In this paper, we propose that IT managers make investment decisions about new IT initiatives based on a modified rational expectation model. Unlike traditional rational expectation models, we emphasize the relevance of market uncertainty and its impact on the return of new IT investment. This results in information acquisition decisions by managers that can cause information asymmetry. This in...

A “tontine” is a special kind of annuity in which all participants contribute equally to a subscription pool, and a fixed percent of the total capital raised is distributed equally among surviving nominees every year. In this paper, we examine the adverse selection in the Irish tontines of 1773, 1775 and 1777 because of the presence of a group of speculative investors, namely a group of Genevan...

This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on Bucharest Stock Exchange (BVB) for period 2004–2011. Using monthly returns companies listed BVB, stock market indices during seven years period, as well aggregate data foreign domestic (both individual) sales purchases Romanian market, this research intends to provide an an...

in this paper various arch models and relevant news impact curves including a partially nonparametric (pnp) one are compared and estimated with daily iran stock return data. diagnostic tests imply the asymmetry of the volatility response to news. the egarch model, which passes all the tests and appears relatively matching with the asymmetry in the data, seems to be the most adequate characteriz...

a r t i c l e i n f o Keywords: Risk-return tradeoff Downside-risk MIDAS regressions HAR model Intraday data This paper considers the downside-risk aversion of investors as an explanation for the risk-return trade-off. We test empirically this hypothesis using intraday data along with the recent measure of downside-risk called realized semivariance developed in Barndorff-Nielsen et al. (2010). ...

In this paper various ARCH models and relevant news impact curves including a partially nonparametric (PNP) one are compared and estimated with daily Iran stock return data. Diagnostic tests imply the asymmetry of the volatility response to news. The EGARCH model, which passes all the tests and appears relatively matching with the asymmetry in the data, seems to be the most adequate characteriz...

Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to market movements. Given the anticipated growth of the Nepalese stock market and increasing interest of investors towards investment in Nepalese stock market, ...

Underpricing in IPOs, which is the first day stock price return, is a significant cost to the issuers of raising capital. The money left on the table also attracts attention from different financial players such as institutional investors and big underwriters for its profits and commissions. This paper reviews two hypotheses for IPO underpricing, the general information asymmetry theory that ‘u...