Price clustering is the tendency of prices to be observed more frequently at some numbers than others. It results from human bias and from haziness or imprecise beliefs about underlying value. To many Chinese, the number quot;8quot; is salient because it is considered quot;luckyquot;, while...

We examine the link between the accuracy of consensus analysts' dividend forecasts, earnings predictability and dividend policies of firms in 39 countries from 1995 to 2004. For firms that display stronger dividend smoothing, as modeled by Lintner (1956), there is a lower correlation between...

We examine detailed daily Australian Stock Exchange share registry data for investors in IPO and index stocks between 1995 and 2000 and find that the quot;disposition effectquot;, investors' reluctance to crystallise losses and relative eagerness to realise gains, is pervasive across investor...

Employee stock options (ESOs) are a popular way of remunerating employees. We analyse factors at the firm and option level affecting the employee's decision to exercise ESOs before they mature. Exercises over the period 1998-2004 are analysed and the key factor influencing early exercise is...

Accounting standards require companies to assess the fair value of any stock options granted to executives and employees. We develop a model for accurately valuing executive and employee stock options, focusing on performance hurdles, early exercise and uncertain volatility. We apply the model...

Can an understanding of mood help us understand aspects of systematic risk, volume and portfolios' exposure to systematic risk during bear-market regimes? We hypothesize that bear markets are associated with negative emotions: either a low-arousal negative state (e.g. sadness and depression) or...

The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' concerning financial series, and is now almost routinely used in a wide range of situations, often...