This paper analyzes the relationship between net capital flow and home bias puzzle. The model suggests that both capital inflow and potential preference in home assets lead agents to allocate more in domestic and thus s home bias phenomenon. Besides, the more nontradable consumption, the fewer...

This paper examines the diversification choices of top managers and their implications for the levels of portfolio equity incentives as well as for firms' financial policies. Standard portfolio theory should also apply to corporate managers and therefore excessive risk exposures to the firm...

This study examines key factors that influence the success of exchange-traded futures contracts of Asian futures markets. The results show that successful futures contracts benefit from a large and volatile spot market. In addition, a smaller contract size has a positive effect on the futures...

In this paper, the stochastic dynamic programming approach is used to investigate the optimal asset allocation for a defined-contribution pension plan with downside protection under stochastic inflation. The plan participant invests the fund wealth and the stochastic interim contribution flows...

Distressed firms in equity markets are like landmines in the battlefields due to their undetectability and devastating effects. This paper is concerned with distressed firms forecasting by the distance-to-default (DTD) and rare event logit (REL) models via public available data. Comparing these...

The objective of this paper is to estimate the hedge ratios of foreign-listed single stock futures (SSFs) and to compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to estimate constant optimal hedge ratios and the dynamic...

This paper assesses the importance of financial development and R&D spending for exports using both a theoretical model and econometric testing. It is shown that financial development and R&D expenditures are positively related to exports and the balance of manufactured goods. The results...

A portfolio choice model is provided to illustrate the disposition effect under irrational belief in mean reversion assumption. Higher cognitive reference, stronger irrational belief in mean reversion magnitude and less risk aversion all strengthen the disposition effect in the model. The...

In contrast to the constant exercise boundary assumed by Broadie and Detemple (1996) [Broadie, M., Detemple, J., 1996. American option valuation: New bounds, approximations, and comparison of existing methods. Review of Financial Studies 9, 1211-1250], we use an exponential function to...

This paper analyzes the relationship between net capital flow and home bias puzzle. The model suggests that both capital inflow and potential preference in home assets lead agents to allocate more in domestic and thus s home bias phenomenon. Besides, the more nontradable consumption, the fewer...