Department: Economics.

This paper is to test whether holding period returns and risk premia of financial instruments in Taiwan money market are significantly positive. This paper also investigates the relationship between business cycle and both holding period returns and risk premia. We find that holding period...

This paper uses differing objective functions under the Longstaff model (1990) to discuss the strategic choices faced by the creditor when deciding whether to grant maturity extension on a defaulted loan. The results reveal that: (1) it ensures that the return per unit of risk is higher after...