Browsing by Author "Cao, Jie"

Now showing 1 - 3 of 3
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    Carbon Emissions, Mutual Fund Trading, and the Liquidity of Corporate Bonds
    (2021-07-08) Zhang, Weiming (Elaine); Cao, Jie; Li, Yi; Zhan, Xintong; Zhou, Linyu (Lucy); https://ror.org/02jjdwm75
    This paper investigates the effect of climate risks on corporate bond mutual funds’ trading activities and explores its mechanism. We find that investor flows negatively respond to mutual funds’ carbon exposure, leveraging the Paris Agreement as a shock. Such carbon-induced redemptions prompt mutual funds to sell bonds issued by high-carbon companies, especially the bonds held by funds with higher outflow-to-carbon sensitivity. We rule out the alternative hypothesis that a fundamental shift in funds’ investment preferences drives the reduction in high-carbon holdings. Moreover, we note a deterioration in the liquidity of high-carbon bonds, particularly those heavily owned by mutual funds.
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    The impact of developmental job experience on job performance: The importance of team context
    (John Wiley and Sons Inc, 2023-06-05) Cao, Jie; Hamori, Monika; Ministerio de Ciencia, Innovación y Universidades; Ministerio de Economía y Competitividad; European Regional Development Fund; https://ror.org/02jjdwm75
    Drawing on social resources theory,we examine the impact of developmental job experience (DJE) on employees' job performance and the role of the team context in this relationship. In a multisource,multiwave dataset of 354 employees working on 40 teams in seven Chinese companies,we find that DJE has a positive indirect relationship with job performance through increasing employees' information and support seeking. This positive indirect relationship is stronger for employees on teams with a high average DJE and low variance in DJE; it is significantly weaker for employees on teams with a low average DJE and a high variance in DJE. These results reveal that the work and team contexts play important roles in the relationship between DJE and employees' work outcomes. © 2023 The Authors. Human Resource Management published by Wiley Periodicals LLC.
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    Unlocking ESG Premium from Options
    (SSRN, 2023-03-24) Zhang, Weiming (Elaine); Cao, Jie ; Goyal, Amit; Zhan, Xintong (Eunice); https://ror.org/02jjdwm75
    We find that option expensiveness, measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the options market to hedge against ESG-related uncertainty. We estimate that this ESG premium is about 0.2% for 50 days. All three components of ESG contribute to option pricing. We find that investors pay the ESG premium to hedge against jump risks, but not volatility risks. The effect of ESG performance is more prominent during periods when attention to ESG is higher and for firms that are more subject to ESG-related risks.