Alcock and Carmichael (2008) introduce a nonparametric method for pricing American style options that is derived from the canonical valuation developed by Stutzer (1996). While the statistical properties of this nonparametric pricing methodology have been studied in a controlled simulation...

We study a unique data set in order to examine the performance of a sample of 169 global private equity real estate investment funds across the core, value-add and opportunistic investment style categories over the most recent property cycle (2001-2011). We employ a multi-factor asset pricing...

Progressive income taxation regimes can be modelled as a weighted portfolio of European Call options over an individual's gross taxable income. These options are struck at the tax bracket lower bound and weighted by the increment in the marginal tax rate. The government holds a long position in...

We examine the price of asymmetric dependence (AD) in the cross-section of US equities. Using a $\beta$-invariant AD metric, we demonstrate that the return premium for AD is approximately $47%$ of the premium for $\beta$. The premium for lower-tail AD equivalent to $26%$ of the market risk...

The decision of whether a firm should voluntarily liquidate, rather than continue trading, is a function of many parameters including uncertain future earnings, asset depreciation, and the firm's cost-of-debt. We develop an equity valuation model derived from the fundamental accounting equation...

We explore the prevalence of asset-price bubbles in Australian listed industrial equities and A-REIT markets. In contrast to the US listed stock markets, we find little evidence of asset-price bubbles in historical returns of Australian markets (1992-2016). Our findings are robust to the choice...

The leverage and debt maturity choices of real estate companies are interdependent, and are not made separately as is often assumed in the literature. We use three-stage least squares (3SLS) regression analysis to explore this interdependence for a sample of listed U.S. real estate companies and...