This paper develops a framework that distributes reductions in state aid based on underlying local fiscal health. Under this framework, the state gives smaller aid cuts to communities that are in worse underlying fiscal health and receive less existing aid. This framework therefore provides a...

In this paper, we propose a parametric model of implied variance which is a natural generalization of the SVI model. The model improves the SVI by allowing more flexibly the negative curvature in the tails which is justified both theoretically and empirically. The fitting of the model, comparing...

In recent years, over 60% of convertible bond issuers conduct concurrent transactions including share repurchases, call option purchases, warrant sales, seasoned equity offerings, and stock lending program initiations. We investigate the determinants of issuers' choice of concurrent transactions...

Existing empirical findings on the validity of catering theory of dividend policy are mixed at the aggregate-market level, while there is little cross-sectional evidence based on individual firms, which is necessary for studying investor preferences for dividend policy with greater resolution....

Based on information signaling theory, this paper empirically shows that distribution effect matters for idiosyncratic volatility discount. Idiosyncratic volatility discount arises primarily among stocks with non-cash distributions. Such stocks show a significant idiosyncratic volatility...

We propose a term structure function, a two-factor variance process and a return process to jointly price SPX and VIX derivatives. The distinctive feature of the variance model is that the factor coefficients are time-varying and they are bonded with the term structure of variance swaps. The...

Although reputation in general plays an effective role in social control in human communal life, this does not seem to work well in present-day China. This article discusses why “reputation as social control” malfunctions in Chinese society in view of the widespread reputation bankruptcy in...

In this paper, we study stationary states and mean first passage times (MFPT) of the square root process of Feller, the GARCH diffusion model. Asymptotic expansions of MFPT around the starting position and the boundary points of each process as well as the sensitivity analysis of FPT in a change...

Since the launch of Bitcoin in 2009, the spectacular rise and fall of cryptocurrencies and the underlying blockchain technology have attracted global attention. While the application of distributed ledger technology presents great economic and business potential, significant volatility and...

This paper develops new measures of environmental costs and local revenue capacity (that is, the ability of local governments to raise revenue), in order to form the basis of a new general-purpose aid formula for Massachusetts cities and towns. On the cost side, unlike previous studies, our...