In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually considered payoff leads to a pricing which is not always defined, and the candidate numeraire one would use to define a pricing measure is not strictly positive, which would lead to a non-equivalent pricing measure. W...

Research has established that R&D-intensive firms are characterized by substantial future risk-adjusted stock returns. The reasons for this phenomenon and its policy implications, however, are widely debated. Some attribute the excess returns to investors‘ systematic undervaluation of R&D firms and argue for improved disclosure to mitigate the mispricing, while others claim that the excess retu...

Abstract This paper compares how pension obligations impact the market value of United States corporations under two accounting regimes. Using a sample firms that disclosed liabilities Statement Financial Accounting Standards (SFAS) No. 87 from 2001 to 2005 and recognized them SFAS 158 2006 2014, I find equity participants take into account net position fund only if it is on sponsor's balance s...

Abstract We extract dynamic conditional factor premiums from the Fama-French model and find that most anomalies disappear after one accounts for time variation in these premiums. Vector autoregression evidence shows mutual causation between alphas macroeconomic surprises serves as a core qualifying condition fundamental selection. This economic insight is an incremental step toward drawing dist...

This study examines the impact of market mispricing timing on short-term and long-term performance acquiring firms in context China's capital market. Using a comprehensive dataset A-share listed companies engaged mergers acquisitions (M&A) between 2007 2021, we investigate whether M&A activities conducted during periods overvaluation lead to enhanced while failing generate sustained ben...

This research aims to give empirical evidence of the impact independent corporate governance organ's busyness on earnings quality and market mispricing. utilized a sample non-financial firms. It investigated effect management persistence using random-effect panel data regression. Furthermore, Mishkin Test was used investigate The results showed that commissioners audit committees had positive i...

The house price-to-income ratio (PIR) is widely used as an affordability indicator. This paper complements the cross-sectionally focused literature by proposing a tractable model for PIR dynamics. Our predicts that very persistent and correlated to lagged aggregate output. Cross-country analysis confirms this prediction provides evidence long-term, positive significant relationship between prod...

One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than CAPM predicts and vice versa is mutual funds drive up demand high-beta stocks, leading mispricing. We find evidence Thai equity alter their exposure in response fund flows, but only incentivized where investors receive immediate tax benefits. argue benefit...

<p style='text-indent:20px;'>This paper studies the optimal portfolio selection for defined contribution (DC) pension fund with mispricing. We adopt general hyperbolic absolute risk averse (HARA) utility to describe performance of managers. The financial market comprises a risk-free asset, pair mispriced stocks, and index. Using dynamic programming approach, we construct Hamilton-Jacobi-B...