2019-Peking University HSBC Business School(PHBS)

Asymmetric peer effects in capital structure dynamics

Using a semiparametric smooth-coefficient partial adjustment model, this study finds evidence for asymmetric peer effects on capital structure adjustment speeds between overlevered and underlevered firms

Hyun Joong Im

ARTICLE | Economics Letters |Vol. 176, 2019

Keywords: Peer effects, Capital structure, Speed of adjustment, Leverage dynamics

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Hyperbolic Normal Stochastic Volatility Model

For option pricing models and heavy‐tailed distributions, this study proposes a continuous‐time stochastic volatility model based on an arithmetic Brownian motion: a one‐parameter extension of the normal stochastic alpha‐beta‐rho (SABR) model

Jaehyuk Choi, chengru Liu, Byong Ki Seo

ARTICLE | Journal of Futures Markets |Vol. 39, 2019

Keywords: Bougerol’s identity, Johnson’s SU distribution, SABR model, Stochastic volatility

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Price discovery among SSE 50 Index-based spot, futures and options markets

This paper studies the contribution of newly launched SSE 50 Index‐based options and futures to price discovery

Kwangwon Ahn, Yingyao Bi, Sungbin Sohn

ARTICLE | Journal of Futures Markets |Vol. 39, 2019

Keywords: Chinese derivatives markets, Price discovery, Trading cost hypothesis

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Portfolio Manager Compensation in the U.S. Mutual Fund Industry

We study compensation contracts of individual portfolio managers using handcollected data of over 4,500 U S mutual funds

Linlin Ma, Yuehua Tang*, Juan-Pedro Gómez

ARTICLE | Journal of Finance |Vol. 74, 2019

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