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Hang Cheng 程航
Associate Professor, Dongbei University of Finance and Economics | Postdoctoral Researcher in Finance, Shanghai University of Finance and Economics
Asset Pricing · Empirical Finance · China’s Stock Market
I study how liquidity, variance, investor sentiment, and policy frictions shape expected returns in China’s capital market. My work combines asset-pricing theory, market microstructure evidence, and reproducible empirical pipelines.
Last updated: 2026-05-24
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Core Links
Contact & CV
Email: [email protected]
CV.pdf
Research Identity
My research is centered on empirical asset pricing in China’s stock market. The recurring question is simple: when market frictions, policy intervention, and information arrival are measured carefully, what risks are actually priced?
Main Research Areas
- Conditional equity premium and multifactor asset pricing
- Liquidity, price impact, and intraday return predictability
- Volatility, variance forecasting, and market-wide risk
- Government intervention, investor sentiment, and policy transmission
Working Style
- Theory-guided empirical design
- Careful timing alignment and out-of-sample validation
- Transparent data pipelines, code, tables, and manuscript cross-checks
- Research systems that make literature, data, and writing reusable
Selected Publications
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Cheng, Hang, Yongdong Shi, and Tong Zhang, 2025, Unlocking the true price impact: Intraday liquidity and expected return in China’s stock market, Pacific-Basin Finance Journal 94, 102939.
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Cheng, Hang, Hui Guo, and Yongdong Shi, 2024, Multifactor Conditional Equity Premium Model: Evidence from China’s Stock Market, Journal of Banking & Finance, 107117.
Cheng et al-2024-Multifactor conditional equity premium model.pdf
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Cheng, Hang, and Yongdong Shi, 2020, Forecasting China’s stock market variance, Pacific-Basin Finance Journal 64, 101421.
Cheng and Shi 2020.pdf
Current Research Agenda
- Wang, Haomiao, Cheng, Hang, Hui Guo, and Yongdong Shi, 2021, Market Interventions and Investor Sentiment in China’s Stock Market
- Intraday & Overnight Stock Returns: decomposing when risk is revealed, absorbed, and priced.
- Government Intervention and Policy Frictions: understanding how policy signals, intervention, and local implementation affect financial outcomes.
- Research Infrastructure: building reusable data, code, and writing systems for empirical finance.
Teaching, Data, and Research Infrastructure
Teaching
Teach
Data
China’s Stock Market Return
Daily Research Digest
Tools
学术常用工具推荐
Service and Talks