This paper devises and tests a state-dependent approach to forecasting the downside risk of financial assets. The approach has three merits. First, it proposes downside risk prediction conditional on the state of the real economy to recognize the countercyclical nature of financial risk. Second,...

Discoverability or visibility is a challenge that faces all researchers worldwide – with an ever increasing supply of good research entering the scholarly marketplace; this challenge is only becoming intensified as time passes. The global language of scholarly research is English and so the...

Share and option transactions are taxed differently, which means that the after-tax cash flows used to establish put-call parity will differ depending on which option is exercised. This paper derives the after-tax put-call parity relationship for European and American options with or without...

Writing an option is a taxable event for Australian investors. This method of taxation penalizes investors who hold open short option positions over the tax year end by accelerating their tax liability relative to the timing of the economic gain from writing options. This paper examines the...

Prior studies of call option early exercise either ignore personal taxes or simplify the impact of taxation. When making an early exercise decision, the option holder should compare the after-tax cash flows from exercise with the after-tax cash flows from selling the option. Due to the...