The paper analyzes empirically the impact of switching to Taiwan's new Integrated Tax System in 1998 on the valuation of dividends. The Elton & Gruber [Rev. Econ. Stat. 1970] model is used to analyze the ratio of the ex-day stock price drop-off to the cash dividend per share. After adjusting for...

This note uses stochastic dominance to help decision makers who are expected utility maximizers choose between risky investments with minimal knowledge of the decision maker's utility function. More specifically, we employ second-order stochastic dominance. It is argued that for two risky...

From the classic cash dividend discount model the paper begins by deriving theoretical static equilibrium models to also rationalize a corporation's earnings per share (EPS) and its price-earnings (P/E) ratio. Then Sharpe-Treynor single index market models (SIMMs) are derived for the stock...

This paper examines three portfolios weighted by fundamental measures of firm size: share repurchases, total payout, and earnings retention. We find that the repurchase weighted and the total payout weighted portfolios have higher excess returns and higher Sharpe ratios than the most common...

We show how to construct uniform pricing frameworks for various insurance products that have prespecified deductibles. It is shown that the deductible insurance policies' indemnity payoff functions resemble those of distinctive derivative securities; therefore, the actuarially fair premia can be...

This article reviews the empirical risk and return statistics from physical real estate and financial real estate investments made in the U.S. over the period 1972-1999. It includes income, capital appreciation, and total returns from business, residential, and farm real estate, as well as REIT...

Employing a recently developed non-expected recursive utility function in which intertemporal substitution and risk aversion are disentangled, this paper reviews general equilibrium asset pricing in a pure exchange representative consumer economy. Assuming that the growth rates of aggregate...