Accurate company valuation is the starting point of value investing and corporate decisions. This paper proposes a statistical factor model to generate company valuation comparison across a large universe. The model scales the market value of a company by its book capital to generate a...

We study the mandated introduction of an auction (and its subsequent supervision) for the pri-mary bond market in China. These regulatory interventions significantly reduce the cost of debt for Chinese issuers. While this reduction is partly driven by reduced information asymmetry, we show the...

Employing an event-study approach, we examine stock markets’ reaction to the enactment of the ESG (Environmental, Social and Governance) Disclosure Simplification Act of 2021 by the United States House of Representatives. The Act mandates disclosure of standardized ESG metrics among American...

Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness, and whether the connectedness measures behave differently for countries with SARS 2003 experience. We find that both stock return and volatility connectedness increase across the...

In response to the global concern of the Evergrande debt crisis, we document several findings of the crisis’s contagion effect. First, although most real estate companies have strong financial fundamentals, the high default risk among large firms sends an alarming signal. Second, the spillover...

This paper examines whether “rating shopping” plays a role in rating inflation by employing a set of uniquely indicative rating data from a leading credit rating agency in China. In line with rating shopping, issuers selectively choose and publish the most favourable rating. This phenomenon...

We investigate the intra-industry spill-over effect of bond defaults on the price of stocks, outstanding bonds and new bond issuances in China, the largest emerging debt market. We use a sample of A-shares and public corporate debt securities from 2006 to 2018. In the stock market, we find...

Hedging creates value only when the policy is near optimal but can be harmful otherwise. This paper takes the US airline industry as an example and derives the optimal fuel cost hedging ratio as a function of firm-specific revenue and cost sensitivities, as well as the relative composition of...