Researches

Working paper

2023

1. In Progress

   Missing Data Adjustment in the Large-Dimensional Firm Characteristics with Asset Pricing Model

   Jiaxin Peng

   2023
2. In Progress

   A New Proxy of Net Issuance Effect on Expected Stock Returns

   Jiaxin Peng

   2023

2022

1. Working Paper

   Asset Pricing with Characteristic-Adjusted Managed Portfolios and Macroeconomic Variables

   Jiaxin Peng

   2022

   Abs

   This research modifies the Instrumented Principal Component Analysis (IPCA) of Kelly et al.(2019) by introducing a static version that utilizes a large-dimensional firm characteristic matrix to construct managed portfolio returns. The objective is to examine the relationship between characteristic-adjusted managed portfolios generated through IPCA and 126 macroeconomic variables. To evaluate this relationship, I employ the three-pass method developed by Giglio and Xiu (2020). The results highlight two significant macro factors, namely the Price Index and the Market factor. Additionally, when analyzing mimicking portfolios, it is observed that a majority of the significant macroeconomic variables are associated with Industry Production and Housing. Moreover, the results suggest that utilizing a rank transformation with a 0.5 shift leads to improved estimation accuracy compared to mean substitution.

2. Working Paper

   DuPont Decomposition with Asset Pricing Model

   Jiaxin Peng

   2022

   Abs

   This paper employs DuPont analysis to decompose the return on equity into five ratios: Tax Burden, Interest Burden, Margin, Turnover, and Leverage. The predictive performance on future stock returns is evaluated using portfolio analysis and Fama-MacBeth regressions. The findings indicate that none of the popular asset pricing models successfully explain the returns of long-short portfolios sorted by leverage. Interestingly, in the Fama-MacBeth regressions, tax burden and turnover emerge as the only variables capable of capturing the expected stock returns. When adding proxies of profitability, turnover is found to have a significant impact in the regressions with operating profitability, but not with other profitability proxies.

3. Job Market

   Earnings-to-Market Ratios, Long-Term Change in Earnings and Expected Stock Returns

   Jiaxin Peng

   2022

   Abs

   This paper examines value effects proxies, book-to-market ratio(BTM), retained earnings-to-market ratio(RTM), and contributed capital-to-market ratio(CTM) by dividing them into past five-year variables and compares the performance at five-year, one-year, and one-month intervals. The results reveal that RTM exhibits significance only without any time lags, whereas contributed capital growth emerges as the most significant factor when considering past information in the regressions. Meanwhile, shorter intervals of prior stock returns exhibit greater predictive power for future stock returns compared to longer-term prior returns. Moreover, enhancing the data updating frequency from annual to monthly intervals leads to incremental improvements in the significance of price-scaled variables.