This paper proposes a new approach to the statistical inference of continuous-time asset return models with latent or unobserved state variables using high frequency return observations. We construct unbiased minimum-variance estimators of the latent variables that are also consistent with the model specification. We illustrate using examples the construction of unbiased minimum-variance estima...

Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the number of the states of the world that determine the return of the asset. We study the transition from markets where prices do not reflect the information accur...

Penelitian ini bertujuan untuk menguji pengaruh current ratio, debt to asset dan equity ratio terhadap return on asset. Populasi yang diambil sebagai objek penelitian sebanyak 20 perusahaan pada manufaktur subsektor garmen tekstil terdaftar di Bursa Efek Indonesia periode 2014-2018, dengan metode pengambilan sampel yaitu purposive sampling, sehingga diperoleh jumlah observasi 7 perusahaan. Hasi...

The fundamental equation of asset pricing states that the expected timeand risk-adjusted cumulative return on any asset equals one at all horizons. This paper shows that for a typical asset, the realized timeand risk-adjusted cumulative return tends to zero with probability one. Just two assumptions are required: limited liability and no arbitrage. This apparent paradox is resolved by a further...

Risk management and asset pricing benefit from simple functional descriptions of the distribution of real asset returns. Recently, several authors have proposed that asset returns in real stock markets are distributed according to a hyperbolic distribution. While asset returns are generated by trades over time, the natural question is: What does economic theory imply concerning return distribut...

ABSTRACT
 Purpose - This study aims to analyze the influence of current ratio, return on assets, debt asset ratio financial distress during pandemic in sub-sector companies listed IDX.
 Research Method The sampling technique was purposive based these criteria, from a total population 18 companies, 7 samples were obtained with an observation period 6 years, 42 obtained.
 Findings ...

This study aims to examine the effect between internal capital disclosure (ICD) and stock return with mediation of on asset (ROA) banking sector Southeast Asia. We find that ICD does not have direct correlation returns, has a positive significant ROA, ROA return, mediating variable can mediate return. Bounded rationality or cognitive limitation resulted in investors needing ease capturing, memo...

  One of the main problems of SMEs is how to finance their investments. The role of banks in this regard is crucial, since they can be a type of sources of financing through lending credits directly to SMEs. The key role of the paper thus relies on analyzing the effect of SMEs financing by the Iranian banking system.   The objective of this paper is to determine the influence of loans demanded...