Annual Conference

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Investment Finance

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May 2023

Unlocking ESG Premium from Options

Jie CAO, Amit GOYAL, Xintong ZHAN, Weiming ZHANG
We find that option expensiveness, as measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be about 0.3% per month. All three components of ESG contribute ...
Keywords: ESG, risk premium, delta-hedged option return
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Annual Conference

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Accounting

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May 2018

Uneven Regulatory Playing Field and Bank Transparency Abroad

Tai-Yuan CHEN, Yi-Chun CHEN, Mingyi HUNG
We study the implications of cross-country regulatory differences on banks’ transparency and stability abroad. Using a global sample of banks’ majority-owned foreign subsidiaries, we find that foreign subsidiaries’ transparency decreases when their home countries have tighter activity restrict...
Keywords: transparency within and among MNEs and national states, agency theory, multinational corporations (MNCs) and enterprises (MNEs), headquarters–subsidiary roles and relations
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Annual Conference

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Trade, Growth and Development

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May 2022

Unequal Transition: The Making of China’s Wealth Gap

Lijun ZHU, Yu ZHENG, Yangtian JIANG
This paper studies the evolution of wealth inequality during China’s rapid economic growth since its market-oriented reforms in the early 1990s. We first document the evolution and composition of China’s wealth distribution and summarize stylized facts on aspects of the growth and reform process...
Keywords: Wealth inequality, The Chinese economic reform, Financial frictions, Entrepreneurship, Housing, Migr
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Webinar Series

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Capital Market Development: China and Asia

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Oct 2021

Understanding Retail Investors: Evidence from China

Charles M. JONES, Donghui SHI, Xinran ZHANG, Xiaoyan ZHANG
Using comprehensive account-level data from 2016 to 2019, we examine retail investor trading behavior in the Chinese stock market. We separate millions of retail investors into five groups by their account sizes and document strong heterogeneity in their trading dynamics and performance. Retail inve...
Keywords: retail investors, Chinese stock market, return predictability, liquidity, information content
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Annual Conference

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Investment Finance, Senior Fellows/Fellows, Capital Market Development: China and Asia

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May 2022

Understanding Retail Investors: Evidence from China

Charles M. JONES, Donghui SHI, Xinran ZHANG, Xiaoyan ZHANG
Using comprehensive account-level data from 2016 to 2019, we examine retail investor trading behavior in the Chinese stock market. We separate millions of retail investors into five groups by their account sizes and document strong heterogeneity in their trading dynamics and performance. Retail inve...
Keywords: Retail investors, Chinese stock market, Return predictability, Information content
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