Research

Publications

  1. What Drives Jumps in the Secured Overnight Financing Rate? Evidence from the Arbitrage-Free Nelson–Siegel Model with Jump Diffusion

    Dongjie (Oliver) Fang, Z. W. Ye, J. C. He, Shih-Kuei Lin

    Pacific-Basin Finance Journal, 86, 102392

    SSRN

  2. Valuation and Risk Management of Weather Derivatives: The Application of CME Rainfall Index Binary Contracts

    Shih-Kuei Lin, Ming-Che Chuang, Dongjie (Oliver) Fang

    NTU Management Review, 31(1), 117–153

Working Papers

  1. When Ample Reserves Are Priced: Evidence from Federal Funds Futures

    Zong-Wei Yeh, Dongjie (Oliver) Fang

  2. The Price of Weather: Unspanned ENSO Risk in Commodity Futures

    Zong-Wei Yeh, Dongjie (Oliver) Fang

  3. Economic Recessions, Financial Disclosure, and Market Response: Evidence from Form 10-K, 10-Q, and Earnings Call Transcripts

    Dongjie (Oliver) Fang, Hsing-Hua Chang, Shih-Kuei Lin, Carl R. Chen

    Presented at 2024 FMA, 2024 EFMA, 2024 SWFA, 2023 BAR Annual Conference, and 2022 TRIA-FeAT

    SSRN

  4. Language of Altruism: Funding Success and Default Risk in P2P Lending

    Dongjie (Oliver) Fang, Zong-Wei Yeh, Chien-Hsiu Lin, Shih-Kuei Lin

    R&R at Review of Quantitative Finance and Accounting

Works in Progress

  1. PEAD Decline and Dark Pool Transparency

  2. A Project on Labor and Finance

    with Meng Wang and Liuming Yang

  3. A Project on Corporate Finance

    with Meng Wang and Xinyan Yan