This paper examines the intertemporal relation between expected return and risk for 30 stocks in the Dow Jones Industrial Average. The mean-reverting dynamic conditional correlation model of Engle (2002) is used to estimate a stock’s conditional covariance with the market and test whether the conditional covariance predicts time-variation in the stock’s expected return. The risk-aversion coeffi...

J. Jonek-Kowalska, Silesian University of Technology, Faculty of Organization and Management, Zabrze, Poland The purpose of the article is an assessment of risk, profitability and value as well as the relationships between these parameters for fifteen leading steel producers in the world. The research methodology uses return on assets, beta coefficient and price/book value ratio (P/BV). The res...

Chapter 1—Introduction I. Outline of the Book II. Characterization of Broadband Telecommunications Market A. Scale of Investment B. Scale of Market Size and Reward C. Regulatory Conditions D. Customer Driven Factors E. Market Trends F. Influence of Computing on the Telecommunications Market III. Market Analysis for ATM Technology A. Residential Market B. Business Market C. Bandwidth Cost Trend ...

We provide a three way theoretical comparison of dealer, limit order, and hybrid markets and analyze the impact that the organization of trading has on volume, liquidity, and price efficiency. We find, in particular, that trading volume is highest in the limit order market and lowest in the dealer market. Small order price impacts are lowest and large order price impacts are highest in limit or...

We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. ‎This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ‎...

This paper offers a novel framework, combining firm operational risk, IPO pricing and market to model failure risk. By analyzing nearly thousand variables, we observe that prior risk models have suffered from major missing-variable problem. Evidence reveals several key new firm-level determinants, e.g., the volatility operating performance, size of its accounts payable, pretax income common equ...