Article history: Received 19 July 2012 Received in revised form 21 November 2013 Accepted 28 November 2013 Available online 7 December 2013 We investigate the pricing implication of liquidity risks in the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005), using multiple liquidity measures and their principal component. While we find that the empirical results are sen...

This paper analyzes the role of money in asset markets characterized by search frictions. We develop a dynamic framework that brings together a model for illiquid financial assets à la Duffie, Gârleanu, and Pedersen, and a search-theoretic model of monetary exchange à la Lagos and Wright. The presence of decentralized financial markets generates an essential role for money, which helps investor...

This paper focuses on portfolio risk forecasting in an asymmetrical framework. Risk is defined by two factors; the dependence structure and the volatility. In order to account for asymmetric dependencies, the return series’ interdependence is estimated via a Copula approach rather than the correlation matrix. This allows to capture tightening dependence during market turmoils and loose dependen...

abstract in this paper, markov chain and dynamic programming were used to represent a suitable pattern for tax relief and tax evasion decrease based on tax earnings in iran from 2005 to 2009. results, by applying this model, showed that tax evasion were 6714 billion rials**. with 4% relief to tax payers and by calculating present value of the received tax, it was reduced to 3108 billion rials. ...

The paper shows that lottery-like stocks are hedges against unexpected increases in market volatility. The loading on the aggregate volatility risk factor explains low returns to stocks with high maximum returns in the past (Bali, Cakici, and Whitelaw, 2011) and high expected skewness (Boyer, Mitton, and Vorkink, 2010). Aggregate volatility risk also explains the new evidence that the maximum e...

In this paper we examine whether past returns of the market portfolio (MKT), the size portfolio (SMB), the book-to-market portfolio (HML) and the idiosyncratic volatility portfolio (HIMLI) can predict growth rates of ten major Australian economic indicators from 1993 to 2010. We find that all four factors can be used to predict growth rates in Australian economic indicators. We also find high r...

This paper analyses the portfolio problem of an investor maximizing the expected exponential utility of his terminal real wealth. The investor must cope with both a set of stochastic investment opportunities and a set of background risks. If the market is complete we are able to find an exact solution. If the market is incomplete, we suggest an approximated general solution. Contrary to other e...

This study examines whether institutional investors’ voting for All-Star financial analysts is affected by analyst beauty. Using a sample of 1,135 U.S. analysts and controlling for analyst performance, we document that beauty, on average, does not affect the outcome of All-Star analyst voting. However, a beauty premium emerges in those sectors where there is high information asymmetry on analys...

        This paper proposes a new forecasting model for investigating relationship between the price of crude oil, as an important energy source and GDP of the US, as the largest oil consumer, and the UK, as the oil producer. GMDH neural network and MLFF neural network approaches, which are both non-linear models, are employed to forecast GDP responses to the oil price changes. The resul...