This paper investigates the valuation of currency options when the underlying currency follows a mean-reverting lognormal process with multi-scale stochastic volatility. A closed-form solution is derived for the characteristic function of the log-asset price. European options can then be valued...

The introduction of the common currency in the Euro zone has led to a shift in factor importance from country to industry effects. Nevertheless, there is overwhelming evidence that the recent spate of crises has engendered a reversal in factor importance, returning it to country effect. This...

Although numerous studies investigate how student achievement is impacted by educational vouchers and charter schools, there appears to be no research on how these programs impact the surrounding environment. This study examines residential relocation of families whose children attend a charter...

A long-standing controversy is whether CEO employment contracts insulate inferior managers from discipline leading to shareholder wealth destruction, or whether contracts alleviate managerial risk aversion and encourage value-enhancing decisions. Using a unique dataset on S&P 500 CEO employment...

We hypothesize that cognitive limitation may be manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts. Using detailed limit order data in the Taiwan Futures Exchange, we find that investors with...

Using CEO severance contracts during 1992-2010, we find that CEOs with a severance contract tend to reduce corporate investments, impede innovation, and decrease firm risk across several dimensions, leading to shareholder value destruction. This negative value effect is stronger during the...

While recent studies document increasing idiosyncratic volatility over the past four decades, an explanation for this trend remains elusive. We establish a theoretic link between growth options available to managers and the idiosyncratic risk of equity. Empirically both the level and variance of...