Bio-E10 is short for the biofuel made up of 90% gasoline in volume and 10% bio-ethanol, which is the ethanol made from commercially-grown crops such as corn and wheat by the sugar fermentation process. In China, bio-E10 will be supplied nationwide from 2020 as an alternative to conventional...

We consider a system where the asset values of firms are correlated with the default thresholds. We first evaluate the probability of default of a single firm under the correlated assets assumptions. This extends Merton’s probability of default of a single firm under the independent asset...

This paper presents a structural model of default risk under macroeconomic conditions. The macroeconomic conditions are assumed to be a finite state of a Markov chain. The innovation of our model is to characterize the firm default, the default-free pure discount bond price, the defaultable bond...

We model contingent capital with market trigger under dual jump-diffusion processes in asset values and equity prices. Under the dual jump-diffusions, we show that the conversion ratio is no longer deterministic under the jump-diffusion. The conversion ratio becomes a stochastic process related...

In this paper, we study the optimal stopping time and the optimal stopping boundary for the perpetual Russian option under the diffusion process. The general continuation region is characterized by a function b(p; t) depending on both variables t and the maximum value of the stock and initial...

In this paper, we introduce the MSCI China A-shares index (MCASI) and analyze MCASI’s properties. From the perspective of index investment, we found that MCASI’s investor sentiments, both overnight sentiment and BW sentiment, provide significant predictability for future MCASI returns,...

In 2012, China implemented a green credit policy (GCP) that restricts bank credits to heavily polluting firms. This paper examines how the GCP affects the cash holdings of Chinese listed firms. Using a difference-in-differences research design, we find that GCP-affected firms increase their cash...

This paper constructs a simple model to reveal the trade-off between decentralized and centralized governance structure of large state-owned enterprises (SOEs) in China. Our model shows that the delegation of decision making authority to SOE managers would enhance their initiative in terms of...

Bio-E10 is short for the biofuel made up of 90% gasoline in volume and 10% bio-ethanol, which is the ethanol made from commercially-grown crops such as corn and wheat by the sugar fermentation process. In China, bio-E10 will be supplied nationwide from 2020 as an alternative to conventional...