We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's modeling of foreign exchange markets under transaction costs. The financial market is described by a d × d matrix-valued stochastic process (Π t ) T t =0 specifying the mutual bid and ask prices between d assets. We introduce the notion of "robust no arbitrage," which is a version of the no-arbitrage concept, robust with respect to small changes of the bid-ask spreads of (Π t ) T t =0 . The main theorem states that the bid-ask process (Π t ) T t =0 satisfies the robust no-arbitrage condition iff it admits a strictly consistent pricing system. This result extends the theorems of Harrison-Pliska and Kabanov-Stricker pertaining to the case of finite Ω, as well as the theorem of Dalang, Morton, and Willinger and Kabanov, Rásonyi, and Stricker, pertaining to the case of general Ω. An example of a 5 × 5 -dimensional process (Π t )2 t =0 shows that, in this theorem, the robust no-arbitrage condition cannot be replaced by the so-called strict no-arbitrage condition, thus answering negatively a question raised by Kabanov, Rásonyi, and Stricker. 相似文献
This paper analyzes the impact of foreign listing on equity valuations and relates it to an improvement in corporate governance. It documents abnormal returns around the announcement to list foreign shares on the London Stock Exchange. These are partially explained by a reduction of agency costs that is consistent with the enhanced monitoring and investor protection that prevail in a superior information and legal environment. The results are consistent with predictions derived from theoretical models of agency costs and illustrate an interesting implication of more open global equity markets. 相似文献
Purpose: Interfirm knowledge sharing has been well recognized to activate the performance and competitiveness improvement of the firms. Previous research has discussed the impacts of current suppliers on buyer–supplier knowledge sharing, but does not explain how this influence occurs. This study aims to disclose the mechanism by which both current and competing suppliers impact buyer–supplier knowledge sharing in buyers’ new product development activities.
Methodology/approach: This study proposed a conceptual model based on relational exchange theory and developed eight hypotheses. Questionnaire survey was used to collect empirical data from R&D staff of Taiwanese electronics firms. This study distributed 1,475 questionnaires and received 246 eligible questionnaires. Structural equation modeling was used to test and verify appropriateness of the proposed model.
Findings: The findings show that current supplier asset specificity positively and directly influences buyer–supplier knowledge sharing in new product development. The current supplier asset specificity also has indirect positive influence on buyer–supplier knowledge sharing in new product development via the mediating effects of buyer trust, satisfaction, and commitment. However, the attractiveness of alternative suppliers only indirectly and negatively affects buyer–supplier knowledge sharing via the mediating effects of buyer trust, satisfaction, and commitment.
Research limitations/implications: This study surveyed the firms in Taiwanese electronics industry. Nevertheless, new product development activities are executed by electronics firms in numerous countries and firms in various industries. For validating the generalization of this study’s results, future research can investigate firms in other industries and countries to verify the proposed model and hypotheses.
Practical implications: Current suppliers’ asset specificity is found to exert more influence on buyer–supplier knowledge sharing than alternative attractiveness. The findings imply that current suppliers should focus on investing specific assets for buyers other than stress the attractiveness and threat of competing suppliers.
Originality/value/contribution: This study initiates to approach the antecedents and influence mechanism of current buyer–supplier knowledge sharing via both perspectives of current and competing suppliers. 相似文献
We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean-variance capital market. Also, we give an explicit formula for such a price vector. This formula shows that the price of assets is an increasing function of , the weighted average of the requested rate of return of individual investors, which tends to infinity as approaches the expected rate of return on the market portfolio. Further, we construct a macroeconomic index which gives information about the soundness of the capital market. 相似文献
Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets through careful selection of predictor variables that capture business cycles and market sentiment. Yet, a distinct literature exists that shows that non-linear econometric frameworks, such as Markov switching, are also natural tools to compute optimal portfolios arising from the existence of good and bad market states. This paper examines whether and how simple VARs can produce portfolio rules similar to those obtained under a simple Markov switching, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock-bond strategic asset allocation problem for UK data, we compute the out-of-sample certainty equivalent returns for a wide range of VARs and compare these measures of performance with those of non-linear models. We conclude that most VARs cannot produce portfolio rules, hedging demands or (net of transaction costs) out-of-sample performances that approximate those obtained from simple non-linear frameworks. 相似文献