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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Working capital management and firm performance in China

PurposeThe purpose of this paper is to examine the relationship between working capital management (WCM) and firm

Ting Ren, Nan Liu, Hongyan Yang, Youzhi Xiao, Yijun Hu

ARTICAL | Asian Review of Accounting | Vol. 27 No. 4

Keywords: Profitability, Working capital management, Ownership, Institutional environment, Cash conversion cycle

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