On April 26, 1982, Moody's Investors Service refined its rating system for the first time in its seventy-three year rating history. We examine the information content of the rating refinement in the study. We find a statistically significant change in the yields on bonds whose ratings were...

In this paper we make a survey of market-indexed CDs and list 11 factors that must be taken into account in the design of market-indexed CDs. We extend the pricing model developed by Hernandez et al. (2011), which was a non-coupon paying market-indexed CD model, into a model in which the...

In this paper, we develop valuation models for market-indexed certificate of deposits (market-indexed CD) based on option pricing model. We show that the payoff of an uncapped market-indexed CD can be duplicated by the combination of a zero coupon bond and a call option on the index....

This study examines two channels through which Chinese government intervenes in business activities: direct intervention via government ownership and indirect intervention via strategic development plans in selected areas. The findings show that these interventions affect corporate policies...

Do credit risk transfers in general, and loan sales and securitizations in particular, by financial institutions enhance credit availability and financial stability? Or do they allow assets of poor credit quality to spread to unprotected investors, and thus create financial crises and destroy...

We investigate whether dividends convey information about the risk of a company by examining the reaction of implied volatility in the option market to the announcement of a dividend initiation. Implied volatility decreases after the announcement and the magnitude of the decline in volatility is...

In this paper we introduce a new financial product named Outperformance Certificates. We study the €43 billion sample by examining 1,507 issues of the certificates outstanding in August 2005 issued by banks in Europe. We present formulas to price the certificates and empirically examine the...