We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of 958 mature private equity funds spanning 24 years. Our methodology uses...

We develop a new methodology to estimate abnormal performance and risk exposure of nontraded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method...

We provide a new perspective on option and stock price behavior around 52-week highs and lows. We analyze whether option-implied volatilities (IVs) change when stock prices approach or break through their 52-week high or low. We also study the effects of highs and lows on a stock's beta and...

We study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option implied volatilities (IVs) on stock returns more than doubles around analyst-related events, indicating that a significant...

Purpose – The purpose of this paper is to take advantage of a natural experiment in Taiwan to test the effect of short-sales constraints on price dynamics. Design/methodology/approach – Since September 1998, short-selling is banned at a price below the close price of the previous trading...

A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin....

This paper introduces measures of volatility and jump risk that are based on individual stock options to explain credit spreads on corporate bonds. Implied volatilities of individual options are shown to contain useful information for credit spreads and improve on historical volatilities when...