Corporate bond prices are known to be influenced by default and term structure risk in addition to non-default risks such as illiquidity. Putable corporate bonds allow investors to sell their holdings back to the issuer and may thus provide insurance against all of these risks. We first document...

At the end of 2019, the outbreak of the COVID-19 has a huge impact on China and the world economy, highlighting the vulnerability of the economy in the face of major shocks. The capability to resist pressure and risk of economic resilience can significantly improve the capability of the economy...

Enhanced-index-funds have attracted considerable attention from investors over the last decade, which aims at outperforming a benchmark index while maintaining a similar risk level. In this paper, we investigate an enhanced indexation methodology using Conditional Value-at-Risk (CVaR). In...

We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...

Information asymmetry between privately informed investors, interacting with public information transparency, significantly affects trading and learning behaviors, price formation, information revelation, and market efficiency. Private information asymmetry-induced strategic trading behaviors...