This study investigates the relevance among corporate governance mechanism, institutional ownership and share repurchase decisions. Examining 220 exchange-listed companies in Taiwan during 2004 to 2006, the main findings are as follows. First, corporate governance mechanisms affect share...

This study examines both restricted and unrestricted Black-Sholes models, according to Longstaff (1995). Using the Taiwan index options for each day from January 2005 to December 2008, the unrestricted model simultaneously solves the implied index value and implied volatility whereas the...

This study compares the out-of-sample performances among Black-Scholes (B-S), Stochastic Volatility (SV) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models in the Taiwan option market. Using Absolute Relative Pricing Error (ARPE) as the performance criterion, the...

This article aims to explore whether business cycle has any bearing on herding by fund mangers. Using the sample of open-end mutual funds in Taiwan from January 2003 to February 2007, the main results are as follows. First, excluding the impact of business indicator, herd behaviours for balanced...

The dynamic portfolio frontier theory in a mean-variance framework previously developed by scholars suffers some limitations. Specifically, the theory assumes the use of the martingale approach, the assumption of a complete market and particular probability distribution of asset returns....

This study analyzes individual portfolio selection in the presence of background risk. Under the expected utility framework, this study determines necessary and sufficient conditions of utility functions for two-fund monetary separation with independently additive and multiplicative background...

We examine the influence of investor sentiment on the risk-reward relationship in the Taiwan stock market. Regression results show that the risk-reward relationship is weakly positive (significantly negative) under low (high) levels of investor sentiment. Granger causality tests indicate...

This study uses the sample with 539 individual stocks in Taiwan stock market from July 2002 to December 2007 for discussing and comparing the performances among these portfolios of institutional net buys/sells, Jegadeesh and Titman (JT) momentum strategy and George and Hwang (GH) momentum...