Publications | Jiaxin Peng | Academic Portfolio

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Working Paper

3 entries

01
Earnings-to-market Ratios, Long-term Change in Earnings and Expected Stock Returns
Jiaxin Peng
2023Working Paper
Abstract
Decomposes book-to-market into contributed capital and retained earnings and shows that retained earnings predict stock returns over horizons from one month to five years.
02
Asset Pricing with Characteristic-adjusted Managed Portfolios and Macroeconomic Variables
Jiaxin Peng
2023Working Paper
Abstract
Extends IPCA with a three-pass estimator linking firm characteristics and 126 macroeconomic indicators, yielding better out-of-sample performance than standard factor models.
03
DuPont Decomposition with Asset Pricing Models
Jiaxin Peng
2023Working Paper
Abstract
Uses DuPont decomposition to uncover a leverage anomaly channel and reconciles conflicting empirical findings using portfolio sorts and Fama-MacBeth regressions.

Work in Progress

2 entries

01
An Unequal Haven: Long-Run Stratification and the Pandemic Buffer of the ACA Dependent Coverage Provision
Jiaxin Peng
2025Work in Progress
Abstract
Studies how long-run stratification and the ACA dependent coverage provision shaped household resilience to the COVID-19 pandemic.
02
Decomposing the Tangible Return: Retained Earnings, Contributed Capital, and the Illusion of Growth
Jiaxin Peng
2025Work in Progress
Abstract
Decomposes tangible stock returns into retained earnings and contributed capital to examine how accounting growth can mislead investors about fundamental performance.