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 ... 閱讀更多

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 ... 閱讀更多

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 ... 閱讀更多

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 ... 閱讀更多

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. ... 閱讀更多

權證通常比相應的期權價格更高. 表面上看這種情況似乎有違邏輯。然而，權證受到頻繁交易者的青睞，所以，除價格外，還有其他因素在發生作用。香港科大的張處與畢業於香港科大的李鋼考查並發現了一些顯著的非價格因素。 他們證明，權證的流動性高於期權。長期權證的短期回報高於其相應的期權。 這些論斷的依據是一項以香港恒生指數（HSI）為標的的權證與期權的研究。從交易量看，香港有著世界上最大的權證市場。在研究所涵蓋的2002-07這段時期，市場的每月成交額從70億港幣增加到3970億港幣。期權交易的增長步伐要溫和得多，從2002年的10.4億港幣增加到2007年的142億港幣。這已經扣除了權證價格較高的因素。 作者說：「權證的信用風險高於期權，所以在其他因素相等的情況下，權證的交易價格應該低於期權。但是我們發現 ... 閱讀更多