Event studies typically use the methodology developed by Fama et al. [1969. The adjustment of stock prices to new information. International Economic Review 10, no. 1: 1-21] to segregate a stock's return into expected and unexpected components. Moreover, conventional practice assumes that...

The use of an inter-temporally constant discount rate or cost of capital is a strong assumption in many <italic>ex ante</italic> models of finance and in applied procedures such as capital budgeting. We investigate how robust this assumption is by analysing the implications of allowing the cost of capital to...

Purpose: The purpose of this study is to determine distributional properties of the accumulated rate of interest when the instantaneous rate of interest evolves in terms of the Cox et al. (1985) square root process. Design/methodology/approach: The law of iterated (or double) expectations is...