb 2024
Sipeng Chen, Timothy K. Chue and Gang Li
Hong Kong Polytechnic University - School of Accounting and Finance, Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 202 (391,686)

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Tail risks, Fed put, FOMC announcement, Option-implied skewness, Cross-sectional equity return premium