Economic arguments in support of increases or decreases in accounting and auditing regulation have generally not been supported by empirical evidence as to the magnitude of the costs and benefits. The step-change in the scale of such regulation at Lloyd's between 1982 and 1985 provides evidence...

Motivated by developments in risk-value theory, the author proposes a new utility function which can capture trade-offs between favourable notions of risk and return while exhibiting desirable properties for a financial investor. This function is shown to be sufficient for two fund money...

The purpose of this paper is to consider how to forecast implied volatility for a selection of UK companies with traded options on their stocks. The authors consider a range of GARCH and log--ARFIMA based models as well as some simple forecasting models. Overall, it is found that a log-ARFIMA...

Using two specification tests, the returns from 17 emerging markets and the S&P 500 are tested for Markov regime switching. A trading strategy is formed that invests in the market only when the Markov switching model estimate for probability of a positive returns state in the next period is...

The paper examines two major components of financial liberalisation, stock market development and portfolio capital flows, in the context of LDCs. The paper considers microeconomic and macroeconomic perspectives on their implications for long-term development and economic growth. It concentrates...

An outstanding feature of the Indian economic reform in the recent period has been the fast expansion of stock markets and their growing role in the economy. The paper first reviews the stock market reforms and analyses the effects of stock market expansion on corporate growth and the real...

Several authors have proposed CAPM-style linear pricing models which utilise alternative notions of risk than the variance. The question then arises of whether these models produce equilibrium measures of risk, i.e. Betas, which are statistically different from that off the mean-variance CAPM....

This paper explores the properties of pooling of interests (merger) accounting and purchase (acquisition) accounting as currently practised. It also compares these methods with variants of them that involve a greater use of fair values, the extent of valuation on a fair value basis and the...

The micro-economic behaviour of economic agents in the crisis-affected Asian economies, together with the private sector's expanding role in developing countries in general have focused attention on issues of competition, corporate governance and finance. The paper explores the analytical links...

This paper proposes the unobserved fundamental component of volatility as a measure of risk. This concept of fundamental volatility may be more meaningful than observed volatility for market regulators. Fundamental volatility may be obtained using a stochastic volatility model. The authors...