... the prices of the funds' underlying securities more efficient. 1. the search for a stock lender can be costly and time‐consuming, especially in non‐centralized shorting markets; and 2. stock loans are usually not term loans, which increases recall risk or buy‐in risk. The lender of the stock...

...Peter Miu; Narat Charupat; Dennis Y. Chung; Karel Hrazdil Purpose The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology developed by Chordia et al. Design...

... and their characteristics. The paper then examines the key factors and findings of the existing studies on, respectively, the pricing efficiency, the tracking ability/performance, and the impact on underlying securities of exchange‐traded funds. Findings Although there has been a substantial amount of research...

...Peter Miu; Narat Charupat; Stoyu I. Ivanov Purpose The purpose of this study is to extend the work of DeFusco, Ivanov and Karels by examining pricing deviation of DIA, SPY and QQQQ on intradaily basis. Design/methodology/approach The DIA is designed to be one hundredth of the DJIA, the SPY...

... on the degree of SEO underpricing. Three‐stage least square estimation was used to address the possible endogeneity of pricing and earnings smoothing. Findings Smooth earnings performance resulting from discretionary accruals is negatively related to SEO underpricing and improves earnings informativeness...

...K. Stephen Haggard; H. Douglas Witte Purpose The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects. Design/methodology/approach The authors suggest the use of an F‐test to examine mean stationarity of asset pricing effects...

...Shuangzhe Liu; Milind Sathye; Takeaki Kariya; Fumiaki Ushiyama; Stanley R. Pliska Purpose The purpose of this paper is to generalize the one‐factor mortgage‐backed securities (MBS)‐pricing model proposed by Kariya and Kobayashi to a three‐factor model. The authors describe prepayment behavior due...

...Susana Yu; Richard Lord; Jeff Whitworth; Yi Zhang Purpose The purpose of this paper is to show how recent capital gains affect ex‐dividend stock pricing. Traditional models assume that investors are motivated to sell a stock before its ex‐date to avoid paying higher taxes on dividends. However...

... Pricing In their influential work, Fama and French (1995) conclude that a pertinent question about their size and book‐to‐market factors which remains to be answered is to find “the underlying economic state variables that can generate variations in earnings and returns related to size and [book...

...Monzurul Hoque; David Basterfield; Thomas Bundt; Kevin Nordt Purpose The purpose of this paper is to explore risk management models applied to electric power markets. Several Value‐at‐Risk (VaR) models are applied to day‐ahead forward contract electric power price data to see which, if any, could...

... with the price of the underlying asset, and may be significantly smaller than that of a non‐vulnerable put. Because of deadweight costs associated with bankruptcy, delta and gamma are undefined for some values of the underlying asset. Rho may be considerably higher while vega may be smaller than for non...

... to the evaluation of leasing. Design/methodology/approach The evaluation approach is based on a model that takes into account both the real factors (the market value of the asset) and the financial aspects of the lease (interest rates on the market). The leasing price is arrived at by taking the sum...

.../methodology/approach The evaluation of the lease contract is achieved by applying the theory of option pricing as the lessor is the writer of a call option on the leased asset. A sensitivity analysis on some parameters is performed. Findings The paper disentangles the components of the profit of a lease...

... a higher price also remains open. In the legislative hypothesis, it is assumed that issuers underprice the stock so as to safeguard themselves against any possible court action by subscribers to the issue. However, in Sri Lanka there has been no past history of such court action and it may not be a reason...

... of the IPOs is estimated by two calculated formulas widely used in international empirical studies: the raw returns and the excess or adjusted returns. The raw returns are those that compare the price of the share(i) at the time λ and at time x, where (x  − λ) is the number of the days...

... of the Official Cash Rate in March 1999. A related finding is that the size of the term premium is correlated with the volatility of short‐term rates. © Emerald Group Publishing Limited 2004 Pricing Money Financing New Zealand Australia Managerial Finance 36 Estimates of time-varying term premia...

... purpose is to present broad lessons from the experiences of these countries that could be helpful to understand the behavior of stock markets under severe financial crisis. Several new results are found: (1) There were local price bubbles prior to the market crash in each country. (2) Price momentum may...

...Joseph T. Salerno The theory of monopoly price was originally formulated by Carl Menger at the inception of the marginalist revolution in 1871 and represented the dominant theoretical approach to monopoly until the 1930s. Despite its impeccable doctrinal pedigree and lengthy dominance, the theory...

...Jui‐Chi Huang; Tantatape Brahmasrene This study examines the impact of expectations on the market share mechanism. The dynamic strategic pricing behaviors in the short‐run and the long‐run are also explored. The exchange rate expectations are incorporated into a switching cost model via the method...

... and issues managed by reputable merchant bankers; and analyses 1992‐1994 data on 386 IPOs to assess their performance. Shows that issues with high risk and/or smaller offer prices are more underpriced; and that returns are strongly correlated with subscription levels. Discusses the underlying reasons...