Purpose – The failure of the efficient market hypothesis has a direct bearing on the Geometric Brownian Motion model of asset returns. The current paper aims to investigate the effect that the autocorrelation in the time‐series of returns has on the calculation of expected shortfall (ES) for...

Purpose – The purpose of this paper is to examine initial and long‐run returns of Japanese IPOs in particular venture capital (VC)‐backed and non‐VC‐backed. The main research focus is on the performance of VC‐backed companies. Design/methodology/approach – This paper presents a...

Purpose – The purpose of this paper is to compare traditional methods of estimating the cost‐of‐equity (capital asset pricing model and Fama and French three‐factor model) with a new approach, implied cost‐of‐equity method, to provide lodging analysts, investors, executives and...

The banking and thrift industries are experiencing a technological metamorphosis. New technologies such as advanced computer operating systems, wide and local area networks (WAN, LAN), and the Internet, are becoming significant strategic areas for financial institutions. The impact, composition,...

Firms can use either debt or equity capital to finance their assets. The best choice is a mix of debt and equity. The present study mainly analyses how far the capital structure (CS) affects the Profitability (P) of corporate firms in India. The study tries to establish the hypothesized...

Purpose – The main objective of this study is to examine the claim of economic value added (EVA) proponents about its superiority as a financial performance measure compared to five traditional performance measures, i.e. net operating profit after tax (NOPAT), cash flow from operations (OCF),...

Purpose – It is the purpose of this article to improve existing methods for risk management, in particular stress testing, for derivative portfolios. The method is explained and compared with other methods, using hypothetical portfolios. Design/methodology/approach – Closed form option...

Purpose – The purpose of this paper is to explore the theoretical basis for heavy‐tailed asset‐return distributions. Design/methodology/approach – Through a simple model of asset‐price formation, one can formulate the asset‐return random variable, ln ( P t / P t −1 ), as a...