This paper presents a new derivation of the Modigliani and Miller (1958, 1963, 1966) propositions using the simple model of capital market equilibrium with incomplete information presented in Merton (1987). The model is used to relate the maximization of stockholder expected utility to the...

This paper investigates the effects of opening and closing on transactions demand, volume, and volatility of options prices and their underlying assets. We use an extension of the models in Merton (1971) as in Brock and Kleidon (1992), who consider a similar issue with respect to equity markets....

This paper presents a simple model in which real exchange risk, the competition between firms in different markets and diversification gains affect corporate international investment. By accounting for the role of information, the model embodies different existing explanations based on economic...

This paper studies the effects of opening and closing on transactions demand, volume, volatility and the bid-ask spreads of options prices and their underlying assets. This question is studied in Brock and Kleidon (1992), Smith and Webb (1994), Hsieh and Kleidon (1996), Hong and Wang (2000),...

The main objective of this paper is to test for structural breaks and dynamic changes in emerging market volatility from January 1985 to January 2003. We typically relate these issues to stock market reforms since the latter is often considered as one of the most important forces that promote...

This study has been conducted to empirically examine the determinants of domestic credit to private sector (DCPS) in Pakistan over the period from 1980 to 2009. The relationship is determined using Johansen and Juselius's framework and NLS and ARM based error correction model to complete the...

This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk,...

This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in...

This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time,...

In this paper, using an original survey, we analyze the distributional impact of international migration across two regions of Algeria. A semi-parametric descriptive analysis is comple- mented with a parametric model. Remittances do not significantly change the Gini coefficient in nearly any of...