Shuyi Ge

Nankai University - Department of Finance

94 Weijin Road

Tianjin, 300071

China

  • Nankai University - Department of Finance

SCHOLARLY PAPERS

10

DOWNLOADS

2,135

TOTAL CITATIONS
Rank 45,784

SSRN RANKINGS

Top 45,784

in Total Papers Citations

8

Ideas:
“  empirical asset pricing, financial econometrics, networks  ”

  • Nankai University - Department of Finance

Scholarly Papers (10)

Actions:
Email selected abstracts
1.

Dual Industry Effects and Cross-Stock Predictability

Number of pages: 45 Posted: 31 May 2024 Last Revised: 08 Mar 2025
Doron Avramov, Shuyi Ge, Shaoran Li and Oliver B. Linton
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Nankai University - Department of Finance, Peking University and University of Cambridge
Downloads 565 (106,990)

Abstract:

Loading...

cross-stock predictability, asset pricing, economic links, information aggregation JEL Classification: G11, G12, G14, industry effect

2.

News-Implied Linkages and Local Dependency in the Equity Market

Number of pages: 54 Posted: 19 Apr 2021 Last Revised: 28 Mar 2022
Shuyi Ge, Oliver B. Linton and Shaoran Li
Nankai University - Department of Finance, University of Cambridge and Peking University
Downloads 481 (129,816)

Abstract:

Loading...

Spatial asset pricing model, weak and strong cross-sectional dependence, local dependency, networks, textual analysis, big data, large heterogeneous panel

3.

Diamond Cuts Diamond: News Co-mention Momentum Spillover Prevails in China

Number of pages: 69 Posted: 28 Aug 2024 Last Revised: 27 Nov 2024
Shuyi Ge, Shaoran Li and Hanyu Zheng
Nankai University - Department of Finance, Peking University and The University of Hong Kong - Faculty of Business and Economics
Downloads 305 (217,882)
Citation 5

Abstract:

Loading...

Economic Linkage, Big Textual Data, Momentum Spillover, News co-mention, Limited attention

4.

Dynamic Peer Groups of Arbitrage Characteristics

Number of pages: 50 Posted: 21 Jul 2020 Last Revised: 07 Jun 2021
Shaoran Li, Oliver B. Linton and Shuyi Ge
Peking University, University of Cambridge and Nankai University - Department of Finance
Downloads 236 (282,116)
Citation 1

Abstract:

Loading...

Semiparametric; Peer Groups; Power-enhanced Test

5.

CSNCD: China Stock News Co-mention Dataset

Number of pages: 9 Posted: 29 Nov 2023
Shuyi Ge, Shaoran Li, Xinping Li, Xianglong Yan and Hanyu Zheng
Nankai University - Department of Finance, Peking University, Peking University - School of Economics, Peking University - School of Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 161 (401,745)
Citation 1

Abstract:

Loading...

Big data; News; Chinese stock market; Textual analysis; Stock links

6.

A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model

Number of pages: 43 Posted: 15 Sep 2022 Last Revised: 11 Nov 2022
Shuyi Ge
Nankai University - Department of Finance
Downloads 135 (464,440)

Abstract:

Loading...

Contagion, Interdependence, Regime-switching, Mutual-excitation, Sovereign credit risk

7.

CSNLFD: China Stock News Leader-Follower Dataset

Number of pages: 6 Posted: 29 Feb 2024
Shuyi Ge, Shaoran Li, Xinping Li, Xianglong Yan and Hanyu Zheng
Nankai University - Department of Finance, Peking University, Peking University - School of Economics, Peking University - School of Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 110 (548,049)

Abstract:

Loading...

Big data, News, Chinese stock market, Textual analysis, Stock links, Leader-follower

8.

A-H Share Price Difference: A Theoretical and Empirical Analysis

Number of pages: 64 Posted: 11 Apr 2024
Shaoran Li, Shuyi Ge, Yu Yan and Oliver B. Linton
Peking University, Nankai University - Department of Finance, Peking University - School of Economics and University of Cambridge
Downloads 58 (798,978)
Citation 1

Abstract:

Loading...

Price Premium, Dual list shares, General equilibrium

9.

Media Co-mention Structure, Attention Efficiency, and Cross-firm Predictability: A Tale of Two News-implied Linkages

Number of pages: 59 Posted: 10 Feb 2025 Last Revised: 13 Feb 2025
Shuyi Ge, Shaoran Li and Hanyu Zheng
Nankai University - Department of Finance, Peking University and The University of Hong Kong - Faculty of Business and Economics
Downloads 52 (843,357)

Abstract:

Loading...

Return predictability, Information processing costs, Limited attention, Big textual data, Networks, Cross-firm momentum, Attention spillover

10.

Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?

Number of pages: 54 Posted: 03 Oct 2024
Shuyi Ge, Shaoran Li, Oliver B. Linton, Weiguang Liu and Wen Su
Nankai University - Department of Finance, Peking University, University of Cambridge, University College London and University of Oxford
Downloads 32 (1,030,349)

Abstract:

Loading...

Big data, network, large covariance matrix, thresholding, banding.