This study aims to find the effect of financial risks, price risks and market risks on the Earning Response Coefficients （ERC） for China Commercial Banks. The research methodologies use the traditional cumulative ab...This study aims to find the effect of financial risks, price risks and market risks on the Earning Response Coefficients （ERC） for China Commercial Banks. The research methodologies use the traditional cumulative abnormal returns and the unexpected earning as the main dependent and independent variables. The evidences show that： （1） There is a strong returns-to-earnings relation for banks; （2） The liquidity risk has information content beyond earnings changes in the returns-to-earnings relation. This probably due to the reason that managers of banks find the level of liquidity that fulfilled the need of investors and at the same time earns good profits for the banks.展开更多
This study explores the relationship between socioeconomics and millinery style through an analysis of statistical data from the United States Bureau of Statistics. It was very common for women to wear hats in the ear...This study explores the relationship between socioeconomics and millinery style through an analysis of statistical data from the United States Bureau of Statistics. It was very common for women to wear hats in the early 20th century. Most studies regarding millinery are limited to a discussion of style, while some focus on extended functions of millinery styles such as how they aid in social communication. In this study, we discuss the relationship between a woman＇s socioeconomic status and her hat-wearing behavior. This study covers the period from 1900 through the 1960s, when there was a sudden decline in hat-wearing behavior. We analyzed the changes in the number of people listed in various occupational categories in the U.S. Bureau of Statistics data for each decade. Careful observation of labor distribution statistics for the job market can yield valuable insights about women＇s hat-wearing behaviors. Fluctuations in the population of the lower class were significantly correlated with changes in millinery. We also identified time-sensitive periods in millinery style that coincided with the two World Wars.展开更多
Abstract Option pricing problem plays an extremely important role in quantitative finance. In com- plete market, Black-Scholes-Merton theory has been central to the development of financial engineering as both discipl...Abstract Option pricing problem plays an extremely important role in quantitative finance. In com- plete market, Black-Scholes-Merton theory has been central to the development of financial engineering as both discipline and profession. However, in incomplete market, there are not any replicating port- folios for those options, and thus, the market traders cannot apply the law of one price for obtaining a unique solution. Fortunately, the authors can get a fair price via local-equilibrium principle. In this paper, the authors apply the stochastic control theory to price the exotic option-barrier options, and analyze the relationship between the price and the current positions. The authors get the explicit expression for the market price of the risk. The position effect plays a significant role in option pricing, because it can tell the trader how many and which direction to trade with the market in order to reach the local equilibrium with the market.展开更多
The skewness of the return distribution is one of the important features of the security price.In this paper,the authors try to explore the relationship between the skewness and the coefficient ofrisk premium.The coef...The skewness of the return distribution is one of the important features of the security price.In this paper,the authors try to explore the relationship between the skewness and the coefficient ofrisk premium.The coefficient of the risk premium is estimated by a GARCH-M model,and the robustmeasurement of skewness is calculated by Groeneveld-Meeden method.The empirical evidences forthe composite indexes from 33 securities markets in the world indicate that the risk compensationrequirement in the market where the return distribution is positively skewed is virtually zero,andthe risk compensation requirement is positive in a significant level in the market where the returndistribution is negative skewed.Moreover,the skewness is negatively correlated with the coefficient ofthe risk premium.展开更多
This paper studies incomplete stock market that includes discontinuous price processes. The discontinuity is modeled by very general point processes admitting only stochastic intensities. Prices are driven by jump-dif...This paper studies incomplete stock market that includes discontinuous price processes. The discontinuity is modeled by very general point processes admitting only stochastic intensities. Prices are driven by jump-diffusion uncertainty and have random but predictable jumps. The space of risk-neutral measures that are associated with the market is identified and related to fictitious completions. The construction of replicating portfolios is discussed, and convex duality methods are used to prove existence of optimal consumption and investment policies for a problem of utility maximization.展开更多
文摘This study aims to find the effect of financial risks, price risks and market risks on the Earning Response Coefficients （ERC） for China Commercial Banks. The research methodologies use the traditional cumulative abnormal returns and the unexpected earning as the main dependent and independent variables. The evidences show that： （1） There is a strong returns-to-earnings relation for banks; （2） The liquidity risk has information content beyond earnings changes in the returns-to-earnings relation. This probably due to the reason that managers of banks find the level of liquidity that fulfilled the need of investors and at the same time earns good profits for the banks.
文摘This study explores the relationship between socioeconomics and millinery style through an analysis of statistical data from the United States Bureau of Statistics. It was very common for women to wear hats in the early 20th century. Most studies regarding millinery are limited to a discussion of style, while some focus on extended functions of millinery styles such as how they aid in social communication. In this study, we discuss the relationship between a woman＇s socioeconomic status and her hat-wearing behavior. This study covers the period from 1900 through the 1960s, when there was a sudden decline in hat-wearing behavior. We analyzed the changes in the number of people listed in various occupational categories in the U.S. Bureau of Statistics data for each decade. Careful observation of labor distribution statistics for the job market can yield valuable insights about women＇s hat-wearing behaviors. Fluctuations in the population of the lower class were significantly correlated with changes in millinery. We also identified time-sensitive periods in millinery style that coincided with the two World Wars.
基金supported by the National Natural Science Foundation of China under Grant No.9732007CB814901
文摘Abstract Option pricing problem plays an extremely important role in quantitative finance. In com- plete market, Black-Scholes-Merton theory has been central to the development of financial engineering as both discipline and profession. However, in incomplete market, there are not any replicating port- folios for those options, and thus, the market traders cannot apply the law of one price for obtaining a unique solution. Fortunately, the authors can get a fair price via local-equilibrium principle. In this paper, the authors apply the stochastic control theory to price the exotic option-barrier options, and analyze the relationship between the price and the current positions. The authors get the explicit expression for the market price of the risk. The position effect plays a significant role in option pricing, because it can tell the trader how many and which direction to trade with the market in order to reach the local equilibrium with the market.
基金supported by China Natural Science Foundation (70701035, 70425004 and 70221001)Hunan Natural Science Foundation (09JJ1010)+1 种基金the Key Research Institute of PhilosophiesSocial Sciences in Hunan Universities
文摘The skewness of the return distribution is one of the important features of the security price.In this paper,the authors try to explore the relationship between the skewness and the coefficient ofrisk premium.The coefficient of the risk premium is estimated by a GARCH-M model,and the robustmeasurement of skewness is calculated by Groeneveld-Meeden method.The empirical evidences forthe composite indexes from 33 securities markets in the world indicate that the risk compensationrequirement in the market where the return distribution is positively skewed is virtually zero,andthe risk compensation requirement is positive in a significant level in the market where the returndistribution is negative skewed.Moreover,the skewness is negatively correlated with the coefficient ofthe risk premium.
基金This research is partially supported by NSF under DMI-9908294 and DMI-0196084.
文摘This paper studies incomplete stock market that includes discontinuous price processes. The discontinuity is modeled by very general point processes admitting only stochastic intensities. Prices are driven by jump-diffusion uncertainty and have random but predictable jumps. The space of risk-neutral measures that are associated with the market is identified and related to fictitious completions. The construction of replicating portfolios is discussed, and convex duality methods are used to prove existence of optimal consumption and investment policies for a problem of utility maximization.
