This paper employs a hybrid approach that combines an adapted version of Fama-MacBeth two-pass regression with Engle-Granger cointegration test to characterize the relationship between expected stock returns and systematic risks with diverse investment horizons. We find no evidence supporting a...

The purpose of this study is to examine and demonstrate the strategic investment decisions faced by Taiwan's chain and franchise store enterprise. We show that incorporating an abandonment option to strategic timing in a game-theoretic real option approach makes the approach more complete and...

Whether an investor should hold more risky assets in the long run is an issue of allocation. However, the comparison of performance between different investment horizons is not an allocation issue, but rather at timing issue. Therefore, we employ Markovian moving block bootstrap to examine the...

Under the model developed by Merton (1987), the idiosyncratic risk would be important to explain the expected stock return. We follow the approach of Daniel and Titman (1998), and use the risk measure developed by Jan and Wang (2012) to examine whether idiosyncratic risk can play an important...

This note remedies a risk measure, which was proposed by the work of Jan and Wang (2012). They used property of martingale to measure idiosyncratic risk, and illustrated that it is better than the measurements of variance and semivariance. However, their risk measure can¡¯t distinguish between...

This paper elucidates the importance of the information content of text information from public sources, including newspapers and corporate filings, has for credit market investors. We adopted news coverage and news tone to quantify text information from news articles. We captured the...

A simple asset pricing model is developed to take into account two important characteristics in global investments: market segmentation and noise trader risk. Our results show the removal of international investment barriers and cross-border listings have not led to a fully integrated...

We solve for an intertemporal portfolio-consumption choice problem under inflation. We assume that the nominal interest rate is observable while the expected inflation rate is not. The inclusion of the indexed bond in the investor's portfolio provides the investor an opportunity to perfectly...

This study investigates correlations between India’s bustling single stock futures (SSFs) and its peculiar Badla mechanism. Data from the world’s most active SSF market, the National Stock Exchange (NSE) of India, are used. The results indicated that both the Badla mechanism and the...