This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. W...

While a great portion of the scheduling literature focuses on time-based criteria, the most important goal of management is maximizing the profitability of the firm. In this paper, the net preset value criterion is studied taking account of linear time-dependent cash flows in single machine and flow shop scheduling problems. First, a heuristic method is presented for the single machine scheduli...

An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications. This thesis presents a new framework for asset pricing based on modelling the information available to market participants. Each asset is characterised by the cash flows it generates. Each cash flow is expressed as a function of one or more independent random variables called market factors or “X-factors”. E...

THERE is, in the Warwick County Record Office, a pocket cash book measuring 543'4 by 3+" in which entries were made from September 1828 to December 1831.1 The name "Henry Peart" is written on the flyleaf, and all that was known about him when the cash book was first seen was that it belonged to a medical man. Every entry in the book is financial: "cash received" on the left-hand pages, "cash pa...

Section 404 of the Sarbanes-Oxley Act of 2002 (SOX) requires that companies subject to the Securities and Exchange Act of 1934 include in their annual reports a report of management on the company's internal control over fmancial reporting. This must contain management's assessment and a statement of the effectiveness of the controls. Almost no guidance, however, has been provided on how to eva...

The common paradigm for risk-neutral real-option pricing is a special case encompassed within our general model for valuing investment opportunities. Risk-neutral real option prices deviate from the risk-averse real option values that apply in an incomplete market, giving different rankings of investment opportunities and different optimal exercise strategies. Unlike risk-neutral prices, more g...

We report on a large number of laboratory market experiments demonstrating that a market bubble can be reduced under the following conditions: 1) a low initial liquidity level, i.e., less total cash than value of total shares, 2) deferred dividends, and 3) a bid–ask book that is open to traders. Conversely, a large bubble arises when the opposite conditions exist. The first part of the article ...

Within a general equilibrium model with habit persistence preferences and time varying expected dividend growth, we obtain a number of novel predictions about the time series of the cross section of asset prices. We show that assets of longer duration, i.e. that pay far in the future, are typically riskier than those of shorter duration. However, those assets that are characterized by a substan...