This paper studies some properties of stochastic dominance (SD) for risk-averse and risk-seeking investors, especially for the third order SD (TSD). We call the former ascending stochastic dominance (ASD) and the latter descending stochastic dominance(DSD). We first discuss the basic property of...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>We apply the stochastic dominance (SD) tests proposed by Linton et al. (2005) and Davidson and Duclos (2000) for risk averters and risk seekers to examine investors’ preferences with respect to the Taiwan stock index and its corresponding index futures. We...</p>

Stochastic dominance is a more general approach to expected utility maximization than the widely accepted mean–variance analysis. However, when applied to portfolios of assets, stochastic dominance rules become too complicated for meaningful empirical analysis, and, thus, its practical...

The world market portfolio plays an important role in international asset pricing, but is unobservable in practice. We first propose a framework for constructing a market proxy that corresponds to the "market portfolio" of financial theory. We then construct this proxy, analyze its determinants...

The empirical mean–variance evidence comparing the performance of Socially Responsible Investments (SRI) and conventional investments suggests that there is no significant difference between the two. This paper re-examines the problem in the context of Marginal Conditional Stochastic Dominance...

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...

In this paper, we use survey data and data from annual reports to identify the determinants of hedging activity of United Kingdom (UK) firms in the context of an overall program of risk management. Comparing the two sets of data makes it possible to identify misclassified firms, that is, firms...

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...

In this paper, we revisit the theoretical motives of corporate cash holdings while concentrating on the effect of political connections. In particular, we postulate two competing hypotheses for the effects that political connections can have on cash holdings: 'substitution effect hypothesis' and...