A Monte Carlo simulation is performed to investigate the finite sample properties of a nonparametric estimator, based on discretely sampled observations of continuous-time Ito diffusion process. Chapman and Pearson (2000) studies finite-sample properties of the nonparametric estimator of...

We use transaction level data for twelve stocks with large market capitalization on the Australian Stock Exchange to develop an empirical model for trade sign (trade initiator) inference. The new model is a piecewise linear parameterization of the model proposed recently in Ref. [1]. The space...

Several tests have been conducted to determine which valuation model best fits stock price data. Given very little success, those studies suggest the need for a clear understanding of the market process of stock price determination. This paper advances the concepts of product costing and product...

We consider the forestry decision-making and harvesting problem from the perspective of financial portfolio management, where harvestable forest stands constitute one of the liquid assets of the portfolio. Using real data from Finnish mixed borealis forests and from the Helsinki stock exchange,...

Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relation between morning sunshine at a country's leading stock exchange and market index stock returns that day at 26 stock exchanges internationally from 1982- 97....

This report follows up on a 1996 UNDP survey of microfinance activity in Vietnam. The need was not simply because of the five-year time lapse, but also because the larger multilateral donors were showing interest in funding microfinance activity, and it was therefore a good time to survey the...

We investigate whether the same finite dimensional dynamic system spans both interest rates (the yield curve) and interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the underlying yield curve. While three common factors are...

We propose a theory of information gathering agencies in a world of informational asymmetries and moral hazard. In a setting in which true firm values are certified by screening agents whose payoffs depend on noisy ex post monitors of information quality, the formation of information gathering...

Several trading rules are analyzed using all daily returns on every Ibex future contracts, since market data from MEFF was available on April 20th, 1992 till March 31st, 2000. The analyses are: calendar anomalies and technical indicators based on moving averages. In an informal test, results are...

This essay is a contribution to the empirical literature on the effect of inflation tax on capital structure. A simple empirical model considering the main results of the current theoretical development is studied, using microdata from a number of American corporations.