An analysis of default correlations and multiple defaults

Evaluating default correlations or the probabilities of defaultby more than one firm is an important task in credit analysis,derivatives pricing, and risk management. However, default correlationscannot be measured directly, multiple-default modeling is technicallydifficult, and most existing credit models cannot be appliedto analyze multiple defaults. This article develops a first-passage-timemodel, providing an analytical formula for calculating defaultcorrelations that is easily implemented and conveniently usedfor a variety of financial applications. The model also providesa theoretical justification for several empirical regularitiesin the credit risk literature.  

CEO turnover and bondholder wealth

We examine the impact of CEO turnover announcements on bondholder wealth, stockholder wealth, and overall firm value. Using publicly traded data for the period from 1973 to 2000, we find evidence consistent with both the wealth transfer and signaling hypotheses. Specifically, we find that CEO turnover events are associated with lower bondholder values, higher stockholder values, and that net changes in firm value are a function of turnover type (forced vs voluntary and outside vs inside firm replacements) and the riskiness of the firm’s debt (investment vs non-investment grade). Overall, the results contribute to the understanding of the effects of corporate governance mechanisms, of which CEO turnover is an extreme form, on bondholders.  

Optimal portfolio allocation with higher moments

We model the risky asset as driven by a pure jump process, with non-trivial and tractable higher moments. We compute the optimal portfolio strategy of an investor with CRRA utility and study the sensitivity of the investment in the risky asset to the higher moments, as well as the resulting wealth loss from ignoring higher moments. We find that ignoring higher moments can lead to significant overinvestment in risky securities, especially when volatility is high.   

公允价值会计与市场投资异象研究——来自中国上市公司的经验证据

以2007～2010年我国A股公司为样本,研究了上市公司在采用公允价值计量方式后是否会产生新的投资异象以及造成这种投资异象的影响因素。运用均值T检验和Wilcoxon符号等级检验,并采用Fama-French三因素模型对样本公司进行回归。研究发现,在控制了市场风险、规模风险和账面市值比风险之后,投资策略仍然可获得超常回报率,并且公允价值变动损益占净利润比重大(小)的组,超常回报率低(高)。套利风险、交易成本是公允价值变动损益对净利润的波动性风险造成的投资异象的影响因素。交易成本越大,套利风险越高,错误定价越不容易被消除,其超常回报率也越高。  

Health care regulation and the operating efficiency of hospitals: Evidence from Taiwan

Using data from the Annual Survey of Hospitals compiled by the Department of Health in Taiwan for years 1994 through 1997, we employed Data Envelopment Analysis (DEA) to evaluate the impact of a National Health Insurance (NHI) Program on the operating efficiency of district hospitals in Taiwan. We find that, on average, efficiency of district hospitals in Taiwan decreased following the implementation of the NHI Program. Our results are robust to the inclusion of control variables that have been shown to affect hospital operating performance in prior research, and alternative efficiency measurements.  

Bias of a Value-at-Risk estimator

We develop the analytical second-order bias of a Value-at-Risk estimator based on an ARCH(1) volatility specification when the parameters are estimated by the method of quasi maximum likelihood. We show that the bias results from two sources: assumption on the distribution of the standardized residuals and the parameter estimation error.