Using multiple discriminant analysis, we construct an index that measures firms' external financial constraints in an Australian setting. We form portfolios of firms based on our financial constraints index and find that financially constrained firms earn lower return than their unconstrained...

We study the suitability of using absolute risk aversion as a measure of willingness to take risk in the Arrow-Debreu portfolio framework. We define a global measure of risk for the Arrow-Debreu portfolio, which is measured by the sensitivity of an individual's Arrow-Debreu portfolio payoff to...

We jointly study the impact of financial constraints on Australian companies' investment decisions and demand for liquidity. By examining a large sample of Australian firms over the period 1990-2003, we find that financial constraints not only reduce the sensitivity of investment to the...

This paper examines the cross-sectional determinants of post-IPO long-term stock returns in China. We document that the aftermarket P/E ratio has the most robust negative association with post-IPO stock returns. The negative relation indicates that the market corrects the aftermarket...

Three different techniques for the estimation of a time-varying beta are investigated: a bivariate GARCH model, the Schwert and Seguin approach, and the Kalman filter method. These approaches are applied to a set of monthly Morgan Stanley country index data over the period 1970 to 1995 and their...