万孝园

pubdate：2024-09-28views：5981

Research Area

  1. 实证资产定价

  2. 行为金融学

  3. 证券市场微观结构


Projects

  1. 国家自然科学基金委员会青年项目，《中国证券市场的T+1交易制度研究：基于隔夜与日内收益率的视角》，30万，72203142，2023.01至2025.12，主持人.

  2. 上海市科学技术委员会“科技创新行动”软科学一般项目，《科创板金融中介机构的市场化定价能力研究：特征事实、制约因素与政策建议》，10 万，22692113200，2022.03 至 2023.03，参与人.


Publications

  1. Wan, Xiaoyuan, 2024, Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?, Journal of Empirical Finance101476. 国际二类II

  2. Wan, Xiaoyuan,Zhang Jiachen, 2024, Systematic COVID risk, idiosyncratic COVID risk and stock returns, The North American Journal of Economics and Finance, 102004. SSCI Q1

  3. Deng, Mingmao, Zhiyuan Wang, and Xiaoyuan Wan (corresponding author), 2024, Left-tail momentum and right-tail reversal: Does trading attenuate or exacerbate the anomaly?, Applied Economics Letters 1-5. SSCI

  4. Wan, Xiaoyuan, Sichao Shen, and Jiachen Zhang, 2023, Do stock prices follow random walk over day and night?-–evidence from Chinese stock market, Applied Economics 1-4. 国际三类

  5. Wan, Xiaoyuan,Zhang Jiachen, 2022, The effect of relaxing daily price limit: Evidence from the ChiNext market of China,Economics Letters, 110509. 国际三类

  6. Wan, Xiaoyuan, 2020, The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market, Journal of Empirical Finance,55, 104-118. 国际二类II

  7.  Wan, Xiaoyuan, 2018, Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market. International Review of Economics & Finance, 53, 1-15. (Lead article) 国际三类

  8. 万孝园和杨朝军, 2018, 流动性黑洞研究述评. 系统管理学报, 27(4):637-643. CSSCI

  9. 万孝园, 杨朝军和吕大永, 2018, 低频流动性指标优劣评估——基于中国股票市场的实证分析. 预测, 37(2): 50-55. CSSCI

  10. 程昕, 杨朝军, 万孝园（通讯作者）, 2018, 机构投资者、信息透明度与股价波动. 投资研究, 37(6):55-77. CSSCI扩展

  11. 马征程,杨朝军,万孝园,周仕盈.财富水平和风险偏好——基于我国居民家庭的实证研究[J].投资研究, 2018,37(10):90-102. CSSCI扩展

  12. 吕大永和万孝园, 2017, 沪港通提高了沪市标的 “股价信息含量”了吗？投资研究, 36(10), 91-105. CSSCI扩展

  13. 万孝园和杨朝军, 2017, 流动性风险定价研究综述. 投资研究, 36(2), 101-110. CSSCI扩展

  14. 吕大永, 阮青松和万孝园, 2017, 沪港通对沪市标的股票价格发现速度影响的实证研究. 商业研究, (7), 34-43. CSSCI

  15. 万孝园和陈欣, 2016, 雾霾对中国股市收益的影响.投资研究, 35(1), 81-94. CSSCI扩展


Working Papers

  1. Wan Xiaoyuan, Zhang Jiachen, George J. Jiang, (When) is Beta Priced in China? Journal of International Money and  Finance (Under Review). 国际二类I

  2. Hu, Chunlong, Jiang, George,Wan, Xiaoyuan, Zhu, Dongming, Net Selling Propensity and Return Predictability: Evidence from the Chinese Stock Market.


Professional Services

担任以下期刊的审稿人：

1. Asia-Pacific Journal of Financial Studies

2. Economic analysis and policy

3. Emerging Markets Finance and Trade

4. Financial Innovation

5. International Journal of Finance and Economics

6. International Review of Economics and Finance

7. International Review of Financial Analysis

8. North American Journal of Economics and Finance