The purpose of the paper is to evaluate and measure the effect of financial liberalization (FL) on bank risk exposure. We pursue these questions by assessing the changes in market-based asset values and risk exposure measures for commercial banks (CB) before and during a FL program. We do this...

This paper investigates efficiency using data envelopment analysis (DEA) and productivity growth using Malmquist index in a sample of Indian commercial banks over the period 1995-2002. Using total deposits and operating expenses as input and loans and other earning assets as output in the DEA...

We study the problem of illiquidity that afflicts the stocks listed on the Bombay Stock Exchange (B.S.E.). Trading on a regular basis is concentrated in only a few of the listed stocks. We examine this issue by empirically looking at the characteristics of firms leading to differential levels of...

A pure exchange economy with a financial market is studied where aggregate dividends are modeled as a diffusion. The dynamics of the diffusion are allowed to depend on factors which are unobservable to the agents and have to be estimated. With perfect information, the asset market would be...

This paper shows that a flaw exists in the logic behind the previously stated theoretical connections between utility theory and moment preferences. In fact, no such relationship exists. There is also a flaw in the logic that postulates that approximate normality can justify moment (e.g.,...

While American calls on non-dividend paying stocks may be valued as European, there is no completely explicit exact solution for the values of American puts. We introduce a novel technique called randomization to value American puts and calls on dividend-paying stocks. This technique yields a...

This paper analyses the efficacy of the governance structure of occupational pension funds (Pensionskassen – PKs) in Austria. Based on the results of the analysis, it further investigates the politico- economic implications for the political and legislative process regarding recent changes to...

This paper provides a review of the main features of asset pricing models. The review includes single-factor and multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models conditional on time-varying volatility.

We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for...