Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Zhipeng Yan"'
Publikováno v:
Applied Economics Letters. 28:255-259
We derive a dynamic price discovery measure by extending Lien's MIS model to a dynamic one with BEKK-GARCH model and analyse the price discovery process of China’s thermal coal future market. Futur...
Publikováno v:
Journal of Futures Markets. 40:1648-1664
In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of S&P 500 index futures. This result holds after controlling for the liquidity risk or for the
Publikováno v:
Journal of Behavioral Finance. 21:385-398
Using a new and direct measure of investor attention generated from the SEC’s EDGAR log files, we revisit the stock return predictability of call-put implied volatility spread through the lens of i...
Publikováno v:
SSRN Electronic Journal.
This paper studies the relation between immediate market response to corporate earnings announcements and subsequent stock price movement. By adapting an information signal model from Holthausen and Verrecchia (1988), we develop a new measure — the
Publikováno v:
Journal of Futures Markets. 38:478-492
Using a broad sample of earnings announcements, we show that the initial stock market's response substantially increases and the post†earnings announcement drift becomes much weaker in the presence of more active pre†earnings option trading
Publikováno v:
Journal of Banking & Finance. 119:105126
Using a broad sample of earnings announcements, we find a monotonic increase in the spread between call and put implied volatilities as it gets closer to the earnings announcement date. The steady build-up of volatility spread in the days leading up
Publikováno v:
Pacific-Basin Finance Journal. 36:166-184
By using a unique dataset of daily short covering volumes obtained from the Taiwan Stock Exchange, we first examine, in general, what drives daily short covering activity in the cross-section and its return predictability; we then investigate, in spe
Autor:
Zhipeng Yan, Gaobin Zhou
Publikováno v:
2018 4th International Conference on Information Management (ICIM).
To discourage the intense fluctuations of stock index futures, CFFEX repeatedly altered its futures policy in 2015. This paper investigates the effects of transaction costs on the market performance and price discovery function of stock index futures
Publikováno v:
Journal of Behavioral Finance. 16:267-277
This paper investigates investor inattention as a plausible explanation for market reaction to repurchase announcements. We use prior turnover as the proxy for investor attention to examine the difference in stock price performance between low-attent
Autor:
Shenghong Li, Zhipeng Yan
Publikováno v:
2017 4th International Conference on Industrial Economics System and Industrial Security Engineering (IEIS).
To discourage the intense fluctuations of stock index futures, CFFEX repeatedly altered futures policy and increased investors' transaction costs in 2015. With nonparametric tests, this paper compares the volume effect, volatility effect and price ef