We investigate the risk-taking behaviour of Bank Holding Companies (BHCs) that are subject to the Dodd–Frank Act (DFA). Specifically, we employ a difference-in-differences method to assess the effectiveness of the DFA in reducing the riskiness of complex banks and their contribution to...

This paper examines FDI and expropriation in an economic framework that opposes the government's incentive to expropriate with the firm's cost of expropriation risk. Using standard methods of stochastic calculus, the value of expropriation to the government is modeled as a function of the value...

This paper studies the determinants and the value effects of corporate hedging for 227 Hong Kong and Chinese companies listed on the Hong Kong stock exchange. Using data from disclosures in the annual reports, we find strong evidence linking the decision to hedge and the expected costs of...

In this paper, I develop a model that measures the effects of political risk on the outcome of a foreign direct investment project as the value of an insurance policy that reimburses all losses resulting from the political event or events in question. The evolutionary process of political risk...

This paper presents a model that measures the impact of political risk on portfolio investment when the political risks are multivariate and correlated across countries. The multivariate approach generalizes the single country model but retains most of its characteristics in terms of its ability...

This paper looks at divestitures by 144 UK firms listed on the London Stock Exchange from 1985 to 1991 and investigates whether and how accurately investors price the firm's option to abandon assets in exchange for their exit value. Theory prices this real option as an American style put and the...

Passive index investing involves the low cost strategy of investing in a fund that replicates or, more often, tracks a market index. Enhanced indexation uses the returns of an index as a reference point and aims at outperforming this index. The intuition behind enhanced indexing is that market...

Because heterogenous and unknown shareholder utility functions make it difficult to define a corporate objective common to all shareholders based on utility, the traditional theory of the firm concentrates on wealth maximization as the main measure of performance. Using the concept of ranked...

This paper studies the effect of floating exchange rates (XRs) on the competitive environment and the performance of UK small and medium sized enterprises (SMEs). Using an innovative technique that separates XR exposures into those that increase stock market returns and those that reduce them,...

Investor behavior towards risk lies at the heart of economic decision making in general and modern investment theory and practice in particular. This paper uses both the mean-variance (MV) criterion and stochastic dominance (SD) procedures to analyze the preferences for four of the most widely...