It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...

International evidence on the accrual anomaly is sparse and conflicting. Testing for accrual mispricing in 28 equity markets, we provide statistical evidence for anomalous returns in some countries. However, we question whether this result might have occurred by chance alone and that it might...

We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that...

In this paper, we consider an investor who plays in a market that involves a risky asset whose instantaneous rate of return changes at unknown random times. This return rate is assumed to follow the law of a Compound Poisson Process. We construct optimal mathematical strategies in this context...

We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct...

Companies' investments in research and development (R&D) are usually associated with better growth opportunities incorporated in the firms' market valuation. This study focuses on the question how does the firms' market value attributable to R&D investments depend on the firms' ability to employ...

The goal of this paper is to assess, for the first time, the empirical impact of "Kaynes' beauty contest", or "higher order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and that heterogeneous expectation asset pricing models...

We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signal-ling hypothesis and, to some extent, the market cyclicality hypothesis...

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...

This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...