Nengjiu Ju

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

SCHOLARLY PAPERS

16

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12,268

CITATIONS
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SSRN RANKINGS

Top 1,573

in Total Papers Citations

357

Scholarly Papers (16)

1.
Downloads 4,383 ( 1,817)
Citation 192

An Ebit-Based Model of Dynamic Capital Structure

Dice Center For Research In Financial Economics Working Paper No. 98-13
Number of pages: 40 Posted: 24 Oct 1998
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Berkeley - Walter A. Haas School of Business
Downloads 4,383 (1,788)
Citation 192

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An Ebit-Based Model of Dynamic Capital Structure

Journal of Business, Vol. 74, No. 4, October 2001
Posted: 29 Dec 2001
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Berkeley - Walter A. Haas School of Business

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2.

Pricing an American Option by Approximating its Early Exercise Boundary as a Piece-Wise Exponential Function

Number of pages: 26 Posted: 03 Apr 1997
Nengjiu Ju
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 1,195 (16,075)
Citation 23

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Horses and Rabbits? Optimal Dynamic Capital Structure from Shareholder and Manager Perspectives

Number of pages: 45 Posted: 16 Jun 2003
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,075 (18,536)
Citation 17

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optimal capital structure, taxes, bankruptcy costs, calibration

Horses and Rabbits? Optimal Dynamic Capital Structure from Shareholder and Manager Perspectives

NBER Working Paper No. w9327
Number of pages: 45 Posted: 16 Nov 2002 Last Revised: 30 Oct 2010
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 67 (333,655)
Citation 20

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4.

Fourier Transformation, Martingale, and the Pricing of Average-Rate Derivatives

Number of pages: 36 Posted: 28 Nov 1997
Nengjiu Ju
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 810 (28,504)
Citation 5

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5.

Book Values, Earnings, and Market Valuations

AFA 2003 Washington, DC Meetings
Number of pages: 50 Posted: 15 Nov 2002
Nengjiu Ju and Gurdip Bakshi
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Fox School of Business
Downloads 783 (29,859)
Citation 1

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6.

Dynamic Asset Allocation with Ambiguous Return Predictability

AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 02 Mar 2009 Last Revised: 14 Apr 2011
Hui Chen, Nengjiu Ju and Jianjun Miao
Massachusetts Institute of Technology, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Boston University - Department of Economics
Downloads 716 (33,725)
Citation 15

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generalized recursive ambiguity utility, ambiguity aversion, model uncertainty, learning, portfolio choice, robustness, return predictability

7.

Options, Option Repricing and Severance Packages in Managerial Compensation: Their Effects on Corporate Risk

Number of pages: 35 Posted: 06 Apr 2003
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of California, Berkeley - Walter A. Haas School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 671 (36,851)
Citation 23

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Managerial compensation, option repricing and severance packages, managerial incentives

8.

Asset Substitution and Underinvestment: A Dynamic View

EFA 2006 Zurich Meetings
Number of pages: 37 Posted: 19 Mar 2005
Nengjiu Ju and Hui Ou-Yang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Cheung Kong Graduate School of Business
Downloads 666 (37,219)
Citation 6

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Asset Substitution, Underinvestment, Growth Options, Dynamic Models

9.

Ambiguity, Learning, and Asset Returns

AFA 2009 San Francisco Meetings Paper
Number of pages: 35 Posted: 26 Sep 2007 Last Revised: 29 Dec 2009
Nengjiu Ju and Jianjun Miao
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Boston University - Department of Economics
Downloads 607 (42,057)
Citation 32

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ambiguity aversion, learning, pessimism, asset pricing puzzles

10.

Capital Structure, Debt Maturity, and Stochastic Interest Rates

Number of pages: 45 Posted: 23 Mar 2005
Nengjiu Ju and Hui Ou-Yang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Cheung Kong Graduate School of Business
Downloads 457 (60,437)
Citation 4

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Optimal Capital Structure, Optimal Debt Maturity, Stochastic Interest Rates

11.

Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics

Number of pages: 28 Posted: 19 Mar 2005
Nengjiu Ju, Gurdip Bakshi and Hui Ou-Yang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Fox School of Business and Cheung Kong Graduate School of Business
Downloads 454 (60,941)
Citation 25

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Continuous-time models, Maximum-likelihood estimation, Density approximation

12.

A Refinement to Ait-Sahalia's (2002) Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

Number of pages: 18 Posted: 06 Dec 2003
Gurdip Bakshi and Nengjiu Ju
Fox School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 183 (160,896)
Citation 3

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closed-form density approximation, one-dimensional diffusion, maximum-likelihood

13.

A Refinement to Ait-Sahalia's (2002) 'Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach'

Journal of Business, Vol. 78, No. 6, November 2005
Number of pages: 18 Posted: 30 Dec 2004
Gurdip Bakshi and Nengjiu Ju
Fox School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 128 (217,044)
Citation 6

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Density approximation, one-dimensional diffusions

14.

Optimal Contracting with Unobservable Managerial Hedging

Number of pages: 49 Posted: 04 Dec 2017
Yu Huang, Nengjiu Ju and Hao Xing
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and London School of Economics & Political Science (LSE)
Downloads 73 (319,555)

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Moral Hazard, Managerial Hedging, Optimal Contracting, Performance Evaluation, Capital Structure

15.

Pricing an American Option by Approximating its Early Exercise Boundary as a Multi-Piece Exponential Function

Review of Financial Studies, Vol. 11, No. 3
Posted: 04 Jun 1998
Nengjiu Ju
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

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16.

Endogenous Bankruptcy, Endogenous Restructuring, and Dynamic Capital Structure

Dice Center Working Paper 97-15
Posted: 18 Mar 1998
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Berkeley - Walter A. Haas School of Business

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