The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

This paper describes a general procedure for constructing a class of asymmetric distributions based on symmetric parametric distribution families, and investigates some inherent relationships between the constructed asymmetric distribution and the original symmetric ones. This procedure is used...

Recent survey evidence reveals misaligned inflation expectations among economic agents. While households associate higher expected inflation with lower output growth, professional forecasters often link higher future inflation to stronger economic fundamentals and higher output growth. Firms'...

This paper decomposes price into its 2 major constituents, namely markup (Mkp) and marginal cost (MC) with which a Markov-switching VAR with fixed transition probabilities is estimated. Since the proposed pair of variables has not been extensively analysed, a theoretical model that derives...

We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the...

We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple microstructure model to demonstrate that VCV is strictly increasing in the...