This paper presents an alternate method for transforming financial ratios. Ratios are ranked and sealed into a uniform distribution with boundaries between 0 and 1. Conceptually, we suggest that this method solves a number of methodological problems associated with ratios, including constrained...

The purpose of this paper is to unify corporate acquisitions and divestitures (e.g., spin-offs, equity carve-outs and sell-offs) into a simple but comprehensive agency model where risk and managerial incentives interact to determine an optimal corporate governance and an incentive compensation...

In this paper we propose and test several hypotheses concerning time series properties of trading volume, price, short and long-term relationships between price and volume and the determinants of trading volume in foreign currency futures. The nearby contracts for British Pound, Canadian Dollar,...

This paper provides a unified approach for pricing contingent claims on multiple term structures using a foreign currency analogy. All existing option pricing applications are seen to be special cases of this unified approach. This approach is used to price options on financial securities...

We introduce ARFIMA-ARCH models, which simultaneously incorporate fractional differencing and conditional heteroskedasticity. We develop the likelihood function and we use it to construct the bias-corrected maximum (modified profile) likelihood estimator. Finite-sample properties of the...

This study examines the performance of three asset pricing models: the CAPM, the APT and the UAPT using observed expected returns from a three-phase dividend discount model with Value Line analyst estimates of future company-level earnings, dividends and growth rates. Our study is the first we...

This paper estimates the cost of equity capital for Property/Casualty insurers by applying three alternative asset pricing models: the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), and a unified CAPM/APT model (Wei, 1988). The in-sample forecast ability of the models is...

This paper examines the marginal benefits that accrue to U.S.-based multinational corporations through increased international investment. Specifically, the study seeks to determine if increased degrees of multinationality produce additional benefits for multinational firms in terms of excess...

This paper provides further evidence on the link between the firm's performance and the distribution of the common shares between insiders, blockholders and institutions. We endogenize the functional form of the market value--common equity structure relationship by using a switching regression...

This study examines bid-ask spreads to determine how the anticipation and release of earnings announcements affect information asymmetry in the stock market. I use regression analysis and find that bid-ask spreads are negatively related to public information availability and positively related...