This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for .all warrants and a...This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for .all warrants and across all maturities. The implied volatility has very little information content for future volatility in the Chinese warrant market which is dominated by retail investors. Possible explanations for the results are regulatory issues such as restrictions on the short-selling of warrants, differential trading rules for stocks and warrants, high leverage and low trading costs and a market dominated by retail investors.展开更多
This paper studies the effect of option trading on corporate investment and financing policies.Based on prior literature,I hypothesize that option market induces informed trading and thus reduces information asymmetry...This paper studies the effect of option trading on corporate investment and financing policies.Based on prior literature,I hypothesize that option market induces informed trading and thus reduces information asymmetry and the cost of capital.As a result,firms with high option trading have more investment and financing.Specifically,based on the United States public data,this paper finds that option trading volume increases corporate investment and financing,but reduces cash holdings and corporate payouts.These results are robust to the inclusion of industry or firm fixed effect,a control for endogenous options trading,and the use of alternative measures of option trading and corporate policies.The effect of option trading is stronger for firms with higher information asymmetry problems.Finally,this paper finds the results are inconsistent with the“quiet Life”hypothesis and the catering hypothesis.展开更多
引入条件风险价值(conditional value at risk,CVaR)作为市场风险的度量因子,建立了以最大化期望收益为目标的配电商多市场购电决策模型,分析了期权和可中断负荷(interruptible load,IL)对购电组合的影响。算例结果表明:期权和IL能有效...引入条件风险价值(conditional value at risk,CVaR)作为市场风险的度量因子,建立了以最大化期望收益为目标的配电商多市场购电决策模型,分析了期权和可中断负荷(interruptible load,IL)对购电组合的影响。算例结果表明:期权和IL能有效地降低配电商的购电损失,期权价格、IL补偿价格和配电商的风险厌恶态度对购电组合策略有显著影响,CVaR作为一致性的风险测量工具,可较好地应用于电力市场中的风险管理。展开更多
文摘This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for .all warrants and across all maturities. The implied volatility has very little information content for future volatility in the Chinese warrant market which is dominated by retail investors. Possible explanations for the results are regulatory issues such as restrictions on the short-selling of warrants, differential trading rules for stocks and warrants, high leverage and low trading costs and a market dominated by retail investors.
文摘This paper studies the effect of option trading on corporate investment and financing policies.Based on prior literature,I hypothesize that option market induces informed trading and thus reduces information asymmetry and the cost of capital.As a result,firms with high option trading have more investment and financing.Specifically,based on the United States public data,this paper finds that option trading volume increases corporate investment and financing,but reduces cash holdings and corporate payouts.These results are robust to the inclusion of industry or firm fixed effect,a control for endogenous options trading,and the use of alternative measures of option trading and corporate policies.The effect of option trading is stronger for firms with higher information asymmetry problems.Finally,this paper finds the results are inconsistent with the“quiet Life”hypothesis and the catering hypothesis.
文摘引入条件风险价值(conditional value at risk,CVaR)作为市场风险的度量因子,建立了以最大化期望收益为目标的配电商多市场购电决策模型,分析了期权和可中断负荷(interruptible load,IL)对购电组合的影响。算例结果表明:期权和IL能有效地降低配电商的购电损失,期权价格、IL补偿价格和配电商的风险厌恶态度对购电组合策略有显著影响,CVaR作为一致性的风险测量工具,可较好地应用于电力市场中的风险管理。
