In this paper, we extend the traditional CAPM theory by introducing a new concept of risk-reward measurement based on view bias adjustment under imperfect information. Within that general framework, people might only know the possible results of an uncertainty, they do not know the exact...

Many stocks are subject to some kinds of resale restrictions in the financial markets. In this paper, we introduce the short sale constraints into a three asset consumption-portfolio choice model and propose the Utility Indifference Discount (UID) to measure the discount of the restricted...

Purpose–The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the market correlation affects stock returns. Design/methodology/approach -The authors first examine the relationship between the market correlation and the market return. Then, the...

In this paper, we study the impact of the trading of individual investors on short-horizon stock returns from 2005 to 2006 using a unique data set provided by the Taiwan Stock Exchange. We examine the predictability of stock returns based on net individual trading by using the portfolio-sorting...

Purpose–Due to disequilibrium between supply and demand in the option market, the option market-maker is under exposure to certain risks because of their net option positions. This paper aims to pay attention to whether the risk award affects the option price and the shape of implied...