This paper extends the research on value premium by examining patterns of seasonality exhibited in the book-to-market effect in major global equity markets. The results provide evidence supporting the January effect in the value premium phenomenon. Using stock market indices for Asia Pacific;...

The risk-free rate is an important input in one of the most widely used finance models: the Capital Asset Pricing Model. Academics and practitioners tend to use either short-term Treasury bills or long-term Treasury bonds as the risk-free security without empirical justification. This study...

This study examines the role of downside higher order co-moments in asset pricing models when stock returns are not normal. We test the effect of higher order downside co-moments using a data set of daily returns of Société des Bourses Françaises 250 Index stocks during the period 1987-2009....

This paper derives a pricing model for payment deferred vulnerable options and applies the results to the pricing of vulnerable range accrual notes. The valuation model for vulnerable options takes into account the possibility of the option writer defaulting. However, when the payment date is...

This paper employs a hybrid approach that combines an adapted version of Fama-MacBeth two-pass regression with Engle-Granger cointegration test to characterize the relationship between expected stock returns and systematic risks with diverse investment horizons. We find no evidence supporting a...

The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...

Due to the dynamic nature of stock market risk and return measurement, financial practitioners and academics are continuously concerned with the development of asset pricing studies. Moreover, validity of the existing theories in the recent Asian financial crises years stimulates additional...

In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization. This paper shows that government intervention and propping up are...

Using data from the stock markets of Japan, the U.K, and France, this paper examines the distribution and source of value premium in average stock returns for the period 1975 through 2007. Results from this study indicate a January effect in value premium, which is valid and economically...

This paper introduces the autocorrelation effect of assets’ returns into the valuation model of reset options. The MA(q) process, which is an extension of MA(1) process noted by Liao and Chen (2006), is applied to the valuation of reset options in this paper. Due to the impact of...