China's model of managing the financial system

MK Brunnermeier, M Sockin… - The Review of Economic …, 2022 - academic.oup.com
China's economic model involves regular and intensive government interventions in
financial markets, while Western policymakers often refrain from substantial interventions …

The changing economics of knowledge production

S Abis, L Veldkamp - The Review of Financial Studies, 2024 - academic.oup.com
Big data technologies change the way in which data and labor combine to create
knowledge. Is this a modest innovation or a data revolution? Using hiring and wage data, we …

Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks

D Zhou, X Liu - Journal of International Financial Markets, Institutions …, 2023 - Elsevier
We provide a systematic framework for studying high-frequency risk connectedness among
world stock markets. Our framework, based on high-frequency realized volatility …

Where has all the data gone?

M Farboodi, A Matray, L Veldkamp… - The Review of …, 2022 - academic.oup.com
Since the finance industry is transforming into a data industry, measuring the quantity of data
investors have about various assets is important. Informed by a structural model, we develop …

Identifying price informativeness

E Dávila, C Parlatore - 2018 - nber.org
We show that outcomes (parameter estimates and R-squareds) of regressions of prices on
fundamentals allow us to recover exact measures of the ability of asset prices to aggregate …

Pricing of European currency options considering the dynamic information costs

W Dammak, SB Hamad, C de Peretti, H Eleuch - Global Finance Journal, 2023 - Elsevier
Dynamic costs arising from the variable impact of information on asset pricing present a
challenge for accurate European currency option pricing. The Garman and Kohlhagen …

Market turbulence and investor decision-making in currency option market

W Dammak, W Frikha, MN Souissi - The Journal of Economic Asymmetries, 2024 - Elsevier
This research delves into the effects of recent crises on investor behavior within the currency
options market, particularly focusing on the relationship with underlying exchange rates …

[图书][B] Choosing to disagree in financial markets

S Banerjee, J Davis, N Gondhi - 2019 - financetheory.org
The rational expectations paradigm restricts the subjective beliefs of investors to align with
the objective distribution. We relax this constraint and analyze how investors optimally …

Institutionalization, delegation, and asset prices

S Huang, Z Qiu, L Yang - Journal of Economic Theory, 2020 - Elsevier
We study the effects of institutionalization on fund manager compensation and asset prices.
Institutionalization raises the performance-sensitive component of the equilibrium contract …

Smirking in the energy market: Evidence from the Chinese crude oil options market

T Yue, LL Li, X Ruan, JE Zhang - International Review of Financial Analysis, 2024 - Elsevier
This study examines the implied volatility (IV) curve and its determinants in the newly
established Chinese crude oil options market. Given China's significant role as a crude oil …