Browsing by Author "Lee, Jin-Ping"

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Pair-trading profitability and short-selling restriction: Evidence from the Taiwan stock market
(2018-05-01)
Wang, Jai-Jen
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Lee, Jin-Ping
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Zhao, Yang
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
This paper examines the profitability of a pair-trading strategy in the Taiwan stock market while considering alternative frequency-distance filters, thresholds for opening a pair trade relationship, reinvestment mechanisms, different lengths of trading period, industry boundary, and the short selling restriction. In contrast with the recent literature showing that pair-trading strategy returns are insignificant and negative in the Taiwan stock market, we find that the profitabilities of pair trades developed by positions in the Taiwan 50 Index during 1990/1-2016/3 present significant annualized mean returns of 1.84%-3.04%. Moreover, thresholds with different stringent degrees, industry boundary, and alternative reinvestment mechanisms are unable to help pick out more profitable pair-trading portfolios. The distance filter and shorter trading-day setting are more reliable for pair trading. Finally, the deregulation on short selling results in more pair-trading activities, which obviously diminish the profitability of a pair-trading strategy.
Valuation of insurers' contingent capital with counterparty risk and price endogeneity
(2013-12-01)
Lo, Chien-Ling
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Lee, Jin-Ping
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Yu, Min-Teh
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
This study develops a structural framework to value insurers' contingent capital with counterparty risk (CR) and overcomes the problem of price endogeneity (PE) in the valuation model. Our results on the focal contingent capital instrument - catastrophe equity put option (CatEPut) - indicate that prices can be significantly overestimated without considering CR and be significantly underestimated without considering PE. This study also examines how CatEPuts affect the buyer's probability of default (PD). Our results show that buying a CatEPut lowers the PD for high-risk insurers, but not necessarily so for low-risk insurers; however, without taking CR and PE into account, one may significantly overestimate the credit enhancement provided by the CatEPuts. (C) 2013 Elsevier B.V. All rights reserved.