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...

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...

This paper employs a hybrid approach that combines an adapted version of Fama-MacBeth two-pass regression with Engle-Granger cointegration test to characterize the relationship between expected stock returns and systematic risks with diverse investment horizons. We find no evidence supporting a...

Whether an investor should hold more risky assets in the long run is an issue of allocation. However, the comparison of performance between different investment horizons is not an allocation issue, but rather at timing issue. Therefore, we employ Markovian moving block bootstrap to examine the...

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.