We consider the robust hedging problem in which an investor wants to super-hedge an option in the framework of uncertainty in a model of a stock price process. More specifically, the investor knows that the stock price process is H -self-similar with H ∈ (1/2, 1), and that the log-returns are Gaussian. This leads to two natural but mutually exclusive hypotheses both being self-contained to fix ...

This study examines the relationship between global economic policy uncertainty (GEPU) and bitcoin prices (BCP) employing rolling window method. The full sample test shows that there is no causality GEPU BCP. However, causal variables can be different when considering structural changes. finding of indicates in subsamples. It has found both positive negative bidirectional causalities BCP across...

A behavioral representative investor who evaluates a single risky asset based on cumulative prospect theory will often induce high kurtosis, negative skewness, and persistent autocorrelation into the distribution of market returns even if the asset payoffs are merely a sequence of independent coin tosses. These findings continue to hold even when the investor is simply loss averse.

This study examines investor herding behavior in Pacific-Basin equity markets. We find that herding is present in both rising and falling markets. Importantly, the level of herding is time-varying. We also find that herding is positively related to stock returns, but negatively related to market volatility. Herding estimates across markets are positively correlated, signifying co-movement of in...

The board of directors’ role is paramount in businesses because it reflects the organisation’s ability to earn investor confidence and improve financial performance. This paper aims examine relationship between environmental social (ES) information disclosure firm performance interaction effects meetings on ES Malaysian publicly traded firms from 2013 2017. article contributes theoretical found...

Article history: Using objective measures Received 4 January 2008 Received in revised form 3 December 2008 Accepted 8 December 2008 Available online 14 December 2008

Executive Compensation and Investor Clientele Executive compensation has increased dramatically in recent times, but so has trading volume and individual investor access to financial markets. We provide a model where some managers may understate asset values through misleading statements in order to have enough of a cushion to compensate themselves. Owing to a lack of sophistication or näıveté,...

We examine the differential impact of Regulation Fair Disclosure (Reg FD) on firms with an established professional investor relations (IR) presence at the time of the regulation. About 25% of publicly listed firms employ a professional IR member yet we know relatively little about the role of IR. We find IR firms more than double their level of public disclosure post-Reg FD consistent with Reg...