積極進行研發的企業，會在國際股票市場上獲得更高的股票收益，這凸顯了無形投資在國際資產定價中的作用。此研發效應在增長期權風險更有可能作定價的國家較強，但與市場情緒和套利限制所代表的國家特徵無關。此外，我們發現研發強度與未來經營表現較佳、回報波動性和違約可能性息息相關。我們的證據顯示，研發強度與股票收益之間的橫向關係更可能歸因於風險溢價，而非錯誤定價。
10 Jun 2022
Journal of Financial and Quantitative Analysis
Academic & Professional Qualification
- Ph.D., University of South Carolina
Biography
Dr. Yan XU received his Ph.D. from the University of South Carolina in 2007. Yan joined The University of Hong Kong (HKU) as an Associate Professor of Finance in 2013. Prior to joining HKU, Yan had worked as a quantitative research analyst in State Street Global Advisors and had been an Assistant Professor of Finance in the University of Rhode Island from 2008 to 2013.
Yan’s main research interests are in international financial markets, empirical asset pricing, applied time-series analysis, financial development and economic growth. His research was published in academic journals such as Journal of Financial Economics, Review of Financial Studies, and Journal of Financial and Quantitative Analysis.
Currently Yan teaches Derivatives and International Financial Management at the undergraduate level. For more details of his research and teaching, please visit webpage: http://www.hkubs.hku.hk/~xuyan/
Research Interest
- International Financial Markets
- Empirical Asset Pricing
- Applied Time-Series Analysis
- Financial Development and Economic Growth
Selected Publications
- “Mispricing and Risk Premia in Currency Markets,”
(with Söhnke M. Bartram, Leslie Djuranovik, and Anthony Garratt), Journal of Financial and Quantitative Analysis, forthcoming. - “Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data,”
(with Xin Chen, Dan Yang, Yin Xia, Dong Wang, and Haipeng Shen), Journal of Econometrics, 232(2), February 2023, pp. 544-564. - “Corporate R&D and Stock Returns: International Evidence,”
(with Kewei Hou, Po-Hsuan Hsu, Shiheng Wang, and Akiko Watanabe), Journal of Financial and Quantitative Analysis, 57, June 2022, pp. 1377-1408. - “What Affects Innovation More: Policy or Policy Uncertainty?”
(with Utpal Bhattacharya, Po-Hsuan Hsu, and Xuan Tian), Journal of Financial and Quantitative Analysis, 52, Oct 2017, pp. 1869-1901. - “Improving Mean Variance Optimization through Sparse Hedging Restrictions,”
(with Shingo Goto), Journal of Financial and Quantitative Analysis, 50, Dec 2015, pp. 1415-1441. - “Financial Development and Innovation: Cross-Country Evidence,”
(with Po-Hsuan Hsu and Xuan Tian), Journal of Financial Economics, 112, April 2014, pp. 116-135. - “The Asset Growth Effect: Insights from International Equity Markets,”
(with Akiko Watanabe, Tong Yao, and Tong Yu), Journal of Financial Economics, 108, May 2013, pp. 529-563. - “Strategic Disclosure and Stock Returns: Theory and Evidence from US Cross-Listing,”
(with Shingo Goto and Masahiro Watanabe), Review of Financial Studies, 22, April 2009, pp. 1585-1620.
Recent Publications
10Jun