We examine the dividend behavior of firms operating in different institutional regimes by comparing the dividend behavior of companies in eight developing countries to those of ninety-nine US companies over the same period.

This paper looks at three alternative ways of estimating the expected return on the equity market for use either in the CAPM, or other premium model, for estimating equity costs.

This paper proposes and implements as equilibrium framework for valuing weather derivatives. We generalize the Lucas Model of 1978 to include the daily temperature as a fundamental variable in the economy.

A simple and informative measure of the degree of monopoly power (DMP) that a manufacturing firm of industry enjoys is the ratio of the value added in its output to the labour cost of producing the output. This paper has established that the degree of monopoly power in the U.S. manufacturing...

This paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.

This paper proposes a new approach to modeling volatility changes and clustering, we use a parsimonious high-order markov chain which allows for duration dependence.

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option princing methodology of Duan (1995) to a...