This study examines the role of idiosyncratic risk in the pricing of European real estate equities. The capital asset pricing model predicts that in equilibrium investors should hold the market portfolio. As a result, investors should only be rewarded for carrying undiversifiable systematic risk...

Traditional stock option grant is the most common form of incentive pay in executive compensation. Applying a principal-agent analysis, we find this common practice suboptimal and firms are better off linking incentive pay to average stock prices. Holding the cost of the option grant to the firm...

This paper examines sporting event's spillover effect to investor's behavior through event study analysis using the GARCH (p,q) model, focusing on the stock price effects of a sport sponsorship program during and after a sporting event. Studying stock price behavior during a sporting event is...

Do you want to invest in a Company by buying shares, and you are facing difficulties in selection of growing and financially strong companies. Definitely, you will eager to invest in such company which is financially strong. Instead of analyzing entire financial statements just by observing...

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Since the Asian flu several empirical studies revealed that in the crisis circumstances the relationship between the stock prices and the exchange rates could suffer significant changes. Such findings were confirmed during the global crisis that started in 2008. In the case of Romania the global...

We document the determinants of the expectation heterogeneity of stock price forecasters on the TOPIX. Monthly panel data surveyed by QUICK Corporation in the Nikkei Group is utilized in the process. We examine the determinants of expectation heterogeneity by categorizing our sample into...

We analyze how markets adjust to new information when the reliability of news is uncertain and has to be estimated itself. We propose a Bayesian learning model where market participants receive fundamental information along with noisy estimates of news' precision. It is shown that the efficiency...

In this paper, we provide a new framework for stock and options valuations by characterizing the joint dynamics of stock price, dividends, and volatility with the volatility feedback effect in continuous-time. Within our framework, we consider the properties of stock price and its dynamics with...

We study the effect of investor horizons on corporate cash holdings. We argue that investors with longer horizons monitor more because their net benefit of monitoring is higher. Consequently, the optimal amount of corporate cash holdings increases, so firms hold more cash. We find empirical...