The turn-of-the-month effect in U.S. equities is found to be so powerful in the 1926-2005 period that, on average, investors received no reward for bearing market risk except at turns of the month. The effect is not confined to small-capitalization or low-price stocks, to calendar year-ends or...

A turn-of-the-month effect in U.S. equity returns was initially identified by Lakonishok and Smidt (1988) using the DJIA for the period 1897-1986. According to the turn-of-the-month effect, equity returns over the interval beginning the last trading day of the month and ending three days later...

This paper shows the Fokker–Planck equation of a dynamical system driven by quasimonochromatic noise. Based on the Fokker–Planck equation and the definition of Shannon's information entropy, the exact time dependence of entropy flux and entropy production for the system is calculated. The...

Regarding the collapse of a special type of soil erosion in mountain areas. Studying its types, processes and stages can provide a scientific basis for prediction. Collapses can be classified into three types, natural, man-made and compound, and each type can be subdivided into four kinds,...

In this paper, we consider the optimal selling strategy for an asset securitization originator (the issuer) when the potential buyers hold diverse beliefs. We find that the tranching process is beneficial to the issuer because it increases the total sale price. We also consider the optimal...

In this paper, we provide evidence that trading driven by investors' behavioral biases contributes to stock return momentum. In particular, we focus on two types of irrational trading, momentum trading and confidence-influenced trading, which could be driven by psychological biases introduced by...

Replaced with revised version of paper 06/17/08.

In this article we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a de-correlation analysis is...

A remarkable disagreement/deviation between the rate of ISO 14001 registration and the rate of implementation of environmental impact assessment in the Chinese construction industry indicates that the contractors there might not have really applied environmental management (EM) in construction...

This article develops an Indifference Pricing model for a weather derivative that is traded over the counter. The model is used to calculate ask and bid prices for a put option on a weather index in Germany. We find that under moderate risk aversion the maximal bid prices of grain producers...