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In this paper, I investigate the determinants of price differences in the shares of cross-listed firms in domestic and foreign markets. Diverging from the literature in this field, I introduce a methodology that is independent of any specific form of utility function. My theoretical analysis indicates that investment opportunities and consumption growth cause price disparities between the domestic...
This paper demonstrates how to convert a path-dependent optimal stopping time problem into a path-independent problem using a transformation analysis method. We test this method to deal with several problems, especially those in stochastic volatility environments. We introduce stochastic state variables into volatility dynamics and analyse the influence of state-variable volatile characters on investment...
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