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companies must publish financial reports on time. when market information is more important and this information is used to shape more effective decision-making. although most companies, financial reports required by the authorities at intervals determined speak but at the same time, it can be claimed that the delay in publishing the financial reports of a company to another company, the differ...

The traditional approach towards derivative pricing consists of dynamically replicating a future liability by trading the assets on which that liability is written. However, the assumption that one can trade the assets is often rather restrictive. In some cases, say of options on commodities or funds, one can at best trade another correlated asset. In others, as in the case of basket options, e...

We develop a rational model of investors who choose which asset payoffs to acquire information about, before forming portfolios. Scale economies in information acquisition lead investors to specialize in learning about a set of highly-correlated assets. Knowing more about these assets makes them less risky and more desirable to hold. Benefits to specialization compete with benefits to diversifi...

Asset forfeiture laws allow the seizure of assets used in the commission of a crime. This paper examines the impact of such laws on deterrence by incorporating the possibility of asset forfeiture into the standard economic model of crime. When punishment is by a fine that can be optimally chosen, forfeiture is never optimal because of the deadweight loss it imposes in the capital market. When t...

We establish several new findings on the relation between capital flow in commodity markets and asset returns. Capital flowing into commodity markets, as measured by high open-interest growth, predicts high commodity returns and low bond returns. Open-interest growth is a more powerful and robust predictor of commodity returns than other known predictors such as the short rate, the yield spread...

Authors' A Oncology, Netherland Medicine Pharmaceu Correspon icine, Radb HB Nijmeg 3618942. E

A market is described by two correlated asset prices. But only one of them is traded while the contingent claim is a function of both assets. We solve the mean-variance hedging problem completely and prove that the optimal strategy consists of a modi ed pure hedge expressible in terms of the obervation process and a Merton-type investment.

The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which is accomplished for the first time by investigators of this research in Iran. Accordingly, the statistical population under study of this research includes all companies admitt...

Theoretical finance is essentially the study of inter-temporal arbitrage, but it is often interesting also to analyze relationships between asset prices. Cross-sectional analysis makes it possible to purge both field and laboratory data of unobservable changes in time-varying fundamentals. Also, although backward induction is at the heart of asset-pricing theory, subjects may find its logic dau...