This article examines the factors that are not considered in the Black-Scholes model in determining the price of warrants. Using the outstanding percentage as a threshold variable, we test for the existence of threshold effect in warrant prices. It is shown that for warrants with a low...

Azar (2007) argues that an appropriate market-based estimate of the US real social discount rate is 5.66%, with a 95% confidence interval ranging from 5.62 to 5.71%. However, this line of argument implicitly and wrongly equates the risk on public sector projects with that for the optimal...

Senior life settlements belong to the family of fixed income securities, however, because of the negative stream of cash flows generated by the payment of yearly premia p and the only one positive lump sum received at death of the senior life settler, contrary to the other fixed income...

This article examines the financial behaviour of Dutch pension funds during 2002-2005, a turbulent period characterized by stock market corrections and historically low interest rates. Especially for industry-wide funds, financial transactions remained consistent with rebalancing a strategically...

We analyse the country and industry impact on takeover premiums in Germany, France, the USA and the UK. We find that the level of takeover premiums is highly country specific. The industry only plays a minor role with the exception of the financial sector. Germany and France, both countries...

A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki's (2005) poly-model standardized prediction error criterion (SPEC) algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that...

This article investigates the day of the week anomaly in Africa's largest stock markets by looking at both the first and second moments of returns. We also incorporate market risk. We do not find day of the week effect in Egypt, Kenya, Morocco and Tunisia. However, there are significant daily...

This article applies the extended Box-Cox model to test functional forms of purchasing power parity (PPP) for nine new EU countries. It finds that the widely used double-log form for PPP can be rejected for eight countries except for the Czech Republic and that the unitary elasticity can be...

In this article we analyse the term structure of the Italian Government bonds after the adoption of Euro currency. In such a framework, we make use of the CIR model and deal with the degree of different volatilities of the maturities considered. To cope with this problem, we propose a simple...

This article re-examines the evidence that cay, the residual from a cointegrating regression of consumption on labour income and household wealth, is a useful predictor of excess stock returns in Australian data. In recursive samples beginning in 1976:q4 and ending from 1990:q1 to 2003:q1, cay...