The paper extends previous research on earnings persistence by (i) studying earnings persistence and market responses pertaining to earnings inclusive and exclusive of extraordinary items (EI), and (ii) establishing the dominating influence exerted by the existence of EI. Using data related to...

The paper extends previous research on earnings persistence by (i) studying earnings persistence and market responses pertaining to earnings inclusive and exclusive of extraordinary items (EI), and (ii) establishing the dominating influence exerted by the existence of EI. Using data related to...

This paper studies stock market returns in twelve countries with a special focus on Asian stocks and the Asian crisis. Under the turbulent conditions in 1997 and 1998, our approach is a conservative and cautious one. Specifically, we construct an international portfolio using a shortfall...

This paper models the effect of transaction costs and taxes on asset pricing in a multi-period setting. It extends the study by Demody and Rockafellar (DR)(1991), where is was shown that term structure valuation is agent-specific owing to agents' different tax classes, and that a multiplicity of...