THE IMPACT OF A LARGE DEPRECIATION ON THE COST OF LIVING OF RICH AND POOR CONSUMERS
status: Published online
Drug pricing and transparency in Europe and the United States: what is it and how does it work?
INTRODUCTION: As drug prices are viewed to be opaque, there have been increasing societal demands on policy and decision makers to implement initiatives that promote drug price transparency. AREAS COVERED: This Perspective discusses what drug price transparency is and how it works in theory and in practice. EXPERT OPINION: Transparency on drug pric...
Do bitcoin shocks truly Cointegrate with financial and commodity markets?
This study examines the long-run relationships between Bitcoin and various financial and commodity markets. Utilizing a novel methodology termed the Implicit Asymmetric Combined Cointegration Test (IACC), an augmented variant of the Bayer Hanck combined cointegration method (BH), this research applies ten-minute frequency time series data to test a...
Valuing European tapestry: from riches to rags
status: published
Entry decisions and asymmetric competition between non-profit and for-profit homes in the long-term care market
status: published
Low liquidity beta anomaly in China
The conventional risk-based theory does not reconcile with the liquidity-beta anomaly in China: Low liquidity-beta stocks outperform high liquidity-beta stocks on a risk-adjusted basis. This striking pattern is robust to different weighting schemes, competing factor models, and other well-known return determinants in the cross section. We propose a...
Convertible bond valuation with regime switching ez
We present a valuation formula for convertible bonds with regime-switching market conditions by de-composing the convertible bond into a coupon-bearing bond and the American-type exchange option. A coupon-bearing bond component is modeled with a four-factor model: a two-factor affine model for the risk-free rate and a two-factor affine model with s...
The adverse consequences of global harvest and weather disruptions on economic activity
Published in Nature Climate Change
Extreme weather events such as heatwaves and droughts are likely to occur more often under climate change. Such events can have an indirect effect on countries through global agricultural markets and food prices; this impact is stronger for higher-income than lower-income countries.
Comment on (Un)pleasant ... by Bond et al (2020)
status: published
Perturbation analysis of sub/super hedging problems
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing therein. No-arbitrage conditions, either in this abstract setting or in the case of a market consisting of European Call options, give rise to duality properties of infinite...
