A5100372767- Financial Markets and Investment Strategies
- Credit Risk and Financial Regulations
- Corporate Finance and Governance
- Banking stability, regulation, efficiency
- Stochastic processes and financial applications
- Housing Market and Economics
- Market Dynamics and Volatility
- Auditing, Earnings Management, Governance
- Monetary Policy and Economic Impact
- Financial Risk and Volatility Modeling
- Complex Systems and Time Series Analysis
- Stock Market Forecasting Methods
- Insurance and Financial Risk Management
- Financial Reporting and Valuation Research
- Economic theories and models
- Capital Investment and Risk Analysis
- Risk Management in Financial Firms
- Working Capital and Financial Performance
- COVID-19 Pandemic Impacts
- Auction Theory and Applications
- Financial Distress and Bankruptcy Prediction
- Islamic Finance and Banking Studies
- Local Government Finance and Decentralization
- Global Financial Crisis and Policies
- Fiscal Policy and Economic Growth
City University of Hong Kong
2013-2024
City University of Seattle
2005-2023
City University of Macau
2005-2023
Federal Reserve Bank of Boston
2022-2023
National Bureau of Economic Research
2020
Southern California Reproductive Center
2020
University of Southern California
2020
Shanghai University of Finance and Economics
2019
University at Buffalo, State University of New York
2019
Louisiana State University
2019
ABSTRACT We provide a comprehensive empirical analysis of the effects liquidity and information risks on expected returns Treasury bonds. focus systematic risk Pastor Stambaugh as opposed to traditional microstructure‐based measures liquidity. Information is measured by probability information‐based trading (PIN). document strong positive relation between risks, controlling for other factors bond characteristics. This robust many specifications wide variety informed proxies.
This paper investigates the relation between media coverage and offering yield spreads using a comprehensive dataset of 5,338 industrial bonds issued from 1990 to 2011. We find that is negatively associated with firms’ cost debt. association robust controlling for standard determinants, different model specifications, endogeneity. identify 4 economic channels through which influences debt: Information asymmetry, governance, liquidity, default risk. Importantly, has an independent influence...
This paper investigates whether marketwide liquidity is an important state variable for corporate bond pricing. We focus on the systematic risk of returns, as opposed to traditional microstructure-based measures liquidity. find that expected returns are significantly related cross-sectionally risk. The premium positive in bonds with higher sensitivity aggregate have returns. size economic significance. effect remains quite significant even after controlling effects other factors and...
This paper studies the pricing of liquidity risk in cross-section corporate bonds for period from January 1994 to March 2009. The average return on with high sensitivities aggregate exceeds that low by about 4 percent annually. positive relation between expected bond returns and beta is robust effects default term betas, level, other characteristics, as well different model specifications, test methodologies a variety measures. results suggest an important determinant returns.
This paper examines the contribution to price discovery by electronic and voice-based trading systems in U.S. Treasury market. Evidence shows that system has more automation increases speed of incorporating information into prices. However, human generates significant discovery, though its volume is low. The relative a depends on liquidity, volatility, volume, trade size, order imbalance. contributes when size large liquidity These findings provide important implications for design markets...