Yang and Qiu proposed and then recently improved an expected utility-entropy (EU-E) measure of risk and decision model. When segregation holds, Luce et al. derived an expected utility term, plus a constant multiplies the Shannon entropy as the representation of risky choices, further demonstrating the reasonability of the EU-E decision model. In this paper, we apply the EU-E decision model to s...

and we acknowledge the contributions of participants at these conferences. All errors or omissions are our own. Abstract Were Australian Internet stock returns unusual? We examine daily returns on a primary sample of the 21 Australian Internet stocks in the Merrill Lynch (Australian) Internet Stock Index at the climax of the boom-bust period, between 21 September 1999 and 20 September 2000. App...

The first study for this dissertation develops a tax-adjusted cost-of-carry model for Australian stock index futures and estimates the value of the debt tax shield, cash dividends and imputation tax credits flowing from the basket stocks in the index. As discussed in the previous chapter, the study relaxes the assumption made in previous research that interest and dividends receive the same tax...

A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the newly emerged dataset from the Internet, this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns. The empirical results show that 1) the Search Frequency of Baidu Index (SFBI) can predict next day’s price changes; 2) the stock prices go up...

Background: Internet finance has grown rapidly in China over the past years. Through introducing internet finance’s “reducing management cost” and “raising capital cost” effects into bank risk-taking model, this paper systematically investigates the dynamic and heterogeneous influence of internet finance on China commercial banks’ risk-taking. Methods: Using internet finance index based on “tex...

Article history: Received 31 July 2008 Received in revised form 27 July 2009 Accepted 29 April 2010 Available online 16 May 2010 Complex networks are constructed to study correlations between the closing prices for all US stocks that were traded over two periods of time (from July 2005 to August 2007; and from June 2007 toMay 2009). The nodes are the stocks, and the connections are determined b...

I ran Insurance Company intends to raise its financial credit and render enhanced services to the insured and the public. The need to meet financial obligations arising from the claims requires determination of the optimum deposited claims reserve with banks. Therefore, the present research study aimed at finding the loss ratio (incurred losses to premiu...

This study aimed to predict the JKII (Jakarta Islamic Index) price as a index of sharia stocks and loss risk. uses geometric Brownian motion (GBM) Value at Risk (VaR; with Monte Carlo Simulation approach) on daily closing from 1 August 2020–13 2021 risk 16 2021–23 2021. The findings this were very accurate for predicting MAPE value 2.03%. Then, using VaR approach, prediction (one-day trading pe...

This paper investigates the performance and characteristics of survivor stocks in S&P 500 index. Using both in-sample out-of-sample comparisons, outperformed this market index by a considerable margin. Relative to other companies, tend be small-value that exhibit high profitability invest conservatively. Surprisingly, loser with negative exposure momentum factor. Further analyses show volat...