On an investment-consumption model with transaction costs, SIAM J. Abstract. This paper considers the optimal consumption and investment policy for an investor who has available one bank account paying a fixed interest rate and n risky assets whose prices are log-normal diffusions. We suppose that transactions between the assets incur a cost proportional to the size of the transaction. The prob...

We study a model that incorporates a budget constraint in a decision making problem. Our goal is to maximize the expected wealth, where in each time period we can either stop the business getting our current wealth or to continue one additional time period and getting a random revenue. We show that when the wealth is scalar, the problem is NP-hard and we provide an FPTAS. However, when the weal...

Stock price crash risk is very serious in China's capital market, which seriously harms the interests of investors and resource allocation efficiency market. However, there limited evidence on determinants stock China, especially from perspective informal institutions. Using a corporate level dataset Chinese listed companies, this paper aims to study effect media coverage moderate investor prot...

The paper analyzes the information and agency cost effects of bank equity stakes in a universal banking system where banks can also be shareholders in borrowing firms. We test the agency and signaling hypotheses explaining the bank motivations for holding equity of borrowing firms in the Spanish market and we analyze the share abnormal returns around the announcements of bank equity holdings. T...

Purpose The purpose of this paper is to examine the impact corporate governance, investor sentiment and financial liberalization on downside systematic risk interplay socio-political turbulence relationship through static dynamic panel estimation models. Design/methodology/approach evidence based a sample 230 publicly listed non-financial firms from Pakistan Stock Exchange (PSX) over period 200...

We examine the problem of setting optimal incentives to a portfolio manager (to be employed by an investor through a contract) making an ambiguity-robust portfolio choice with respect to estimation errors in expected returns. We consider a one-period model with a set of risky assets (with multivariate normal returns) whose expected returns are estimated with uncertainty and a linear sharing rul...

Consistent with myopic loss aversion, previous laboratory experiments have found that subjects are more willing to invest in risky assets if they are given less frequent feedback about their returns, are shown their aggregated portfolio-level (rather than asset-by-asset) returns, or are shown long-horizon (rather than one-year) historical asset class return distributions. In this paper, we find...

Board Independence and Corporate Governance: Evidence from Director Resignations. (May 2005) Manu Gupta, B.E., South Gujarat University; M.I.B., Indian Institute of Foreign Trade Chair of Advisory Committee: Dr. L. Paige Fields As evident from recent changes in NYSE and Nasdaq listing requirements, board independence is considered an important constituent of firms’ corporate governance structur...