The risk in-basket

Article Abstract:

In this research, 400 executives were presented with 'in-basket' risk situations and asked to write memorandums detailing how they would handle such situations. In each situation the executive is faced with a choice between a risky alternative and one that provides greater certainty. The research indicates that executives seek risk and attempt to modify the risk sought through the collection of more information relative to the situation confronted. Three activities associated with risk avoidance are also discussed: delegating authority for the decision, delaying the decision-making process, and seeking additional data.

Decision-making, Decision making, Management, Executives, Executive ability

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Ex-dividend stock price behavior and arbitrage opportunities

Article Abstract:

The relation between ex-dividend stock price behavior and arbitrage opportunities is examined. It is possible for the ex-dividend stock price drop to differ from the dividend in a continuous trading economy, and short-term traders still will not be able to generate arbitrage profits. The marginal tax bracket can be estimated using ex-dividend stock price drops. This insight into stock price behavior and arbitrage opportunities can also be used in option pricing.

Research, Prices and rates, Stocks, Securities, Stock prices, Arbitrage

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Jump risks and the intertemporal capital asset pricing model

Article Abstract:

Equilibrium expected returns on stock investments within a jump-diffusion market are modeled and analyzed using an 'instantaneous' capital assets pricing model. An empirical investigation is also performed to verify that jump components are unsystematic and diversified within market portfolios. The investigation reveals that market portfolios contain jump components themselves.

Capital assets pricing model, Capital asset pricing model

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