In this paper we take a new approach to the study of the interrelation between stock and option markets by extending Stoll's (1989) model of cost components of the bid-ask spread to include an error component in prices. Building upon Stoll's estimates of the probability of price reversals, we...

This paper presents an analysis of the relative importance and influence of various socio-economic, institutional and systemic factors considered relevant to portfolio managers' risk perception of securities. The analysis is based on data from a 1990 survey in which twenty institutional...

The fact that investment policies are often restricted appears to have been neglected in the performance measurement literature. This paper, using a standard information model, shows how the introduction of constraints on the proportion of assets to be invested in the market affect the expected...