infonet-economy

Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early exercise boundary as confirmed by theoretical insights. Pricing with stochastic volatility and...

This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo (2007),(2011), we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incor- porate predictability in managerial skills generate superior performance. This outperfor-mance disappears or weakens...

D'un point de vue économique, la common law est plus efficace que le droit civil ». Ce message qui transparaît à la lecture des rapports économiques Doing Business de la Banque Mondiale est-il valide s'agissant des fusions-acquisitions ? L'objectif principal de la recherche présentée dans ces colonnes est de mener une analyse économique du droit des opérations de...