Commonly used asset pricing models do not successfully account for both time-series and cross-sectional variations of asset returns. In this article, we propose a new method for forming pricing factors that are intended to capture the time-series as well as the cross-sectional variations. The...

This study investigates the well-documented phenomenon of phase transition in financial markets using combined information from both return and volume changes within short time intervals. We suggest a new measure for the phase transition behaviour of markets, calculated as a return distribution...

An IV approach, using as instruments non-linear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the...

This book contends that the East Asian financial constitution lacks an appropriate infrastructure, resulting in inefficient allocation of high savings and an over-inflated short-term debt market. It goes on to point out that despite high savings, East Asia’s dependency on financial...

This book discusses the concept of sustainability valuation, a method in which corporate social responsibility (CSR) among other factors is embedded in the cash value of a given firm. It proposes a new, holistic way of representing sustainability in a theoretical framework, and discusses the...