Historically, businesses with the largest cash flows and capital reserves were the biggest investors—but this is no longer the case. Economists have long struggled to explain why the relationship between corporate investment and cash flow has weakened and even disappeared in the last few decades. Thanks to the pioneering work of HKUST’s Chu Zhang and co ... 阅读更多

Firms return capital to their equity investors through their “payout policy.” In the case of “dividend payouts,” money is usually transferred to shareholders’ accounts at regular intervals. Despite the tax disadvantage, dividend payouts remain economically significant and resilient. However, we do not yet know how dividend payout raises and cuts affect ... 阅读更多

Counterparty credit risk (CCR) refers to the risk that a counterparty will not pay up as obligated in a contract. Under such circumstances, an economic loss would occur if the transaction with the counterparty has a positive economic value at the time of default. In recent years, counterparty credit risk has become a prominent risk for market participants ... 阅读更多

ESG, or Environmental, Social, and Governance, has become a hot topic recently. In this article I summarize what I have learned about environmental risks from various sources, and provide my thoughts on academic research focusing on green finance. These thoughts reflect my limited exposure to the subject. Environmental Risks Environmental disasters can ... 阅读更多

In this presentation, Prof Chu Zhang will explain in layman’s language a recently published research paper regarding Hong Kong’s derivative warrant market. The paper addresses the questions of whether counterparty risk is priced in derivatives in general. The research results show counterparty credit risk matters for derivative pricing. ... 阅读更多

权证通常比相应的期权价格更高. 表面上看这种情况似乎有违逻辑。然而，权证受到频繁交易者的青睐，所以，除价格外，还有其它因素在发生作用。香港科大的张处与毕业于香港科大的李钢考查并发现了一些显著的非价格因素。 他们证明，权证的流动性高于期权。长期权证的短期回报高于其相应的期权。 这些论断的依据是一项以香港恒生指数（HSI）为标的的权证与期权的研究。从交易量看，香港有着世界上最大的权证市场。在研究所涵盖的2002-07这段时期，市场的每月成交额从70亿港币增加到3970亿港币。期权交易的增长步伐要温和得多，从2002年的10.4亿港币增加到2007年的142亿港币。这已经扣除了权证价格较高的因素。 作者说：「权证的信用风险高于期权，所以在其他因素相等的情况下，权证的交易价格应该低于期权。但是我们发现 ... 阅读更多