ORCID Profile
0000-0001-6082-1263
Current Organisation
La Trobe University
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Publisher: Cambridge University Press (CUP)
Date: 21-12-2019
DOI: 10.1017/S0022109018000637
Abstract: We develop an intertemporal asset pricing model where cash-flow news, discount-rate news, and their second moments are priced by the market. This model generalizes the market-return decomposition framework, showing that intertemporal considerations imply a decomposition of squared market returns (coskewness risk). Our model accounts for 68% of the return variation across portfolios sorted by size, book-to-market ratio, momentum, investment, and profitability for a modern U.S. s le period. Further, our findings highlight the importance of covariation risk, that is, the risk of simultaneous unfavorable shocks to cash flows and discount rates, in understanding equity risk premia.
Publisher: Elsevier BV
Date: 12-2003
Publisher: Springer International Publishing
Date: 2014
Publisher: Elsevier BV
Date: 07-2013
Publisher: Springer International Publishing
Date: 2014
Publisher: Springer Berlin Heidelberg
Date: 2009
Publisher: Informa UK Limited
Date: 20-01-2006
Publisher: Elsevier BV
Date: 04-2008
Publisher: Wiley
Date: 2008
DOI: 10.1002/FUT.20328
Publisher: Elsevier BV
Date: 10-2017
Publisher: Elsevier BV
Date: 10-2010
Publisher: Elsevier BV
Date: 06-2004
Publisher: Elsevier
Date: 2014
Publisher: Elsevier BV
Date: 11-2013
Publisher: Elsevier BV
Date: 03-2007
DOI: 10.1016/J.VACCINE.2006.09.016
Abstract: Young Australian Aboriginal children in remote communities experience very high rates of pneumococcal carriage and otitis media. Prior to introduction of the 7-valent pneumococcal conjugate vaccine (7vPCV, Prevenar), serotype 16F was an important type found in nasal and ear discharge swabs. Since commencement of pneumococcal immunisation for Aboriginal infants in 2001, 16F has become the predominant established serotype in carriage and otitis media in young Aboriginal children. BOX typing and multi-locus sequence typing revealed a erse population of serotype 16F strains, and evidence of potential capsule switching from a vaccine serotype 4 to a serotype 16F.
Publisher: Elsevier BV
Date: 2006
Publisher: Elsevier BV
Date: 11-2015
Publisher: Wiley
Date: 16-05-2012
Publisher: Elsevier BV
Date: 02-2020
Publisher: Elsevier BV
Date: 05-2014
Publisher: Elsevier BV
Date: 05-2019
Publisher: Elsevier BV
Date: 10-2014
Publisher: Elsevier BV
Date: 02-2019
Publisher: Elsevier BV
Date: 06-2022
Publisher: Elsevier BV
Date: 04-2013
Publisher: Elsevier BV
Date: 05-2003
Publisher: Wiley
Date: 20-05-2019
DOI: 10.1002/FUT.22019
Publisher: Emerald
Date: 03-08-2015
Abstract: – This paper aims to establish the relation between corporate governance – as represented by investor protection at both the legal and firm levels – and stock market liquidity. – This paper avails of the unique features of Hong Kong- and China-based stocks that are traded on the Hong Kong Stock Exchange so as to test whether differences between “common law” and “civil law” legal environments contribute to differences in stock liquidity. In addition, by constructing an internal corporate governance index score for each firm based on board size, board independence and information on the audit and remuneration committee, we document whether firms with better corporate governance scores have narrower spreads, greater depth and higher trading volumes. – Overall, results provide support for a linkage between corporate governance issues – as investor rights protection at both the environment and firm protection levels – and stock market liquidity. – This paper recognizes that investor protection constitutes a single component of the desirability of investing in a firm’s stock. Nevertheless, it does appear to constitute an important component of a stock’s attractiveness. – The practical implications are clear, namely, that good corporate governance of firms leads to their attractiveness as investment vehicles (for both the shorter and the longer terms). – The paper has clear social implications. In particular, the paper serves to highlight that prospects for enduring wealth creation are contingent on the safeguards accorded to the equity ownership of a firm’s stock. – The originality lies in taking advantage of the unique features of the Chinese and Hong Kong firms on the Hong Kong Exchange, so as to examine the contrasting influences of common law and civil law on stock liquidity. Thus, the authors allow for the effects of corporate governance across the two legal environments (China and Hong Kong) to be compared and contrasted while maintaining other influences unchanged across Chinese and Hong Kong shares.
