This paper discusses how conditional heteroskedasticity models can be estimated efficiently without imposing strong distributional assumptions such as normality. Using the generalized method of moments (GMM) principle, we show that for a class of models with a symmetric conditional distribution,...

When financial statements are audited, a client and auditor may disagree about an accounting disclosure. While the disclosure of such a disagreement may increase the information content of a statement it may also be socially undesirable in that it signals a difference in views about the state of...

The hypothesis of market efficiency is typically rejected by standard variance-bounds tests which assume stationary asset prices. A number of researchers, however, argue that tests used in previous studies are inappropriate since asset prices appear to be generated by nonstationary processes. In...

A growing number of papers have applied option pricing techniques to the valuation of risky debt. This paper deals directly with how a firm's relationship to interest rates affects its debt. A sequential binomial model is used to price the zero-coupon bonds of a firm whose value is related to...

Faced with unprecedented competition, stock markets should have fairness and transparency. The effects of market transparency for the stock market volatility and liquidity will be investigated using the case of the Korean stock market. The evidence from this study indicates that increasing the...

This paper discusses the event study methodology, beginning with FFJR (1969), including hypothesis testing, the use of different benchmarks for the normal rate of return, the power of the methodology in different applications and the modeling of abnormal returns as coefficients in a...

This paper provides a theoretical explanation for the choice of payment terms under which a company sells its products. In our model, these terms are chosen to permit sellers or buyers to specialize at repairing defects if they are equally well-informed about quality or if one has significantly...