The basic model for valuation of firm is the Dividend Discount Model (DDM). When investors buy stocks, they expect to receive two types of cash flow: dividend in the period during which the stock is owned, and the expected sales price at the end of the period. In the extreme example, the investor keeps the stock until the company is liquidated; in such a case, the liquidating dividend becomes t...

Investment systems are studied using a framework that emphasize their profiles (the cumulative probability distribution on all the possible percentage gains of trades) and their log return functions (the expected average return per trade in logarithmic scale as a function of the investment size in terms of the percentage of the available capital). The efficiency index for an investment system, ...

The present study aimed at investigating reinstatement of conditioned responding in human classical conditioning using a differential fear conditioning paradigm. Reinstatement is defined as the return of extinguished conditioned responses due to the experience of one or more unexpected USs. As expected the reinstatement group showed reinstatement of US-expectancy while a similar return of condi...

We explore the relation between variability in the rate of return to human capital and investment in education in the context of migration. Specifically, we show that if migration is a possibility, such variability in the rate of return to human capital can induce residents of developing countries to make greater investments in education. Moreover, providing that education is relatively costly,...

Among the long-standing anomalies in modern investment theory, perhaps none are as puzzling and compelling as the low-volatility effect. It challenges the traditional equilibrium asset pricing theory that an asset’s expected return is directly proportional to its beta or systematic risk, or, in other words, higher-risk securities should be rewarded with higher expected returns while lower-risk ...

In this paper, we apply Markowitz’s approach of portfolio selection to government bond portfolios. As a main feature of our analysis, we use term structure models to estimate expected returns, return variances, and covariances of different bonds. Our empirical study for the German market shows that a small number of risky bonds is sufficient to reach very promising predicted risk-return profile...

This paper considers a portfolio management problem of Merton’s type in which the risky asset return is related to the return history. The problem is modeled by a stochastic system with delay. The investor’s goal is to choose the investment control as well as the consumption control to maximize his total expected, discounted utility. Under certain situations, we derive the explicit solutions in...

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement p...

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement p...