Hao Wang

Tsinghua University

Associate Professor of Finance

318 Weilun Building

Tsinghua University

Beijing, 100084

China

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    • Tel: 86 10 62797482
    • Fax: 86 10 62794554
SCHOLARLY PAPERS

18

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46

CROSSREF CITATIONS

78

Scholarly Papers (18)

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1.

Can Structural Models Price Default Risk? New Evidence from Bond and Credit Derivative Markets

EFA 2005 Moscow Meetings Paper
Number of pages: 40 Posted: 27 Jan 2005 Last Revised: 16 Oct 2008
Jan Ericsson, Joel Reneby and Hao Wang
McGill University, Stockholm School of Economics - Department of Finance and Tsinghua University
Downloads 1,882 (9,628)
Citation 59

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Credit risk, credit derivatives, corporate bonds, structural models

2.

Shadow Banking: China's Dual-Track Interest Rate Liberalization

Number of pages: 61 Posted: 14 May 2015 Last Revised: 07 Oct 2019
Hao Wang, Honglin Wang, Lisheng Wang and Hao Zhou
Tsinghua University, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), The Chinese University of Hong Kong (CUHK) - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 1,450 (14,555)
Citation 24

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Shadow banking, interest rate liberalization, dual-track reform, Kaldor-Hicks improvement, Pareto improvement

3.

Credit Default Swap Spreads and Variance Risk Premia

Downloads 802 ( 31,463)
Citation 14

Credit Default Swap Spreads and Variance Risk Premia

Number of pages: 42 Posted: 25 Oct 2009 Last Revised: 12 Jun 2011
Hao Wang, Hao Zhou and Yi Zhou
Tsinghua University, Tsinghua University - PBC School of Finance and San Francisco State University
Downloads 488 (65,739)
Citation 4

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variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance

Credit Default Swap Spreads and Variance Risk Premia

AFA 2011 Denver Meetings Paper
Number of pages: 42 Posted: 11 Mar 2010 Last Revised: 05 Sep 2010
Hao Wang, Hao Zhou and Yi Zhou
Tsinghua University, Tsinghua University - PBC School of Finance and San Francisco State University
Downloads 314 (110,329)
Citation 4

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Variance Risk Premia, Credit Default Swap Spreads, Option-Implied Variance, Expected Variance, Realized Variance

4.

Stock Return Volatility and Capital Structure Decisions

PBCSF-NIFR Research Paper No. 13-04
Number of pages: 42 Posted: 29 Oct 2013 Last Revised: 19 Feb 2016
Hui Chen, Hao Wang and Hao Zhou
Massachusetts Institute of Technology, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 666 (44,716)
Citation 8

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Stock Return Volatility, Leverage Ratio, Surprise Shocks, Idiosyncratic Volatility, Uncertainty

5.

Managerial Entrenchment, Equity Payout and Capital Structure

Journal of Banking and Finance, Vol. 35, No. 1, 2011
Posted: 15 Mar 2006 Last Revised: 21 Jan 2020
Hao Wang
Tsinghua University
Downloads 572 (54,473)

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Managerial Entrenchment, Equity Payout, Capital Structure, Bivariate Lattice Model, Security Valuation

6.

China's Secondary Privatization: Perspectives from the Split-Share Structure Reform

Journal of Financial Economics (JFE), Forthcoming, PBCSF-NIFR Research Paper No. 12-01
Number of pages: 56 Posted: 09 Apr 2012 Last Revised: 18 May 2016
Li Liao, Bibo Liu and Hao Wang
Tsinghua University - School of Economics & Management, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 534 (59,398)
Citation 20

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The Split-Share Structure Reform, privatization, state-owned enterprise, financial reform, market mechanism

7.

Predicting Corporate Policies Using Downside Risk: A Machine Learning Approach

Journal of Empirical Finance, Forthcoming
Number of pages: 65 Posted: 15 Feb 2016 Last Revised: 15 Jan 2021
Minwen Li, Hao Wang and Doron Avramov
Tsinghua Universitiy - School of Economics and Management, Tsinghua University and Interdisciplinary Center (IDC) Herzliyah
Downloads 374 (91,252)
Citation 1

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risk shock, corporate policies, texual analysis, LASSO

8.

Information Discovery in Share Lockups: Evidence from the Split-share Structure Reform in China

Financial Management, Forthcoming., PBCSF-NIFR Research Paper No. 08-01
Number of pages: 41 Posted: 16 Oct 2008 Last Revised: 18 Feb 2016
Li Liao, Bibo Liu and Hao Wang
Tsinghua University - School of Economics & Management, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 293 (119,504)
Citation 2

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Information Discovery, Lockup Expiration, Split-share Structure Reform, Institutional Investors, Abnormal Stock Returns

9.

