This paper considers a 2-station-5-class re-entrant line with infinite supply of work. We obtain the necessary and sufficient condition for its corresponding fluid model to be stable. As an application of the result, the positive Harris recurrence of the 2-station-5-class re-entrant line is...

Purpose–The purpose of this paper is to investigate how insiders’ trades are executed and whether and how outside investors can mimic outperforming insiders and reap substantial portfolio returns that withstand the erosion from adjustments for both the standard factors and stock...

This paper examines the profitability of option-based merger arbitrage. A simple arbitrage strategy using stock options is designed to examine the merger arbitrage profitability from 1996 to 2008. This strategy takes long position on call options of target firms and put options of acquirer firms...

We consider the logarithm of the likelihood ratio between the sequence of the nonnegative integer valued random variables and the independent product distribution, establishing strong deviation theorems on the subset. As a corollary, we obtain classical strong laws of large numbers of Kolmogorov...

Purpose–The purpose of this paper is to conduct an empirical analysis of the trading performance of US corporate insiders. Design/methodology/approach–Based on the volume weighted average price (VWAP), the authors propose a metric to measure the trading performance of US corporate insiders:...

Purpose–The purpose of this paper is to provide some rational perspectives for the flight-to-liquidity event rather than simply attributing it to the change in investor sentiment. Design/methodology/approach–The paper builds a model to highlight the inherent difference in investors'...

We investigate the relationship between CEO performance pay incentives and firm productivity. In general, we find an inverse U-shaped relationship between productivity and the sensitivity of CEO wealth to share value (delta) and a positive relationship between productivity and the sensitivity of...

We identify firms according to two life cycle stages, namely growth and maturity, and test the pecking order theory of financing. We find a strong maturity effect, i.e., the pecking order theory describes the financing behavior of mature firms better than growth firms. Our findings show that...

We design modified value investing strategies in emerging equity markets by comparing a country's value weight with its market capitalization weight among a group of emerging countries. These strategies can be easily tested and implemented by using various country index funds. Our proposed...