Many sophisticated investors rely on scenario analysis to select a portfolio. These investors define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and select the portfolio with the highest expected return or expected...

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

Using the Markov regime switching approach, the authors investigate the dependency of short term sovereign credit default swap (SCDS) spread changes on a nation's country-specific fundamental factors, local, regional and macroeconomic global factors. They find that the significance of the...

This study is focused on analyzing exchange rates on foreign private investment in Pakistan. Times series data from periods 1973 to 2012 was used for the analysis. The results of estimation suggest that an exchange rate and gross domestic product are the most important variable that affects...

Recognizing that human rationality has bounds that are unequal across individuals entails treating it as a special scarce resource, tied to individuals and used for deciding on its own uses. This causes a meta-mathematical difficulty to the axiomatic theories of human capital and resource...

The financial crisis has revealed fatal institutional and structural deficits at the finance market. Politics has reacted to the financial crisis with a sea of legal bills and regulations. But all regulating efforts are merely system-imminent reparation measures and do not solve the core...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

The informational content of prices hypothesis in Modigliani and Miller (and Fisher before them) advocates that organizations’ market prices could somehow estimate their growth prospects and intangible assets. For this estimation, discounted cash flow models are frequently employed. However,...

Shareholder activism is an exercise of power, sometime benign, sometimes threatening to the interests of corporate management, boards and other shareholders. The complexity of these combinations helps to understand how difficult it is for directors to operate in shareholders' interest. What we...