Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share Exchange over time. Our model relaxes that heroic assumption...

Duration and convexity are important measures in fixed-income portfolio management and help develop methodologies in interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at NSE in order to determine sensitivity of ZCBs prices...

Purpose: Modelling security prices seem to be an ending debate in finance literature due to no clear consensus on behavioral patterns, Knowledge of stock price movement has always been an important source of information that is much needed in asset pricing and trading strategies, The aim of this...

How can exchanges and regulators improve the liquidity and stability of modern financial markets through liquidity provision obligations and incentives? We exploit two market maker programs as natural experiments using unique message-level trade and quote data from the Brazilian stock exchange...

One of the main characteristics of the (recently proposed) non-arbitrage valuation of equities framework is the reduction in pricing subjectivity. This is evidenced in terms of the dividends discount rate and the outlook of future performance (dividends projection) of the company that is being...

Investor behaviour has for long been a topic of interest for economists, portfolio managers and several other market participants who are keen to ascertain the role of investor psychology in market microstructure and price discovery process. Literature on financial economics suggests that market...

This paper examines the pricing of macroeconomic factors in the Mexican stock market. Using a larger sample of 180 stocks traded on the Mexican Stock Exchange for a longer period December 1991 to June 2010, we construct portfolios à la Fama and French and test the APT model. Making use of a...

Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...

This paper investigates the volatility, skewness and kurtosis risk premium spillovers among U.S., U.K., German and Japanese stock markets. We define risk premia as the difference between risk-neutral and realized moments. Our findings highlight that during periods of stress and after 2014,...