Since the work of Morck, Shleifer and Vishny (1988), nonlinear model specification has gained more attention in corporate finance research. In this paper, we provide a detailed review of the previous studies that have examined nonlinear relations in corporate finance. We review the theory and...

In this paper, we derive an equilibrium relationship between the yields on Eurodollar and Treasury bills based on equivalent martingale results derived by Harrison and Kreps (<CitationRef CitationID="CR23">1979</CitationRef>) and Harrison and Pliska (<CitationRef CitationID="CR24">1981</CitationRef>, <CitationRef CitationID="CR25">1983</CitationRef>) as well as the corporate debt pricing model developed by Merton (<CitationRef CitationID="CR38">1974</CitationRef>). The...</citationref></citationref></citationref></citationref>

The capital asset pricing models (CAPM) has been the benchmark of asset pricing models and has been used to calculate asset returns and the cost of capital for more than four decades. Many researchers have tried to relax the original assumptions and generalize the static CAPM. We survey the...

This paper empirically analyzes the long memory relationship between the real returns on Canadian and US Treasury bills. A fractional cointegration approach, instead of conventional integer integration (unit root) and cointegration approaches, is used in analyzing the relationship. The advantage...

In this paper, we extend Booth and Tse's (BT) 1995 analysis of fractional cointegration between the expected Eurodollar and Treasury bill interest rates implied by their respective futures contracts. The definition of fractional cointegration suggested by Cheung and Lai (1993) and used by BT is...

In this article, long-run and short-run relationships among real interest rates in G-7 countries are empirically analyzed. The evidence suggests the existence of long-run relationships among these real interest rates. However, the long-run relationship is not an equality relationship. Short-run...

This study presents important international evidence by examining the determinants of debt maturity of listed firms in Singapore, a major financial center in Asia. We focus on bank debt because it is the principal source of financing for most Singapore firms. We find that consistent with the...

This paper examines the role of investment opportunities and free cash flow in explaining the source of the stock valuation effects of secured debt offerings. We find a significantly positive relation between a firm's investment opportunities and its stock price response to announcements of...

This paper examines the importance of investment opportunities and free cash flow in assessing the stock market reaction to announcements of cross-border investments in China by Taiwanese firms. Our results support the investment opportunities hypothesis that Taiwanese firms with favorable...

The purposes of this paper are to provide a theory of determining the firm's optimal seniority structure of debt and examine the relation between the firm's seniority structure of debt and its characteristics. Unlike previous studies, we develop a theoretical model which explicitly includes the...