Details about Hai Lin

Access statistics for papers by Hai Lin.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: pli895

Working Papers

2015

1. Forecasting the Term Structure of Implied Volatilities
   Working Paper Series, Victoria University of Wellington, School of Economics and Finance

2013

2. The 2000 presidential election and the information cost of sensitive versus
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Journal Articles

2023

1. Credit default swaps and firm risk
   Journal of Futures Markets, 2023, 43, (11), 1668-1692
2. The trend premium around the world: Evidence from the stock market
   International Review of Finance, 2023, 23, (2), 317-358

2022

3. Forecasting earnings with combination of analyst forecasts
   Journal of Empirical Finance, 2022, 68, (C), 133-159
4. Predictive information in corporate bond yields
   Journal of Financial Markets, 2022, 59, (PB) View citations (3)

2021

5. Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market
   Pacific-Basin Finance Journal, 2021, 67, (C) View citations (1)
6. Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market
   Journal of Banking & Finance, 2021, 133, (C) View citations (1)

2020

7. Credit Spreads, Business Conditions, and Expected Corporate Bond Returns
   JRFM, 2020, 13, (2), 1-34 View citations (2)
8. Price discovery and persistent arbitrage violations in credit markets
   Financial Management, 2020, 49, (1), 207-233 View citations (3)
9. The pricing of accruals quality in credit default swap spreads
   Accounting and Finance, 2020, 60, (3), 1943-1977 View citations (1)
10. Volatility and jump risk in option returns
    Journal of Futures Markets, 2020, 40, (11), 1767-1792 View citations (1)

2019

11. Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices
    Economic Modelling, 2019, 77, (C), 92-112 View citations (8)

2018

12. Are there gains from using information over the surface of implied volatilities?
    Journal of Futures Markets, 2018, 38, (6), 645-672 View citations (3)
13. Are tightened trading rules always bad? Evidence from the Chinese index futures market
    Quantitative Finance, 2018, 18, (9), 1453-1470 View citations (5)
14. Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach
    Management Science, 2018, 64, (9), 4218-4238 View citations (45)

2016

15. Global risk spillover and the predictability of sovereign CDS spread: International evidence
    International Review of Economics & Finance, 2016, 41, (C), 371-390 View citations (27)
16. Information diffusion and the predictability of New Zealand stock market returns
    Accounting and Finance, 2016, 56, (3), 749-785 View citations (1)

2014

17. Predictions of corporate bond excess returns
    Journal of Financial Markets, 2014, 21, (C), 123-152 View citations (12)

2013

18. Longevity risk and survivor derivative pricing
    Journal of Risk Finance, 2013, 14, (2), 140-158

2012

19. Are corporate bond market returns predictable?
    Journal of Banking & Finance, 2012, 36, (8), 2216-2232 View citations (26)

2011

20. Liquidity risk and expected corporate bond returns
    Journal of Financial Economics, 2011, 99, (3), 628-650 View citations (162)

2010

21. Modeling the dynamics of Chinese spot interest rates
    Journal of Banking & Finance, 2010, 34, (5), 1047-1061 View citations (9)

2009

22. Price discovery in the round-the-clock U.S. Treasury market
    Journal of Financial Intermediation, 2009, 18, (3), 464-490 View citations (12)
23. The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks
    Journal of Financial Markets, 2009, 12, (1), 54-86 View citations (8)