This paper investigates whether the foreign exchange risk is priced in the Pacific Basin equity markets. The test was performed in the conditional version which allows the world prices of market risk and exchange risk to vary over time. Being parsimonious, a principal component analysis is taken...

This note demonstrates that when there is a discount on uniform cash flow, the rate of return would not increase to the extent of the discount. The extent to which the rate of return would increase depends on the investment horizon.

Under the model developed by Merton (1987), the idiosyncratic risk would be important to explain the expected stock return. We follow the approach of Daniel and Titman (1998), and use the risk measure developed by Jan and Wang (2012) to examine whether idiosyncratic risk can play an important...

This note remedies a risk measure, which was proposed by the work of Jan and Wang (2012). They used property of martingale to measure idiosyncratic risk, and illustrated that it is better than the measurements of variance and semivariance. However, their risk measure can¡¯t distinguish between...

The purpose of this study is to examine and demonstrate the strategic investment decisions faced by Taiwan’s chain and franchise store enterprise. We show that incorporating an abandonment option to strategic timing in a game-theoretic real option approach makes the approach more complete...