When investigating the relationship between inward FDI and rural-urban inequality, previous studies overlook the inter-regional interactions. Building on the literature that highlights the significant role of rural-urban migration in inequality, this article investigates spatial spillover effect...

We formulate a stylized model that admits volatility ambiguity to the Lucas framework. The model specifies an economically motivated ambiguity penalty function that makes volatility ambiguity quantifiable with χ2-statistics, and allows for analytical solutions. The addition of volatility...

This paper develops an option pricing model that admits probability measure ambiguity. It formulates a piecewise risk-ambiguity-neutral probability density function and derives analytical pricing formula. Options and their underlying assets are exposed to different scopes of ambiguity that...

We examine shareholder activism in the recent split-share structure reform in China. This unique event allows us to avoid the deficiencies in determining activism proxies and in measuring their effectiveness that plague the previous literature. We find that the effectiveness of shareholder...

Using a set of structural models, we evaluate bond yield spreads and the price of default protection for a sample of US corporations. Theory predicts that if credit risk alone explains these two quantities, their magnitudes should be similar. Our findings concur with previous results that bond...

We provide a novel interpretation of shadow banking in China from the perspective of dual-track interest rate liberalization. Shadow banking leads to a Kaldor-Hicks improvement, if the gains from reducing the capital idleness and financing the more productive private enterprise (PE) outweigh the...

This paper constructs a two-stage sequential game model to investigate the spillover effect of inward FDI on improving the efficiency of domestic firms in host countries. Our model shows that, given the optimal joint-venture policy made by foreign firms, the impact of spillover effect of inward...

While much research on China has focused on rural to urban migration and transitions of rural households away from agriculture, little is known about the changes within the rural agricultural sector. Yet, the agricultural sector continues to account for a large share of employment. We study the...

We observe 180 upgrades, in contrast to two downgrades, among 657 Chinese banks during 2015-2017. Evidence shows that the upgrades were results of compromised rating standard rather than improvements to bank fundamentals. Investors reacted negatively to the upgrades, especially those granted by...

We examine REIT short sale transactions and show REITs are shorted less frequently than non-REITs. Results also show short sellers are less able to predict negative future returns for REITs, relative to non-REITs, which is consistent with increased pricing efficiency for REITs and suggests REIT...