This study investigates whether the MAX effect on the Korean stock market is more significant for overpriced stocks. Defining MAX as the maximum daily return for the previous month following Bali et al. (2011), we show that long low MAX and short high MAX strategies earn significantly positive...

Communications in connection with an initial public offering (IPO) are excluded from the safe harbor for forward-looking statements contained in the Private Securities Litigation Reform Act of 1995 (PSLRA). Not surprisingly, IPO issuers do not share projections publicly—the liability risk is...

How can we assess whether macro-prudential regulations are having their intended effects? If these regulations are optimal, their marginal benefit of addressing externalities should equal their marginal cost of distorting risk-sharing. These risk-sharing distortions will manifest as trading...

In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...

Treasury futures, important tools in interest risk management, need to maintain price equilibrium between different varieties. In this paper, we conduct research on ten-, five-, and two-year Treasury futures in China's futures market. The auto-regression model is used to fit and predict the spot...