We use forward-looking information from option prices to estimate option-implied correlations and to construct an option-implied predictor of factor betas. With our implied market betas, we find a monotonically increasing risk-return relation, not detectable with standard rolling-window betas,...

We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...

In light of the current subprime and financial crises, retirement planning has gained in importance. Many U.S. households have had to reevaluate their assets and their retirement plans (if they even had plans). Most U.S. households, however, find it difficult to assess their retirements and the...

In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on Samp;P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this paper, with the use of Thailand's SET50...

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of Value-at-Risk (VaR) models to measure...

We test the conditional CAPM with time-varying forward-looking betas, assuming a two-state model for the market risk premium. For market state identification we employ a recursive Markov-switching model based on a forward-looking Sentiment factor. The empirical results for our sample of...

Stress and distress are unavoidable aspects of dealing with the vagaries of financial markets and financial advisers. The purpose of this paper is to try to reduce the discomfort in dealing with investment advisers, and to make the journey up and down the financial mountain a little less...

The paper presents a part of the survey results on business valuation carried out in October 2011. The survey involved 182 experts in business valuation from 12 countries worldwide. The article attempts to answer the question: what problems do experts face in business valuation? Are there...

The paper presents a part of the survey results on business valuation carried out in October 2011. The survey involved 182 experts in business valuation from 12 countries worldwide. The article attempts to answer the question: what problems do experts face in business valuation? Are there...

We propose an alternative to the conventional risk finance paradigm of enterprise risk management that accounts for not only a loss portfolio’s expected frequency and expected severity, but also its “risk” as captured by an appropriate measure of dispersion/spread. This new paradigm is...