Wenxi Jiang (Griffin)
江 文 熙
Associate Professor of Finance
CUHK Business School
The Chinese University of Hong Kong
Research Interests
Financial Institution, Behavioral Finance, The Chinese Financial Market, Climate Finance
Email: wenxijiang [at] baf.cuhk.edu.hk
Recent Working Paper
with Zhenyu Gao, Wei A. Xiong, and Wei Xiong
- CICF 2023, Tsinghua CFRC
It's well known the absence of medium-term price momentum in the Chinese stock market
Daily returns, instead of monthly returns, display price momentum
Driven by the trading behaviors of new investors, which highlights the heterogeneity among retail investors
Daily price momentum is also present in several other emerging markets
with Jane Chen and Mindy Xiaolan
- AFA 2023, Cavalcade NA 2023, ABFER 2023, Tsinghua CFRC
- Revise & Resubmit, Journal of Financial Economics
On fund companies' strategic decision of marketing efforts
Despite of the lack of performance persistence, some funds exhibit persistent marketing
Funds with perisistent marketing perform better
Provides a framework based on costly learning and signaling to reconcile the empirical facts
with Darwin Choi, Zhenyu Gao, and Hulai Zhang
- Previously titled "Global Carbon Divestment and Firm Actions"
- Best Paper Award, CICF 2021
Carbon-intensive firms exhibit lower valuation than clean firms worldwide in recent years (see the average PB ratio on the right)
Such price gap is associated with subsequently lower CO2 emission and more green patents from emission firms
Using the occurrence of local natural disasters as the IV and providing evidence for causal intepretation
Average PB of Emission and Clean Firms
(26 global markets)
with Shiyang Huang, Xiaoxi Liu, and Xin Liu
- Revise & Resubmit, Review of Financial Studies
Funds holding illiquid corporate bonds use Treasuries to buffer outflow shocks
Making Treasury prices sensitive to fund flow shcoks and more fragile in downside markets
The figure on the left shows that Treasuries held more by bond funds experienced larger price declines during the COVID-19 pandemic in March 2020
with Siyuan Wu and Chen Yao
The rise of indexing has fundementally changed the interday dynamics of trading and pricing
The U-shaped intraday patterns of stock liquidity and volume disappear in recent years
e.g., bid-ask spreads increase preceding market close in 1993 but decrease in 2017
Informed traders (e.g., short sellers) migrate to the close but price informativeness decreses preceding the market close
Causal evidence established by exploiting reconstitution events of the S&P500 and between Russell 1000/2000 indexes
The better liquidity but noisier prices right before the close encourage long-term information acquisition
in Marlene Amstad, Guofeng Sun and Wei Xiong (Eds): The Handbook of China's Financial System, Princeton University Press
An overview of the fast-growing mutual fund and private fund market in China
Introduction of the available databases for academic research