Wenxi Jiang (Griffin)

 Home      CV      Teaching 

                Assistant Professor of Finance
                CUHK Business School
                The Chinese University of Hong Kong

               Contact Information 
                Room 1250, 12/F, Cheng Yu Tung Building 
                12 Chak Cheung Street, Shatin, N.T., Hong Kong
                Phone: +852 2603 6586
                Email: wenxijiang [at] baf.cuhk.edu.hk

Curriculum Vitae               

Research Interests  
Asset Pricing, Financial Institutions, 
Behavioral Finance


1. Daily Price Limits and Destructive Market Behavior (with Ting Chen, Zhenyu Gao, Jibao He, and Wei Xiong)2017, Accepted at the Journal of Econometrics
     - A non-technical summary on VoxChina
     - Columbia, CUHK, HKU, Maryland, Shenzhen Stock Exchange, Tsinghua PBC

    Daily price limit rules may induce large investors as a group to push stock prices to the upper price limit and then profit from selling these stocks on the next day. This unintended effect renders the daily price limits — a market stabilization scheme — counterproductive.

2. Trading for Status (with Harrison Hong, Na Wang, and Bin Zhao), Review of Financial Studies27.11 (2014): 3171-3212. Online Appendix 

3. Outsourcing Mutual Fund Management: Firm Boundaries, Incentives, and Performance (with Joseph Chen, Harrison Hong, and Jeffrey Kubik), Journal of Finance, 68.2 (2013): 523-558. Online Appendix

       - DATA on outsourced mutual funds are now updated to 2015 and available to download
       - Please read the NOTE before using the data 

Working Papers and Projects in Progress

1. Riding the Credit Boom (with Christopher Hansman, Harrison Hong, Jane Liu, Juanjuan Meng), 2018
    - Summer Institute of Finance, NBER Chinese Economy, CIFFP
    - Winner of "Paper of the Year" Award, China International Forum on Finance and Policy 2018 

    Unconstrained investors speculate on higher prices right before constrained investors access to margin.

2. Attention to Global Warming (with Darwin Choi and Zhenyu Gao), 2018, Online Appendix
    - 10th Annual Volatility Institute Conference at NYU, CICF 2018, ABFER, Helsinki Finance Summit 
    - CKGSB, PolyU HK, University of Melbourne, Renmin
    - In-princeple acceptance of Review of Financial Studies climate finance registered report, completion of the paper in progress 

3. The Whack-A-Mole Game: Tobin Taxes and Trading Frenzy (with Jinghan Cai, Jibao He, and Wei Xiong), 2017
    - HKUST Macro Workshop, Cavalcade Asia-Pacific 2017, HKU Law, CICF 2018
    A study of the Whack-a-Mole game in China: a large increase in the stamp tax in the stock market made trading frenzy migrate to the warrant market, which are not subject to the stamp tax.     

4. Growing Beyond Performance (with Mindy Zhang), 2017
   1st Annual Hong Kong-Shenzhen Summer Finance Conference, 6th Luxembourg Asset Management Summit

    In the lack of performance persistence, mutual fund companies attract more flows by hiring more marketing employees.    

5. A Liquidity-Based Stock Network (with Zhenyu Gao and Da Tian), 2016 
    - CICF 2017, HKU

Stocks are connected through common ownership of financial institutions. Firm shocks can be transmitted and amplified through these interconnections, aggregating into market level fluctuations. We formalize this intuition by estimating a parsimonious model using mutual fund holding data. The model allows us to quantify the aggregate outcome of propagation of firm level shocks through the network. Using earnings surprises as a proxy for firm shocks, we find that our model's aggregation is significantly correlated with the aggregate market return. Also, the network structure estimated by our model can predict subsequent volatility of aggregate market returns and forecast the volatility of and correlation between individual stocks' future returns.

    - EFA at Vienna 2015, AFA at San Francisco 2016, 8th Annual Conference on Hedge Fund Research at Paris

I test the hypothesis that the use of leverage by market speculators can increase the likelihood and magnitude of a crash in asset prices. Using a novel leverage measure derived from public filings, I find that stocks held by highly levered hedge funds subsequently have more negatively skewed returns than stocks held by less levered funds. This finding extends to the aggregate U.S. market index. I relate this effect to financial distress and find evidence that highly-levered funds are more likely to fire sell long positions when experiencing adverse economic events, including negative fundamental shocks to the assets they hold and funding liquidity shocks.  

8. When Some Investors Head for the Exit (with Harrison Hong), 2012
    - AFA at San Diego 2013, LBS Trans-Atlantic Doctoral Conference 2012