Publisher: Wiley
Date: 16-02-2022
DOI: 10.1002/FUT.22316
Abstract: This paper presents a numerical method to price American exchange options based on jump‐diffusion processes. We first derive a closed‐form expression for the value of European exchange options, then decompose the value function of an American exchange option into a European counterpart, and an early exercise premium that is derived analytically. The early exercise boundary for an American exchange option approximately satisfies an algebraic equation that can be quickly numerically solved. Consequently, a formula is obtained for efficiently pricing American exchange options. The numerical results reveal that our pricing formula is robust and accurate.
Publisher: Elsevier BV
Date: 06-2019
Publisher: Springer Science and Business Media LLC
Date: 26-06-2008
Publisher: Elsevier BV
Date: 11-2008
Publisher: Informa UK Limited
Date: 05-2008
Publisher: Springer Science and Business Media LLC
Date: 04-2013
DOI: 10.1057/JAM.2013.7
Publisher: Emerald
Date: 08-2016
DOI: 10.1108/IJMF-01-2016-0007
Abstract: – The purpose of this paper is to investigate the immediate impact of firm-specific announcements on the trading volume of in idual and institutional investors on the Australian Securities Exchange (ASX), during a period when the market becomes fragmented. – This study uses intraday trading volume data in five-minute intervals prior to and after firm-specific announcements to measure in idual and institutional abnormal volume. There are 70 such intervals per trading day and 254 trading days in the s le period. The first 10 minutes of trading (from 10.00 to 10.10 a.m.) is excluded to avoid the effect of opening auction and to ensure consistency in the “starting time” for all stocks. The volume transacted during five-minute intervals is aggregated and attributed to in idual or institutional investors using Broker IDs. – Institutional investors exhibit abnormal trading volume before and after announcements. However, in idual investors indicate abnormal trading volume only after announcements. Consistent with outcomes expected from a idend washing strategy, abnormal trading volume around idend announcements is statistically insignificant. Both in idual and institutional investors’ buy volumes are higher than sell volumes before and after scheduled and unscheduled announcements. – The study is Australian focused, but the results are applicable to other limit order book markets of similar design. – The results add to the understanding of in idual and institutional investors’ trading behaviour around firm-specific announcements in a securities market with continuous disclosure. – The results add to the understanding of in idual and institutional investors’ trading behaviour around firm-specific announcements in a securities market with continuous disclosure. – These results will help regulators to design markets that are less predatory on in idual investors.
Publisher: Wiley
Date: 25-08-2019
Abstract: Sensitive, specific, yet multifunctional tattoo-like electronics are ideal wearable systems for "any time, any where" health monitoring because they can virtually become parts of the human skin, offering a burdenless "unfeelable" wearing experience. A skin-like, multifunctional electronic tattoo made entirely from gold using a standing enokitake-mushroom-like vertically aligned nanowire membrane in conjunction with a programmable local cracking technology is reported. Unlike previous multifunctional systems, only a single material type is needed for the integrated gold circuits involved in interconnects and multiplexed specific sensors, thereby avoiding the use of complex multimaterials interfaces. This is possiblebecause the programmable local cracking technology allows for the arbitrary fine-tuning of the properties of elastic gold conductors from strain-insensitive to highly strain-sensitive simply by adjusting localized crack size, shape, and orientations-a capability impossible to achieve with previous bulk cracking technology. Furthermore, in-plane integration of strain ressure sensors, anisotropic orientation-specific sensors, strain-insensitive stretchable interconnects, temperature sensors, glucose sensors, and lactate sensors without the need of soldering or gluing are demonstrated. This strategy opens a new general route for the design of next-generation wearable electronic tattoos.
Publisher: Elsevier BV
Date: 11-2009
Publisher: Elsevier BV
Date: 11-2009
No related grants have been discovered for Petko Kalev.