This paper examines the effect of target Federal funds rate changes on major five foreign exchange markets: Canada, Australia, Euro, Japan and the UK during the period from 2000 to 2007. Two different approaches of Rai, Seth and Mohanty (2007) and the event study of Brown and Warner (1980, 1985)...

We examine whether the implementation of the information disclosure and transparency ranking system (IDTRS) affects frms’ value deviation in Taiwan using the annual reports of the listed companies for the period 2001–2004. Using firms value deviation as a proxy for information disclosure, we...

This study proposes a model to investigate the impact of performance-sensitive debt on the valuation of vulnerable options. Unlike previous studies where debt is a fixed amount upon option maturity, our proposed model assumes that debt obligation depends on the counterparty’s performance...

This paper investigates the role of corporate social responsibility (CSR) performance in forecasting companys' stock prices and future returns. The forecasting analysis identifies a negative association between CSR performance and proxies of price delay. The negative CSR–delay association is...

This study presents a novel catastrophe option pricing model that considers counterparty risk. Asset prices are modeled through a jump-diffusion process which is correlated to counterparty loss process and collateral assets. Because of the long term of catastrophe options, this study also...

This paper introduces the autocorrelation effect of assets’ returns into the valuation model of reset options. The MA(q) process, which is an extension of MA(1) process noted by Liao and Chen (2006), is applied to the valuation of reset options in this paper. Due to the impact of...