2022-Peking University HSBC Business School(PHBS)

The Price of Higher Order Catastrophe Insurance: The Case of VIX Options

We develop a tractable equilibrium pricing model to explain observed characteristics in equity returns, VIX futures, S&P 500 options, and VIX options data based on affine jump-diffusive state dynamics and representative agents endowed with Duffie-Epstein

Bjorn Eraker*, Aoxiang Yang

ARTICLE | Journal of Finance |Vol.77, 2022

Keywords: VIX, pricing model, SPX, equity returns

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Preference Heterogeneity in Bitcoin and its Forks' Network

This study investigates the transmission channel of information diffusion in the network of Bitcoin and its six f

Hyeonoh Kim, Chang Yong Ha*, Kwangwon Ahn

ARTICLE | Chaos Solutions & Fractals |Vol.164, 2022

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Economic Slowdown and Housing Dynamics in China: A Tale of Two Investments by Firms

We study the housing boom and economic slowdown in China in a dynamic New Keynesian model The model features a

Feng Dong*, Yumei Guo, Yuchao Peng, Zhiwei Xu

ARTICLE | Journal of Money, Credit and Banking |Vol.54, 2022

Keywords: Chinese housing boom, collateral effect, crowing-out effect

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Bubbly Bitcoin

There has been a burgeoning Fintech literature in the past years, especially on cryptocurrencies

Feng Dong, Zhiwei Xu*, Yu Zhang

ARTICLE | Economic Theory |Vol.74, 2022

Keywords: Cryptocurrency, asset bubbles, financial frictions, market sentiment

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Heterogeneity and Decomposition Analysis of Manufacturing Carbon Dioxide Emissions in China's Post-Industrial Innovative Megacity Shenzhen

Effectively reducing manufacturing carbon dioxide (CO2) emissions is a vital strategy for China to curb its rapidl

Shiming Liao, Dong Wang, Ting Ren, Xuemin Liu*

ARTICLE | International Journal of Environmental Research and Public Health |Vol.19, 2023

Keywords: LMDI; Carbon Emissions; Driving Factors; Manufacturing; Megacity Shenzhen

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Female Corporate Leadership and Firm Growth Strategy: A Global Perspective

This study aims to understand the relationship between female corporate leadership and firm performance based on e

Lagle Laidoja, Xuanye Li, Wenyuan Liu, Ting Ren*

ARTICLE | Sustainability |Vol.149, 2023

Keywords: cross-country, exploitation, exploration, female corporate leadership, growth strategy

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Innovation Input and Firm Value: Based on the Moderating Effect of Internal Control

Using the data of Chinese A-share listed firms with non-zero innovation investment between 2007 and 2017, this paper links the value relevance of innovation investment with internal control from the perspective of

Qianhui Ma*, Lan Ju, Zishi Zhang

ARTICLE | Sustainability |Vol. 14, 2022

Keywords: Innovation input, internal control, firm value, agency problem, risk management

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COVID-19 Restrictions and Variety-Seeking in Travel Choices and Actions: The Moderating Effects of Previous Experience and Crowding

This article investigates how the perceived threats caused by COVID-19 affect consumers’ travel choices and actions by influencing their intentions to seek variety

Jungkeun Kim, Jooyoung Park, Seongseop(Sam) Kim*, Daniel Chaein Lee, Marianna Sigala

ARTICLE | Journal of Travel Research |Vol. 61, 2022

Keywords: Purchase quantity, novelty-seeking, tourists, behavior, preference, image

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A Theory of Housing Demand Shocks

Housing demand shocks in standard macroeconomic models are a primary source of house price fluctuations, but those models have difficulties in generating the observed large volatility of house prices relative to rents

Ding Dong, Zheng Liu*, Pengfei Wang, Tao Zha

ARTICLE | Journal of Economic Theory |Vol. 203, 2022

Keywords: Housing demand, house prices, price-rent ratio, heterogenerous beliefs, credit constraints

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Tackling Carbon Intensity with Green Finance in COVID-19: Recommendations for OECD Economies

Green financing has been examined in the literature However, its impact on carbon intensity has not been fully investigated

Lijing Lu, Haiyang Zheng, Meilan Chen*, Hina Najam

ARTICLE | Climate Change Economics |Vol. 13, 2022

Keywords: Green financing, COVID-19, carbon intensity, quantile modeling, OECD countries

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