Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short‐term...

The COVID-19 pandemic placed many challenges to everyone in terms of wellbeing and economic activities. As for banking and finance, while many rely on re-calibration of probability of default models to adapt own portfolio to the latest reality, it is worthwhile to bring to reader's attention...

Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short-term...

We investigate the impact of information disclosed under SFAS 131 on idiosyncratic and total stock risk. For identification, we exploit an exogenous shock on volatility expectations. We are the first to show that international diversification alleviates the post-shock increase in idiosyncratic,...

In this paper, we investigate the determinants of household asset portfolios during the COVID-19 outbreak in China. Using an online longitudinal survey and focusing on a broad spectrum of assets, including stocks, gold, wealth management products, and houses, we show that more confirmed COVID-19...

Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of the managed futures strategy based on the momentum signal across different economic regimes, focusing on the COVID-19 pandemic period. COVID-19 had a solid but...