In this article, we extend the conditional ICAPM of De Santis and Gérard (1997,1998) using an asymmetric multivariate GARCH specification. The model is estimated, for the period March 1973-March 2003, simultaneously for 8 markets: the world market, 4 developed markets and 3 emerging markets....

With plentiful of evidence supporting the presence of non-linearity in stock returns series, coupled with theoretical and empirical works suggesting a potential loss in standard Johansen cointegration method if the underlying data generating process is non-linear in nature, this study...

The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the Black and Sholes formula (1973) and Cox and Ross (1976 a and b), has been formalized in a general framework by Harrison and Kreps (1979), Harrison and Pliska (1979) and Kreps...

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction...

Inertia in academia sometimes obstructs the development of important insights. That is one reason for the specially long gap separating Coase's seminal paper [1937] that laid the foundations of current Transaction Cost Economics (TCE) and the efforts of scholars to develop his ideas. But as TCE...

Transaction costs involved while trading several assets may be described using bid-ask spread of the asset prices. We assume that the prices of several assets may be linked, so that transactions involving several assets have prices that are not necessarily equal to the sums of (bid or ask)...

In its Conceptual Framework (CF), the Financial Accounting Standards Board (FASB) has not identified the observable phenomena and was not able to identify a single measurement property in financial accounting. While identifying aspects of the observable phenomena in financial accounting, the...

This paper presents a model of trust in which a principal chooses either to trust or monitor an agent who, in turn, chooses either to honor or exploit that trust. The principal's decision of whether to trust or monitor is based on the relative temptation an agent faces to exploit the principal's...

This paper examines the concepts of trust and trustworthiness in the context of a one-sided variation of the prisoner's dilemma, and it evaluates four different categories of solutions to the PD problem: changing player preferences, enforcing explicit contracts, establishing implicit contracts,...