In this paper, a model is set up for valuing a firm with stochastic earnings. It is assumed that the earnings of the considered firm follow a time-varying mean reverting stochastic process. It is shown that the value of the firm satisfies a boundary value problem of a second-order partial...

In this paper, we use event study methodology to examine the effect of two highly publicized accounting failures, at Enron and WorldCom both audited by Arthur Andersen, on the total stock returns of some companies in the UK also audited by Arthur Andersen. The results vary substantially between...

This paper is concerned with some corporate governance issues related to newly listed firms in China based on a sample of 329 firms commencing listing on Shanghai Stock Exchange (SHSE) and Shenzhen Stock exchange (SZSE) during the period from 1998 to 2000. We first investigate the impact of...

This paper investigates arbitrage opportunities from the Australian market using the futures and futures option contracts traded on the Sydney Futures Exchange (SFE) within a put-call-futures-parity (PCFP) framework. A thorough ex post analysis is first carried out. Tick-by-tick transaction...

This paper is concerned with the relationship between the adoption rate of Internet banking and electronic connectivity. Electronic connectivity is measured using three components: personal computer connectivity, Internet connectivity and mobile phone connectivity. Regression is used to analyse...

In this paper, we consider the optimal asset allocation problems under VaR constraints. It is shown that the separation property holds to a certain extent. The optimal allocation of funds in risky assets is dependent on the distribution of the returns of risky assets and the VaR level, but...

This paper is concerned with arbitrage efficiency of the Nikkei index option contracts traded on the Osaka Securities Exchange ( OSE) within the put-call parity (PCP) framework. A thorough ex post analysis is first carried out. The results reveal a modest number of violations with 2.74 percent...

This paper is concerned with the potential profit opportunities in trading calendar spreads of 90-day Bank Accepted Bill (BAB) futures contracts on the Sydney Futures Exchange (SFE) during the 1990s. It is shown that statistically significant gross profits can be generated by a naïve strategy...

It is well known that extreme share returns on stock markets can have important implications for financial risk management. In this paper, we are concerned with the distribution of the extreme daily returns of the Shanghai Stock Exchange (SSE) Composite Index. Three well-known distributions in...