Using 10-year option and future data of global market, the risk-neutral skewness, estimated by model-free method has been found with the ability of pricing the average cross-sectional return in the global commodity future market, generating extra 8.3% return annually. The higher (lower) current...

Chapter 1: Demystifying China’s Stock Market: The Hidden Logic behind the Puzzles -- Chapter 2: What Does History Tell Us? The Roots of China’s Modern Stock Market -- Chapter 3: A Government-Dominated Financial System -- Chapter 4: A Chinese style speculative market -- Chapter 5: The...

We investigate the impacts of fee structure on a typical on the fund manager's optimal selling price. The fee structure includes the self-investment ratio in the fund, management fee, incentive fee, and the high watermark. Based on the explicit solution of the optimal selling price, we find that...