This paper provides a set of empirical tests of the cross-sectional variation of stock volatility and investablility, where investability is defined as the degree to which a stock is accessible to foreigners. Unlike previous studies, which focus on market volatility and market return, we study the relationship between individual stock return volatility and its investablility. Our findings have ...

In his seminal work, Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that incorporating the well-established time-varying return dynamics across trading and nontrading periods can produce a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisin...

markowitz, in his portfolio selection theory, stated that investors select their portfolios according to two criteria of risk and return. accordingly, he presented his mathematical model. one of the criticisms of this model is that while investors, practically, consider different criteria in forming their portfolios, it only considers the return mean and return standard deviation. liquidity is ...

In this paper, a multi-outsourcer and multisupplier R&D outsourcing model with input spillovers is proposed to study the R&D outsourcing policies of outsourcers and R&D suppliers. The optimal outsourcing policies of outsourcers and the optimal investment policies of suppliers are obtained and the effects of outsourcing parameters on the policies of outsourcers and R&D suppliers are analyzed. It...

Article history: This paper explores whether the relevance of a conditional multifacReceived 12 July 2012 tor model and autocorrelation in predicting the Russian aggregate Received in revised form 2 October 2012 stock return fluctuates over time. The source of return predictability is Accepted 16 December 2012 shown to vary considerably with information flow. In general, Available online 22 Dec...

This paper examines the risk and return of the so-called capital structure arbitrage, which exploits the mispricing between a company’s debt and equity. Specifically, a structural model provides a connection between a company’s equity price and its credit default swap (CDS) spread. Based on the deviation of CDS market quotes from their theoretical counterparts, a convergence-type trading strate...

information asymmetry in stock market can increase the risk of investment which in turn increases the capital cost of firms. bhattacharya (1979) proposed a hypothesis that states dividend can act as a powerful signal in order to solve information asymmetry problem. we measured information asymmetry by lack of earnings transparency. therefore we examine the effect of earnings transparency on cap...