Assessing models of individual equity option prices

Review of Quantitative Finance and Accounting - This study sheds light on risk exposures of cooperative banks in Austria, Germany and Italy. We investigate how major risk elements of banks in these...     

Are college education and job experience complements or substitutes? Evidence from hedge fund portfolio performance

Review of Quantitative Finance and Accounting - We examine, for various educational characteristics of hedge fund managers, the performance profile of hedge fund portfolios along their...     

The information content of option-implied volatility for credit default swap valuation

Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a low cost and effective protection against downside risk. This study investigates whether put option-implied volatility is an important determinant of CDS spreads. Using a large sample of firms with both CDS and options data, we find that individual firms’ put option-implied volatility dominates historical volatility in explaining the time-series variation in CDS spreads. To understand this result, we show that implied volatility is a more efficient forecast for future realized volatility than historical volatility. More importantly, the volatility risk premium embedded in option prices covaries with the CDS spread. These findings complement existing empirical evidence based on market-level data.     

SEASONED EQUITY ISSUERS’ R&D INVESTMENTS: SIGNALING OR OVEROPTIMISM

It is well known that investors often react negatively to the announcements of seasoned equity offerings (SEOs). We posit that issuers can use positive discretionary (higher than expected) R&D investments before the SEO to signal their investment prospects to mitigate the negative announcement effect. Alternatively, positive discretionary R&D may be attributed to managerial overoptimism about future returns of R&D investments. We find strong support for the signaling hypothesis among high‐tech issuers: investors respond more favorably to the SEO announcements of high‐tech issuers with positive discretionary R&D; these issuers are more likely to use new capital in future R&D and they produce better post‐SEO operating performance. In contrast, we find some evidence of managerial overoptimism among low‐tech issuers: investors tend to penalize low‐tech firms with positive discretionary R&D at SEO announcements; they are more likely to hold new capital as cash and they fail to produce better post‐SEO operating performance.     

对控制性详细规划编制若干问题的探讨——以某市滨水地段控规为例

在中国现行的城市规划体系框架中,各层次规划的主要作用都是为了控制和引导城市合理、有序地发展.在城市规划领域里,可以分配的最重要的社会资源是城市土地的开发权以及在城市土地使用关系上建立起来的各种城市空间关系,这使得控制性详细规划成为实施规划管理的核心内容和直接依据.文章对控制性详细规划编制中的"现状调查"、"区域分析"、"指标确定"以及控规中的城市设计等问题进行了一定的探讨,并引入实例,以期对当前控制性详细规划体制的进一步完善起到一定的促进作用.     

Migrate or not? The effects of regulation SHO on options trading activities

In this study, we investigate the effects of stock short-sale constraints on options trading by exploiting two US Securities and Exchange Commission rule changes under Regulation SHO: Rule 203 (locate and close-out requirements) and Rule 202T (temporary removal of short-sale price tests). We find that stock short selling activities decrease (increase) significantly after Rule 203 (Rule 202T) implementation, supporting the validity of Rule 203 (Rule 202T) as an exogenous increase (decrease) in short-sale constraints. Options volume increases significantly after Rule 203 went into effect and the result is more pronounced among firms with lower levels of institutional ownership and smaller options bid-ask spreads. Therefore, the evidence from Rule 203 suggests that investors may use options as substitutes for stock short sales when short selling is less feasible or more costly due to the locate and delivery requirements. In contrast, we find no significant change in the options trading volume of pilot stocks during the pilot program of Rule 202T. Overall, our results indicate that the impact of short-sale constraints on options trading varies with the types of constraints affected.     

环境机会主义、问责需求和环境审计

通过分析环境机会主义行为的产生和控制,认为环境机会主义行为的存在和污染容忍度的下降产生了环境问责需要,问责需求产生环境审计。收集环境投资、水环境治理和能源消耗数据,分析其与相关环境审计结果公告之间的关系,发现环境保护的投资问责驱动环境部门的预算执行审计,水环境污染及治理问责驱动水环境审计,节能减排的问责需求驱动节能减排审计,验证了环境审计由环境问责需求产生和变迁的理论构想。     

Economic policy uncertainty,CDS spreads,and CDS liquidity provision

Using a news-based index of economic policy uncertainty (EPU), we find that EPU is positively associated with credit default swap (CDS) spreads and negatively associated with the number of liquidity providers in the CDS market. A 10% increase in EPU leads to an 8.4% increase in CDS spreads and a 4.0% decrease in the number of liquidity providers. Furthermore, the effects of EPU are persistent and robust after controlling for macroeconomic variables. Our results are also robust to different econometric methodologies. Overall, our findings suggest that, when EPU is high, investors find credit protection more costly and difficult to purchase.     

基于多源全样本数据的深圳市过剩通勤空间特征研究

随着我国社会经济的快速发展,国内大型城市"职住分离"程度持续增大,深圳市作为一线城市,人口规模大,经济发展迅速,同样存在一定程度的"职住分离"状况,产生了通勤过剩现象.以深圳市为研究对象,运用线性规划模型和空间分析等方法对深圳市多源全样本人口数据进行分析,计算深圳市过剩通勤指标,分析深圳市过剩通勤空间特征.研究结果表明深圳市过剩通勤处于较高水平,但整体通勤消耗率中等,城市过剩通勤存在空间分异情况.本研究可服务于城市规划和城市交通规划,对评价和优化深圳市职住空间提供重要的参考,同时为深圳市改善城市交通问题、合理制定规划政策提供重要依据.     

THE ROLES OF INSTITUTIONAL INVESTORS IN THE FAILURE OF NEWLY PUBLIC STOCKS

In this article, we study two negative events that can happen to newly public stocks: (1) the price drops at least 50% from the closing price on the first trading date within one year after the initial public offering (IPO) (initial failure) and (2) the firm is delisted for negative reasons within three years after the IPO (final failure). We find that high investor sentiment at the time of IPO can lead to both initial failure and final failure of IPO firms, whereas monitoring by external professionals plays a more important role in averting final failure than initial failure. Exploring the roles of different types of institutional investors, we find that transient (i.e., short‐term trading) institutions sell before initial failure. In contrast, dedicated (i.e., monitoring) institutions focus on long‐term performance and may stay with stocks suffering temporary initial failure, but their selling typically signals the imminent final failure of newly public firms.