Working Papers-Peking University HSBC Business School(PHBS)

Gold is a Hedging Asset

While industry investors commonly view gold as a hedging asset, academic studies often find the opposite We show

Aoxiang Yang*

Working Paper | No. 20260605 |

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Volatility-Managed Volatility Trading

We develop volatility risk premium (VRP) timing strategies that involve trading two assets: a volatility asset and

Aoxiang Yang*

Working Paper | No. 20240604 |

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Launching for the "Greater Good": Spillover Effect of ESG Funds

We examine the incentives motivating a mutual fund family to launch ESG funds, aiming to understand the supply-si

Fangyuan Ma, Linlin Ma, Yuan Wang, Bo Xu*

Working Paper | No. 20240603 |

Keywords: ESG, Mutual fund family, Spillover effect, Fund flows, Affection-based judgement, Fund proliferatio

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The Asset Durability Premium

Durable capital is harder to finance not only due to its greater down payment, but also because of its larger

Dun Jia, Kai Li, Chi-Yang Tsou∗

Working Paper | No. 20240602 |

Keywords: durability; financial constraints; collateral, cross-section of stock returns

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Bargaining and Dynamic Competition

Industries with significant scale economies or learning-by-doing may come to be dominated by a single firm Econom

Shanglyu Deng, Dun Jia, Mario Leccese, Andrew Sweeting

Working Paper | No. 20240601 |

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Fare Structure and the Demand for Public Transit

We study fare structure design and public transit use Leveraging a fare rise in the Beijing Subway that replaced a flat rate with one that varies by distance, time, and offers quantity discounts, we find inelastic demand, inflexible travel schedules, and

Yizhen Gu, Qu Tang, Yacan Wang, Ben Zou*

Working Paper | No. 20240302 |

Keywords: public transit, demand for travel, price elasticity

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Managerial Incentives in the Mutual Fund Industry

The domain of mutual fund management is characterized by an array of incentives that influence the decision-making of fund managers In this article, we provide a survey of the extensive literature on various types of incentives faced by mutual fund manag

Linlin Ma, Yuehua Tang, Yuan Wang

Working Paper | No. 20240301 |

Keywords: mutual funds, managerial incentives, fund managers, fund families, flow-performance relationship, compensation, agency problems, portfolio disclosure, business ties

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Banking Innovations in China: Evidence and Welfare Implications

Understanding the impacts of new technology and innovations on the banking sector is important and of growing interest However, there is limited research on the detailed channels of these impacts and, consequently, their evaluations with respect to th

Yicheng Wang, Zhiwei Xu, Weimin Zhou

Working Paper | No. 20231106 |

Keywords: banking innovations, bank risk-taking, welfare effects, general equilibrium

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Leasing, Pecuniary Externality, and Aggregate Efficiency

Firms frequently lease capital, as indicated by the data; however, the impact of leasing on aggregate efficiency has seldom been studied In this paper, we demonstrate that leasing can mitigate the inefficiencies caused by pecuniary externalities in ec

Kai Li, Yicheng Wang, Yiming Xu

Working Paper | No. 20231105 |

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Learning, Price Discovery, and Macroeconomic Announcements

We examine the price discovery process in the Chinese equity market Leveraging a unique feature of China’s market - the release of macroeconomic announcements that are often unscheduled, varying in time, and occur outside of regular trading hours

Haozhe Han, Grace Xing Hu, Calvin Dun Jia∗

Working Paper | No. 20231104 |

Keywords: Learning, Macroeconomic Announcements, Price Informativeness, Market Efficiency

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