We test the hypothesis that investment constraints in delegated portfolio management may distort demand for stocks, leading to price underreaction to news and stock return predictability. We find that institutions tend not to buy more of a stock with good news that they already overweight; they are reluctant to sell a stock with bad news that they already underweight. Stocks with good news over...

This paper investigates how financial weakness among Japanese banks in the second half of the 1990s was reflected in pricing in the financial markets. Two indicators, the Japan premium (JP) and the stock price spread (SP)}deviation between the bank stock index (BINDEX) and stock price index excluding banks (NINDEX)}were examined. The structural change occurring in the relationship between BINDE...

the purpose of this research is to examine the existence of seasonality in the stock market return, its volatility and trading amount associated with moving calendar events such as the holy month of ramadan using a garch specification and data for the tehran stock exchange (tse) from april 1998 to june 2010. the result shows a statistically significant increase in returns and a systematic patte...

to achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. in this study we consider fama and french three-factor model augmented by the pastor and stambaugh (2003) liquidity risk factor. unlike most previous studies in this model, stock level beta is allowed to vary with firm-level size and book-to-market value. to verify the above...

We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We show that such a model is free of arbitrage if and only if one can embed in it a friction-free model that is itself free of arbitrage, in the sense that ther...

We study the effects of different pricing strategies available to a continuous review inventory system with capacitated supply, which operates in a fluctuating environment. The system has a single server with exponential processing time. The inventory holding cost is nondecreasing and convex in the inventory level, the production cost is linear with no set-up cost. The potential customer demand...

Problems with appraisal-based return series combined with certain similarities between commercial real estate, bonds and stock suggest that equity REIT returns provide an accurate source of real estate pricing information. A model for deriving a discount rate for unsecuritized commercial real estate was developed. The model is a three factor Arbitrage Pricing model that measures the sensitivity...

This paper describes and analyses the history of the fundamental equation of modern financial economics: the Black-Scholes (or Black-Scholes-Merton) option pricing equation. In that history, several themes of potentially general importance are revealed. First, the key mathematical work was not rule-following but bricolage, creative tinkering. Second, it was, however, bricolage guided by the goa...

a r t i c l e i n f o A large number of researches have shown that the negative return of risky asset exists and has the profound significance whether for actual investment or theory studies. This paper investigates the effect of sentiment by establishing the sentiment asset pricing model, and explores the negative expected return when the parameters change in different situations. We provide t...