Shujing Wang

Tongji University

Associate Professor

Shanghai

China

SCHOLARLY PAPERS

12

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11

CROSSREF CITATIONS

11

Scholarly Papers (12)

The Profitability Premium: Macroeconomic Risks or Expectation Errors?

Financial Management Association (FMA) 2014 conference
Number of pages: 53 Posted: 12 Aug 2014 Last Revised: 05 Mar 2020
FY Eric C Lam, Shujing Wang and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Tongji University and Hong Kong Polytechnic University
Downloads 415 (96,511)
Citation 6

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Profitability premium, Macroeconomic Risks, Expectation errors, Investor sentiment

The Profitability Premium: Macroeconomic Risks or Expectation Errors?

Financial Management Association (FMA) 2014 conference
Number of pages: 53 Posted: 03 Feb 2016 Last Revised: 05 Mar 2020
FY Eric C Lam, Shujing Wang and K. C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Tongji University and Hong Kong University of Science & Technology (HKUST)
Downloads 112 (330,428)
Citation 2

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Profitability premium, Macroeconomic risks, Expectation errors, Investor sentiment

2.

Fundamental Anomalies

Number of pages: 56 Posted: 24 Feb 2021 Last Revised: 25 Jun 2021
Erica X. N. Li, Guoliang Ma, Shujing Wang and Cindy Yu
Cheung Kong Graduate School of Business, Iowa State University, Tongji University and Iowa State University
Downloads 252 (166,719)

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Q-Theory, Investment, Profitability, Momentum, BMCMC Estimation

3.

Corporate Payout Policy and Credit Risk: Evidence from CDS Markets

Forthcoming at Management Science
Number of pages: 46 Posted: 15 Sep 2017 Last Revised: 28 Sep 2020
Chengzhu Sun, Shujing Wang and Chu Zhang
The Hong Kong Polytechnic University, Tongji University and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 241 (173,346)

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Dividend announcements; Credit default swaps; Industrial firms; Financial firms; Troubled Asset Relief Program

4.

Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model

Number of pages: 47 Posted: 08 Jun 2017 Last Revised: 26 Jan 2018
Erica X. N. Li, Haitao Li, Shujing Wang and Cindy Yu
Cheung Kong Graduate School of Business, Cheung Kong Graduate School of Business, Tongji University and Iowa State University
Downloads 220 (189,009)
Citation 2

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DSGE model, Bayesian MCMC estimation, stock returns, neutral technology shock, investment-specific technology shock, monetary policy shock, risk shock

5.

Demand Shock, Speculative Beta, and Asset Prices: Evidence from the Shanghai-Hong Kong Stock Connect Program

PBCSF-NIFR Research Paper
Number of pages: 69 Posted: 01 Feb 2016 Last Revised: 27 Feb 2021
Clark Liu, Shujing Wang and K.C. John Wei
Tsinghua University - PBC School of Finance, Tongji University and Hong Kong Polytechnic University
Downloads 158 (252,992)
Citation 5

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Demand shock; Speculative beta; Heterogeneous beliefs; Short-sale constraints; Market liberalization

6.

Bank Loan Announcement Effects — Evidence from a Comprehensive 8-K Sample

PBCSF-NIFR Research Paper, Allied Social Sciences Association ASSA/AEA 2021 Poster
Number of pages: 72 Posted: 17 Dec 2019 Last Revised: 19 May 2022
Steven Wei Ho, Clark Liu and Shujing Wang
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Tsinghua University - PBC School of Finance and Tongji University
Downloads 144 (272,726)

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Bank Loan Announcement; Big Data; 8-K Filings; SEC Form 8-K Disclosure Rules; Dodd-Frank Act

7.

Dividend Policy in the Era of Big Data

Number of pages: 57 Posted: 02 Mar 2022 Last Revised: 04 Mar 2022
Clark Liu, Yancheng Qiu, Tao Shu and Shujing Wang
Tsinghua University - PBC School of Finance, Hong Kong University of Science & Technology (HKUST), The Chinese University of Hong Kong, Shenzhen and Tongji University
Downloads 129 (296,667)

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Alternative Data; Satellite Imagery Data; Dividend Policy, Outcome Model, Substitute Model, Signaling Model, Corporate Governance

8.

The Indirect Effects of Trading Restrictions

Number of pages: 47 Posted: 04 Mar 2019 Last Revised: 12 May 2022
Tongji University, DePaul University, Tong Ji University - School of Economics and Management and Tongji University
Downloads 119 (314,811)

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Margin; Short selling; Informativeness; Quasi-natural experiment; China.

9.

Heterogeneous Beliefs, Investor Holding Horizon and the Neoclassical Q-Theory of Investment

Number of pages: 35 Posted: 13 Aug 2012
Shujing Wang
Tongji University
Downloads 63 (461,738)

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Q-theory of investment, Investment-related asset pricing anomalies, Heterogeneous beliefs, Investor holding horizon

The Demand Effect of Yield-Chasing Retail Investors: Evidence from the Chinese Enterprise Bond Market

First Annual Volatility Institute at NYU Shanghai (VINS) Conference - 2015, PBCSF-NIFR Research Paper
Number of pages: 57 Posted: 14 Jun 2016 Last Revised: 29 Oct 2020
Tsinghua University - PBC School of Finance, Tongji University, Hong Kong Polytechnic University and Tong Ji University - School of Economics and Management
Downloads 37 (588,697)
Citation 3

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Enterprise bonds; Yield-chasing; Demand and supply effects; Limits to arbitrage; The law of one price

The Demand Effect of Yield-Chasing Retail Investors: Evidence from the Chinese Enterprise Bond Market

Journal of Empirical Finance, Vol. 50, 2019, First Annual Volatility Institute at NYU Shanghai (VINS) Conference - 2015
Number of pages: 57 Posted: 14 Jun 2016
Tsinghua University - PBC School of Finance, Tongji University, Hong Kong Polytechnic University and Tong Ji University - School of Economics and Management
Downloads 11 (786,645)
Citation 1

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Enterprise bonds; Yield-chasing; Demand and supply effects; Limits to arbitrage; The law of one price

11.

Investment, Idiosyncratic Risk, and Growth Options

Journal of Empirical Finance, Forthcoming
Number of pages: 51 Posted: 24 Feb 2021
Clark Liu and Shujing Wang
Tsinghua University - PBC School of Finance and Tongji University
Downloads 30 (615,454)

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Investment; Idiosyncratic Risk; Growth Options; Agency Problem; Managerial Risk Aversion

12.

What is the Real Relation between Cash Holdings and Stock Returns?

International Review of Economics and Finance 64 (2019) 513-528
Posted: 16 Mar 2013 Last Revised: 12 May 2022
Deakin University - Department of Finance, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), National Sun Yat-sen University, Tongji University and Hong Kong Polytechnic University

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Cash holdings; Accruals; Profitability; Net operating assets; Limits to arbitrage