This is an Internet Appendix with additional tables for Zhang, Zhang, and Zhao (2022, available at https://ssrn.com/abstract=3519341). The abstract of the paper is as follows:Using a dataset on syndicated loan primary market pricing adjustments, we examine whether relationship banks’...

We estimate the term structure of cash flow risk and its price of risk for the most prominent equity anomalies, at different frequencies, by directly modeling the dividend growth series instead of relying on a VAR-residual approach. We find the term structure of cash flow risk to be upward...

This study rationalizes the negative HKD-USD interest rate (HIBOR-LIBOR) differentials observed after the US interest rate hike on December 17, 2015. Why do arbitragers not eliminate the differentials until parity? We first analyse two practical concerns that are typical from the perspective of...

In this study, I propose a consumption-based asset pricing model to capture the dynamic properties of term structures of bond and equity. I extend the long-run risks model by introducing a mean-reversion of dividend growth and external habit formation of a representative agent. The...

Does the yield curve’s ability to predict future output and recessions differ when interest rates and inflation are low, as was recently the case? We explore the issue using historical data going back to the 19th century for the US. This paper is similar in spirit to Ramey and Zubairy (2018),...

This study investigates the risk associated with the uncertainties in the central bank monetary policy targets in the context of short interest rate models. A class of models is proposed which admits two channels of interest rate risk. In a prototypical case, the short duration channel handles...

We examine the dynamic interconnection between sovereign credit and liquidity risks in ten euro area countries at the five year maturity with high-frequency data from MTS between January 2008 and December 2018 using the extension of the TVP-VAR connectedness approach of Antonakakis et al....

We propose an efficient way to interpolate implied volatilities in between market expirations while keeping local volatilities virtually constant in time for any strike relative to forward. The method never creates an arbitrage. If the input volatilities are not arbitrage-free, the method...

Credit Default Swap (CDS) spread is a realistic measure of credit risk. Changes in the spreads showcase changes in the underlying uncertainty or credit volatility regarding the credit risk, associated with the asset class. We use Multifractal Detrended Fluctuation Analysis (MF-DFA) to further...