Many accounting and finance studies investigate the time-series properties of historical accounting records from corporate financial statements. Some of them have recognized the potential benefits of using disaggregated monthly accounting records. Disaggregated data are beneficial because one...

This paper investigates empirically the direct effect of option trading on the structure of costs that comprise the underlying equity bid-ask spread. Our results show that the spread declines over a 30-day period following initiation of option trading, but the decline vanishes when price,...

This paper re-examines the model of Kim, Abdolmohammada, and Klein (KAK, 1996) in which owners of a firm delegate the production decision to a risk-averse manager. Conflict of interest between the owners and the manager emerges as the latter maximizes the expected utility of his/her own wealth...

We use the multiple variance-ratio test of Chow and Denning (1993) to examine the stochastic properties of local currency- and US dollar-based equity returns in 15 emerging capital markets. The technique is based on the Studentized Maximum Modulus distribution and provides a multiple statistical...

This paper examines explanations for the association between Korean Chaebol, which are giant conglomerates supported by various government initiatives, and corporate debt and dividend policies. Unlike in the US, the Korean corporate sector is dominated by the Chaebol which are characterized by...

This paper builds on work by Thomadakis [1976] and Peyser [1981] who demonstrated that a disparity normally exists between the 'capitalization' rate and the 'cutoff' rate. Modigliani and Miller [1958] maintained that the two rates are equal in the absence of capital structure changes and...

Under Statement of Financial Accounting Standards Number Five, Accounting for Contingencies (SFAS 5), financial institutions record a provision for loan losses and establish loan loss reserves when impairment of a loan is probable and the loss can be reasonably estimated. Increasingly, Markov...

This paper develops a production based asset pricing model under the assumption of a stochastic discount rate. By solving Tobin's q explicitly, we first show that productivity shocks are the main source of the time-varying behavior of expected asset returns and then derive an equilibrium...

In a highly publicized example, a marketing and refining subsidiary of Metallgesellschaft controlled short term derivative positions reportedly equivalent to 160 million barrels of oil, 80 times the daily output of Kuwait. Presumably, the short term positions were taken to hedge oil contracts to...

This study tests the validity of the critical assumption underlying the option pricing model that the log form of the stock price movements follows the Wiener process, i.e., stock price movements follow a geometric Brownian motion. Using data compiled from the Taiwan Stock Exchange (TSE), this...