This paper documents an economically and statistically significant positive premium for oil beta uncertainty in the cross-section of global equity returns. Using a battery of market and portfolio level tests, we show that oil beta uncertainty, measured by the total range spanned by the 95%...

This paper studies the impact of first opening margin trading on stock return, return volatility, and turnover rates via an event study. The results indicate that there is no relationship between changes in stock return volatility and industry sectors after opening margin trading. The different...

The aim of this paper is to re-examine the sequential-financing hypothesis in the context of convertible bond issuances from firms listed on the Taiwan Stock Exchange from 1994 to 2003. The results contend that announcements of convertible debt offerings are, on average, associated with...

This paper investigates the impact of CSRC allowing domestic residents to invest in the B-share stock market. An ARJI model is used to analyse the jump dynamics process during the pre- and post-event periods and impulse response functions are employed to demonstrate the volatility transmissions...

This paper presents a European option pricing model by applying the Model-Order-Reduction (MOR) method. A European option pricing theorem based on Black–Scholes' equation is implemented by the Finite-Difference Method (FDM). However, the numerical models generated by the FDM could be...

We exploit panel data of publicly-traded Taiwanese firms to test the pecking order theory the market timing theory over 1990–2005. On the one hand, the results indicate no support for pecking order behavior (consistent with Frank & Goyal, 2003), as net equity issues track the financing deficit...

In this paper we investigate the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in a less developed stock market - Taiwan's stock market. The main purpose is to examine whether the...