Three years after the seminal work of Black and Scholes on the pricing of European options, Scholes presented a paper in which the impact of taxation on the value of an option is analyzed. We restart this discussion in a simple binomial setting emphasizing the economic principles of replicating...

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging markets from February 1976 to December 2006. A liberalization period is constructed to capture all identified market openings for each market. The purpose of this study is...

This study analyzes the association between the degree of international involvement (DOI) and risk. Both systematic risk (measured by the market model beta) and total rishk (measured by variance of return) are analyzed. Betas of fully diversified foreign stock portfolios are shown to be lower...

In this dissertation, we are interested in the relationships among monetary policy, stock prices and exchange rates. This thesis argues that on the one hand, monetary policy affects both stock prices and the exchange rate, on the other hand, stock prices and exchange rates affect monetary policy...

Approximately 50% of the households in America invest in the stock market. In many cases the investor's buy and hold strategy leads to negative returns. Given the stock market fluctuates up and down as time progresses, analysts examine stock prices, volumes traded and ratios to recommend buy and...

This paper provides new insight into the relationship between short sales and stock market returns using a sample of stocks sold short in Canada. Short interest is defined in relation to trading volume. The results strongly support the assertion that short sales and excess returns are...