What Risks Do Corporate Bond Put Features Insure Against?

Number of pages: 43 Posted: 16 Mar 2007 Last Revised: 21 Jan 2020
Jan Ericsson, Redouane Elkamhi and Hao Wang
McGill University, University of Toronto - Rotman School of Management and Tsinghua University
Downloads 259 (136,011)

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Putable Bonds, Credit Risk, Liquidity Premium, Bivariate Lattice

10.

The Value of Shareholder Activism: New Evidence from the Split-Share Structure Reform in China

Number of pages: 32 Posted: 17 Dec 2008
Li Liao, Meijuan Shi and Hao Wang
Tsinghua University - School of Economics & Management, Tsinghua University and Tsinghua University
Downloads 238 (147,815)
Citation 1

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11.

Risk Shocks, Uncertainty Shocks, and Corporate Policies

Number of pages: 55 Posted: 15 Dec 2014 Last Revised: 30 Jun 2015
Doron Avramov, Minwen Li and Hao Wang
Interdisciplinary Center (IDC) Herzliyah, Tsinghua Universitiy - School of Economics and Management and Tsinghua University
Downloads 211 (165,659)
Citation 2

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risk, uncertainty, leverage, investment, employment, payoutS, cash holdings, textual analysis

12.

Return Ambiguity, Portfolio Choice, and Asset Pricing

Number of pages: 32 Posted: 28 Nov 2017 Last Revised: 12 Nov 2018
Yu Liu, Hao Wang and Lihong Zhang
Tsinghua University, Tsinghua University and Tsinghua University - School of Economics & Management
Downloads 138 (239,250)

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Return ambiguity, model robustness, ambiguity preferences, portfolio choice, asset pricing

13.

What Affects Credit Rating Informativeness in China? Evidence from Upgrades in the Banking Sector

Number of pages: 44 Posted: 22 Aug 2018 Last Revised: 26 Nov 2019
Shida Liu and Hao Wang
Tsinghua University - School of Economics & Management and Tsinghua University
Downloads 112 (279,572)

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Rating informativeness, rating standard, rating inflation, regulatory arbitrage, Interbank Negotiable Certificate of Deposit

14.

An Option Pricing Model with Probability Measure Ambiguity

Number of pages: 50 Posted: 12 Feb 2020 Last Revised: 23 Jul 2020
Yu Liu, Hao Wang and Lihong Zhang
Tsinghua University, Tsinghua University and Tsinghua University - School of Economics & Management
Downloads 93 (316,622)

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probability measure ambiguity, pricing kernel, equivalent martingale measure, call-put parity, ambiguity premium, volatility smile

15.

Competitive Trading and Endogenous Learning of Asymmetrically Informed Investors

Number of pages: 46 Posted: 25 Jan 2014 Last Revised: 13 Feb 2014
Yu Liu, Hao Wang and Lihong Zhang
Tsinghua University, Tsinghua University and Tsinghua University - School of Economics & Management
Downloads 93 (316,622)

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private information asymmetry, strategic trading, endogenous learning, market micro-structure, information disclosure

16.

Volatility Ambiguity, Consumption and Asset Prices

Number of pages: 48 Posted: 08 Feb 2020
Yu Liu, Hao Wang, Tan Wang and Lihong Zhang
Tsinghua University, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Tsinghua University - School of Economics & Management
Downloads 64 (392,592)

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Volatility ambiguity, ambiguity aversion, ambiguity index, ambiguity measure, ambiguity penalty

17.

Uncertainty Shocks and Corporate Policies

Number of pages: 68 Posted: 17 Aug 2020
Doron Avramov, Minwen Li and Hao Wang
Interdisciplinary Center (IDC) Herzliyah, Tsinghua Universitiy - School of Economics and Management and Tsinghua University
Downloads 28 (541,700)

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uncertainty shocks, first-moment shocks, leverage, investment, employment, payouts, cash holdings

18.

The Real Effects of Rating Inflation: Evidence from the Chinese Corporate Credit Ratings

Number of pages: 41 Posted: 13 Oct 2020
Shida Liu and Hao Wang
Tsinghua University - School of Economics & Management and Tsinghua University
Downloads 22 (578,747)

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Rating inflation, rating standard, regulatory arbitrage, feedback effects, China.