A class of stochastic volatility models and the q-optimal martingale measure

This paper proposes an approach under which the q-optimal martingale measure, for the case where continuous processes describe the evolution of the asset price and its stochastic volatility, exists for all finite time horizons. More precisely, it is assumed that while the ‘mean–variance trade-off process’ is uniformly bounded, the volatility and asset are imperfectly correlated. As a result, under some regularity conditions for the parameters of the corresponding Cauchy problem, one obtains that the qth moment of the corresponding Radon–Nikodym derivative does not explode in finite time.     

交易纪律和私有信息对机构投资者超额报酬的影响

依据台湾股指期权成交档、委托档和持仓档等日内数据,参考Fishe and Smith (2012)方法识别出获得超额报酬的外资和本土机构投资者,对应的比例分别为50.6％和44.9％.考量获得超额报酬的来源,结果发现:外资和本土投资者确实拥有私有信息;交易纪律对机构投资者的绩效有显著的影响,外资和本土机构投资者中分别有78.3％和69.6％的超额报酬得益于交易纪律;交易纪律和投资者的信息优势存在交叉效应的影响.     

The effect of oil price uncertainty on corporate investment in the presence of growth options: Evidence from listed companies in China (1998–2019)

We empirically investigate the effect of oil price uncertainty on corporate investment in the presence of growth options using the financial data of listed firms in China from 1998 to 2019. We reveal three key findings in this paper. First, we find that oil price uncertainty has a U-shaped nonlinear effect on corporate investment. In periods of low uncertainty, oil price uncertainty negatively influences corporate investment. However, in periods of high uncertainty, oil price uncertainty positively influences corporate investment. Second, research has found that the U-shaped nonlinear effect is moderated by the irreversibility and growth opportunities of investment decisions. Third, further analyses reveal that this U-shaped nonlinear effect can be changed by a firm’s characteristics. Specifically, this nonlinear effect can only be observed in non-state-owned enterprises and small firms. We test the robustness of our findings and propose several policy suggestions.