The stochastic duration based on the Vasicek and CIR models is theoretically superior to Macaulay's duration. However, empirical tests on bond immunization performance have so far failed to show its superiority. Within the one-factor framework, in this paper I propose to use a longer zero-curve...

Rights offers and new issues to non-existing shareholders are two major flotation methods used in seasoned equity offerings (SEOs) worldwide. Yet the existing literature has been unable to explain within the same framework: (a) why some firms choose rights offers and other firms choose new...

While a close firm-bank relationship mitigates market imperfections, recent research has suggested that insider banks often impose 'holdup' costs. This paper presents a model of how main bank rent extraction affects corporate decisions about investment and financing, and how the high-flying...

The stochastic duration based on the Vasicek and CIR models is theoretically superior to Macaulay's duration. However, empirical tests on bond immunization performance have so far failed to show its superiority. Within the one-factor framework, in this paper I propose to use a longer zero-curve...

This paper presents a comprehensive empirical examination of the foreign exposure effect on Japanese corporations and sectors. We provide compelling evidence that, after controlling for marketwide movements, the exposure effect on Japanese corporations' stock returns is both statistically and...

Ingersoll, Skelton and Weil (1978) and Cox, Ingersoll and Ross (1979) put forward a stochastic duration measure (ISW/CIR's duration) that is theoretically much sounder than Macaulay's duration. However, empirical tests on immunization performance, so far, have not been able to show its...