Throughout their history, puts and calls [1] on common stock have been criticized as mere gambling opportunities. Recently, the creation of listed options on the Chicago Board Options Exchange, the American Stock Exchange and three regional exchanges in the United States, has given new respectability to options as investment vehicles. By year-end 1977, listed options to 217 common stocks were a...

In this journal, Best, Best and Yoder (2000) recently demonstrated that portfolios of US value stocks dominate portfolios of US growth stocks in terms of second-order stochastic dominance (SSD). However, we cannot conclude from this finding that the market is SSD inefficient, because market portfolio efficiency generally does not require growth portfolios to be efficient. Furthermore, stochasti...

Forecasting Value-at-Risk (VaR) for financial portfolios is a staggering task in financial risk management. The turmoil in financial markets as observed since September 2008 called for more complex VaR models, as ”standard” VaR approaches failed to anticipate the collective market movements faced during the financial crisis. Hence, recent research on portfolio management mainly focussed on mode...

The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and...

We analyze the factors that affect security issuance and its impacts on the volatility of stock returns before and after the issuance under heterogeneous beliefs and short sale constraints using the issuing sample of convertible bonds, corporate bonds and stocks in China’s security market during 2007 to 2012. The empirical tests identify that abnormal turnover can portray heterogeneous beliefs ...