In this paper, we investigate the determinants of credit default swap (CDS) spread for the Japanese market, which is one of the major CDS markets in the world. Our assessment of literature indicates that there is a lack of related empirical research using data from the Japanese market. By analyzing data from 2001 to 2004, the empirical results show that the theoretical determinants, including l...

Recent research has proposed several ways in which overcon"dent traders can persist in competition with rational traders. This paper o!ers an additional reason: overcon"dent traders do better than purely rational traders at exploiting mispricing caused by liquidity or noise traders. We examine both the static pro"tability of overcon"dent versus rational trading strategies, and the dynamic evolu...

We investigate definable topological dynamics of groups definable in an o-minimal expansion of the field of reals. Assuming that a definable group G admits a model-theoretic analogue of Iwasawa decomposition, namely the compact-torsion-free decomposition G KH, we give a description of minimal subflows and the Ellis group of its universal definable flow SGpRq in terms of this decomposition. In p...

We document that market reactions to insider purchases and sales are different in terms of price and volume. With an extensive data set that covers the period from 1991 to 2006, we systematically segregate the asymmetric effects of these two types of insider transactions. We follow the design of previous studies (e.g., Basu, 1997; Ball and Shivakumar, 2005, Leone et al. 2006) to understand the ...

This paper explores some implications for valuation and investment of challenging the standard assumption that there are no aggregate pure profits in the US economy. First, it highlights the theoretical importance of monopoly rents for fluctuations in average Q. A series for such rents is then computed by assuming that production is Cobb-Douglas, as fluctuations in the output share of pure prof...

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. We show that the scaling exponents a...

This paper shows that if a very small, exogenously given probability of terminating the exchange is introduced in an elementary investment game, more reciprocators will choose the defection strategy. Everything happens as if they "hide behind probabilities" in order to break the trust relationship. Investors do not alter their behavior in a significant way, at least not for a very small externa...

Forecasting volatility has received a great deal of research attention. Many articles have considered the relative performance of econometric model based and option implied volatility forecasts. While many studies have found that implied volatility is the preferred approach, a number of issues remain unresolved. One issue being the relative merit of combination forecasts. By utilising recent ec...

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...

A hybrid energy system allows the integration of various technologies to meet demands competitively. These systems are widely used in rural areas with connection problems conventional electrical grid due their economic and environmental advantages. Thus, this paper presents design simulation a that evaluates suitability using generation sources such as photovoltaic energy, biomass, diesel grid,...