PERSONAL PROFILE
Grace HU Xing is currently an associate professor at PBC School of Finance, Tsinghua University. Prior to joining PBC School of Finance, she was an assistant professor in Finance at the University of Hong Kong between 2011 and 2019. Grace received her Ph.D. in Economics from Princeton in 2011. She also holds a B.S. in Computer Science from the University of Science and Technology of China, and a M.S. from Northwestern University.
Grace’s research focus is on empirical asset pricing, in particular, liquidity, credit risk, and financial crises. Her work has been published in leading academic journals, such as Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and International Review of Finance.
EDUCATION
Ph.D. in Economics, Economics Department, Princeton University, Princeton, NJ 2011
M.A. in Economics, Economics Department, Princeton University, Princeton, NJ 2008
M.S. in Computer Science, Computer Science Department, Northwestern University, Evanston, IL 2004
B.S. Special Class for Gifted Young, University of Science and Technology of China 2002
RESEARCH INTERESTS
Chinese Capital Markets, Liquidity, Credit Risk, Information, Market Efficiency, Financial Crisis
ACADEMIC POSITIONS
Associate Professor, 2019/7 – current, PBC School of Finance, Tsinghua University
Assistant Professor, 2011/7 – 2019/6, Faculty of Economics and Finance, University of Hong Kong
RESEARCH
PUBLICATIONS
Noise as Information for Illiquidity, Journal of Finance, volume 68, pages 2223–2772, 2013 (with Jun Pan and Jiang Wang)
Early Peak Advantage? Efficient Price Discovery with Tiered Information Disclosure, Journal of Financial Economics, volume 126, pages 399-421,2017 (with Jun Pan and Jiang Wang)
Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (I), SIAM/ASA Journal on Uncertainty Quantification, volume 6, pages 34-60, 2018 (with Yong Zeng and David Kuipers)
Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (II), SIAM/ASA Journal on Uncertainty Quantification, volume 6, pages 61-86, 2018 (with Yong Zeng and David Kuipers)
Fama-French in China, Size and Value Factors in Chinese Stock Returns, International Review of Finance, volume 1, pages 3-44, 2019 (with Can Chen, Yuan Shao, and Jiang Wang)
Rollover Risk and Credit Spreads in the Financial Crisis of 2008, Journal of Finance and Data Science, volume 6, pages 1-15, 2020
Tri-party Repo Pricing, Journal of Financial and Quantitative Analysis, volume 56, pages 337-371, 2021 (with Jun Pan and Jiang Wang)
Chinese Capital Market: An Empirical Overview, Critical Finance Review, volume 10, pages 125-206, 2021 (with Jun Pan and Jiang Wang)
Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Return, Journal of Financial Economics, volume 145, pages 909-936, 2022 (with Jun Pan, Jiang Wang, and Haoxiang Zhu)
A Review of China’s Financial Markets, Annual Review of Financial Economics, Forthcoming, 2022 (with Jiang Wang)
WORKING PAPERS
Uncertainty Resolution Before Earnings Announcements, Working Paper, 2022 (with Chao Gao and Xiaoyan Zhang), First draft 2019, Current draft 2022, Conference presentations: MFA 2021, FMA 2021, CICF 2021, CMES 2021
WORKING IN PROGRESS
International Noise, 2021
Propensity of Fear: Measuring Market Anxiety, 2021
Co-movement and Volatility in Chinese Stock Mark, 2021
Spreads Trading and Illiquidity in the Commodity Market, 2021
Macroeconomic Announcements in China, 2022
Correlated Retail Trading in China, 2022
Has the Opening of the Bond Connect Improved Market Liquidity? 2022 (in Chinese)
CIP Violations in Off-Shore and On-Shore RMB, 2022 (in Chinese)
Firm Network and New Ventures in China, 2022 (in Chinese)
BOOKS
Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data, Stochastic Analysis, Stochastic Systems and Application to Finance, Edited by Allanus Tsoi, David Nualart and George Yin, World Scientific, Singapore, pages 133-162, 2011 (with David Kuipers and Yong Zeng)
Chinese Capital Market Yearbook, Economic Science Press, scheduled to be published in 2022 (in Chinese, with Jiang Wang)
Chinese Listed Company Survey, Economic Science Press, scheduled to be published in 2022 (in Chinese, with Liao Li and Bibo Liu)
OTHER CHINESE PUBLICATIONS
我国资本市场互联互通的历程、现状与展望, Tsinghua Finance Review, September 2021 (with Qi Zhiping and He Jia)
不确定性增加的溢价：解释宏观经济指数发布前的市场回报, Tsinghua Finance Review, December 2021
资本市场跨境互联模式比较—基于陆港通与沪伦通的案例分析, The Banker, volume 6, 2021 (with Qi Zhiping and He Jia)
陆港通、债券通 – 架起资本市场双向开放的桥梁, Tsinghua University PBCSF Case Center, case number 2021-2- 006 (with Qi Zhiping and He Jia)
保险+期货：农业生产的“保护伞”, Tsinghua University PBCSF Case Center, 2022 (working in progress, with Deng Ying and Dong Mingxin)
TEACHING
Advanced Microeconomics, 2019 – current, Ph.D., Tsinghua University
Continuous-Time in Finance, 2019 – current, Ph.D., Tsinghua University
Advanced Topics in Financial Economics, 2021, Ph.D., Tsinghua University
Risk Management, 2011 – 2018, Master of Finance, HKU
Advanced Option Pricing Models, 2014 – 2018, Master of Finance, HKU
Quantitative Risk Management, 2011 – 2014, Undergraduate, HKU
Summer Math Camp for Master in Finance Program, 2009, Master of Finance, Princeton University
RESEARCH GRANTS
Arbitrage Spreads and Aggregate Liquidity, Early Career Scheme of Hong Kong Research Grant Council, PI, competitive grant of HKD$456K, 2012 – 2014
Tri-party Repo Pricing, General Research Fund of Hong Kong Research Grant Council, PI, competitive grant of HKD $512K, 2014 – 2016
Supply Chain, News and Post-Earnings Announcement Drift, General Research Fund of Hong Kong Research Grant Council, co-PI, competitive grant of HKD $478K, 2017-2019
The Development and Reform of China’s Financial Markets, Tsinghua University ShuangGao Project, PI, competitive grant of RMB ¥1.2Million, 2021-2023
Seed Funding, University of Hong Kong, 2011
Seed Funding, Tsinghua University, 2022
PRESENTATIONS
Boston University; Central University of Finance and Economics; Cheung Kong Graduate School of Business; Chinese University of Hong Kong (Shenzhen); City University of Hong Kong; Fudan University; Hong Kong University of Science and Technology; Massachusetts Institute of Technology; McGill University; Monash University (scheduled); Ohio State University; PBC School of Finance; Peking University; Renmin University; Shanghai Jiaotong University; University of Hong Kong; Zhejiang University
American Finance Association Meetings; China Financial and Research Conference; China Meeting of the Econometric Society; China International Conference of Finance; Factor Symposium; Five Star Conference; Financial Management Association; Macquarie Global Quantitative Conference; Midwest Finance Association; Summer Institute of Finance; Volatility Institute at NYU Shanghai; Western Finance Association
PROFESSIONAL SERVICES
Journal referee: Journal of Finance; Review of Financial Studies; Management Science; Review of Finance; Journal of Empirical Finance; Journal of Financial and Quantitative Analysis; Journal of Banking and Finance; Annual Review of Financial Economics; Journal of Financial Markets; Journal of Money, Credit and Banking; Journal of Finance and Data Science
