The behaviour of the distribution of stock returns is of fundamental importance in financial economics, in view of its direct bearing on the descriptive validity of any theoretical model. We analysed the behaviour of Japanese stock return distributions using the Pearson system of frequency...

The market portfolio is often used as a benchmark portfolio. Japanese equity market data however shows that the market portfolio is not efficient and furthermore not profitable. The empirical support for CAPM in the Japanese market is weak. Overall, Japanese investors experienced hard time,...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

This paper attempts to explain the distribution of actual stock index returns using a mixture of the normal distributions model. This paper first defines the concept of structural breaks and derives a special form of structural breaks under the normality framework. It then applies the derived...

Abstract: Purpose – Several major infrastructure projects in the Hong Kong Special Administrative Region (HKSAR) have been delivered by the build-operate-transfer (BOT) model since the 1960s. Although the benefits of using BOT have been reported abundantly in the contemporary literature, some...

The Australian Farm Forestry Financial Model (AFFFM) is a powerful tool for the financial appraisal of farm forestry options. The AFFFM originated from financial modelling work undertaken through the Rainforest CRC and CARE Ltd. It is a whole-farm financial model developed in modules using...

In today’s business environment it is difficult to obtain senior management approval forthe expenditure of valuable resources to “guarantee “that a potentially disastrous event will not occurthat could affect the organisation performance. Analysing potential risk and the allocation...

Contingent Convertible (CoCo) is a hybrid debt issued by banks with a specific feature forcing its conversion to equity in the event of the bank's financial distress. CoCo carries two major risks: the risk of default, which threatens any type of debt instrument, plus the exclusive risk of...

Earnings management is a globally used tool for long-term profitable enterprises and for the apparatus of reduction of bankruptcy risk in developed countries. This phenomenon belongs to the integral and fundamental part of their business finance. However, this has still been lax in emerging...