This study theoretically and empirically investigates effects of product market competition on
credit risk. We first develop a real-options-based structural model in a homogeneous …

In this essay, we empirically test the Constant–Elasticity-of-Variance (CEV) option pricing
model by Cox (1975, 1996 ) and Cox and Ross (1976), and compare the performances of the …

This paper investigates the performance, fund characteristics, fund flow of green fund and the
impact of subprime mortgage crisis on fund flow volatility. In terms of fund performance, our …

The authors' empirical results indicate that default risk has some power to explain equity
returns on the Taiwanese stock market, but it does not contain other important price information …

As previous literature has documented cross-industry returns and tail risk predictability,
especially during a financial crisis, this research investigates the effects of industries' position …

This paper first reviews empirical evidence and estimation methods of structural credit risk
models. Next, an empirical investigation of the performance of default prediction under the …

The purpose of this paper is to examine whether industry-level risk affects corporate bond
yield spreads. We use three types of industry risk variables in our empirical analysis: distress …

This study investigates the convergence patterns and the rates of convergence of binomial
Greeks for the CRR model and several smooth price convergence models in the literature, …

In this paper, we use three structural models to investigate a country’s credit risk by applying
it to a sovereign balance sheet. The transformed-data maximum likelihood estimation …

Previous empirical studies indicate that informed investors can predict future index returns.
In emerging markets like Taiwan, previous research documents that only foreign institutional …