Changes in the Market Volatility Index (VIX) of the Chicago Board Options Exchange are
statistically significant leading indicators of daily market returns. On days that follow increases …

The development of capital markets around the world has given rise to growing interest in
how the markets are linked. This study, using the Dow Jones & Company country and industry …

Minimizing the probability of business disruption is presented as an objective for FX hedging
programs. Within this context firms hedge when the benefits, defined as the reduction in the …

VIX (CBOE Volatility Index) is often called the" fear index." Using monthly returns from January
2000 to December 2011 as their data sample, the authors find that when the change in …

When VIX--a market index of volatility--increases, a firm's response is to defer growth of
investment. Simultaneously, the expected time to ruin, E (T), shortens, causing the firm's value to …

Minimizing the probability of business disruption is presented as an objective for FX hedging
programs. Within this context firms hedge when the benefits, defined as the reduction in the …

In this article, the authors, one of whom was a doctoral student of Stephen A. Ross, investigate
the cross section of industry returns and the effect of uncertainty as proxied by the VIX …

Traditional valuation models such as the Gordon growth model, the discounted cash flow (DCF)
model, and the real option approach assume that cash flows are perpetual. There is no …

The firm’s equity can be valued by focusing on two tails that involve optionality. Equity
shareholders have two call options on the firm’s value: an upside potential benefit call and a …

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