NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Grace Xing Hu

University of Hong Kong
818 K.K.Leung
Hong Kong

E-Mail: gracexhu@hku.hk
Institutional Affiliation: University of Hong Kong

NBER Working Papers and Publications

May 2019Premium for Heightened Uncertainty: Solving the FOMC Puzzle
with Jun Pan, Jiang Wang, Haoxiang Zhu: w25817
The substantial stock market return prior to FOMC announcements without major increase in conventional measures of risk, as documented by Lucca and Moench (2015), presents a “puzzle” to the simple notion of risk-return trade off. We hypothesize that the arrival of macroeconomic news, with FOMC announcements leading the list, brings heightened uncertainty to the market as an additional source of risk. While this heightened uncertainty may not be accurately captured by common risk measures, its dissolution occurs mostly during a short time window prior to the announcement and brings a significant price appreciation, reflecting the risk premium associated with it. This hypothesis leads to two testable implications: First, we should see similar return patterns for other pre-scheduled macroecon...
February 2018Chinese Capital Market: An Empirical Overview
with Jun Pan, Jiang Wang: w24346
The Chinese capital market, despite its relative short history in its modern form, has experienced a tremendous growth and is now the second largest in the world. Due to China's tight capital controls, the development of its capital market has mostly been isolated from and hence not been well understood by the rest of the world. Yet, this state of isolation is bound to change substantially as China becomes more integrated into the global financial system. In this paper, we provide an empirical overview of the Chinese capital market: its historical development and main empirical characteristics.
August 2015Tri-Party Repo Pricing
with Jun Pan, Jiang Wang: w21502
In this paper, we examine the pricing determinants in the systemically important tri-party repo market. Taking advantage of the recently available N-MFP reports filed by money market funds, we construct a novel dataset that contains tri-party repo transactions between money market funds and dealer banks. We find a large cross-sectional heterogeneity in repo pricing, reflected most significantly in the haircuts of repos backed by equity and corporate bonds. Surprisingly, it is the fund families, not bank dealers, who are the dominant factor in determining the pricing. Moreover, the repo market exhibits significant segmentation, with fund families adopting three different pricing schemes: counter-party sensitive, counter-party and collateral sensitive, and uniform. Most fund families use ...
 
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