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AbstractThis paper studies how the Chinese stock market reacts to new COVID-19 infections under the zero-COVID policy. Consistent with the literature, we find that a COVID-19 outbreak within a city adversely affects the performance of local firms, but further unveils the effect’s nonlinearity. More importantly, we document an unexpected pattern of spatial spillover of the COVID-19 shock, which is...
Bike-sharing for integrated public transport systems (BIPTS) offers an effective solution to the first- and last-mile problems. However, most existing studies have used overly simplified single-catchment area methods to identify BIPTS demands, and the driving factors and mobility patterns of BIPTS commuting demands have remained unclear. To fill this gap, a comprehensive framework for analyzing BI...
In this article, we introduce a command, xtnpsreg, that implements a uniform nonparametric inference procedure for possibly unbalanced panel datasets with general forms of spatiotemporal dependence. We demonstrate how to apply this command via several examples, including 1) the nonparametric estimation of the conditional mean function and its marginal response, 2) the construction of uniform confi...
Previous studies have extensively confirmed that superstition profoundly influences a wide range of economically consequential decisions. However, the underlying mechanisms largely remain unexplored. Specifically, superstitions can affect either people's endogenous risk preferences or their subjective beliefs about uncertain events. Clarifying which of these two mechanisms is at work holds bot...
This paper studies social interaction models with both in-group and out-group effects. The ingroup effect follows the standard setup in the literature, while the out-group effect is introduced by assuming the economic outcome also depends on its out-group average value. We present a network game with limited information of outside groups that rationalizes the econometric model. We show that ...
This article proposes a uniform functional inference method for nonparametric regressions in a panel-data setting that features general unknown forms of spatio-temporal dependence. The method requires a long time span, but does not impose any restriction on the size of the cross section or the strength of spatial correlation. The uniform inference is justified via a new growing-dimensional Gaussia...
We investigate the pricing of tail risk in the cross-section of Chinese mutual fund returns using a sample of 2563 funds from 2007 to 2021. We document a strong and positive relationship between the time-varying tail risk beta and one-month-ahead mutual fund return, which is robust to various considerations. Specifically, the top tail risk quintile portfolio outperforms the bottom one by 1.85% per...
In this article, we introduce a new command, cspa, that implements the conditional superior predictive ability test developed in Li, Liao, and Quaedvlieg (2022, Review of Economic Studies 89: 843–875). With the conditional performance of predictive methods measured nonparametrically by the conditional expectation functions of their predictive losses, we test the null hypothesis that a benchmark mo...
Leading economic indicators assist in forecasting future business conditions. Can they also predict aggregate stock returns? To answer this question, we examine six decades of data from 39 countries. Short-term changes in the composite leading indicator (CLI) positively correlate with future stock returns in the cross-section. The quintile of markets with the highest CLI increase outperforms the q...
We show that China's real estate climate index (RECI) can be used to forecast the aggregate stock market return. It outperforms popular return predictors both in- and out-of-sample, especially at the monthly horizon. Additionally, RECI's predictive ability is stronger among stocks of small market capitalization and low momentum. For a typical mean-variance investor, RECI's predictive p...
We add to the emerging literature on empirical asset pricing in the Chinese stock market by building and analyzing a comprehensive set of return prediction factors using various machine learning algorithms. Contrasting previous studies for the US market, liquidity emerges as the most important predictor, leading us to closely examine the impact of transaction costs. The retail investors’ dominati...
The sustainable development of a modern equity market heavily relies on an effective IPO system that can properly reflect the underlying risk, demand, and supply in the IPO market. Recently, China has implemented an unprecedented IPO reform that transforms the previous approval-based IPO system to a registration-based one. Despite its importance, the impacts of the reform still remain unexplored. ...
