In a capital budgeting decision, timing is often an important part of the decision-maker’s opportunity set. The ability of the manager to choose when to undertake an investment has similarities to the ability of the holder of a securities option to choose when to exercise that option. This...

In a capital budgeting decision, timing is often an important part of the decision-maker’s opportunity set. The ability of the manager to choose when to undertake an investment has similarities to the ability of the holder of a securities option to choose when to exercise that option. This...

Numerous findings in the literature suggest that paying cash dividend mitigates agency problem between majority shareholders and minority shareholders. Many common law countries require mandatory cash dividend policy to protect minority shareholder's interest. This paper provides opposite...

We construct a dynamic multi-agent moral hazard model to analyze the interactions among the firm owner, the manager and the auditor. Moral hazard may arise in hierarchical agency because a rational monitoring agent may accept a side payment from the monitored agent for misrepresenting...

We propose a methodology of Genetic Programming to approximate the relationship between the option price, its contract terms and the properties of the underlying stock price. An important advantage of the Genetic Programming approach is that we can incorporate currently known formulas, such as...

We document a negative association between the market valuation of a target firm around the announcement date and the target firm's future performance predicted by Value Line. This result is robust after controlling for possible simultaneous equation bias. We provide evidence of a systematic...

Taking account of both asymmetric information and rational learning, we show that heterogeneous belief in a rational expectation model can explain many empirical findings of seemingly emotional behavior in stock market, such as bubbles, momentum, contrarian, and technical trading. We show that...