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Revisiting structural modeling of credit risk : evidence from the credit default swap (CDS) market

Huang, Zhijian; Luo, Yuchen - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-20

The ground-breaking Black-Scholes-Merton model has brought about a generation of derivative pricing models that have been successfully applied in the financial industry. It has been a long standing puzzle that the structural models of credit risk, as an application of the same modeling paradigm,...

Persistent link: https://www.econbiz.de/10011543979

The interaction between microblog sentiment and stock returns : an empirical examination

Deng, Shuyuan; Huang, Zhijian; Sinha, Atish P.; Huimin, Zhao - In: Management information systems : mis quarterly 42 (2018) 3, pp. 895-918

Persistent link: https://www.econbiz.de/10011919635

Asymmetric effects of monetary policy on firm scale in China : a quantile regression approach

Fang, Liting; He, Lerong; Huang, Zhigang - In: Emerging markets review 38 (2019), pp. 35-50

Persistent link: https://www.econbiz.de/10012312644

Structural models of corporate bond pricing : an empirical analysis

Eom, Young Ho (contributor); Helwege, Jean (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001522524

Structural models of corporate bond pricing : an empirical analysis

Eom, Young Ho (contributor); Helwege, Jean (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001786259

Structural models of corporate bond pricing : an empirical analysis

Eom, Young Ho; Helwege, Jean; Huang, Jing-Zhi - In: The review of financial studies 17 (2004) 2, pp. 499-544

Persistent link: https://www.econbiz.de/10002028065

Breadth of ownership and the cross-section of corporate bond returns

Huang, Jing-Zhi; Qin, Nan; Wang, Ying - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 5709-5730

Persistent link: https://www.econbiz.de/10015136133

How much of the corporate-treasury yield spread is due to credit risk?

Huang, Jing-Zhi; Huang, Ming - In: Review of asset pricing studies 2 (2012) 2, pp. 153-202

Persistent link: https://www.econbiz.de/10009705278

Determinants of S&P 500 index option returns

Cao, Charles Q.; Huang, Jing-Zhi - In: Review of derivatives research 10 (2007) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10003705840

Breadth of Ownership and the Cross-Section of Corporate Bond Returns

Huang, Jing-Zhi - 2020

We investigate the effects of short sale constraints on asset mispricing in the corporate bond market. Consistent with Miller (1977)'s theory that short sale constraints can lead to asset overpricing, we document a significant positive relation between changes in ownership breadth (a proxy for...

Persistent link: https://www.econbiz.de/10012852980