Author
Junbo Wang
Other affiliations: Syracuse University, University of Arkansas
Bio: Junbo Wang is an academic researcher from City University of Hong Kong. The author has contributed to research in topics: Bond & Corporate bond. The author has an hindex of 16, co-authored 51 publications receiving 1367 citations. Previous affiliations of Junbo Wang include Syracuse University & University of Arkansas.
Topics: Bond, Corporate bond, Market liquidity, Liquidity crisis, Liquidity risk
Papers published on a yearly basis
Papers
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TL;DR: In this paper, the authors studied the underpricing and long-term performance of A- and B-share initial public offerings (IPOs) issued in China during the 1993-1998 period.
398 citations
TL;DR: In this article, the authors studied the pricing of liquidity risk in the cross section of corporate bonds for the period from January 1994 to March 2009 and found that the average return on bonds with high sensitivities to aggregate liquidity exceeds that for bonds with low sensitivities by about 4% annually.
359 citations
TL;DR: In this paper, the authors provide a comprehensive empirical analysis of the effects of liquidity and information risks on expected returns of Treasury bonds, focusing on the systematic liquidity risk of Pastor and Stambaugh as opposed to the traditional microstructure-based measures of liquidity.
Abstract: We provide a comprehensive empirical analysis of the effects of liquidity and information risks on expected returns of Treasury bonds. We focus on the systematic liquidity risk of Pastor and Stambaugh as opposed to the traditional microstructure-based measures of liquidity. Information risk is measured by the probability of information-based trading (PIN). We document a strong positive relation between expected Treasury returns and liquidity and information risks, controlling for the effects of other systematic risk factors and bond characteristics. This relation is robust to many empirical specifications and a wide variety of traditional liquidity and informed trading proxies. Copyright (c) 2009 The American Finance Association.
143 citations
TL;DR: This article examined the effects of liquidity, default, and personal taxes on the relative yields of Treasuries and municipals using a generalized model with liquidity risk and found that the effect of default and liquidity risk on municipal yields increase with maturity and credit risk.
Abstract: We examine the effects of liquidity, default and personal taxes on the relative yields of Treasuries and municipals using a generalized model with liquidity risk. The municipal yield model includes liquidity as a state factor. Using a unique transaction dataset, we estimate the liquidity risk of municipals and its effect on bond yields. Empirical evidence shows that municipal bond yields are strongly affected by all three factors. The effects of default and liquidity risk on municipal yields increase with maturity and credit risk. Liquidity premium accounts for about 9–13% of municipal yields for AAA bonds, 9–15% for AA/A bonds and 8–19% for BBB bonds. A substantial portion of the maturity spread between long- and short-maturity municipal bonds is attributed to the liquidity premium. Ignoring the liquidity risk effect thus results in a severe underestimation of municipal bond yields. Conditional on the effects of default and liquidity risk, we obtain implicit tax rates very close to the statutory tax rates of high-income individuals and institutional investors. Furthermore, these implicit income tax rates are quite stable across bonds of different maturities. Results show that including liquidity risk in the municipal bond pricing model helps explain the muni puzzle.
92 citations
TL;DR: In this article, the authors examined the pricing of volatility risk and idiosyncratic volatility in the cross-section of corporate bond returns for the period of 1994-2016 and found that bonds with high volatility betas have low expected returns, and this negative relation appears in all segments of corporate bonds.
76 citations
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TL;DR: In this paper, the authors provide a unified and comprehensive theory of structural time series models, including a detailed treatment of the Kalman filter for modeling economic and social time series, and address the special problems which the treatment of such series poses.
Abstract: In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.
4,252 citations
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TL;DR: In this article, the authors introduce the concept of ''search'' where a buyer wanting to get a better price, is forced to question sellers, and deal with various aspects of finding the necessary information.
Abstract: The author systematically examines one of the important issues of information — establishing the market price. He introduces the concept of «search» — where a buyer wanting to get a better price, is forced to question sellers. The article deals with various aspects of finding the necessary information.
3,790 citations
TL;DR: Li et al. as discussed by the authors found that firms with politically connected CEOs underperform those without politically connected CEO by almost 18% based on three-year post-IPO stock returns and have poorer 3-year earnings growth, sales growth, and change in returns on sales.
1,768 citations
01 Jan 2012
TL;DR: The influence of institutional investors on myopic R＆D investment behavior was discussed by Bushee as discussed by the authors, who claimed that institutional investors had a profound influence on investment behavior.
Abstract: 机构投资者作为证券市场中的重要力量,越来越受到理论界和实务界的关注。论文对宾夕法尼亚大学沃顿商学院会计学教授布赖恩-布希（Brian Bushee）的论文＂The influence of institutional investors on myopic R＆D investment behavior＂（机构投资者对企业短视研发投资行为的影响,以下简称Bushee（1998））进行评价并提出相关的建议和研究方向。
1,246 citations
TL;DR: In this article, the authors examined the illiquidity of corporate bonds and its asset-pricing implications using transactions data from 2003 to 2009, and showed that the amount of illiquidness in corporate bonds is substantial, significantly greater than what can be explained by bid-ask spreads.
Abstract: This paper examines the illiquidity of corporate bonds and its asset-pricing implications. Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is substantial, significantly greater than what can be explained by bid–ask spreads. We establish a strong link between bond illiquidity and bond prices. In aggregate, changes in market-level illiquidity explain a substantial part of the time variation in yield spreads of high-rated (AAA through A) bonds, overshadowing the credit risk component. In the cross-section, the bond-level illiquidity measure explains individual bond yield spreads with large economic significance.
860 citations