Qianying Zhang

The commercial real estate market provides a unique environment to evaluate the movement of transaction price to intrinsic value. Given the latent nature of intrinsic value, empirical assessment has been difficult. Long‐term use of both judgment (appraisal)‐ and transaction‐based values in real estate to provide tradable price and return benchmark allows testing of the intrinsic value to price relation. Based on NCREIF property return data from 1984 to 2019, we show that the transaction‐based index (TBI) and the appraisal‐based index (NPI) are cointegrated, and the error correction term forecasts TBI returns but not NPI returns. These results indicate that when short‐run deviation occurs, it is the TBI not the NPI that eventually converges back to the equilibrium state of the TBI–NPI system. Further tests reveal that the common trend of the TBI–NPI cointegrated system is associated with the income stream from commercial properties (a fundamental variable).

We revisit the link between interest rates and corporate bond credit spreads by applying Rigobon's (2003) unique heteroskedasticity-based identification methodology to their interconnected dynamics through a bivariate VAR system. This different approach allows us to account for simultaneity issues and use this framework to test the various possible explanations for the credit spread - interest rate relation that have been proposed by the literature over the years. We find that credit spreads do indeed respond negatively to interest rates, a result consistent with Merton's (1974) structural model. This negative relation is robust to macroeconomic shocks, market uncertainty, business cycles, different sample periods, bond callability, and bond ratings. We also find the magnitude of the negative relation to be larger for high-yield bonds than for investment-grade bonds, and are able to rule out the option-like feature of callable bonds proposed by Duffee ( 1998 ) as the main driver of the negative nature of the relationship. These results have important portfolio and risk management implications.

Based on asset pricing theory, we posit and find that equity markets and cryptocurrency markets share a common fundamental. Our cointegration tests show that the most important asset pricing primitive, consumption, can serve as the common fundamental. We further show that additional macroeconomic factors, as well as uncertainty and sentiment, all play a role in explaining the deviation from fundamentals. To understand the linkage between equity markets, cryptocurrency markets, and the macroeconomy, we suggest the following three channels: (i) portfolio allocation decisions, (ii) intermarket order flows, and (iii) technological adaption expectations

We explored the degree to which political bias in medicine and study authors could explain the stark variation in Hydroxychloroquine (HCQ)/Chloroquine (CQ) study favorability in the US compared to the rest of the world. COVID-19/SARS-CoV-2 preprint and published papers between January 1, 2020-July 26, 2020 with Hydroxychloroquine and/or Chloroquine; 267 met study criteria, 68 from the US. A control subset was selected. HCQ/CQ study result favorability (favorable, unfavorable, or neutral) was noted. First and last main authors of each US study were entered into Website, extracting any history of political party donation. Of all US studies (68 total), 39/68 (57.4%) were unfavorable, with only 7/68 (10.3%) of US studies yielding favorable results-compared to 199 non-US studies, 66/199 (33.2%) unfavorable, 69/199 (34.7%) favorable, and 64/199 (32.2%) neutral. Studies with at least one US main author were 20.4% (SE 0.053, < 0.05) more likely to report unfavorable results than non-US studies. US Studies with at least one main author donating to political party were 25.6% (SE 0.085, < 0.01) more likely to have unfavorable results. US studies with at least one author donating to the Democratic party were 20.4% (SE 0.045, < 0.05) more likely to have unfavorable results. US authors were more likely to publish studies with medically harmful conclusions than non-US authors. Cardiology-specific HCQ/CQ studies were 44.2% more likely to yield harmful conclusions ( < 0.01). Inaccurate propagation of HCQ/CQ cardiac adverse effects with individual scientific author political bias has contributed to unfavorable US HCQ/CQ publication patterns and political polarization of the medications.