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Conditioned Responses towards Measures Relating to the Capital Cost of Short Sellers: Evidence from Taiwan

Chang, Chih-Hsiang; Chiang, Wen-Shan - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 03, pp. 1450019-1

This study draws on classical conditioning to explain how investors react to short sale-related measures. Our results reveal that measures related to the capital cost of short sellers cause a conditioned response among investors. This explains how investors actually perceive and relate to short...

Persistent link: https://www.econbiz.de/10010887057

A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty

Bayraktar, Erhan; Zhang, Yuchong; Zhou, Zhou - In: Risks 2 (2014) 4, pp. 425-433

We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the … context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options … be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non …

Persistent link: https://www.econbiz.de/10010945692

A Markov Chain Model for Contagion

Dassios, Angelos; Zhao, Hongbiao - In: Risks 2 (2014) 4, pp. 434-455

We introduce a bivariate Markov chain counting process with contagion for modelling the clustering arrival of loss claims with delayed settlement for an insurance company. It is a general continuous-time model framework that also has the potential to be applicable to modelling the clustering...

Persistent link: https://www.econbiz.de/10010945693

Tail Risk in Commercial Property Insurance

Biffis, Enrico; Chavez, Erik - In: Risks 2 (2014) 4, pp. 393-410

We present some new evidence on the tail distribution of commercial property losses based on a recently constructed dataset on large commercial risks. The dataset is based on contributions from Lloyd’s of London syndicates, and provides information on over three thousand claims occurred during...

Persistent link: https://www.econbiz.de/10010945694

A Review of Merton’s Model of the Firm’s Capital Structure with Its Wide Applications

Sundaresan, Suresh - In: Annual Review of Financial Economics 5 (2013) 1, pp. 21-41

Since its publication, the seminal structural model of default by <xref ref-type="bibr" rid="B45">Merton (1974) has become the workhorse for gaining insights about how firms choose their capital structure, a “bread and butter” topic for financial economists. Capital structure theory is inevitably linked to several...</xref>

Persistent link: https://www.econbiz.de/10011004681

Financing infrastructure – International trends

Croce, Raffaele Della; Gatti, Stefano - In: OECD Journal: Financial Market Trends 2014 (2014) 1, pp. 123-138

The infrastructure financing market has gone through a process of radical transformation starting from the mid-2000s. Different reasons – including a changed macroeconomic environment, more stringent regulations on financial intermediaries, and a modified appetite for long-term asset...

Persistent link: https://www.econbiz.de/10011007278

Agency Problems and Stock Repurchases: Evidence from Japan

Teng, Min; Hachiya, Toyohiko - In: Review of Pacific Basin Financial Markets and Policies … 16 (2013) 03, pp. 1350016-1

This paper examines stock repurchases from an agency perspective by identifying agency costs across three dimensions — interest conflicts and information asymmetry, managerial discretion, and the use of alternative mechanisms to mitigate agency conflicts. We use ownership structure as a proxy...

Persistent link: https://www.econbiz.de/10011011362

Economic Dependence and Reputation Concern for the Audit Firm, Audit Groups, and Individual Auditors — The Case of Taiwan

Shu, Pei-Gi; Chen, Tsung-Kang; Hung, Wen-Jye; Chiang, … - In: Review of Pacific Basin Financial Markets and Policies … 16 (2013) 02, pp. 1350012-1

Using a sample of 3,274 firm-year data from an internationally renowned accounting firm, we investigate the effects of auditor–client relationship on auditor quality (measured by absolute discretionary accruals (ABSDA)) from the perspectives of audit firm, audit group, and individual auditor,...

Persistent link: https://www.econbiz.de/10011011363

Empirical Investigation of the Causal Relationships Among Herding, Stock Market Returns, and Illiquidity: Evidence from Major Asian Markets

Qiao, Zhuo; Chiang, Thomas C.; Tan, Lin - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 03, pp. 1450018-1

We apply the Kalman filter method to estimate nine Asian markets and find evidence that stock return dispersions decline as markets experience stress conditions, supporting the existence of herding. This paper finds that herding behavior is time-varying and comoving across markets. Both linear...

Persistent link: https://www.econbiz.de/10011011364

Do Firms' Comply with the Shorter Form 8-K Reporting Deadlines? Initial Evidence on the Effectiveness of the SEC's 2004 Current Report Rule

Karim, Khondkar; Pinsker, Robert - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 01, pp. 1250005-1

When examining Form 8-K filings under the Securities and Exchange Commissions' (SEC) Rule 10b-5, Carter and Soo (1999) found that over 26% are filed after the statutory due date. "Bad news" filings resulted in over 30% tardiness. Effective August 23, 2004, the SEC passed the Additional Form 8-K...

Persistent link: https://www.econbiz.de/10011011365