In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a general equilibrium infinite-horizon economy with heterogeneous agents and collateral constraints. There are two assets in the economy which can be used as collateral for short-term loans. For the first asset the margin requirement is exogenously regulated while the margin requir...

Various researches have been carried out about benefits of accounting information and their influence on decision making of financial statements users. For example, many researches have examined the relationship between accounting variables and stock returns or stock price. This study determines and compares the relative and incremental content of accounting variables, too. For this purpose, th...

In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi- absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with...

Both stochastic dominance and Omegaratio can be used to examine whether the market is efficient, whether there is any arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the relationship between stochastic dominance and the Omega ratio. We find that second-order stochastic dominance (SD) and/or second-order risk-seeking SD (RSD) alon...

The present study is an attempt toward evaluating the performance of portfolios and asset selectionusing cross-efficiency evaluation. Cross-efficiency evaluation is an effective way of ranking decisionmaking units (DMUs) in data envelopment analysis (DEA). Conventional DEA models assume nonnegativevalues for inputs and outputs. However, we know that unlike return and skewness, varianceis the on...

Dividend Payout Ratio (DPR) pada perusahaan makanan dan minuman mengalami fluktuasi selama 6 tahun terakhir, dalam hubungannya dengan pendapatan dividen, para investor umumnya menginginkan pembagian dividen yang relatif stabil, karena adanya stabilitas dapat meningkatkan kepercayaan terhadap sehingga mengurangi ketidakpastian menanamkan dananya di tersebut. Penelitian ini dilakukan untuk menget...

Tujuan dari penelitian ini adalah untuk mengetahui pengaruh net profit margin dan return on assets terhadap effective tax rate pada perusahaan subsektor makanan minuman. Dalam data yang digunakan sekunder dengan sampel sebanyak 7 30 terdaftar di BEI Adapun model regresi dipergunakan dalam menggunakan Analisa Regresi Berganda. Hasil secara uji t (parsial) menunjukan bahwa berpengaruh rate. Sedan...