This study analyses the determinants of corporate liquidity for the U.S. property–liability insurance industry from 2006 to 2010. Unlike previous studies using the ordinary least squares (OLS) approach, this study applies the quantile regression (QR) method. The QR method provides further...

For treating multiple objectives decision making problems with fuzzy goals and different importance, various kinds of fuzzy goal programming (FGP) models have been developed in the past three decades. Among them, two most widely used methods are: (1) weighted FGP, where the importance of the...

Market reactions to non-fundamental news (or no-news) reverse for extreme firm information environments. A one percentage increase in intangible returns for small firms (large firms) lead to a 0.67% decrease (0.39% increase) in monthly returns over the next 12 months. The results are robust to...

We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a non-monotonic pricing kernel featuring jump variance risk premium. The model yields a closed-form option pricing formula and improves in...