Abstract：We examine the information asymmetry between local and nonlocal investors with a large dataset of stock message board postings. We document that abnormal relative postings of a firm, that is, unusual changes in the volume of postings from local versus nonlocal investors, capture locals' information advantage. This measure positively predicts firms' short-term stock returns as well a...

Jul 7, 2025

Abstract:The rapid growth of online network platforms generates large-scale network data and it poses great challenges for statistical analysis using the spatial autoregression (SAR) model. In this work, we develop a novel distributed estimation and statistical inference framework for the SAR model on a distributed system. We first propose a distributed network least squares approximation (DNLS...

Jul 4, 2025

Professors Xiaolei Liu and Yingguang Zhang from Peking University’s Guanghua School of Management have recently published a paper in the Review of Finance, a prestigious academic journal. Their coauthored work, titled CEO Turnover, Sequential Disclosure, and Stock Returns, offers novel insights into the impact of CEO changes on stock prices, a long-debated topic within the financial sector. Th...

Apr 24, 2025

In January 2025, Yu-Jane Liu and Juanjuan Meng from Peking University's Guanghua School of Management published a paper in the Review of Financial Studies titled Effects of Credit Expansions on Stock Market Booms and Busts. The research investigates whether credit expansions affect stock prices, a relationship less clear than the established link between mortgage credit and real estate prices. ...

Apr 21, 2025

Recently, Xiang Haotian, a young faculty member at Peking University’s Guanghua School of Management, published another significant paper in the prestigious international financial journal, the Journal of Financial Economics (JFE). The paper is titled Rules versus discretion in capital regulation. This marks his second publication in JFE within six months, following his previous paper, "Bank h...

Apr 10, 2025

Abstract:The rapid growth of online network platforms generates large-scale network data and it poses great challenges for statistical analysis using the spatial autoregression (SAR) model. In this work, we develop a novel distributed estimation and statistical inference framework for the SAR model on a distributed system. We first propose a distributed network least squares approximation (DNLS...

Mar 4, 2025

​The construction of a valuation system with Chinese characteristics is a crucial step towards enhancing the adaptability and pivotal role of the capital market and supporting the high-quality development of China's economy.

Nov 6, 2024

Do digital payment technologies generate liquidity premia like cash and Treasury? We provide an estimate in the context of the world’s largest digital payment platform, Alipay. Our empirical strategy exploits the variation in the timing of the introduction of money market funds that users on this platform can hold and use for digital transactions.

Nov 5, 2024

AbstractWe examine the impact of firm social media engagement on sales performance, answering“whether,” “what,”and“how”questions. The study uses a quasi-experimental design in a social e-commerce setting, for which propensity score matching and difference-in-differences methods quantify a mean 20.67% sales increase after firm social media adoption. We also find that firms that sell low-in...

Oct 16, 2024

How does a citizen’s decision to participate in political activism depend on the participation of others? We conduct a nationwide natural field experiment in collaboration with a major European party during a recent national election. In a party survey, we randomly provide canvassers with true information about the canvassing intentions of their peers.

Sep 20, 2024