The cross-section of returns of stock portfolios sorted along the book-to-market dimension can be understood with a one-factor model. The factor is the nominal bond risk premium, best measured as the Cochrane-Piazzesi (2005, CP) factor. This paper ties the pricing of stocks in the cross-section to the pricing of government bonds of various maturities, two literatures that have been developed la...

Abstract Contemporary globalisation faces several challenges, for instance related to climate change, technological disruption and shifting geopolitics, that have repercussions the organisation of value chains global division labour. Analysing long-term geographies we observe how successive reconfigurations ‘new’ ‘newer’ divisions labour share an archipelagic socio-spatial structure. The paper ...

Program restructuring is a key method to improve the quality of ill-structured programs and therefore to increase the understandability and reduce the maintenance cost. It is a challenging task and much research is still ongoing. This paper presents an approach to program restructuring at the functional level based on the clustering technique with cohesion as the major concern. Clustering has b...

We establish two previously undocumented patterns in the purchase selections of individual investors and confirm a related pattern. These patterns hinge on investors’ previous experience with a stock. We demonstrate that investors prefer to: (1) repurchase stocks they previously sold for a gain rather than stocks they previously sold for a loss, (2) repurchase stocks that have lost value subseq...

Available online 30 April 2015 This paper tests the relation between expected excess stock returns and illiquidity risk in G7 markets. By conducting panel regressions on monthly data for 20 years, evidence shows that excess stock returns of the G7 countries are positively correlated with market illiquidity risk, but are negatively correlated with the innovation of firm-level illiquidity. Applyi...

DRAFT February 12, 5 pm (Choose " print layout view " in Word) The influence of speculative stocks on value stocks is examined through a set of economics experiments. The speculative asset is designed to model a company involved in a rapidly growing market that will be saturated at some unknown point. Using a control experiment where both assets are similar value stocks, we find statistical sup...