... Publishing Limited 2016 Asset allocation Diversification Stock returns Portfolio investment Investments Securities Over the last 15 years the financial markets have witnessed the dot.com boom and bust, low inflation, a real estate bubble bursting, the near collapse of the banking...

... sectors. In addition, tracking error is positively correlated with the daily volatility of the ETF, while trading volume has a limited effect on reducing tracking errors. Practical implications The paper sheds more light on the relationship between securities and their fundamentals, and contributes...

.... The extent of the positive returns for the rival dealers grows as new events unfold, and the dealers continue to steer clear of derivatives trouble. A broader industry portfolio of securities brokers, dealers, and advisors is affected negatively, indicating possible industry contagion. The cross‐sectional...

...Shuangzhe Liu; Milind Sathye; Fangcheng Hao; Hailiang Yang Purpose The purpose of this paper is to provide a scenario‐based risk measure for a portfolio of European‐style derivative securities over a fixed time horizon under the regime switching Black‐Scholes economy. Design/methodology...

...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...

...Shuangzhe Liu; Milind Sathye; Robert J. Elliott; Tak Kuen Siu; Alex Badescu Purpose The purpose of this paper is to consider a discrete‐time, Markov, regime‐switching, affine term‐structure model for valuing bonds and other interest rate securities. The proposed model incorporates the impact...

... as it is possible for managers to ascertain and compare own companies’ features. Originality/value The paper adds to the current literature regarding in‐depth analysis of the DRs market. Aleksandar Šević can be contacted at: a.sevic@tcd.ie © Emerald Group Publishing Limited 2010 Securities...

... Publishing Limited 2010 Capital gains Securities Dividends Pricing When a stock goes ex‐dividend, its price should drop by the dividend amount. However, empirical research has documented that the ex‐day price drop is significantly less than expected. The first explanation for this effect...

... Using daily security prices, such combinations are shown to have multi‐faceted wealth transfers and wealth creation. Findings In contrast with the wealth losses found in previous studies, wealth increases are observed for parent stockholders and bondholders in the spin‐off announcement and event...

... This paper develops the pros and cons of the OpenIPO process, vis‐à‐vis the traditional bookbuilding method, in light of the recent academic literature on securities auctions and the results of the OpenIPOs Hambrecht has conducted, as of mid‐2004. Findings The main advantage of the OpenIPO process...

...Don U.A. Galagedera; Don U.A. Galagedera Purpose The main aspect of security analysis is its valuation through a relationship between the security return and the associated risk. The purpose of this paper is to review the traditional capital asset pricing model (CAPM) and its variants adopted...

... term. The Jensen's model assumes that the systematic risk of the fund is constant over time. Such assumption has ignored the fact that fund manager can engage in market timing activities. As such, the Jensen's model attributes the fund's performance exclusively to the security selection ability...