This paper presents valuation models of emission allowance options under an emission trading scheme, operating in an open trading phase, where unused allowances are banked to subsequent phases without any limit. Empirical studies are carried out to show that allowance option prices exhibit...

Selecting an estimator for the covariance matrix of a regression's parameter estimates is an important step in hypothesis testing. From less to more robust estimators, the choices available to researchers include Eicker/White heteroskedasticity-robust estimator, cluster-robust estimator, and...

In response to the widespread availability of illegal contraband, the federal and five provincial governments in Canada implemented a 40-60% reduction to cigarette excise taxes in February 1994. We exploit this unique and discrete policy shock by estimating the effects of cigarette taxes on...

Organizations seek to differentiate themselves in the marketplace by deploying information technology (IT) to develop dynamic IT capabilities and resist competitors’ attempts to imitate or improve these capabilities. While this strategy has been justified on the grounds that dynamic IT...

In this paper, we examine the idea that a general model of consumption should allow for the direct effect of government expenditures in a two-good permanent-income model. We show, given an assumed preference specification, that there is a cointegration restriction implied by an intraperiod...

We investigate the nature of sovereign credit risk for selected Asian and European countries based on a set of sovereign CDS data over an eight-year period that includes the episode of the 2008-2009 global financial crisis. The principal component analysis results indicate that there exists...

Using the degree of accessibility of foreign investors to emerging stock markets, or investibility, as a proxy for the extent of foreign investments, we assess whether investibility has a significant influence on the diffusion of global market information across stocks in emerging markets. We...