Purpose – The purpose of this study is to examine the exposures of Australian gold mining firms in the highly volatile period from 1995 to 2000. This period has been characterized by significant changes in gold price due to bulk sale of gold by collective central banks. Specifically, the paper...

type="main" xml:id="acfi12022-abs-0001" xml:lang="en" <title type="main">Abstract</title> <p>We examine whether systematic higher moments capture beta asymmetry in an asset pricing model whereby the conditional beta of a risky asset increases (decreases) during a bear (bull) market state. We first provide a simple conceptual...</p>

The study examines the pricing determinants of initial public offerings (IPOs) in the Hong Kong and Taiwanese markets. Consistent with the literature, we find that the IPOs are underpriced in these two markets. Among the pricing determinants we examine, share allotment over the number of...

Based on the Merton (1977) put option framework, we develop a deposit insurance pricing model that incorporates asset correlations, a measurement for the systematic risk of a bank, to account for the risk of joint bank failures. Estimates from our model suggest that actuarially fair risk-based...