Simulation Schemes for the Heston Model with Poisson Conditioning
Abstract: Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie–Kaya and Glasserman–Kim) suffer from computationally expensive modified Bessel function evaluations. We propose a new exact simulation scheme without the modified Bessel function, based on the observation that the conditional integrated variance can be simplified when conditioned by the Poisson variate ...
Jaehyuk Choi*, Yue Kuen Kwok
ARTICLE | European Journal of Operational Research | 2024、314：363-376
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Confidence Intervals of Treatment Effects in Panel Data Models with Interactive Fixed Effects
Abstract: We augment the factor-based estimation of treatment effects proposed by Bai and Ng (2021) with easy-to-implement and nonparametric confidence intervals of treatment effects on every treated unit at every post-treatment time. The construction of confidence intervals entails a residual-based bootstrap resampling procedure. This method does not rely on any parametric assumption on the distribution ...
Xingyu Li, Yan Shen, Qiankun Zhou*
ARTICLE | Journal of Econometrics | 2024、240、1
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Price Rigidities and the Value of Public Information
Abstract: Firms' inflexibility in adjusting output prices to economic shocks exacerbates information asymmetry with respect to firms' profits, but public information on firms' cost structure mitigates this problem. We construct a novel form of public information from economic statistics disclosed by the government and find that such public information significantly reduces inflexible-price firms' bid–...
Lifeng Gu, Jin Xie*
ARTICLE | Journal of Accounting Research | 2024、62、1：137-179
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Local Effects of Global Capital Flows: A China Shock in the U.S. Housing Market
Abstract: This paper studies the real effects of foreign real estate capital inflows. Using transaction-level data, we document (i) a “China shock” in the U.S. housing market characterized by surging foreign Chinese housing purchases after 2008, and (ii) “home bias” in these purchases, as they concentrate in neighborhoods historically populated by ethnic Chinese. Exploiting their temporal and spatial ...
Zhimin Li, Leslie Sheng Shen*, Calvin Zhang
ARTICLE | Review of Financial Studies | 2024、37、3：761-801
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How Gift Prices Affect Gratitude? "Right" Gift-Price Effect
Abstract: This research examines the effects of gift prices on recipients’ gratitude. Five studies show an inverted U-shaped relationship between gift price and recipients’ gratitude. Recipients are more likely to appreciate gifts of monetary value that align with their expectations than inexpensive or expensive gifts whose values do not meet the recipients’ expectations. Two parallel underlying ...
Jooyoung Park, Mengshu Chen, Jungkeun Kim*
ARTICLE | Australasian Marketing Journal | 2024、32、1：45-55
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College Expansion, Trade, And Innovation: Evidence from China
Abstract: China has expanded the yearly quota on newly admitted college students by more than seven times since 1999. How did this massive education expansion affect firms' export and innovation choices? I document that after this expansion impacted the labor market, manufacturing firms' innovation increased considerably, especially among exporting firms, accompanied by sizable skill upgrading of exports....
Xiao Ma*
ARTICLE | International Economic Review | 2024、65、1：315-351
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Digital Finance and Wealth Inequality: Evidence from a Big Tech Platform in China During the Covid-19 Pandemic
Abstract: Inequality is a longstanding concern, yet how the rapid advancement of financial technology could possibly reshape inequality in the financial market remains unclear. This study analyzes wealth inequality dynamics among Chinese households during the COVID-19 pandemic, using random sample data collected from a quarterly online survey on a big tech platform. Our findings reveal that families ...
Yan Shen, Ang Sun*, Zikun Zhou, Dun Jia
ARTICLE | Pacific-Basin Finance Journal | 2024、83
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