In this article we find that value premium exist throughout our sample period 1998--2008. However, the predictability of Book-to-Market (B/M) ratio appears to be unrelated with financial distress risk. In fact, value stocks are less risky than growth stocks in terms of return volatility and...

This paper constructs a model with a dependent setting where the time between two claim occurrences determines the distribution of the next claim size. We derive the exact expression of the survival probability for the exponentially distributed claim sizes. For the generally distributed claim...

Local sensitivity for certain density bounded class of priors are considered. We give an exact form of the local sensitivity of the posterior mean and the posterior median, and also investigate the behavior of these local sensitivity measures for varying values of data in a specific example.

In a standard two-sector neoclassical model with distortions, capital mobility can render the steady state indeterminate, in the sense that there exist infinitely many convergent paths. In the closed economy with no international capital mobility, the utility function must be linear or close to...

The purpose of this paper is to characterize the possibility of indeterminacy in multisector growth models that exhibit constant marginal returns to scale at the social level, with empirically realistic small external effects. Our results demonstrate that indeterminacy does not require...

The continuous network design problem (CNDP) is characterized by a bilevel programming model and recognized to be one of the most difficult and challenging problems in transportation. The main difficulty stems from the fact that the bilevel formulation for the CNDP is nonconvex and...