We consider the problem of stock repurchase over a finite time horizon. We assume that a firm has a reservation price for the stock, which is the highest price that the firm is willing to pay to repurchase its own stock. We characterize the optimal policy for the trader to maximize the total number of shares he can buy over a fixed time horizon. In particular, we study a greedy policy, which in...

We examine the impact of share repurchases on the information content of stock prices using several measures of price efficiency. The study is based on manually collected data on share repurchases in the United States for the period 2004-2010. We find that share repurchases make prices more efficient. In particular, share repurchases increase the accuracy of the stock price after negative infor...

Stock price has been found to provide important information about future economic activities. Fama (1981), Fischer and Merton (1984), and Barro (1990), among many others, document a positive relation between stock market return and subsequent growth in investment and output. These findings are consistent with rational expectations asset pricing models, in which stock price is equal to the sum o...

One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...

A generation ago, the efŽ cient market hypothesis was widely accepted by academic Ž nancial economists; for example, see Eugene Fama’s (1970) in uential survey article, “EfŽ cient Capital Markets.” It was generally believed that securities markets were extremely efŽ cient in re ecting information about individual stocks and about the stock market as a whole. The accepted view was that when in...

This study examines the effect of managerial ability on subsequent stock price crash risk using listed firm data in Korea. Compared to some financially advanced countries, the influence of managers is particularly more powerful in Korea, as ownership and management are not effectively separate in most Korean firms. In addition, we considered the effect of large business groups called Chaebol, w...

Volatility is the key of the option price in the stock market. Changes in volatility will dramatically lead to changes of the option price. One of the most important volatilities is historical volatility (HV ). The HV is essentially the annualized standard deviation of the first order difference of logarithm of the asset price. Therefore, changes in HV in finance may be detected by the variance...

A generation ago, the efŽ cient market hypothesis was widely accepted by academic Ž nancial economists; for example, see Eugene Fama’s (1970) in uential survey article, “EfŽ cient Capital Markets.” It was generally believed that securities markets were extremely efŽ cient in re ecting information about individual stocks and about the stock market as a whole. The accepted view was that when in...

When investors have differences of opinion about the payoffs of a stock, Harrison and Kreps (1978) demonstrate the existence of a speculative bubble in the stock price, that is, the stock price can exceed the valuation of the most optimistic investor. A crucial condition that supports this result in their model is that investors are not allowed to short sell the stock. This paper demonstrates t...

In this text, Fractional Brown Motion theory during random process is applied to research the option pricing problem. Firstly, Fractional Brown Motion theory and actuarial pricing method of option are utilized to derive Black-Scholes formula under Fractional Brown Motion and form corresponding mathematical model to describe option pricing. Secondly, based on BYD stock, estimation model on volat...