July 6-9, 2023, Online and Onsite in Shanghai, China

Session Details

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Derivatives and Fixed Income Securities

Time:Saturday, July 8, 2023 8:00 - 9:45Location:Stream 4Session Chair:Jingzhi Huang, Pennsylvania State University Zoom:

A Factor Model for Stock Options

Turan Bali, Georgetown University

Jie Cao, The Hong Kong Polytechnic University

Fousseni Chabi-Yo, Isenberg School of Management

Linjia Song, Xiamen University

Xintong Zhan, Fudan University

 Presenter: Xintong Zhan, Fudan University

 Discussant: Zhan Shi, Tsinghua University

Asset Growth Anomaly of Corporate Bonds: A Decomposition Analysis

Fang Chen, University of New Haven

Yifei Li, University of Nevada Reno

Wenfeng Wu, Shanghai Jiao Tong University

Tong Yu, University of Cincinnati

 Presenter: Wenfeng Wu, Shanghai Jiao Tong University

 Discussant: Rui Zhong, University of Western Australia

Relative Basis: A Better Measure of the Convenience Yield

Ming Gu, Xiamen University

Wenjin Kang, Shanghai University of Finance and Economics

Dong Lou, London School of Economics

Ke Tang, Tsinghua University

 Presenter: Ming Gu, Xiamen University

 Discussant: Gurdip Bakshi, Temple University

The Persistent Response from Option Liquidity to GameStop Short Squeeze

Ruixin Yang, Rutgers University

Zhaodong Zhong, Rutgers University

 Presenter: Ruixin Yang, Rutgers University

 Discussant: Han Xiao, Pennsylvania State University

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