Many economic variables of interest exhibit a tendency to revert to predictable long-run levels. However, mean reverting processes are rarely used in investment models in the literature. In most models, geometric Brownian motion processes are used for tractability. In this paper, a firm's entry...

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices, as prescribed by general equilibrium models. Using an extensive data set from the over-the-counter options market, we document similar predictability in the factors that...

This document contains material that supplements our manuscript, entitled Latent Semantic Analysis of the FOMC Statements, which is scheduled to appear in the Review of Accounting and Finance. Specifically, it provides two lengthy appendices (Appendix A and Appendix B) that are mentioned in the...

The objective of this paper, in recognition of the strategic significance of the ship registration decision, is to provide a theoretical framework that helps explain the interaction of factors that influence the decisions to register a 'flag of convenience.' This highlights the risk-return...

Due to the high levels of flexibility and uncertainty associated with the deployment of RFID technology in the supply chain (e.g. alternative investment implementations based on the number of RFID-enabled processes or the different supply-chain nodes involved -- e.g. stores, warehouses etc.),...

This research is the first to examine the empirical predictions of a real option-pricing model on market values from the realty market of a Euro area country, namely Greece. Using a manually collected sample of land and property transaction prices, we demonstrate that, a model which incorporates...

This paper examines conference call meetings held around merger and acquisition (M&A) announcements in the UK market. Our main findings indicate that conference calls not only facilitate the smoother transmission of M&A-related information in the stock market and smooth the rate of the...

We claim that previously proposed parametric specifications that linearly approximate the term structure of the implied volatility surface (IVS) in option prices fail to capture important information regarding the expectations of market participants. This paper proposes a parametric...

When real investment opportunities are open to competing firms in the same line of business, strategic considerations become extremely important in determining investment/entry policies. We develop an equilibrium framework for strategic (real) option exercise where the focus is on the effect of...