In this article we propose a method for testing nonstationary cycles in financial time series data. We use a procedure that permits us to test unit root cycles in raw time series. The test has several distinguishing features compared with other procedures. In particular, it has a standard null...

I investigate the effects of R&D progress on the dynamics of stock price volatility and the post announcement drift to provide insights into whether or not and how capital markets react to corporate R&D progress in the context of the biotech industry. I find both stock price volatility and the...

We propose a model for pricing both European and American Asian options based on the arithmetic average of the underlying asset prices. Our approach relies on a binomial tree describing the underlying asset evolution. At each node of the tree we associate a set of representative averages chosen...

Although prior studies offer various conjectures on the causes and consequences of order preferencing, there is only limited empirical evidence. In this study, we show that the extent of order preferencing is significantly and negatively related to both the adverse-selection component of the...

This paper aims to study and provide empirical evidence on the impact of mergers and acquisitions (M&A) and joint ventures on the value of IT and non-IT firms. Using the event study methodology, we investigate the effect of such strategic alliance announcements on firm value in a sample of 170...

Ritchken and Trevor (1999) proposed a lattice approach for pricing American options under discrete time-varying volatility GARCH frameworks. Even though the lattice approach worked well for the pricing of the GARCH options, it was inappropriate when the option price was computed on the lattice...

We develop a bivariate binomial model to price Mortgage Servicing Rights (MSRs). Our model is an improvement over previous MSR pricing models by explicitly incorporating the realistic assumptions that there are additional costs involved in servicing delinquent loans. In addition to the Hilliard...

Although prior research has examined the effect of patent citations on Tobin's Q in a variety of environments, in this study we examine whether the parameters are affected by stage of a company in the value chain. Unlike other national semiconductor firms, Taiwanese semiconductor firms typically...

This study examined the relationship between disclosure and the cost of capital. Prior studies empirically testing this relationship provided mixed findings, and also raised several concerns, such as the endogeneity of disclosure, the information disclosure environment, and the sample size. This...

We study underwriting relationships in the floating rate debt market, where many issuers have a large number of offerings. We find that frequent issuers maintain close relationship with only three to five underwriters and pay significantly less underwriting fees than infrequent issuers. The...