Chongfeng Wu

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

No.535 Fahuazhen Road

Shanghai, 200052

China

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 35,185

SSRN RANKINGS

Top 35,185

in Total Papers Downloads

2,590

SSRN CITATIONS
Rank 19,277

SSRN RANKINGS

Top 19,277

in Total Papers Citations

59

CROSSREF CITATIONS

7

Scholarly Papers (18)

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 610 (79,665)
Citation 4

Abstract:

Loading...

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 448 (116,459)
Citation 19

Abstract:

Loading...

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

3.

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 355 (151,569)
Citation 2

Abstract:

Loading...

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

4.

Ownership and the Value of Political Connections

Number of pages: 50 Posted: 15 Jul 2010
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)affiliation not provided to SSRN
Downloads 353 (152,496)

Abstract:

Loading...

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

5.

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 285 (191,482)
Citation 2

Abstract:

Loading...

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

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
Shanghai Jiao Tong University - Antai College of Economics & Management, China Europe International Business School (CEIBS)affiliation not provided to SSRN and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 194 (277,255)
Citation 9

Abstract:

Loading...

Cash, Trade Credit, Financial Deepening, Receivables, Payables

7.

From Stochastic to Rough Volatility: A New Deep Learning Perspective on the Hedging

Number of pages: 35 Posted: 02 May 2022
Qinwen Zhu, Chongfeng Wu and Xundi Diao
affiliation not provided to SSRN, Shanghai Jiao Tong University (SJTU) - Aetna School of Management and affiliation not provided to SSRN
Downloads 76 (560,882)

Abstract:

Loading...

Risk Management, Rough fractional stochastic volatility, Gated recurrent unit neural networks, Deep hedging, Rough volatility model

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 67 (596,336)

Abstract:

Loading...

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 64 (610,386)

Abstract:

Loading...

Stock Analyst, Expectation Error, Earnings Management, Chinese Market

10.

Institutional Environment, Ownership and Firm Taxation

Economics of Transition, Forthcoming
Number of pages: 52 Posted: 13 Dec 2012
Shanghai Jiao Tong University - Antai College of Economics & Management, China Europe International Business School (CEIBS)affiliation not provided to SSRN and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 62 (620,269)

Abstract:

Loading...

Ownership, Taxation, Institution, Interjurisdictional competition, China

11.

Spillover Effects Within Supply Chains: Evidence From Chinese-Listed Firms

forthcoming in the Journal of International Financial Management & Accounting
Number of pages: 60 Posted: 17 Jul 2023 Last Revised: 18 Aug 2023
Xunxiao Wang, Shibo Bian and Chongfeng Wu
Shanghai University of Finance and Economics, Shanghai University of Finance and Economics and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 40 (750,105)

Abstract:

Loading...

Spillover effects; Supply chains; Market reactions; Credit rating; Information diffusion

12.

Are analysts effective speaking tubes? Evidence from site visits

Applied Economics
Number of pages: 31 Posted: 21 Nov 2020 Last Revised: 21 Feb 2023
Jun Wang 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 36 (778,796)

Abstract:

Loading...

analyst behavior, crash risk, hidden information, conflict of interest

13.

Analyst Gender and Online Corporate Visits

Posted: 21 Mar 2023
Jun Wang and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

Abstract:

Loading...

Analysts, Forecast error, Online visits, Virtual meeting, Gender differences, Information acquisition, Communication

14.

Revisiting Asymmetric Price Transmission in the US Oil-Gasoline Markets: A Multiple Threshold Error-Correction Analysis

Economic Modelling, Vol. 52, No. 583-591, 2016
Posted: 25 Sep 2022
Xiao Qin, Chunyang Zhou and Chongfeng Wu
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

Abstract:

Loading...

Asymmetry; Multiple threshold; Error-correction; Oil; Gasoline

15.

Online versus in-person visits and analysts’ forecast performance

Journal of Accounting, Auditing & Finance
Posted: 13 Aug 2021 Last Revised: 21 Feb 2023
Jun Wang and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

Abstract:

Loading...

Online visits; analysts; information acquisition; forecast timeliness; forecast thoroughness; forecast accuracy.

16.

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

Abstract:

Loading...

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

17.

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)

Abstract:

Loading...

Dynamic dependences, Currencies in Asian Pacific

18.

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:

Loading...

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