This paper demonstrates how to convert a path-dependent optimal stopping time problem into a path-independent problem using a transformation analysis method. We test this method to deal with several problems, especially those in stochastic volatility environments. We introduce stochastic state...

In this paper, I investigate the determinants of price differences in the shares of cross-listed firms in domestic and foreign markets. Diverging from the literature in this field, I introduce a methodology that is independent of any specific form of utility function. My theoretical analysis...

This paper incorporates EGARCH modeling in a financial event study relating firm value to negative environmental news. News media provide informal information channels unlike formal government disclosure programs. This paper improves on previous studies by using a larger sample than most...

Purpose – The purpose of this paper is to investigate how to determine optimal investing stopping time in a stochastic environment, such as with stochastic returns, stochastic interest rate and stochastic expected growth rate. Design/methodology/approach – Transformation method was used for...

We explore the relation between individualism and horizons and types of corporate investment, based on individualism’s implications for risk taking. We find that firms in individualistic countries invest more in long-term (risky) than in short-term (safe) assets. Moreover, the effect of...