This paper examines the impact of institutional ownership on the performance of private equity placements (PEPs) for listed firms in China. We find that the presence of institutional investors can alleviate the information asymmetries between listed firms and the market. The market reaction to...

This paper develops a frequentist model averaging approach for threshold model specifications. The resulting estimator is proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors. In particular, when com-bining estimators from threshold autoregressive...

We study the effects of both mandatory and voluntary trading suspensions on stock prices, volatility and trading volume in China’s stock market. It is found that both voluntary and mandatory suspensions generate negative abnormal returns. Trading volume and volatility rise significantly in the...

This paper investigates the ideological preferences of Chinese undergraduate students in relation to where they attend university. 101 survey responses are collected, and propensity score matching is used to filter the raw data. Regression results of ideological preferences on different...

Chong (1995) and Bai (1997) proposed a sample splitting method to estimate a multiple-break model. However, their studies focused on stationary time series models, where the identification of the first break depends on the magnitude and the duration of the break, and a testing procedure is...

In this paper, we apply threshold estimation techniques to study the size-performance relation in the US mutual fund industry. The existing studies have found diseconomies scale, and we add our contribution to this by considering possible non-linear decreasing returns to scale caused by fund age...

This paper measures the influence of venture capital (VC) on IPO valuations in China. It is found that the authentication effect is dominated by the grandstanding effect, suggesting that VC firms in China greatly value their reputations. It is also shown that the market-specific characteristics...

This study examines the empirical relationship between unusual trading volume and earnings surprises in China's A-share market. We provide evidence that an unusually low trading volume contains negative information about firm fundamentals. Moreover, unusual trading volumes could predict abnormal...

Launched in 2014, the Shanghai-Hong Kong Stock Connect (SHSC) is the first mutual access channel between the Chinese and Hong Kong equity markets. The scheme allows Hong Kong and international investors to purchase eligible Shanghai-listed shares, while at the same time permitting eligible...

This study employs correlation coefficients and the factor-augmented vector autoregressive (FAVAR) model to investigate the relationship between the stock market and investors’ sentiment measured by big data. The investors’ sentiment index is constructed from a pool of relative keyword...