This paper presents a capital asset pricing model in the presence of asymmetric information and transaction costs. The model is a generalized version of Merton's (1987) model and Black's (1974) model. Empirical tests show a negative relation between the expected rate of return and the shadow...

The failure of the Black-Scholes (1973) model is now well documented in the literature. In this article, we discuss two alternative option valuation models whose volatility follows a stochastic process. Namely, the Heston (1993) closed-form solution model and the Hull and White (1988) model in a...

Asymmetric volatility in equity markets has been widely documented in finance (Bekaert and Wu (2000)). We study asymmetric volatility for daily Samp;P 500 index returns and VIX index changes, thereby examining the relation between extreme changes in risk-neutral volatility expectations, i.e....

This study examines the potential influence of the Federal Reserve policy on Bitcoin price dynamics. The empirical investigation is based on methodologies to quantify the influence of the Fed Funds rate on Bitcoin through linear, nonlinear and spillover effects. It covers a set of six...

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

Price regulation and competition patterns in the ethical drug industry in france This article gives the results of an econometric modelization of the ethical drugs price and quantity determination institutionnal process for France. From price and promotion elasticities, it is shown that...

Efficiency of financial markets is one of the most studied subjects in theoretical finance. Formalization of this idea is realised by the random walk model. Numerous tests have been developed to validate the hypothesis of identically and independently distributed innovations. But the results of...

Management control practices are influenced by different professional groups, their interpretations and power struggles. We study a company whose strategy and daily management rely on non financial stakes, notably upon the concept of “brand”. We show how management accountants introduce a...