Many people believe the yield enhancement produced by covered options writing is the trading world's version of a free lunch. ...The writer of the call option agrees to sell a portion of the future upside appreciation of a long stock position; in exchange, the writer gains a one-time cash...

This paper estimates a three-equation structural model based on a theory that relates corporate financial performance (CFP), corporate social performance (CSP), and social pressure. CFP is found to be independent of CSP and decreasing in social pressure, and CSP is independent of CFP and...

The Cox, Ross, and Rubinstein binomial model is generalized to the multinomial case. Limits are investigated and shown to yield the Blacks-Scholes formula in the case of continuous sample paths for formula in the case of complete market structures. In the discontinuous case a Merton-type formula...

We develop a positive behavioral portfolio theory (BPT) and explore its implications for portfolio constrution and security design. The optimal portfolios of BPT investors resemble combinations of bonds and lotterly tickets consistent with Friedman and Savage's (1948) observation. We compare the...

This paper develops a capital asset pricing theory in a market where noise traders interact with information traders. Noise traders are traders who commit cognitive errors while information traders are free of cognitive errors. The theory includes the determination of the mean-variance efficient...

M. Grinblatt and S. Titman (1985) reformulate a result of G. Chamberlain and M. Rothschild (1983) to show that the approximate factor structure of Chamberlain and Rothschild is asymptotically equivalent to the strict factor structure of S. A. Ross (1976) as long as investors can always repackage...

This paper provides an empirical test of a theory that relates corporate financial performance (CFP), corporate social performance (CSP), and social pressure from government and social activist for improved social performance. A three-equation structural model is estimated for a large number of...