In this paper, we provide an analytic valuation method for European-type contingent claims with multiple underlying assets under a stochastic market environment. We employ a twostate Markov regime-switching volatility in order to reflect the stochastically-changing market environment. The method is developed by exploiting the probability densities of the occupation times for which the underlyin...

This paper analyses the general equilibrium effects on asset valuation and capital accumulation of an exogenous drop in the rate of return required by investors in a model of production with imperfectly competitive product markets. The model improves substantially on the standard perfectly competitive neo-classical framework, by dissociating the behavior of marginal and average q. It tracks mor...

Using the Natural Resource Based View (NRBV) as our theoretical lens, green IS or sustainable IS is conceptualized as comprising the different dimensions of sustainability practices that can create competitive advantage for the organization. This study examines (i) the impact of adoption of sustainable IS on organizational performance; and (ii) the impact of the extent of adoption of sustainabl...

We review the basic principles for the evaluation of design efficiency in discrete choice modelling with a focus on efficiency of WTP estimates from the multinomial logit model. The discussion is developed under the realistic assumption that researchers can plausibly define a prior on the utility coefficients. Some new measures of design performance in applied studies are proposed and their rat...

The relationship between disclosure and cost of equity capital has always been interesting not only for managers, but for investors as well. Economic theory suggests that by increasing the level of corporate reporting firms not only increase their stock market liquidity, but they also decrease the investors’ estimation risk, arising from uncertainty about future returns and payout distributions...

This study aims to evaluate the non-market values of ecosystem services generated by wetlands in Southern Quebec. To accomplish this, we evaluated the value of wetland services related to 1) habitat for biodiversity, 2) flood control, 3) water quality and 4) climate regulation. Two non-market valuation methods are proposed, contingent valuation (CV) and choice experiment (CE). Our study aims to...

This study examines the role of pre-IPO discretionary accruals in the valuation and underpricing of IPOs. We find that IPO offer price is unaffected whereas market closing price is positively associated with the levels of pre-IPO discretionary accruals for issuers with aggressively reported earnings. We also find that this relative over-valuation of managed earnings by the markets explains a po...

The valuation of complex environmental goods represents a considerable challenge for conventional non-market valuation techniques. The use of life satisfaction (or happiness) data has recently emerged as a new means of placing monetary values on non-market goods and services. This approach offers several advantages over more conventional techniques. This paper uses data from the Household, Inco...

This paper develops an affine term structure for the valuation of money market funds. This valuation framework is then used to consider the economic implications of funds that are supported by a capital buffer. The main findings are twofold. First, relatively small capital buffers are capable of absorbing daily fluctuations between a fund’s shadow price and its amortized cost. For example, a fu...

This study examines various factors that potentially explain cross-sectional variations in UK firms’ managerial discretion to switch towards a market-based actuarial pension valuation method for pension funding and reporting purposes. Evidence is based on accounting, actuarial and share market data for an industry-matched pair sample of 62 UK firms. We find a significant relationship between th...