This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector stocks while size factor is more generall...

(28 mg, 24 µmol) was dissolved in a mixture of ethanol (2 mL) and water (1 mL). Pd/C 10% (12 mg) was added and the solution was stirred. Vacuum and H 2 were alternated and the mixture was allowed to stir under H 2 overnight. The mixture was filtered off through Celite and concentrated. The residue was dissolved in water and filtered through a 0.45 µm syringe filter and concentrated. The residue...

Evidence indicates that people fear change and the unknown. We model this behavior as familiarity bias in which individuals focus on adverse scenarios in evaluating defections from the status quo. The model explains portfolio underdiversification, home and local biases. More importantly, equilibrium stock prices reflect an unfamiliarity premium. In an international setting, our model predicts t...

This paper uses a simple model of mean-variance capital markets equilibrium with proportional transactions costs to analyze the competition of stock markets for investors. We assume that equity trading is costly and endogenize transactions costs as variables strategically influenced by stock exchanges. Among other things, the model predicts that increasing financial market correlation leads to ...

During the latter part of the 1990s the introduction of the euro, the dramatic increase in the supply of venture capital in most EU countries, and the creation of several ‘new’ equity markets targeted at innovative firms have dramatically transformed the financing prospects of European entrepreneurial firms. In this study we contribute to a deeper understanding of their actual relevance by (i) ...

In the nineteenseventies, James Tobin suggested the introduction of a transaction tax on the currency market to cope with exchange rate volatility. We investigate the consequences of the introduction of such a tax on an asset market model from a game-theoretic and an experimental point of view. Our main results include in respect to our model that contrary to the situation in game-theoretic equ...

Contributing to the literature on local bias, we examine how the direct and indirect network ties of financial intermediaries mitigate two types of information problems, the identification of investment opportunities and the evaluation of their quality. In our analysis of the non-domestic IPOs and trade sales exits of European venture capitalbacked companies, we find that direct and indirect ne...

For most of the postwar period, Europe’s capital markets remained largely closed to international capital flows. This paper explores the costs of this policy. Using the familiar event-study methodology, we examine the extent to which restrictions of current and capital account convertibility affected stock returns. We find that the delayed introduction of full currency convertibility increased ...

This paper is devoted to research the validity of options strategies with a particular emphasis on weekly options. The author proves that options, when traded successfully, could be better substitute than buying or selling underlying and good given volatility strategy well capitalised stocks give superb results. analysed simple using moving average bollinger bands US market. Then new capital al...

This paper analyzes extreme co-movements between the Australian and Canadian commodity currencies, and the gold and oil markets respectively, within a multivariate extension of the Hawkes-POT model. The intensity of extreme events in the Australian dollar are influenced by extreme events in gold, while the size of extreme events in the Canadian dollar are driven by extreme events in crude oil. ...