Working Papers-Peking University HSBC Business School(PHBS)

Leasing and the Idiosyncratic Volatility Puzzle

Our study elucidates the idiosyncratic volatility puzzle, the observed negative correlation between past idiosyncratic volatility and stock returns, by examining firms optimal decisions to buyversus- lease capital We find that firms with elevated

Kai Li, Kaihong Song

Working Paper | No. 20230902 |

Keywords: idiosyncratic volatility; financial constraint; leased capital; cross-section of expected returns; incomplete market

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Climate Innovation and Carbon Emissions: Evidence from Supply Chain Networks

We study whether climate-related innovation leads to carbon emission reductions by analyzing supply chain networks We find that climate innovation reduces carbon emissions at customer firms, but only for the supplier firm s product innovation patents,

Ulrich Hege, Kai Li, Yifei Zhang

Working Paper | No. 20230901 |

Keywords: climate change mitigation technologies (CCMTs); climate innovations; supply chain; new customer firms; carbon emissions; ESG scores; discrete choice model

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Affirmative Action’s Connected Apportionments

It is not feasible to reserve a fraction of a seat, therefore to respect the spirit of affirmative action the Indian reservation system adheres to a rotating system of seat claiming, commonly referred to as a roster Developing a roster involves addres

Haydar Evren, Manshu Khanna

Working Paper | No. 20230701 |

Keywords: Affirmative Action, Rotation, Indivisibility, Apportionment, Divisor Methods

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Guilty by Political Association: The Impact of Political Scandals on Connected Firms

Using scandals involving US congresspersons over the period 1992-2018, we investigate the reputational spillover effect between scandal-tainted congresspersons and politically-connected firms Following the first media report of a scandal, firms connec

April Knill, Baixiao Liu, John J. McConnell, Cayman Seagraves

Working Paper | No. 20230504 |

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The Effect of Short Sale Restrictions on Corporate Managers

We examine how the exemption of short sale uptick tests due to the Regulation SHO pilot program affects managers’ decisions to abandon value-reducing acquisition attempts We find that when deciding whether to abandon value-reducing acquisition attem

Baixiao Liu, John McConnell, Andrew Schrowang

Working Paper | No. 20230503 |

Keywords: Short Sale Restrictions, Short Selling, Regulation SHO, Pilot Program

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Common Correlated Effects Estimation of Nonlinear Panel Data Models

This paper focuses on estimating the coefficients and average partial effects of observed regressors in nonlinear panel data models with interactive fixed effects, using the common correlated effects (CCE, hereafter) framework The proposed two-step estim

Liang Chen, Minyuan Zhang

Working Paper | No. 20230502 |

Keywords: Panel data, interactive fixed effects, nonlinear models, incidental parameters, bias correction

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Exporting, Wage Profiles, and Human Capital: Evidence from Brazil

Export activity shapes workers’ experience-wage profiles Using detailed employer-employee and customs data for Brazilian manufacturing, we document that workers’ experience-wage profiles are steeper at exporters than at non-exporters and, among ex

Xiao Ma, Marc-Andreas Muendler, Alejandro Nakab

Working Paper | No. 20230501 |

Keywords: Export Activity; Wage Profiles; Human Capital Accumulation

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Upper and Lower Bounds on Robust One-way Trading with Fixed Costs

This paper considers the one-way trading problem with fixed costs where the trader can only trade in one direction throughout, either sell or buy, and he only knows limited information on price fluctuations beforehand We construct a robust optimization m

Wei Wang, Yingjie Lan, Wei Cui, Deming Zhou

Working Paper | No. 20230307 |

Keywords: Finance, Robust optimization, One-way trading, Fixed cost, Mini-max regret

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Control of Conservatism for Robust Optimization by Adjustable Regret

It is commonly recognized that a major issue of robust optimization is the tendency to produce overly conservative solutions To address this issue, a new regret-based criterion with a single control parameter is proposed and axiomatized to offer smooth c

Yingjie Lan

Working Paper | No. 20230306 |

Keywords: Robust optimization, Decision criteria, Over-conservatism, Tractability, One-way trading

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Facilitating Entry through Leasing

We study how leasing plays a novel role in improving total factor productivity (TFP) by facilitating entry and technology adoption As a form of more collateralizable financing, leasing provides additional nancing for investment required in a productive

Kai Li, Yiming Xu

Working Paper | No. 20230305 |

Keywords: Leased capital; Collateral constraint; Total factor productivity (TFP); Extensive margin; Entry; Technology adoption; Capital misallocation

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