Why did the stock market decline so much in the early 1970s and remain low until the early 1980s? We argue that it was because information technology arrived on the scene and the stock-market incumbents of the day were not ready to implement it. Instead, new firms would bring in the new...

The first contribution of this paper, following the works of Lettau and Ludvigson (2001a,b), is construction of the Japanese consumption-wealth ratio data series and to examine whether it explains Japanese stock market data. We find that the consumption-wealth ratio does not predict future stock...

In this study, we employ an innovative new methodology inspired from the approach of Hwang and Salmon (2004) and based on the cross sectional dispersion of trading volume to examine the herding behavior on Toronto stock exchange. Our findings show that the herd phenomenon consists of three...

In this paper a new GARCH–M type model, denoted the GARCH-AR, is proposed. In particular, it is shown that it is possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized disturbance process. Importantly, the volatility in the...

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper is the first to examine the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides...

Modelling stock return generating process as a single factor model, we show analytically that the relation between idiosyncratic volatility measured as variance of the residuals and expected stock return in the cross-section may be represented by a parabola that opens to the left and has...

During the last years the problem of card fraud expanded dramatically due to the growth of numbers of users, the increase number of ATM or POS transaction, internet or mobile payments. Together with this, the criminals become more sophisticated and the impact of losses generated by their actions...

Oil is a natural exhaustible resource, affected by depletion. It is one of the most important factors of production, but because is not a storable good, it can only obtain value by production and consumption (Elekdag et. al., 2008). This essay will first discuss the facts that would lead to a...

The article deals with the problems of mezzanine finance in relation to corporate bonds. Firstly, attention is paid to definition of mezzanine finance. The term mezzanine finance is used as a term for hybrid forms of financing that combine elements of debt and equity financing. Mezzanine finance...