Studies in Economics and Finance: Volume 23 Issue 3

The abnormal performance of UK utility privatisations

Simon Stevenson

This paper aims to re‐examine both the short‐ and long‐term performance of UK privatisations, with specific reference to the comparative performance of utility privatisations with…

A reformulated asset pricing model based on contrarian strategies

Zhongzhi (Lawrence) He, Lawrence Kryzanowski

Researchers have proposed characteristics‐based pricing models as an alternative to risk‐based pricing models. While supported empirically, these characteristic‐based models lack…

An integral index for measuring aversion to large‐scale risks

Joseph G. Eisenhauer

Conventional measures of risk aversion based on first and second derivatives of utility are strictly local instruments, valid only for infinitesimally small changes in wealth…

Recent stock price relationships between Japanese and US stock markets

Yutaka Kurihara, Eiji Nezu

This paper, using daily data, sets out to present an empirical analysis of the relationship between recent Japanese stock prices and macroeconomic variables under the quantitative…