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The debt trap : wealth transfers and debt-equity choices of junk-grade firms
Kadapakkam, Palani-Rajan; Meisami, Alex; Wald, John K. - In: The financial review : the official publication of the … 51 (2016) 1, pp. 5-35
Persistent link: https://www.econbiz.de/10011436778
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Time series momentum and volatility scaling
Kim, Abby Y.; Tse, Yiuman; Wald, John K. - In: Journal of financial markets 30 (2016), pp. 103-124
Persistent link: https://www.econbiz.de/10011722256
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Do stock markets catch the flu?
McTier, Brian C.; Tse, Yiuman; Wald, John K. - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 3, pp. 979-1000
Persistent link: https://www.econbiz.de/10010201776
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Insured uncovered interest parity
Tse, Yiuman; Wald, John K. - In: Finance research letters 10 (2013) 4, pp. 175-183
Persistent link: https://www.econbiz.de/10010252345
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Research records for Chaired finance positions
Tse, Yiuman; Wald, John K. - In: Applied economics letters 27 (2020) 17, pp. 1442-1450
Persistent link: https://www.econbiz.de/10012313938
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Insured uncovered interest parity
Tse, Yiuman; Wald, John K. - In: Finance Research Letters 10 (2013) 4, pp. 175-183
The current literature suggests that uncovered interest parity (UIP) does not hold because of differences in risk in holding different currency denominated debt. We test whether this risk is related to sovereign credit risk in government bonds. We consider an insured uncovered interest parity...
Persistent link: https://www.econbiz.de/10010719852
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Do Stock Markets Catch the Flu?
McTier, Brian C.; Tse, Yiuman; Wald, John K. - In: Journal of Financial and Quantitative Analysis 48 (2013) 03, pp. 979-1000
Persistent link: https://www.econbiz.de/10011120613
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Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, a...
Tse, Yiuman; McTier, Brian C.; Wald, John K. - College of Business, University of Texas-San Antonio
Persistent link: https://www.econbiz.de/10005237031
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Time Series Momentum and Volatility Scaling
Kim, Abby - 2016
Moskowitz, Ooi, and Pedersen (2012) show that time series momentum delivers a large and significant alpha for a diversified portfolio of international futures contracts. We find that their results are largely driven by volatility-scaling returns (or the so-called risk parity approach to asset...
Persistent link: https://www.econbiz.de/10012990713
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Insured Uncovered Interest Parity
Tse, Yiuman - 2013
The current literature suggests that uncovered interest parity (UIP) does not hold because of differences in risk in holding different currency denominated debt. We test whether this risk is related to sovereign credit risk in government bonds. We consider an insured uncovered interest parity...
Persistent link: https://www.econbiz.de/10013080327