Continuous Volatility Gaps and Option Momentum
Prof. Qiang ZHANG
Assistant Professor of Marketing
School of Management and Economics
The Chinese University of Hong Kong, Shenzhen
Date: 11 December 2025 (Thursday)
Time: 11:00-12:30
Venue: E22-G004
Host: Prof. Susan REN, Associate Professor in Finance
Abstract
This paper examines the impact of immigrant entrepreneurship status and political clientelism on attracting attention from state legislators—key public resource providers. We investigate not only whether immigrant status and political constituency affect attention received from legislators but also the conditions under which nonimmigrant entrepreneurs are more likely to receive attention than immigrant entrepreneurs. To answer these questions, we conducted a field experiment with 6,734 state legislators across the US. Each legislator received an email with identical content from an entrepreneur asking for help with hiring. We randomized entrepreneurs’ immigrant status (1st or 3rd Generation American) and political constituency (inside or outside the legislator’s constituency). Thus, we randomly assigned legislators to one of the four groups in a 2×2 between-subjects design: (a) Arm 1: 3rd Generation American Inside Legislator Constituency, (b) Arm 2: 3rd Generation American Outside Legislator Constituency, (c) Arm 3: 1st Generation American Inside Legislator Constituency, (d) Arm 4: 1st Generation American Outside Legislator Constituency. Our results show that state legislators allocate their attention unequally: reply rates for immigrant entrepreneurs (1st Generation American) are substantially lower than for nonimmigrant entrepreneurs (3rd Generation American). Importantly, our findings suggest the role of political clientelism. Specifically, we find that the difference between legislator reply rates for immigrant and nonimmigrant entrepreneurs is higher within the legislators’ constituency but negligible outside it. The relative difference is larger for Republican legislators and smaller in states with more immigrant eligible voters.
Speaker
Prof. Associate Professor Quan Gan is with the University of Sydney Business School. His research interest includes asset pricing (derivative securities), behavioural finance, and the real estate market. In his early career, he worked in the IT sector in Silicon Valley (Santa Clara), California, and in the financial industry in Zurich.
All are welcome!
