the impact of the management performance evaluation methods on the information quality in accounting will be studied in this paper. the information plays two roles in the market-oriented economies; first, it allows the investors to evaluate the potential opportunities of the investment (prospective role) and, secondly, it enables the investors to monitor how to allocate and use their capital by...

Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model. First, different from past studies in portfolios valued only in one currency, this model considers portfolios not only with jumps but also with exchange rate risk, that is vital ...

Conventional wisdom holds that dependence among geological prospects increases exploration risk. However, dependence also creates the option to truncate exploration if early results are discouraging. We show that the value of this option creates incentives for explorationists to plunge into dependence; i.e., to assemble portfolios of highly correlated exploration prospects. Risk-neutral and ris...

T study examines whether the framing mode (narrow versus broad) influences the stock investment decisions of individual investors. Motivated by the experimental evidence, which suggests that separate decisions are more likely to be narrowly framed than simultaneous decisions, we propose trade clustering as a proxy for narrow framing. Using this framing proxy, we show that investors who execute ...

In this paper, we assume that investors have the same information, but trade due to the evolution of their non-market wealth. Investors rebalance their portfolios in response to changes in their expected non-market wealth, and hence trade. Risky nonmarket wealth is non-hedgeable and independent of market risk, and thus represents an additive background risk. Investors who experience positive sh...

This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors’ trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the same portfolio of risky assets which is biased toward stocks of sectors that produce a socially preferred good. Price-dividend ratios, expected returns and return volatility are...

This article empirically studies the risk levels of individual pension portfolios, investment efficiency and also diversification investors in Türkiye with a novel administrative data month-end snapshots December 2019. To examine taking behavior, level Turkish investors, we compute beta coefficients, total together idiosyncratic systematic risk, Sharpe Ratio, loss from under-diversification inv...