Based on several research studies and in particular the theoretical study of Prakash, de Boyrie, Hamid and Smyser (1997), it is known that the variance as well as the skewness of the probability distribution of rates of return increases if the investors' investment interval increases. In the...

In this paper, we test the predictive power of a nonparametric multivariate discriminant model to predict corporate bankruptcy. In contrast with the previous literature, we employ not only accounting ratios, but also market and microstructure variables. The most important finding are that market...

In this paper, we test the predictive power of neural networks to predict corporate bankruptcy. In contrast with the previous literature, we not only use nontraditional models and employ accounting ratios, but also market and microstructure variables. The most important findings are that market...

Polynomial goal programming, in which investor preferences for skewness can be incorporated, is utilized to determine the optimal portfolio from Latin American, US and European capital markets.The empirical findings suggest that the incorporation of skewness into an investors portfolio decision...

Since the introduction of modern portfolio theory by Roy (1952), Markowitz (1952) and Sharpe (1964) about half a century ago, the allocation of investment weights among various assets in a portfolio is one of the most important areas of research in finance. However, we are not aware of any study...

This study attempts to estimate the fundamental capital value of a growing firm by combining two separate capital valuation techniques, namely the corporate debt valuation of Merton (1974) and the rational pricing technique of internet companies of Schwartz and Moon (2000). For simplicity, the...

We attempt in this study to estimate the fundamental equity value of a firm by combining two separate capital valuation techniques, namely the corporate debt valuation of Merton (1974) and the rational pricing technique of internet companies of Schwartz and Moon (2000). We use the Black Scholes...