We considered the problem of predicting student retention using logistic regression when the most important covariates such as the college variables are latent, but the network structure is known. This network structure specifies the relationship between pre-college to college variables and then...

The seminar will begin with a brief overview of the Chinese road safety situation, including current safety problems, and then move on to discuss safety research including driver behavior, freeway operational safety, and infrastructure development.

Ridesharing has become popular over the last decade, bringing significant changes to residents’ travel patterns and city traffic. Relevant to the growth and impact of ridesharing activities in populous urban areas are the side effects, such as air pollution and traffic congestion. Despite a...

Digital technology policies beyond the traditional urban-rural dichotomy have become critical in economic and industrial integration. Few empirical studies examine the specific impact pathway of digital economy policy on urbanisation, especially urbanisation driven by the digital economy. This...

This paper proposes a novel way of pricing S&P500 index options in the presence of jump risk. Our analysis is built upon an equilibrium option pricing rule for a representative agent economy. In particular, we use the weighted utility's certainty equivalent to specify agent's risk preference,...

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies. We find that...

This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility. We find that several U.S. economic variables such as the dividend price ratio, dividend yield and industrial production strongly forecast the future monthly volatilities of...

We find that investor attention proxies proposed in the literature collectively have a common component that has significant power in predicting stock market risk premium, both in-sample and out-of-sample. This common component is well extracted by using partial least squares, scaled principal...

We propose an employee sentiment index, which complements investor sentiment and manager sentiment indices, and find that high employee sentiment predicts a subsequent low market return, significant both in- and out-of-sample. The predictability of the employee sentiment index can also deliver...