We examine the influence of Quantitative Easing (QE) on hedging effectiveness and performance (E&P) of international bond portfolios. During the QE period, the bond portfolios have significantly lower excess returns and variances, and their excess return and variance sensitivities are positive...

Information and component shares metrics are used to study the price discovery contributions of equity and credit default swap (CDS) markets for North American firms with intraday data. While the discovery metrics are generally not significantly different from 50% for each market, the CDS...

We formulate a Cournot-type market equilibrium model of simultaneous trading in the CDS and Loan CDS (LCDS) markets. We use novel formulations of two-market demand functions that include trading costs and margins. The equilibrium identifies a relation between premiums, elasticities and recovery...

We formulate a Cournot-type market equilibrium model of simultaneous trading in the CDS and Loan CDS (LCDS) markets. We use novel formulations of two-market demand functions that include trading costs and margins. The equilibrium identifies a relation between premiums, elasticities and recovery...

We examine the resilience of Chinese banks during the COVID-19 pandemic by investigating non-performance loan (NPL) ratios. We find that despite the reduction in the growth rate of total bank lending, bank NPL ratios significantly increase during the COVID-19 crisis. Banks with high-quality...

This study examines whether and how online investor-firm interactions reduce the incidence of corporate fraud. We find that more interactions and investors’ negative sentiment reduce the likelihood of committing fraud. This finding remains with the use of various identification and...