We examine the size and price-to-book effects in Chinese markets. We find strong evidence for the size effect but little evidence for the price-to-book effect. We further examine these effects in the context of the monetary policy of the People's Bank of China. We find that the size effect is...

We study premiums/discounts associated with ETFs using the Ornstein–Uhlenbeck process augmented with jumps. Our results confirm the high efficiency of the ETFs' arbitrage pricing mechanism. The median long-term mean premium of U.S. equity ETFs is zero. International equity ETFs and bond ETFs...

We develop a new volatility measure: the volatility implied by price changes in option contracts and their underlying. We refer to this as price-change implied volatility. We compare moneyness and maturity effects of price-change and implied volatilities, and their performance in delta hedging....

We use a regression model to test observed price changes with Greeks as regressors. Greeks are computed using implied volatility, price-change implied volatility and historical volatility. We find sufficient evidence to reject model Greeks as unbiased responses to underlying price as well as...

We evaluate the performance of delta, delta-gamma and delta-vega hedges on the S%P 500 futures options with a particular focus on importance of daily volatility updating and the use of price-change implied volatility. Our findings indicate that the hedging performance of Black's model improves...

This paper examines the role of education level in China's fast-growing peer-to-peer (P2P) lending market. The level of education, as part of a borrower's profile, is an important yet relatively neglected factor that can affect both the demand and supply of credit in an increasingly more...

Ten states and the District of Columbia prohibit the operation of payday loan stores, and thirty-one other states have imposed regulatory restraints on the controversial industry, ranging, for example, from caps on fees and loan amounts to the number of rollovers and renewals a borrower may...