In this study, we adjust the hierarchical risk parity (HRP) model by introducing hierarchical information on assets to help manage portfolio risk. The adjusted HRP model with hierarchical information considers both correlation and hierarchical information. Compared with other models, the HRP...

This paper tests whether value-at-risk has a negative relationship with expected equity returns in China; specifically, we investigate left-tail return momentum. The findings reveal that left-tail momentum is significant during high economic policy uncertainty (EPU) periods. Moreover, when the...

This study applies machine learning models to explore the predictive power of ten categories of financial indicators in Chinese stock market. Meanwhile, we assess whether influential financial indicators cluster into specific categories that hold greater importance for stock return prediction....

AbstractThis paper examines the effect of national team intervention, a direct financial intervention in the Chinese stock market, on overinvestment among Chinese energy firms. We argue that the choice of the national team as an information release in the stock market can become a decision basis...

The absence of temporally consistent data on nonpoint source pollution has long hindered the efforts to quantify the environmental and economic impacts of intensive farming in China. We compile a unique satellite-derived panel dataset to investigate the impacts of cropland areas on the outbreak...

This study reports the migration of cesium-137( 137 Cs) into deep soil layers, and the 137 Cs transfer from soil to soybean in farmland under three tillage(no tillage, NT; rotary cultivation, RC; moldboard plow; MP) treatments and an undisturbed grassland(GL) at eight years after the Fukushima...

Using data from China’s listed firms, we examine the relation between foreign residency rights (FFRs) and corporate innovation. The empirical results show that FFRs decrease corporate innovation. We further find that FFRs hinder corporate innovation by raising the financing cost. Moreover, the...

This study investigates the impact of women directors on a firm’s sustainable growth rate. Using data from 2003 to 2017 for Chinese listed firms, we found a positive relationship between women directors and a sustainable growth rate. Our study also contributes to institutional theory by...

Order Flow Imbalance (OFI) can explain short-term changes in stock price. This paper considers the change of non-minimum quotation units, and proposes Generalized Order Flow Imbalance (GOFI) to explain the price change. Based on the limit order book snapshot data, we conduct an empirical...

This paper reveals that the rest-of-day (before the last 30 minutes to market close) return can significantly predict the last half-hour return in the Chinese SSE 50 exchange-traded fund market. Its predictive power is economically significant and will decay in the next three days. Moreover, it...