Working Papers - Peking University HSBC Business School(PHBS)

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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Culture, Religion, and Short-Sale Constraints

We find that institutional investors’ local culture of religiosity influences their stock lending decisions and short-sell constraints Firms with higher ownerships by blockholders located in more religious counties are associated with higher utilizatio

Danling Jiang, Baixiao Liu, Steven Chong Xiao

Working Paper | No. 20220304 |

Keywords: Culture, Religiosity, Blockholder, Stock lending, Short-sale constraints

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Media Negativity on Foreign Countries and International Asset Allocation

We investigate the relationship between media negativity on foreign countries and flows to country specific interna

Baixiao Liu, Linlin Ma

Working Paper | No. 20230303 |

Keywords: Keywords: Media Negativity , International Asset Allocation, International Mutual Fund, Fund Flows

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Learning, Price Discovery, and Macroeconomic Announcements

We document that the duration of investors’ information processing time improves the price discovery efficiency following public macroeconomic announcements

Haozhe Han, Grace Xing Hu, Calvin Dun Jia

Working Paper | No. 20230302 |

Keywords: Learning, Macroeconomic announcements, Price informativeness, Market efficiency

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Forecasting Stock Returns: The Role of New Global Market Integration Indices

This research examines the usefulness of new proposed equity premium predictors through their superior out-of-sample forecasting gains relative to the historical average return method and currently well-known spillover indices (Diebold and Yilmaz, 2009)

Cindy S.H. Wang, Cheng Hsiao, Gary C.K. Wen

Working Paper | No. 20230301 |

Keywords: CDAR test, forecast combination, Lasso, panel predictive model, three-pass regression filter (3PRF), complete subset regression

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Adaptive Robust Capacity Control with Adjustable Regret

A robust single-leg capacity control method based on adjustable regret is proposed to address the practical needs

Yingjie Lan

Working Paper | No. 20230103 |

Keywords: Revenue management, Adjustable regret, Robust optimization, Competitive analysis, Game theory

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Affirmative Action in Two Dimensions: A Multi-Period Apportionment Problem

In many settings, affirmative action policies apply simultaneously at two levels, for instance, at university and

Haydar Evren, Manshu Khanna

Working Paper | No. 20230102 |

Keywords: Affirmative Action, Apportionment, Market Design, Rounding Problem

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Taxation and Entrepreneurship in the United States

This paper studies the effects of income taxation on entrepreneurship, empirically and in astructural macro model

Hans A. Holter, Serhiy Stepanchuk, Yicheng Wang

Working Paper | No. 20230101 |

Keywords: Entrepreneurship, Taxation, Tax Progressivity, Business Risk, Insurance

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