Working Papers

From University of Macau, Faculty of Business Administration
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202527: Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data

Xiaohu Wang, Weilin Xiao, Jun Yu and Chen Zhang

202526: Estimation of Grouped Time-Varying Network Vector Autoregression Models

Degui Li, Bin Peng, Songqiao Tang and Weibiao Wu

202525: Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions

Yue Qiu, Wenbin Wang, Tian Xie, Jun Yu and Xinyu Zhang

202524: Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures

Chenlei Leng, Degui Li, Hanlin Shang and Yingcun Xia

202523: Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data

Degui Li, Oliver Linton and Haoxuan Zhang

202522: Convertible Bonds and Firm Value: Evidence from China and Beyond

Po Li, Tingting Que, Jing Xie and Yuxiang Zhong

202421: The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China

Chuanglian Chen, Xiaobin Liu, Jun Yu and Tao Zeng

202420: A Note on AIC and TIC for Model Selection

Yong Li, Zhou Wu, Jun Yu and Tao Zeng

202419: Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation

Han Chen, Yijie Fei and Jun Yu

202418: The effect of the U.S.–China trade war on Chinese corporate innovation: A curse or a blessing?

Leona Shao-Zhi Li, Yize Liu and Jia Yuan

202417: More but not better: Career incentives of local leaders and entrepreneurial entry in China

Chuantao Cui and Leona Shao-Zhi Li

202416: On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes

Shuping Shi, Jun Yu and Chen Zhang

202415: Deviance Information Criterion for Model Selection:Theoretical Justification and Applications

Yong Li, Mallick Sushanta K, Nianling Wang, Jun Yu and Tao Zeng

202414: Unlocking Innovation: The Impact of Free Trade Zones on Corporate Innovation in China

Ruiyang Hu, Chen Yin, Zhijie Zheng and Sili Zhou

202413: Production Leakage: Evidence from Uncoordinated Environmental Policies

Zhiyuan Li, Bing Lu and Sili Zhou

202412: Proxy Voting on CEO Pay: Evidence from Rejection of the Inevitable Disclosure Doctrine

Xiaohui Li Xiaohui Li, Yao Shen and Jing Xie

202411: Stock-Picking by Mutual Funds: Evidence from Trading in Family-Controlled Firms

Jing Xie

202410: Are passive investors also passive voters? Evidence from securities lending by mutual funds

Jing Xie

202409: The Geography of Institutional Investors, Information Sharing among Institutions, and Initial Public Offerings

Thomas J. Chemmanur, Jiekun Huang, Jing Xie and Yuyuan (Anthony) Zhu

202408: Market Feedback Effect on CEO Pay: Evidence from Peers’ Say-on-Pay Voting Failures

C.S. Agnes Cheng C.S. Agnes Cheng, Iftekhar Hasan, Feng Tang Feng Tang and Jing Xie

202407: Keeping up with the Joneses: Corporate Dividends and Common Institutional Blockholders

Thomas J. Chemmanur, Zeyu Sun and Jing Xie

202406: Unraveling the Dividend Puzzle: A Field Experiment

Xiaoqiao Wang, Jing Xie, Bohui Zhang and Xiaofeng Zhao

202405: Preferences for dividends and stock returns around the world

Allaudeen Hameed, Jing Xie and Yuxiang Zhong

202404: Does ESG negative screening work?

Robert Eccles, Shiva Rajgopal and Jing Xie

202403: ESG Investing and Stock Return Comovements

Marcin Kacperczyk, Lin Peng and Jing Xie

202402: Testing for an Explosive Bubble using High-Frequency Volatility

H. Peter Boswijk, Jun Yu and Yang Zu

202401: Testing Predictability in the Presence of Persistent Errors

Yijie Fei, Yiu Lim Lui and Jun Yu