Parametric production frontier functions are frequently used in stochastic frontier models, but there do not seem to be any empirical test statistics for its plausibility. To bridge the gap in the literature, we develop two test statistics based on local smoothing and an empirical process,...

This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous recursive preferences. We consider a pure exchange economy with two classes of investors who have different relative risk aversions and different elasticities of intertemporal...

In this paper we present a method for determining optimal trading strategies for Ito diffusion processes. By framing the problem in terms of the first passage time for the process we derive distribution and density functions for the trade length and use these functions to calculate the expected...

This paper proposes a new way of decomposing net present values and net final values in periodic shares. Such a decomposition generates a new notion of residual income, radically different from the classical one available in the financial and accounting literature. While the standard residual...

This paper analyzes the links between the firms investment technology and financial asset prices within a general equilibrium production economy. The model assumes that real investment is irreversible and subject to convex adjustment costs. It shows how these basic features of real investment...

The determination of leading indicators of stock market returns is of interest to both practitioners and academics. This paper analyses the validity of the recent macroeconomic factors indicated in the literature as providing a reliable indication of Australian stock market returns and concludes...

This paper uses a systems-based analysis across 137 countries over the period 2002~2017 to identify if there are macroeconomic characteristics that discern low, middle- and high-income countries and countries ranked by GDP per capita quartiles. The analysis identifies defining characteristics...

In this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another asset if it has a higher Sharpe ratio and/or Omega ratio. We find that Sharpe ratio rule could not detect preference of both risk averters and...

We derive new statistical tests for leave-one-out cross-validation of Kriging models. Graphically, we present these tests as scatterplots augmented with confidence intervals. We may wish to avoid extrapolation, which we define as prediction of the output for a point that is a vertex of the...

The Treasury lock is a common pre-hedging derivative strategy the Street offers to their corporate clients. We provide a justification of the common practice of booking a short position in the Treasury lock as a forward contract on the underlying benchmark and a short position in the...