Nov 29, 2019
A couple of days ago, Rawley Heimer from Boston College visited our discipline and gave a seminar on research methods and journal publication insights for us PhD students. He’s an interesting guy and I was very impressed by a method he introduced to us - Specification Curve.
Motivation More offen than not, empirical researchers need to argue that their chosen model specification reigns. If not, they need to run a battery of tests on alternative specifications and report them.
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Nov 14, 2019
Most junior research students did not have any experience with data manipulation and analysis with SAS and the Wharton Research Data Services (WRDS), which motivates me about this tutorial series.
This post explains how to use those handy macros on WRDS when you use remote submission, following the previous one on how to encode your WRDS password and use remote submission to run your code on the WRDS cloud.
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Sep 6, 2019
A static site, like this one based on Hugo, cannot easily display site statistics. But there’s a solution. When the page is loaded on the client side, a Javascript pulls the relevant statistics from my server then render it to the page. The server runs a small Python program to contact Google Analytics API in order to get the statistics and return to the frontend. We can even use it to build a list of popular posts.
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Sep 5, 2019
Beta is a measure of market risk.
Unlevered Firm $u$ If a firm has no debt, it’s all equity-financed and thus its equity’s beta $\beta_{E}$ equals its asset’s beta $\beta_{A}$. This beta is also the unlevered beta, $\beta_{\text{unlevered}}$, since it’s unaffected by leverage. The unlevered beta measures the market risk exposure of the firm’s shareholders. Let’s call this firm $u$, Hence, we have:
\begin{equation} \beta_{\text{unlevered}}=\beta_E^u=\beta_A^u \end{equation}
This equality says that in an unlevered firm, the unlevered beta equals its equaity beta and its asset beta.
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Sep 4, 2019
你是否还在为迟迟无法减轻体重而苦恼？！
天天去健身房太累！绝食太幸苦！—— “我放弃……”
不！我们金融人要用金融的方法来解决问题！
这篇文章来介绍一下我和我老婆的最新协议，用期货来管理体重。
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Sep 2, 2019
Site Setup This site is powered by Hugo, served by Apache. I moved away from WordPress because it’s too heavy for a personal site. It’s also slow and I could not find a theme that suits the purpose of the site. So, eventually I’m with Hugo and using markdown for everything.
The setup is very simple:
Download Hugo from GitHub. Note that we need the extended version. $ wget https://github.
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Aug 31, 2019
This post briefly explains what’s the minimum variance hedge ratio and how to derive it in a cross hedge, where the asset to be hedged is not the same as underlying asset.
The Hedge Ratio $h$ The hedge ratio $h$ is the ratio of the size of the hedging position to the exposure of the asset to be hedged:
$N_A$: the units of asset held to be hedged ($A$), i.
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Aug 27, 2019
I made an online app that turns a picture into a LEGO mosaic, available at mingze-gao.com/legao.
A few weeks ago, I went to the new LEGO flagship store at Bondi with my fiancee, Sherry, and we were impressed by the LEGO Mosaics – Sydney Harbour Bridge and Opera House in sunset, designed by Ryan McNaught (photo credit: jaysbrickblog.com).
This mosaic is made of 62,300 bricks and took 282 hours to build.
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Aug 8, 2019
Below is the schedule of my tutorials, workshops and consulations, if any, for the current and past semesters since 2018.
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Aug 6, 2019
Many research papers on Chinese firms include a control variable that indicates if the firm is a state-owned enterprise (SOE). This is important as SOEs and non-SOEs differ in many aspects and may have “structural differences”. This post documents the way to construct this indicator variable from the CSMAR databases.
Specifically, we need the CSMAR China Listed Firms Shareholders - Controlling Shareholders dataset. On WRDS, this dataset is named hld_contrshr, located at /wrds/csmar/sasdata/hld.
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