Chongfeng Wu

Shanghai Jiao Tong University (SJTU) - Aetna School of Management

No.535 Fahuazhen Road

Shanghai, 200052

China

SCHOLARLY PAPERS

15

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Scholarly Papers (15)

1.

A New Method to Choose the Threshold in the Pot Model

Number of pages: 7 Posted: 22 May 2007
Chunyang Zhou, Chongfeng Wu, Hailong Liu and Fubing Liu
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) - Aetna School of Management, Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University (SJTU)
Downloads 550 (49,149)
Citation 3

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POT, Threshold selection, Hill plot

2.

Oil Price Shocks and Stock Market Returns: Evidence from Oil-Importing and Oil-Exporting Countries

Number of pages: 48 Posted: 15 Dec 2012
Li Yang, Chongfeng Wu and Yudong Wang
UNSW Australia Business School, School of Banking and Finance, Shanghai Jiao Tong University (SJTU) - Aetna School of Management and Shanghai Jiao Tong University (SJTU)
Downloads 370 (79,758)
Citation 9

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Oil prices, Stock markets, Oil-importing and oil-exporting countries, Oil demand and supply shocks

3.

Ownership and the Value of Political Connections

Number of pages: 50 Posted: 15 Jul 2010
Wenfeng Wu, Chongfeng Wu and Oliver M. Rui
Shanghai Jiao Tong University - Antai College of Economics & Management, Shanghai Jiao Tong University (SJTU) - Aetna School of Management and China Europe International Business School (CEIBS)
Downloads 302 (100,149)

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political connection, ownership, firm value, corporate governance, China

4.

Forecasting the Real Prices of Crude Oil: A Dynamic Model Averaging Approach

Number of pages: 47 Posted: 06 Apr 2015
Yudong Wang, Chongfeng Wu and Li Yang
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) - Aetna School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 228 (134,161)
Citation 2

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Forecast; Dynamic model averaging; Time-varying parameter model; Oil prices

5.

Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?

Management Science, Forthcoming
Number of pages: 41 Posted: 10 Feb 2015 Last Revised: 22 Feb 2015
Yudong Wang, Chongfeng Wu and Li Yang
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) - Aetna School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 197 (154,094)

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Futures hedging; naïve strategy; minimum variance hedge ratios; estimation error; mode misspecification

6.

Trade Credit, Cash Holdings, and Financial Deepening: Evidence from a Transitional Economy

Number of pages: 58 Posted: 06 May 2011 Last Revised: 30 Aug 2018
Wenfeng Wu, Oliver M. Rui and Chongfeng Wu
Shanghai Jiao Tong University - Antai College of Economics & Management, China Europe International Business School (CEIBS) and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 151 (194,639)

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Cash, Trade Credit, Financial Deepening, Receivables, Payables

Institutional Environment, Ownership and Firm Taxation

Economics of Transition, Forthcoming
Number of pages: 52 Posted: 13 Dec 2012
Wenfeng Wu, Oliver M. Rui and Chongfeng Wu
Shanghai Jiao Tong University - Antai College of Economics & Management, China Europe International Business School (CEIBS) and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 46 (410,034)

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Ownership, Taxation, Institution, Interjurisdictional competition, China

Institutional Environment, Ownership and Firm Taxation

Economics of Transition, Vol. 21, Issue 1, pp. 17-51, 2013
Number of pages: 35 Posted: 23 Dec 2012
Wenfeng Wu, Oliver M. Rui and Chongfeng Wu
Shanghai Jiao Tong University - Antai College of Economics & Management, China Europe International Business School (CEIBS) and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 2 (671,142)
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Ownership, taxation, institution, interjurisdictional competition, China

8.

The Index Option or the Portfolio?

Number of pages: 25 Posted: 13 Nov 2017
Feifan Wu and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 35 (445,394)

Abstract:

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options; the index option; the portfolio of individual options; correlations; expected option returns

9.

Consistent Analyst Expectation Error and Earnings Management: Evidence from China

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 26 Posted: 17 Aug 2014 Last Revised: 16 Mar 2016
Zhengyi Zhou and Chongfeng Wu
Shanghai University of Finance and Economics and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 35 (445,394)

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Stock Analyst, Expectation Error, Earnings Management, Chinese Market

10.

Is China's Economic Growth Extraordinar or Mediocre? The Role of the Exchange Rate

China & World Economy, Vol. 16, No. 1, pp. 100-116, January-February 2008
Number of pages: 17 Posted: 18 Feb 2008
Yun Feng and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Aetna School of Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 17 (540,348)
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11.

Short Selling, Margin Buying and Stock Return in China Market

Accounting & Finance, Vol. 58, Issue 2, pp. 477-501, 2018
Number of pages: 25 Posted: 25 Jun 2018
Rui Li, Nan Li, Jiahui Li and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, Shanghai Jiao Tong University, Antai College of Economics and Management, Tianjin University - College of Management and Economics and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 2 (640,605)
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Short interest, Short‐sale constraints, Margin‐buying constraints, Predictive power

12.

Pricing Turbo Warrants under Mixed-Exponential Jump Diffusion Model

Posted: 22 Oct 2014 Last Revised: 03 Feb 2015
Jianfeng Yu, Weidong Xu and Chongfeng Wu
Zhejiang University - School of Management, Zhejiang University - School of Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

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turbo warrants, mixed-exponential jump diffusion, Laplace transform, Euler method

13.

Dynamic and Asymmetric Dependences between Chinese Yuan and Other Asia-Pacific Currencies

Journal of Futures Markets, March 2013, FIRN Research Paper
Posted: 11 May 2013
Donald D. Lien, Chongfeng Wu, Li Yang and Chunyang Zhou
University of Texas at San Antonio - College of Business - Department of Economics, Shanghai Jiao Tong University (SJTU) - Aetna School of Management, UNSW Australia Business School, School of Banking and Finance and Shanghai Jiao Tong University (SJTU)

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Dynamic dependences, Currencies in Asian Pacific

14.

Ownership and the Value of Political Connections: Evidence from China

European Financial Management, Vol. 18, Issue 4, pp. 695-729, 2012
Number of pages: 35 Posted: 23 Aug 2012
Wenfeng Wu, Chongfeng Wu and Oliver M. Rui
Shanghai Jiao Tong University - Antai College of Economics & Management, Shanghai Jiao Tong University (SJTU) - Aetna School of Management and China Europe International Business School (CEIBS)
Downloads 0 (670,823)
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political connection, ownership, firm value, corporate governance, China

15.

Down-Side Risk and the Puzzle of Implied Volatility Premium

Posted: 24 Dec 2006
Yun Feng, Jun Song and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Aetna School of Management, Fudan University and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

Abstract:

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Down-side Risk, Semi-Variance, Implied Volatility, Realized Volatility